BLACKROCK Ltd DURATION INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-21349

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: 08/31/2017

Date of reporting period: 08/31/2017

 


Item 1 – Report to Stockholders

 


AUGUST 31, 2017

 

 

ANNUAL REPORT

 

    LOGO

 

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

BlackRock Limited Duration Income Trust (BLW)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

In the 12 months ended August 31, 2017, risk assets, such as stocks and high-yield bonds, continued to deliver strong performance. These markets showed great resilience during a period with big surprises, including the aftermath of the U.K.’s vote to leave the European Union and the outcome of the U.S. presidential election, which brought only brief spikes in equity market volatility. These expressions of isolationism and discontent were countered by the closely watched and less surprising elections in France, the Netherlands and Australia.

Interest rates rose, which worked against high-quality assets with more interest rate sensitivity. As a result, longer-term U.S. Treasuries posted negative returns, as rising energy prices, modest wage increases, and steady job growth led to expectations of higher inflation and anticipation of interest rate increases by the U.S. Federal Reserve (the “Fed”).

Market prices began to reflect reflationary expectations toward the end of 2016, as investors sensed that a global recovery was afoot. And those expectations have been largely realized in 2017, as many countries throughout the world experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing interest rates three times and setting expectations for additional interest rate increases. The Fed also appears to be approaching the implementation of its plan to reduce the vast balance sheet reserves that provided liquidity to the global economy in the aftermath of the financial crisis in 2008. Also, growing skepticism about the near-term likelihood of significant U.S. tax reform and infrastructure spending has tempered reflationary expectations in the United States.

By contrast, the European Central Bank and the Bank of Japan reiterated their commitments to economic stimulus and balance sheet expansion despite nascent signs of sustained economic growth in both countries. The Eurozone also benefited from the relatively stable political environment, which is creating momentum for economic reform and pro-growth policies.

Financial markets — and to an extent the Fed — have adopted a “wait-and-see” approach to the economic data and potential fiscal stimulus. Escalating tensions with North Korea and our nation’s divided politics are significant concerns. Nevertheless, benign credit conditions, modest inflation, and the positive outlook for growth in the world’s largest economies have kept markets relatively tranquil.

However, the capacity for rapid global growth is restrained by structural factors, including an aging population in developed countries, low productivity growth, and excess savings. Cyclical factors, such as the Fed moving toward the normalization of monetary policy and the length of the current expansion, also limit economic growth. Tempered economic growth and high valuations across most assets have laid the groundwork for muted returns going forward. At current valuation levels, potential equity gains will likely be closely tied to the pace of earnings growth, which has remained solid thus far in 2017.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2017  
    6-month     12-month  

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

    5.65     16.23

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

    2.04       14.91  

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

    12.14       17.64  

Emerging market equities
(MSCI Emerging Markets Index)

    18.02       24.53  

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

    0.40       0.62  

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

    3.10       (3.26

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

    2.74       0.49  

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

    3.51       0.92  

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

    3.03       8.62  
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.  

 

                
2    THIS PAGE NOT PART OF YOUR FUND REPORT      


Table of Contents     

 

     Page  

The Markets in Review

    2  

Annual Report:

 

Fund Summaries

    4  

The Benefits and Risks of Leveraging

    10  

Derivative Financial Instruments

    10  
Financial Statements  

Schedules of Investments

    11  

Statements of Assets and Liabilities

    66  

Statements of Operations

    68  

Statements of Changes in Net Assets

    69  

Statements of Cash Flows

    70  

Financial Highlights

    71  

Notes to Financial Statements

    73  

Report of Independent Registered Public Accounting Firm

    88  

Important Tax Information

    88  

Disclosure of Investment Advisory Agreements

    89  

Automatic Dividend Reinvestment Plans

    93  

Officers and Directors

    94  

Additional Information

    97  

 

                
   ANNUAL REPORT    AUGUST 31, 2017    3


Fund Summary as of August 31, 2017    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Fund Overview

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

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

 

Fund Information

Symbol on New York Stock Exchange (“NYSE”)

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2017 ($14.10)1

  5.19%

Current Monthly Distribution per Common Share2

  $0.0610

Current Annualized Distribution per Common Share2

  $0.7320

Economic Leverage as of August 31, 20173

  30%

 

  1   

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

 

  2   

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

 

  3   

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

 

Market Price and Net Asset Value Per Share Summary

 

      8/31/17      8/31/16      Change      High      Low  

Market Price

     $14.10        $13.70        2.92%        $14.85        $13.36  

Net Asset Value

     $14.93        $14.78        1.01%        $15.11        $14.76  

 

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

 

LOGO

 

                
4    ANNUAL REPORT    AUGUST 31, 2017   


     BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2017 were as follows:

 

       Average Annual Total Returns  
             1 Year        3 Years        5 Years       

Fund at NAV1,2

       6.93        4.92        6.16

Fund at Market Price1,2

       8.95          5.57          4.65  

S&P/LSTA Leveraged Loan Index3

       5.80          3.53          4.24  

 

  1  

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 

  2  

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

 

  3  

An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

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

Past performance is not indicative of future results.

Beginning with this reporting period, FRA is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

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

What factors influenced performance?

 

 

Floating rate loan interests (bank loans) benefited from a strong appetite for credit over much of the 12-month period. The largest contributors to performance over the annual period included the electric, consumer cyclical services, and pharmaceuticals sectors, while more modest contributions came from government-related, real estate investment trust, and environmental loans. The Fund’s allocation to B-rated names was a significant contributor, along with the BB-rated portion of the portfolio and unrated names. In terms of asset allocation, high yield bonds and equities were substantial contributors to performance.

 

 

On the downside, holdings within technology, metals & mining, and oil field services were the largest detractors. Names rated CCC and below detracted over the annual period. Finally, the Fund’s risk-management strategies detracted slightly over the period.

Describe recent portfolio activity.

 

 

Early in the period, the Fund maintained an overall focus on the higher quality segments of the loan market. As the period progressed, the Fund moderately added risk as the broad leveraged finance markets displayed strength. The Fund added to its high yield bond position as relative value for the segment became more appealing with the bank loan universe trading at a premium to par value. At the same time, the Fund’s net equity long exposure was reduced and the Fund added to positions within the wirelines and cable & satellite sectors. By contrast, the Fund reduced broad energy exposure and shifted its focus to higher quality issuers within the space. While the Fund’s broad credit positioning remained consistent over the annual period, the BBB-rated allocation was slightly trimmed in favor of CCC-rated names.

Describe portfolio positioning at period end.

 

 

At period end, the Fund held the majority of its portfolio in floating rate bank loans, with a meaningful position in high yield corporate bonds as well. The Fund maintained its highest concentration in higher coupon BB-rated loans of select issuers, while limiting exposure to both higher quality loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and greater downside risk, should credit sentiment weaken. The Fund’s largest positions were within the technology, health care, and consumer cyclical services sectors. In addition, the Fund avoided certain retailers and leisure issuers, where fundamentals continued to deteriorate. Within energy, the Fund favored higher quality issuers within the independent energy sector, while avoiding more cyclical names within oil field services. The Fund also remained focused on industries and companies with stable business profiles and consistent cash flow, while avoiding areas of the markets with longer-term concerns and/or deteriorating fundamental trends.

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

 

                
   ANNUAL REPORT    AUGUST 31, 2017    5


     BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   8/31/17     8/31/16  

Floating Rate Loan Interests

    93     93

Corporate Bonds

    6       4  

Asset-Backed Securities

    1       3  

Common Stocks1

           

Short-Term Securities1

           

Other

    2       3 

 

  1   

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

 

  2   

Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred Securities, Rights and Warrants.

 

  3   

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

Credit Quality Allocation4,5   8/31/17     8/31/16  

A1

           

BBB/Baa

    9     11

BB/Ba

    42       44  

B

    40       39  

CCC/Caa

    5       3  

N/R

    4       3  

 

  4   

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

 

  5   

Excludes Options Purchased and Short-Term Securities.

 

 

                
6    ANNUAL REPORT    AUGUST 31, 2017   


Fund Summary as of August 31, 2017    BlackRock Limited Duration Income Trust

 

Fund Overview

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

 

 

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

 

 

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

 

 

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

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

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

 

Fund Information                              

 

Symbol on NYSE

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2017 ($15.99)1

  5.97%

Current Monthly Distribution per Common Share2

  $0.0795

Current Annualized Distribution per Common Share2

  $0.9540

Economic Leverage as of August 31, 20173

  29%

 

  1   

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

 

  2   

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

 

  3   

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

 

Market Price and Net Asset Value Per Share Summary                              

 

      8/31/17      8/31/16      Change      High      Low  

Market Price

   $ 15.99      $ 15.74        1.59    $ 16.14      $ 14.75  

Net Asset Value

   $ 17.02      $ 16.84        1.07    $ 17.11      $ 16.54  

 

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

 

LOGO

 

                
   ANNUAL REPORT    AUGUST 31, 2017    7


     BlackRock Limited Duration Income Trust

 

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2017 were as follows:

 

    Average Annual Total Returns  
          1 Year      3 Years      5 Years       

Fund at NAV1,2

    9.62      6.46      7.86

Fund at Market Price1,2

    10.18        6.89        5.78  

Reference Benchmark3

    5.27        3.37        4.14  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index4

    8.62        4.79        6.47  

S&P/LSTA Leveraged Loan Index5

    5.80        3.53        4.24  

BATS S Benchmark6

    1.48        1.73        1.70  

 

  1  

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 

  2  

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

 

  3   

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 

  4  

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

  5   

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

  6   

A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Blomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index.

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

Past performance is not indicative of future results.

Beginning with this reporting period, BLW is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.

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

What factors influenced performance?

 

 

The largest contributors to the Fund’s performance over the period were its allocations to high yield bonds, leveraged loans, asset-backed securities (“ABS”), capital securities and investment grade credit. The Fund’s allocations to emerging market debt, foreign sovereign debt, foreign currency exposure obtained through currency derivatives and commercial mortgage-backed securities (“CMBS”) also aided returns.

 

 

The largest detractor from the Fund’s performance was its stance with respect to duration and yield curve positioning. (Duration is the portfolio’s sensitivity to changes in the level of rates while yield curve positioning is the portfolio’s sensitivity to changes in the shape of the yield curve.)

Describe recent portfolio activity.

 

 

Given the trend of tighter yield spreads across the fixed-income spectrum, the Fund’s trading activity during the period was focused on sector and sub-sector rotation. Allocations to ABS and investment grade corporate issues were reduced and rotated into residential mortgage-backed securities (“MBS”), which have lagged the rally seen in other spread sectors and therefore appear to be relatively attractively valued. Further, the investment adviser believes that interest rate volatility will likely remain low, a backdrop which typically is supportive of MBS returns. Within CMBS, concerns regarding big box retailers resulted in spreads for lower quality issues widening, leading the Fund to increase its allocation to BBB-rated issues. The Fund’s allocation within emerging market debt also was increased, as a stable global growth environment, fundamental recovery in several emerging market economies and attractive yields increased the appeal of the sector. From the standpoint of duration and corresponding interest rate sensitivity, the Fund moved to lower duration, with increased exposure to the front end of the yield curve, on the view that interest rates are likely to rise by the end of 2017.

Describe portfolio positioning at period end.

 

 

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate bonds, senior loans, investment grade corporate credit, CMBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt.

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

 

                
8    ANNUAL REPORT    AUGUST 31, 2017   


     BlackRock Limited Duration Income Trust

 

 

Overview of the Fund’s Total Investments                              

 

Portfolio Composition   8/31/17     8/31/16  

Corporate Bonds

    45     42

Floating Rate Loan Interests

    27       26  

Asset-Backed Securities

    9       10  

Preferred Securities

    8       8  

Non-Agency Mortgage-Backed Securities

    6       8  

Foreign Agency Obligations

    4       4  

U.S. Government Sponsored Agency Securities

    1       1  

U.S. Treasury Obligations

    1      1  

Other

    2       3 

 

  1  

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

 

  2   

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

 

  3   

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

Credit Quality Allocation4,5   8/31/17     8/31/16  

AAA/Aaa6

    4     4

AA/Aa

    1       1  

A

    6       7  

BBB/Baa

    19       19  

BB/Ba

    33       32  

B

    29       25  

CCC/Caa

    4       4  

N/R

    4       8  

 

  4   

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

 

  5   

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

 

  6  

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

 

 

                
   ANNUAL REPORT    AUGUST 31, 2017    9


The Benefits and Risks of Leveraging     

 

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

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

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

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

Funds’ obligations under their respective leverage arrangements generally

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

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

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

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

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

 

 

Derivative Financial Instruments     

 

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

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

 

 

                
10    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments August 31, 2017

  

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

(Percentages shown are based on Net Assets)

 

Common Stocks               
Shares
    Value  
Chemicals — 0.0%  

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

             167,777     $ 53,689  
Diversified Financial Services — 0.1%  

Kcad Holdings I Ltd. (a)(b)

             309,827,230       424,463  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc. (b)

             14,906       15,845  
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.

             1,860       16,443  
Specialty Retail — 0.0%  

Things Remembered, Inc. (a)(b)

             932,803       9  
Total Common Stocks — 0.1%                      510,449  
      
                          
Asset-Backed Securities    Par
(000)
        

ALM Loan Funding, Series 2012-5A, Class BR, (3 mo. LIBOR US + 3.000%), 4.30%, 10/18/27 (c)(d)

     USD       250       250,765  

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.700%), 4.00%, 10/15/28 (c)(d)

       250       252,456  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%), 4.76%, 7/28/26 (c)(d)

       463       464,857  

ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR US + 4.150%), 5.45%, 1/15/28 (c)(d)

       500       504,996  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.200%), 5.52%, 12/09/26 (c)(d)

       250       253,783  

Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR US + 3.700%), 5.00%, 10/15/27 (c)(d)

       250       252,112  

Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.450%), 4.77%, 11/15/25 (c)(d)

       1,000       1,000,102  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.950%), 3.27%, 12/05/25 (c)(d)

       450       453,680  

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, (3 mo. LIBOR US + 3.600%), 4.90%, 10/15/26 (c)(d)

       750       751,163  

Atrium X, Series 10A, Class DR, (3 mo. LIBOR US + 3.000%), 4.30%, 7/16/25 (c)(d)

       250       249,903  

Atrium XII, Series 12A, Class D, (3 mo. LIBOR US + 3.900%), 5.21%, 10/22/26 (c)(d)

       250       250,448  

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, (3 mo. LIBOR US + 2.050%), 3.36%,
1/20/29 (c)(d)

       500       504,832  

Benefit Street Partners CLO VIII, Ltd., Series 2015-8A (c)(d):

      

Class B, (3 mo. LIBOR US + 3.000%), 4.31%, 1/20/28

       500       502,398  
Asset-Backed Securities    Par
(000)
    Value  

Benefit Street Partners CLO VIII, Ltd., Series 2015-8A (c)(d) (continued):

      

Class C, (3 mo. LIBOR US + 3.900%), 5.21%, 1/20/28

     USD       500     $ 500,296  

CIFC Funding Ltd. (c)(d):

      

Series 2013-4A, Class DR, (3 mo. LIBOR US + 3.350%), 4.67%, 11/27/24

       250       250,717  

Series 2014-2A, Class A3LR, (3 mo. LIBOR US + 2.250%), 3.57%, 5/24/26

       280       280,376  

Dryden Senior Loan Fund, Series 2014-36A, Class CR, (3 mo. LIBOR US + 2.800%), 4.10%, 1/15/28 (c)(d)

       250       252,947  

GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.200%), 3.51%, 4/20/29 (c)(d)

       250       250,136  

Grippen Park CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.300%), 3.55%, 1/20/30 (c)(d)

       280       280,201  

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

       1,000       653,166  

Sound Point CLO III, Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.350%), 4.65%, 7/15/25 (c)(d)

       250       250,005  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3 mo. LIBOR US + 2.200%), 3.52%, 12/21/29 (c)(d)

       300       302,772  

Treman Park CLO LLC, Series 2015-1A, Class D, (3 mo. LIBOR US + 3.860%), 5.17%, 4/20/27 (c)(d)

       1,400       1,402,505  

Venture XIX CLO Ltd., Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.000%), 3.30%, 1/15/27 (c)(d)

       250       251,868  

Webster Park CLO Ltd., Series 2015-1A, Class C, (3 mo. LIBOR US + 4.050%), 5.36%, 1/20/27 (c)(d)

             500       504,883  
Total Asset-Backed Securities — 2.0%                      10,871,367  
      
                          
Corporate Bonds                      
Airlines — 0.5%  

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

             2,605       2,662,831  
Banks — 0.0%  

CIT Group, Inc., 5.00%, 8/01/23

             135       146,644  
Capital Markets — 0.3%  

Blackstone CQP Holdco LP (d):

      

6.50%, 3/20/21

       1,536       1,583,263  

6.00%, 8/18/21

       249       248,708  
      

 

 

 
                       1,831,971  
 

 

Portfolio Abbreviations

 

ABS    Asset-Backed Security
AUD    Australian Dollar
CAD    Canadian Dollar
CHF    Swiss Franc
CLO    Collateralized Loan Obligation
DIP    Debtor-In-Possession
ETF    Exchange-Traded Fund
EUR    Euro
EURIBOR    Euro Interbank Offered Rate
GBP    British Pound
IDR    Indonesian Rupiah
JPY    Japanese Yen
LIBOR    London Interbank Offered Rate
NOK    Norwegian Krone
NZD    New Zealand Dollar
OTC    Over-the-Counter
PIK    Payment-In-Kind
S&P    S&P Global Ratings
SEK    Swedish Krona
USD    U.S. Dollar
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    11


Consolidated Schedule of Investments (continued)

  

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

 

Corporate Bonds    Par
(000)
    Value  
Chemicals — 0.6%  

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

     USD       1,779     $ 2,513,176  

Momentive Performance Materials, Inc., 3.88%, 10/24/21

       1,083       1,085,708  
      

 

 

 
                       3,598,884  
Communications Equipment — 0.2%  

Avaya, Inc., 7.00%, 4/01/19 (b)(d)(e)

             1,347       1,134,847  
Consumer Finance — 0.1%  

Ally Financial, Inc., 8.00%, 11/01/31

             300       386,250  
Containers & Packaging — 1.0%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (d)

       300       330,930  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, (3 mo. LIBOR US + 3.500%), 4.80%, 7/15/21 (c)(d)

       5,360       5,460,500  
      

 

 

 
                       5,791,430  
Diversified Consumer Services — 0.1%  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (d)

             300       331,500  
Electric Utilities — 0.0%  

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

             1,061        
Environmental, Maintenance, & Security Service — 0.1%  

Tervita Escrow Corp., 7.63%, 12/01/21 (d)

             540       542,700  
Health Care Providers & Services — 0.4%  

CHS/Community Health Systems, Inc., 5.13%, 8/01/21

       1,540       1,541,925  

Envision Healthcare Corp., 6.25%, 12/01/24 (d)

       259       279,073  

HCA, Inc., 5.25%, 6/15/26

       325       349,781  
      

 

 

 
                       2,170,779  
Hotels, Restaurants & Leisure — 0.2%  

Scientific Games International, Inc., 7.00%, 1/01/22 (d)

             1,160       1,238,300  
Internet Software & Services — 0.1%  

Symantec Corp., 5.00%, 4/15/25 (d)

             280       293,216  
Media — 1.3%  

Altice Financing SA (d):

      

6.63%, 2/15/23

       550       581,625  

7.50%, 5/15/26

       875       958,300  

Altice US Finance I Corp., 5.50%, 5/15/26 (d)

       350       370,344  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       800       824,000  

Series B, 7.63%, 3/15/20

       545       542,956  

CSC Holdings LLC, 10.88%, 10/15/25 (d)

       410       504,300  

SFR Group SA (d):

      

6.00%, 5/15/22

       842       887,241  

7.38%, 5/01/26

       1,857       2,005,597  

Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (d)

       350       364,000  
      

 

 

 
                       7,038,363  
Metals & Mining — 1.3%  

Constellium NV, 6.63%, 3/01/25 (d)

       300       315,000  

Freeport-McMoRan, Inc.:

      

2.38%, 3/15/18

       2,021       2,021,000  

3.88%, 3/15/23

       625       618,750  
Corporate Bonds    Par
(000)
    Value  
Metals & Mining (continued)  

Novelis Corp., 6.25%, 8/15/24 (d)

     USD       1,460     $ 1,542,125  

Teck Resources Ltd., 3.75%, 2/01/23

       3,058       3,079,253  
      

 

 

 
                       7,576,128  
Oil, Gas & Consumable Fuels — 1.4%  

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

       670       762,125  

CONSOL Energy, Inc., 5.88%, 4/15/22

       2,262       2,262,000  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (d)

       995       990,025  

Halcon Resources Corp., 6.75%, 2/15/25 (d)

       1,175       1,180,875  

MEG Energy Corp., 6.50%, 1/15/25 (d)

       1,866       1,733,047  

NGPL PipeCo LLC (d):

      

4.38%, 8/15/22

       590       606,225  

4.88%, 8/15/27

       415       427,450  
      

 

 

 
                       7,961,747  
Real Estate Investment Trusts (REITs) — 0.1%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.63%, 5/01/24

             510       554,625  
Software — 0.1%  

Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (d)

             520       592,150  
Wireless Telecommunication Services — 0.1%  

Sprint Communications, Inc., 7.00%, 8/15/20

             325       356,281  
Total Corporate Bonds — 7.9%                      44,208,646  
      
                          
Floating Rate Loan Interests  
Aerospace & Defense — 2.5%  

Accudyne Industries LLC, 2017 Term Loan, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 8/02/24 (f)

       3,490       3,488,918  

DAE Aviation Holdings, Inc., 2017 1st Lien Term Loan, 7/07/22 (i)

       510       511,275  

Engility Corp. (f):

      

Term Loan B1, (1 mo. LIBOR + 2.750%), 3.99%, 8/12/20

       329       329,403  

Term Loan B2, (PRIME + 2.750%, 1.00% Floor), 4.49%, 8/12/23

       594       598,190  

GTCR Valor Companies, Inc., 2017 Term Loan B1, (3 mo. LIBOR + 4.250%), 5.50%, 6/16/23 (f)

       772       777,512  

TransDigm, Inc. (f):

      

2015 Term Loan E, (1 mo. LIBOR + 3.000%), 4.24%, 5/14/22

       861       861,785  

2016 Extended Term Loan F, (1 mo. LIBOR + 3.000%), 4.24%, 6/09/23

       6,319       6,326,579  

Term Loan D, (3 mo. LIBOR + 3.000%), 4.30%, 6/04/21

       1,131       1,132,141  
      

 

 

 
                       14,025,803  
Air Freight & Logistics — 1.6%  

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 3/20/22 (f)

       6,299       6,315,800  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.50%, 3/19/21 (f)

       733       684,973  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f)

       749       704,818  
 

 

See Notes to Financial Statements.      
                
12    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Air Freight & Logistics (continued)  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f)

     USD       129     $ 121,522  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f)

       997       938,745  
      

 

 

 
                       8,765,858  
Airlines — 0.1%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.230%), 2.65%, 9/10/18 (a)(f)

             359       355,326  
Auto Components — 1.0%  

Anchor Glass Container Corp., 2016 2nd Lien Term Loan, (1 mo. LIBOR + 7.750%), 8.98%, 12/07/24 (f)

       395       400,265  

Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 5.000%), 6.32%, 5/19/23 (a)(f)

       1,027       1,029,994  

FPC Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.000%), 5.30%, 11/19/19

       987       970,942  

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.000%), 3.23%, 4/30/19

       582       582,394  

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

      

3/30/12

       1,098        

PIK, 3/30/12 (g)

       18        

TKC Holdings, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.000%, 1.00% Floor), 9.24%, 2/01/24 (f)

       1,337       1,337,000  

USI, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 5/16/24 (f)

       1,305       1,297,118  
      

 

 

 
                       5,617,713  
Automobiles — 0.3%                   

CH Hold Corp. (f):

      

1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 2/01/24

       1,284       1,288,332  

2nd Lien Term Loan, (1 mo. LIBOR + 7.250%, 1.00% Floor), 8.49%, 2/01/25

       245       249,900  
      

 

 

 
                       1,538,232  
Building Materials — 0.5%                   

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 7/28/22 (f)

       1,869       1,867,313  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.500%, 1.00% Floor), 9.81%, 7/28/23 (f)

       645       640,969  
      

 

 

 
                       2,508,282  
Building Products — 1.5%  

Continental Building Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 8/18/23 (a)(f)

       1,118       1,117,790  

CPG International Inc., 2017 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 5/03/24 (f)

       1,952       1,949,778  

Jeld-Wen, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 7/01/22 (f)

       1,764       1,772,899  

Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 2/01/21 (f)

       916       921,698  
Floating Rate Loan Interests    Par
(000)
    Value  
Building Products (continued)  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 12/19/23 (f)

     USD       2,734     $ 2,734,515  
      

 

 

 
                       8,496,680  
Capital Markets — 0.6%                   

FinCo I LLC, 2017 Term Loan B, 6/14/22 (i)

       1,460       1,471,680  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.000%), 3.30%, 3/27/23 (f)

       1,737       1,743,204  
      

 

 

 
                       3,214,884  
Chemicals — 3.7%                   

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (f)

       1,025       1,025,000  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.000%), 3.30%, 6/01/24 (f)

       2,375       2,380,201  

CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.750%), 4.07%, 8/30/20

       113       113,319  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%,
5/16/24 (f)

       1,455       1,456,368  

Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 5/12/22 (f)

       908       909,990  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.75%, 6/01/24 (f)

       620       625,971  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.750%), 5.06%, 7/09/19 (f)

       300       279,339  

Huntsman International LLC, Term Loan B2, (1 mo. LIBOR + 3.000%), 4.24%, 4/01/23 (f)

       958       961,829  

MacDermid, Inc. (f):

      

Term Loan B5, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 6/07/20

       1,907       1,918,750  

Term Loan B6, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.23%, 6/07/23

       1,426       1,430,568  

OXEA Finance LLC, Term Loan B2, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.48%, 1/15/20 (f)

       3,010       2,994,768  

PQ Corp., 2017 Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 11/04/22 (f)

       1,378       1,383,274  

Royal Holdings, Inc. (f):

      

2015 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.79%, 6/19/23 (a)

       257       255,910  

2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/19/22

       1,115       1,120,756  

Solenis International LP (f):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.57%, 7/31/21

       1,493       1,495,281  

2nd Lien Term Loan, (3 mo. LIBOR + 6.750%, 1.00% Floor), 8.07%, 7/31/22

       1,725       1,724,275  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.06%, 8/07/20 (f)

       422       421,990  
      

 

 

 
                       20,497,589  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    13


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Commercial Services & Supplies — 6.8%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.750%), 3.94%,
11/10/23 (f)

     USD       3,321     $ 3,336,486  

Asurion LLC:

      

2017 2nd Lien Term Loan, 8/04/25 (i)

       565       576,537  

2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/04/22 (f)

       2,000       2,004,546  

2017 Term Loan B5, (1 mo. LIBOR + 3.000%), 4.24%, 11/03/23 (f)

       3,568       3,580,912  

Camelot UK Holdco Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/03/23 (f)

       3,884       3,899,241  

Casella Waste Systems, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 10/17/23

       935       937,058  

Catalent Pharma Solutions, Inc., Term Loan B, (1 Week LIBOR + 2.750%, 1.00% Floor), 3.99%,
5/20/21 (f)

       3,613       3,629,088  

Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.24%, 6/27/24 (f)

       660       661,650  

Creative Artists Agency LLC, 2017 1st Lien Term Loan B, (PRIME + 2.500%, 1.00% Floor), 4.73%,
2/15/24 (f)

       2,080       2,090,821  

Dealer Tire LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 12/22/21 (a)(f)

       995       1,003,758  

Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 5/16/20 (f)

       372       348,536  

Garda World Security Corp., 2017 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.31%, 5/24/24 (f)

       923       927,669  

GCA Services Group, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.750%, 1.00% Floor), 6.05%, 3/01/23 (f)

       1,861       1,865,638  

Harland Clarke Holdings Corp., Term Loan B6, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.80%, 2/09/22 (f)

       1,048       1,050,797  

KAR Auction Services, Inc.:

      

Term Loan B4, (3 mo. LIBOR + 2.250%), 3.56%, 3/11/21

       869       872,414  

Term Loan B5, (3 mo. LIBOR + 2.500%), 3.81%, 3/09/23 (f)

       1,375       1,379,893  

Livingston International, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.250%), 5.55%, 4/18/19 (f)

       544       514,520  

Packers Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/02/21 (a)(f)

       1,548       1,559,599  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 5/02/22 (f)

       2,802       2,814,888  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 7/14/23 (f)

       2,410       2,420,905  

Waste Industries USA, Inc., 2016 Term Loan, (1 mo. LIBOR + 2.750%), 3.99%, 2/27/20 (f)

       2,084       2,085,788  
      

 

 

 
                       37,560,744  
Floating Rate Loan Interests    Par
(000)
    Value  
Commercial Services & Supplies — 0.2%  

TruGreen Limited Partnership, 2017 Term Loan, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.23%,
4/13/23 (a)(f)

     USD       1,140     $ 1,151,249  
Communications Equipment — 1.1%  

Applied Systems, Inc. (f):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 1/25/21

       906       911,446  

2nd Lien Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 1/24/22

       376       380,547  

Avaya, Inc.:

      

DIP Term Loan, (1 mo. LIBOR + 7.500%, 1.00% Floor), 8.73%, 1/24/18 (f)

       60       60,900  

Term Loan B7, 6.28%, 5/29/20 (e)

       248       209,267  

Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 5/01/24 (f)

       1,725       1,732,556  

CommScope, Inc., Term Loan B5, (3 mo. LIBOR + 2.000%), 3.30%, 12/29/22 (f)

       802       805,127  

Riverbed Technology, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 4/24/22 (f)

       854       828,024  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6/20/24 (i)

       1,160       1,168,944  
      

 

 

 
                       6,096,811  
Construction & Engineering — 1.6%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.56%, 6/21/24 (f)

       6,457       6,472,239  

CNT Holdings III Corp., 2017 Term Loan, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 1/22/23 (f)

       1,319       1,298,587  

Pike Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 3/10/24 (f)

       419       422,880  

USIC Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%), 4.92%, 12/08/23 (f)

       926       929,065  
      

 

 

 
                       9,122,771  
Construction Materials — 1.0%  

Filtration Group Corp., 1st Lien Term Loan, (2 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 11/21/20 (f)

       3,523       3,535,048  

GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/01/23 (f)

       2,225       2,230,452  
      

 

 

 
                       5,765,500  
Containers & Packaging — 1.7%  

Anchor Glass Container Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 12/07/23

       527       528,173  

Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 10/01/21 (f)

       585       586,589  

Berry Plastics Group, Inc., Term Loan M, (1 mo. LIBOR + 2.250%), 3.48%, 10/01/22 (f)

       5,035       5,035,928  

BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.250%), 4.48%, 4/03/24 (f)

       1,799       1,799,558  
 

 

See Notes to Financial Statements.      
                
14    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Containers & Packaging (continued)  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 12/29/23

     USD       1,182     $ 1,179,673  

Proampac PG Borrower LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.31%, 11/18/23

       493       498,050  
      

 

 

 
                       9,627,971  
Distributors — 0.7%  

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 10/31/23 (f)

       2,674       2,676,265  

American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 9/01/21 (f)

       930       936,339  
      

 

 

 
                       3,612,604  
Diversified Consumer Services — 4.7%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, 12/13/23 (i)

       2,095       2,098,939  

Ascend Learning LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.53%, 7/12/24 (f)

       1,165       1,168,879  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 11/07/23 (f)

       2,948       2,957,055  

Equian LLC:

      

Delayed Draw Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 5/20/24

       200       202,117  

Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.07%, 5/20/24

       1,302       1,313,748  

J.D. Power and Associates, 1st Lien Term Loan, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 9/07/23

       1,411       1,413,202  

Serta Simmons Bedding LLC (f):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 11/08/23

       5,006       4,858,566  

2nd Lien Term Loan, (3 mo. LIBOR + 8.000%, 1.00% Floor), 9.31%, 11/08/24

       1,604       1,547,225  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 11/08/23 (f)

       4,169       4,172,177  

Spin Holdco, Inc., 2017 Term Loan B, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 11/14/22 (f)

       1,173       1,176,106  

Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 9/17/21

       1,379       1,386,585  

Weight Watchers International, Inc., Term Loan B2, (3 mo. LIBOR + 3.250%), 4.49%,
4/02/20 (f)

       4,003       3,908,967  
      

 

 

 
                       26,203,566  
Diversified Financial Services — 1.6%  

AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 4/04/24 (f)

       2,648       2,660,492  

Diamond (BC) BV, Term Loan, (1 mo. LIBOR + 3.50%), 4.32%, 7/12/24 (f)

       2,315       2,299,096  

Diamond US Holding LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 3/29/24

       953       953,663  
Floating Rate Loan Interests    Par
(000)
    Value  
Diversified Financial Services (continued)  

Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 6/28/24 (f)

     USD       1,570     $ 1,581,116  

Nomad Foods Europe Midco Ltd., Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 4/18/24 (f)

       880       883,027  

SAM Finance Luxembourg Sarl, Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 12/17/20 (f)

       641       641,705  
      

 

 

 
                       9,019,099  
Diversified Telecommunication Services — 7.0%  

CenturyLink, Inc., 2017 Term Loan B, 2.75%, 1/31/25

       13,200       12,908,544  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 10/04/23 (f)

       787       772,182  

Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.750%), 4.99%, 6/15/24 (f)

       1,769       1,689,395  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/16/24 (f)

       1,515       1,514,530  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 2/22/24 (f)

       8,255       8,247,240  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.500%), 3.75%,
2/02/24 (f)

       2,898       2,897,738  

Telenet International Finance Sarl, Term Loan AI, (1 mo. LIBOR + 2.750%), 3.98%, 6/30/25 (f)

       6,045       6,054,249  

Telesat Canada, Term Loan B4, (3 mo. LIBOR + 3.000%), 4.30%, 11/17/23

       1,138       1,146,142  

Virgin Media Investment Holdings Ltd., Term Loan J, (1 mo. LIBOR + 3.500%), 3.75%,
1/31/26 (f)

     GBP       2,830       3,669,492  
      

 

 

 
                       38,899,512  
Electric Utilities — 2.0%  

Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.23%, 6/30/18 (f)

     USD       6,640       6,666,560  

PrimeLine Utility Services LLC, Term Loan, (2 mo. LIBOR + 5.500%, 1.00% Floor), 6.76%, 11/12/22

       1,363       1,357,542  

TEX Operations Co. LLC (f):

      

Exit Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23

       2,051       2,051,065  

Exit Term Loan C, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23

       471       471,248  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/17 (a)(i)

       1,710        

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 12/14/23 (f)

       722       722,407  
      

 

 

 
                       11,268,822  
Electrical Equipment — 0.7%  

Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 4/01/24 (f)

             4,016       4,027,837  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    15


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Energy Equipment & Services — 0.9%  

Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.750%, 1.00% Floor), 6.05%, 9/16/21 (f)

     USD       852     $ 573,335  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.000%, 1.00% Floor), 7.23%, 3/01/24 (f)

       2,550       2,400,188  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 2/21/21 (f)

       656       421,428  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.300%), 3.54%, 7/13/20 (a)(f)

       1,369       1,300,345  
      

 

 

 
                       4,695,296  
Food & Staples Retailing — 2.2%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/25/21 (f)

       2,052       1,989,801  

BJ’s Wholesale Club, Inc. (f):

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 4.97%, 2/03/24

       2,365       2,275,055  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.71%, 2/03/25

       229       220,092  

Rite Aid Corp. (f):

      

2nd Lien Term Loan, (1 mo. LIBOR + 4.750%, 1.00% Floor), 5.99%, 8/21/20

       1,247       1,255,871  

2nd Lien Term Loan, (1 mo. LIBOR + 3.875%, 1.00% Floor), 5.12%, 6/21/21

       2,373       2,382,379  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/27/23 (f)

       4,165       4,178,123  
      

 

 

 
                       12,301,321  
Food Products — 3.2%  

Chobani LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 10/07/23 (f)

       2,491       2,507,250  

Dole Food Co., Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 4/06/24 (f)

       1,060       1,061,993  

Hostess Brands LLC, 2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 8/03/22 (f)

       2,761       2,767,392  

JBS USA LLC, 2017 Term Loan B, (2 mo. LIBOR + 2.500%), 3.80%, 10/30/22 (f)

       3,711       3,666,570  

Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 2/02/24 (f)

       2,627       2,632,395  

Reddy Ice Corp. (f):

      

1st Lien Term Loan, (3 mo. LIBOR + 5.500%), 6.88%, 5/01/19

       1,583       1,560,743  

2nd Lien Term Loan, (3 mo. LIBOR + 9.500%), 10.81%, 11/01/19

       532       498,085  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/05/23 (f)

       3,222       3,223,127  
      

 

 

 
                       17,917,555  
Health Care Equipment & Supplies — 3.7%  

Alere, Inc. (f):

      

2015 Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 6/18/20

       446       445,857  

2015 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/18/22

       1,886       1,881,623  
Floating Rate Loan Interests    Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 9/28/23 (f)

     USD       1,644     $ 1,647,180  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/08/20 (f)

       5,260       5,232,960  

Immucor, Inc., Extended Term Loan B, (1 mo. LIBOR + 5.000%, 1.00% Floor), 6.24%, 6/15/21 (f)

       2,744       2,778,745  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%,
9/24/24 (f)

       1,673       1,674,245  

National Vision, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/12/21 (f)

       3,404       3,411,113  

Ortho-Clinical Diagnostics, Inc., Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 6/30/21 (f)

       3,356       3,361,774  
      

 

 

 
                       20,433,497  
Health Care Providers & Services — 6.8%  

Acadia Healthcare Co., Inc. (f):

      

Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 2/11/22

       457       459,850  

Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 2/16/23

       2,128       2,138,238  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/17/22 (f)

       2,432       2,433,693  

CHG Healthcare Services, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.51%,
6/07/23 (f)

       3,382       3,406,133  

Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 12/31/19 (f)

       1,059       1,055,368  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.26%, 2/07/22 (f)

       824       824,061  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/24/21 (f)

       2,038       2,050,398  

DuPage Medical Group, Ltd. (a):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.000%), 4.32%, 8/15/24

       1,135       1,132,163  

2nd Lien Term Loan, (3 mo. LIBOR + 7.000%), 8.32%, 8/15/25

       395       393,025  

Envision Healthcare Corp., 2016 Term Loan B, (3 mo. LIBOR + 3.000%), 4.30%, 12/01/23 (f)

       7,582       7,633,078  

Explorer Holdings, Inc., 2016 Term Loan B, 5/02/23 (i)

       1,080       1,084,050  

HC Group Holdings III, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.32%, 4/07/22 (a)(f)

       1,427       1,433,709  

HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.000%), 3.24%, 3/17/23 (f)

       2,179       2,185,368  

Iasis Healthcare LLC, Term Loan B3, (3 mo. LIBOR + 4.000%), 5.30%, 2/16/21 (f)

       334       334,914  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%,
6/07/23 (f)

       2,491       2,500,087  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.000%), 4.30%, 1/31/21

       483       485,543  
 

 

See Notes to Financial Statements.      
                
16    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Health Care Providers & Services (continued)  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 10/20/22 (a)(f)

     USD       1,633     $ 1,639,626  

NVA Holdings, Inc., 1st Lien Term Loan B2, (3 mo. LIBOR + 3.500%), 4.80%, 8/14/21 (f)

       1,498       1,503,742  

Surgery Center Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/06/24 (f)

       860       851,039  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 2/06/24 (f)

       1,455       1,435,475  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 2/13/23 (f)

       1,817       1,835,065  

WP CityMD Bidco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 5/25/24

       950       952,375  
      

 

 

 
                       37,767,000  
Health Care Technology — 1.9%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/24 (f)

       6,461       6,457,557  

Press Ganey Holdings, Inc. (f):

      

1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 10/21/23 (a)

       1,358       1,363,268  

2nd Lien Term Loan, (1 mo. LIBOR + 7.250%, 1.00% Floor), 8.49%, 10/21/24

       495       504,282  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.30%, 3/07/24

       2,357       2,370,565  
      

 

 

 
                       10,695,672  
Hotels, Restaurants & Leisure — 8.4%  

Amaya Holdings BV (f):

      

2nd Lien Term Loan, (3 mo. LIBOR + 7.000%, 1.00% Floor), 8.30%, 8/01/22

       839       841,118  

Repriced Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 8/01/21

       2,730       2,736,701  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.500%), 3.70%, 9/15/23 (f)

       1,991       1,992,964  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.32%, 8/15/20 (f)

       2,217       2,236,508  

Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.250%, 1.00% Floor), 3.55%, 2/16/24 (f)

       5,592       5,573,080  

Caesars Entertainment Operating Co., Term Loan B7, 6.25%, 3/01/22 (b)(e)

       2,435       3,096,102  

Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/11/20 (f)

       7,981       8,014,170  

Caesars Growth Properties Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/08/21 (f)

       2,029       2,033,484  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 8/08/21 (f)

       1,332       1,334,957  

CEC Entertainment, Inc., Term Loan B, 2/14/21 (i)

       715       709,251  
Floating Rate Loan Interests    Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, 7/26/24 (i)

     USD       1,300     $ 1,307,319  

ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 8/30/23 (f)

       3,221       3,231,782  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 11/30/23 (f)

       224       224,652  

Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 2/22/23 (f)

       305       305,763  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.000%), 3.23%, 10/25/23 (f)

       1,804       1,809,590  

La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 4/14/21 (f)

       823       824,641  

Playa Resorts Holding BV, 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.32%, 4/05/24

       1,425       1,424,401  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.250%), 3.56%, 5/11/24 (a)(f)

       1,367       1,373,408  

Sabre GLBL, Inc., Incremental Term Loan B, (3 mo. LIBOR + 2.250%, 1.00% Floor), 3.49%, 2/22/24 (f)

       2,572       2,580,444  

Scientific Games International, Inc., 2017 Term Loan B4, (3 mo. LIBOR + 3.250%), 4.51%, 8/14/24 (f)

       2,691       2,708,870  

Station Casinos LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 6/08/23

       811       809,560  

Yum! Brands, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 6/16/23

       1,444       1,450,041  
      

 

 

 
                       46,618,806  
Household Products — 0.7%  

Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.31%, 6/23/22 (f)

             3,845       3,859,599  
Independent Power and Renewable Electricity Producers — 3.3%  

AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.32%, 5/24/22

       1,067       1,067,325  

Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 5/27/22

       1,110       1,111,366  

Calpine Construction Finance Co., LP, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.74%, 5/03/20 (f)

       1,044       1,040,691  

Calpine Corp. (f):

      

Term Loan B5, (3 mo. LIBOR + 2.750%), 4.05%, 1/15/24

       1,118       1,113,707  

Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 1/15/23

       2,118       2,111,799  

Term Loan B7, (3 mo. LIBOR + 2.750%), 4.05%, 5/31/23

       766       763,629  

Dynegy, Inc., 2017 Term Loan C, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 2/07/24 (f)

       2,800       2,803,366  

Granite Acquisition, Inc. (f):

      

Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21

       3,288       3,309,433  

Term Loan C, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21

       148       149,287  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    17


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.500%), 5.74%, 4/28/24 (f)

     USD       2,625     $ 2,638,125  

Talen Energy Supply LLC (f):

      

2017 Term Loan B1, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 7/15/23

       289       283,283  

2017 Term Loan B2, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 4/15/24

       575       564,763  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 12/09/21 (a)(f)

       1,307       1,182,790  
      

 

 

 
                       18,139,564  
Industrial Conglomerates — 0.8%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 11/30/23 (f)

       2,918       2,934,542  

Sequa Corp., 1st Lien Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 11/28/21 (f)

       1,500       1,509,375  
      

 

 

 
                       4,443,917  
Insurance — 2.4%  

Alliant Holdings I, Inc., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 8/12/22 (f)

       2,785       2,783,072  

AmWINS Group, Inc.:

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.750%, 1.00% Floor), 7.99%, 1/25/25

       822       838,440  

2017 Term Loan B, (PRIME + 1.750%, 1.00% Floor), 3.99%, 1/25/24 (f)

       1,871       1,871,778  

AssuredPartners, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%), 4.74%, 10/22/24 (f)

       410       411,280  

Edgewood Partners Insurance Center, 2017 1st Lien Term Loan B, (1 Week LIBOR + 5.000%, 1.00% Floor), 6.24%, 3/16/23 (a)

       865       865,000  

Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 10/02/20 (f)

       1,168       1,171,941  

Sedgwick Claims Management Services, Inc. (f):

      

1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/21

       1,964       1,964,732  

2016 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 3/01/21

       896       897,294  

2nd Lien Term Loan, (1 mo. LIBOR + 5.750%, 1.00% Floor), 6.99%, 2/28/22

       1,805       1,809,513  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/22/23 (f)

       730       735,475  
      

 

 

 
                       13,348,525  
Internet & Direct Marketing Retail — 0.1%  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.250%), 4.49%, 8/18/23 (f)

             795       797,341  
Floating Rate Loan Interests    Par
(000)
    Value  
Internet Software & Services — 2.1%  

Go Daddy Operating Co. LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/15/24 (f)

     USD       3,777     $ 3,783,201  

GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 1/09/24 (f)

       363       364,083  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 5/01/24

       1,040       1,040,655  

Rackspace Hosting, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 11/03/23 (f)

       3,602       3,604,652  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 5/06/24 (f)

       1,550       1,555,161  

WaveDivision Holdings LLC, Term Loan B, (2 mo. LIBOR + 2.750%, 1.00% Floor), 4.03%, 10/15/19 (f)

       1,443       1,443,075  
      

 

 

 
                       11,790,827  
IT Services — 7.0%  

Abacus Innovations Corp., Term Loan B, (1 mo. LIBOR + 2.000%), 3.25%, 8/16/23

       1,378       1,380,424  

Cologix, Inc., 2017 1st Lien Term Loan, (PRIME + 2.000%, 1.00% Floor), 4.46%, 3/20/24

       1,766       1,762,627  

First Data Corp. (f):

      

2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 4/26/24

       10,964       10,964,494  

2022 Term Loan, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       838       836,957  

Term Loan A, (1 mo. LIBOR + 2.000%), 3.24%, 6/02/20

       635       634,578  

IG Investment Holdings LLC, 2017 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 10/31/21 (f)

       2,728       2,743,312  

NeuStar, Inc. (i):

      

Term Loan B1, 1/08/20

       244       245,258  

Term Loan B2, 3/01/24

       776       781,427  

Optiv Security, Inc. (f):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%), 4.56%, 2/01/24

       3,688       3,349,492  

2nd Lien Term Loan, (3 mo. LIBOR + 7.250%), 8.56%, 2/01/25

       1,141       1,012,501  

Peak 10, Inc. (f):

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 8/01/24

       1,370       1,364,863  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.56%, 8/01/25

       1,620       1,630,805  

TKC Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.250%), 5.49%, 2/01/23 (f)

       2,289       2,295,695  

Vantiv LLC, 2014 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 10/14/23 (f)

       1,101       1,101,899  

VF Holding Corp., Reprice Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/30/23 (f)

       4,764       4,778,292  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.99%, 6/30/23 (f)

       3,742       3,767,011  
      

 

 

 
                       38,649,635  
Leisure Products — 0.2%  

MND Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.500%, 1.00% Floor), 5.80%, 6/19/24 (a)

             800       810,000  
 

 

See Notes to Financial Statements.      
                
18    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Life Sciences Tools & Services — 1.0%  

Albany Molecular Research, Inc. (f):

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.250%), 4.25%, 7/19/24

     USD       1,991     $ 1,991,000  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.31%, 7/19/25

       905       916,312  

Parexel International Corp,, Term Loan B, 8/07/24 (i)

       2,672       2,677,330  
      

 

 

 
                       5,584,642  
Machinery — 2.6%  

Clark Equipment Co., 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 4.01%, 5/18/24 (f)

       1,217       1,218,982  

Columbus McKinnon Corp., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (a)(f)

       217       217,821  

Faenza Acquisition GmbH:

      

Term Loan B1, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 8/30/20

       911       912,285  

Term Loan B3, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 8/30/20

       276       276,679  

Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.01%, 7/30/24 (f)

       2,400       2,396,572  

Hayward Industries, Inc., Term Loan B, 7/18/24 (i)

       1,639       1,645,865  

Infiltrator Systems, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/27/22 (f)

       1,963       1,974,712  

Manitowoc Foodservice, Inc., 2016 Term Loan B, (1 Week LIBOR + 3.000%), 4.24%, 3/03/23 (f)

       114       114,692  

Mueller Water Products, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.74%, 11/25/21 (f)

       780       783,005  

Navistar International Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 8/07/20 (f)

       947       952,680  

Rexnord LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 8/21/23 (f)

       2,152       2,154,943  

Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 5/04/21 (f)

       859       859,312  

Tecomet, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 5/02/24 (f)

       965       969,825  
      

 

 

 
                       14,477,373  
Media — 13.1%  

Altice Financing SA, 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%, 7/15/25 (f)

       1,012       1,010,832  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/28/25 (f)

       6,489       6,437,905  

CBS Radio, Inc., Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/17/23 (f)

       991       996,096  

Charter Communications Operating LLC, 2016 Term Loan I Add, (1 mo. LIBOR + 2.250%), 3.49%, 1/15/24 (f)

       8,255       8,291,844  

CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/17/25 (f)

       4,698       4,664,679  
Floating Rate Loan Interests    Par
(000)
    Value  
Media (continued)  

DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.750%), 4.99%, 12/29/23 (a)(f)

     USD       790     $ 791,975  

Entercom Radio LLC, 2016 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 11/01/23 (f)

       525       525,185  

Getty Images, Inc., Term Loan B, (1 Week LIBOR + 3.500%), 4.80%, 10/18/19 (f)

       578       499,119  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/07/24 (f)

       652       652,377  

Hemisphere Media Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.500%), 4.74%, 2/08/24

       1,578       1,580,437  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/31/21 (f)

       1,525       1,467,773  

iHeartCommunications, Inc. (f):

      

Extended Term Loan E, (1 mo. LIBOR + 7.500%), 8.74%, 7/30/19

       515       411,439  

Term Loan D, (1 mo. LIBOR + 6.750%), 7.99%, 1/30/19

       5,966       4,772,690  

Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.00%, 6/30/19 (f)

       6,884       6,853,093  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 12/01/23 (f)

       1,820       1,828,228  

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 1/07/22

       1,215       1,207,406  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 2.250%), 3.50%, 10/31/23

       481       482,172  

Mediacom Illinois LLC, Term Loan K, (1 Week LIBOR + 2.250%), 3.45%, 2/15/24

       1,086       1,088,737  

Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (f)

       413       413,172  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (f)

       3,323       3,327,196  

Numericable US LLC, Term Loan B10, (3 mo. LIBOR + 3.250%), 4.56%, 1/14/25 (f)

       813       815,938  

PSAV Holdings LLC, Term Loan B, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 4/27/24

       1,825       1,828,048  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/01/24 (f)

       1,372       1,352,127  

SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 3/24/21 (f)

       4,404       4,409,853  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.250%), 3.49%, 1/03/24 (f)

       195       195,200  

Trader Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.250%), 4.54%, 9/28/23 (f)

       1,561       1,557,840  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.000%), 4.24%, 1/27/24 (f)

       3,696       3,702,056  

Unitymedia Hessen GmbH & Co. KG, Term Loan B, 9/30/25 (i)

       2,835       2,820,825  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    19


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Media (continued)  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/15/24 (f)

     USD       1,993     $ 1,976,147  

Virgin Media Bristol LLC, Term Loan I, (1 mo. LIBOR + 2.750%), 3.98%, 1/31/25 (f)

       2,585       2,590,015  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 5/06/21 (f)

       244       244,750  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.500%), 3.73%, 4/15/25 (f)

       4,205       4,192,385  
      

 

 

 
                       72,987,539  
Metals & Mining — 0.1%  

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.82%, 9/30/23 (f)

             744       752,288  
Multiline Retail — 0.6%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.25%, 7/31/24 (a)

       985       982,537  

Hudson’s Bay Co., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (f)

       2,208       2,119,592  
      

 

 

 
                       3,102,129  
Oil, Gas & Consumable Fuels — 4.0%  

BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.51%, 6/24/24 (f)

       1,770       1,780,319  

BCP Renaissance Parent LLC, Term Loan, 12/07/24 (a)(i)

       2,420        

California Resources Corp. (f):

      

Second Out Term Loan, (1 mo. LIBOR + 10.375%), 11.60%, 12/31/21

       3,032       3,209,015  

Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 10/01/19 (a)

       2,341       2,223,882  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 8/23/21 (f)

       2,106       2,235,324  

CITGO Holding, Inc., 2015 Term Loan B, (3 mo. LIBOR + 8.500%, 1.00% Floor), 9.80%, 5/12/18 (f)

       1,055       1,061,514  

Drillships Financing Holding, Inc., Term Loan B1, (2 mo. LIBOR + 5.00%), 6.06%,
3/31/21 (e)(f)

       1,018       646,148  

Energy Transfer Equity LP, 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 2/02/24 (f)

       3,072       3,075,270  

EWT Holdings III Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 1/15/21 (f)

       666       672,704  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/31/23 (f)

       2,286       2,265,811  

Moxie Patriot LLC, Term Loan B1, (3 mo. LIBOR + 5.750%), 7.05%, 12/19/20 (f)

       348       322,727  

PowerTeam Services LLC:

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 5/06/20

       500       495,061  

2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.55%, 11/06/20 (f)

       470       465,888  
Floating Rate Loan Interests    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Ultra Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/12/24 (f)

     USD       1,043     $ 1,041,258  

Veresen Midstream LP, 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 3/31/22 (f)

       2,715       2,726,805  
      

 

 

 
                       22,221,726  
Personal Products — 1.5%  

Nature’s Bounty Co.:

      

2017 2nd Lien Term Loan, 9/15/25 (i)

       1,750       1,735,423  

Nature’s Bounty Co. (continued):

      

2017 Term Loan, 8/11/24 (i)

       3,855       3,828,516  

2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/05/23 (f)

       555       555,540  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 1/26/24 (f)

       1,934       1,935,823  

Revlon Consumer Products Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.500%), 4.74%, 9/07/23 (f)

       488       437,123  
      

 

 

 
                       8,492,425  
Pharmaceuticals — 3.5%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.50%, 4/16/21 (a)(f)

       2,483       2,511,234  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (PRIME + 1.250%), 3.44%, 1/31/25 (f)

       5,711       5,716,798  

Jaguar Holding Co. II, 2015 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 8/18/22 (f)

       6,348       6,361,740  

Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, (1 mo. LIBOR + 4.750%), 5.99%, 4/01/22 (f)

       4,544       4,619,663  
      

 

 

 
                       19,209,435  
Professional Services — 0.9%  

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 7/23/21 (f)

       1,749       1,680,594  

Information Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 1/18/24 (f)

       783       787,931  

SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 11/14/22 (a)(f)

       817       820,980  

Sterling Infosystems, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 6/20/22 (f)

       1,921       1,927,042  
      

 

 

 
                       5,216,547  
Real Estate Investment Trusts (REITs) — 1.1%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/24/24 (f)

       770       773,497  

Communications Sales & Leasing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 10/24/22 (f)

       577       557,055  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 4/25/23 (f)

       4,668       4,675,888  
      

 

 

 
                       6,006,440  
 

 

See Notes to Financial Statements.      
                
20    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Real Estate Management & Development — 1.5%  

CityCenter Holdings LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.73%, 4/18/24 (f)

     USD       3,612     $ 3,616,995  

DTZ US Borrower LLC, 2015 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 11/04/21 (f)

       1,413       1,415,518  

Realogy Corp.:

      

2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 7/20/22 (f)

       2,115       2,121,232  

Term Loan A, (1 mo. LIBOR + 2.000%), 3.23%, 10/23/20

       1,058       1,056,502  
      

 

 

 
                       8,210,247  
Road & Rail — 0.2%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 6/13/23 (f)

             1,236       1,238,233  
Semiconductors & Semiconductor Equipment — 0.6%  

Cavium, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.48%, 8/16/22 (a)(f)

       813       814,435  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 5/12/24 (a)(f)

       400       399,147  

Microsemi Corp., 2015 Term Loan B, (3 mo. LIBOR + 2.250%), 3.55%, 1/15/23 (f)

       420       420,819  

ON Semiconductor Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/31/23 (f)

       750       752,355  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.500%), 3.80%, 9/29/23

       948       951,790  
      

 

 

 
                       3,338,546  
Software — 13.5%  

Almonde, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.57%, 6/13/25 (f)

       833       846,928  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 12/20/22 (f)

       1,102       1,109,821  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 9/10/22 (f)

       3,608       3,618,738  

Cypress Intermediate Holdings III, Inc. (f):

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 4/27/24

       920       918,343  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.750%, 1.00% Floor), 7.99%, 4/27/25

       525       539,275  

Dell, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 9/07/23 (f)

       2,571       2,580,144  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.07%, 5/28/24 (f)

       2,187       2,206,924  

DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.250%, 1.00% Floor), 6.51%, 9/30/23 (f)

       1,453       1,387,291  

Hyland Software, Inc. (f):

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.24%, 7/07/25

       420       426,825  

2017 Term Loan, (1 mo. LIBOR + 3.250%), 4.49%, 7/01/22

       1,459       1,469,805  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 2/01/22 (f)

       3,696       3,683,854  
Floating Rate Loan Interests    Par
(000)
    Value  
Software (continued)  

Informatica Corp., Term Loan, (3 mo. LIBOR + 3.500%), 4.80%, 8/05/22 (f)

     USD       3,353     $ 3,354,727  

IPS Corp., 2016 1st Lien Term Loan, (1 mo. LIBOR + 5.250%, 1.00% Floor), 6.49%, 12/20/23 (a)(f)

       637       638,392  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.30%, 4/01/21 (f)

       1,293       1,279,903  

Kronos, Inc. (f):

      

2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 11/01/23

       4,587       4,622,069  

2nd Lien Term Loan, (3 mo. LIBOR + 8.250%, 1.00% Floor), 9.56%, 11/01/24

       1,695       1,750,087  

LANDesk Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 1/20/24 (f)

       399       393,570  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.750%), 3.98%, 6/21/24 (f)

       261       261,095  

Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR + 3.500%), 4.82%, 6/13/24 (f)

       2,925       2,937,431  

Mitchell International, Inc. (f):

      

1st Lien Term Loan, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 10/13/20

       2,100       2,103,788  

2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 10/11/21

       1,600       1,610,496  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 4/26/24 (f)

       3,367       3,282,825  

Project Leopard Holdings, Inc., Term Loan B, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.76%, 7/07/23 (a)(f)

       870       874,350  

RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/12/23 (f)

       2,205       2,219,910  

Seattle Spinco, Inc., Term Loan B3, (3 mo. LIBOR + 2.750%), 4.03%, 6/21/24 (f)

       1,765       1,763,241  

SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 2/05/23 (f)

       3,213       3,224,229  

Solera LLC, Term Loan B, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.51%, 3/03/23 (f)

       4,003       4,012,934  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (f)

       3,630       3,624,203  

SS&C Technologies, Inc. (f):

      

2017 Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       4,473       4,488,966  

2017 Term Loan B2, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       234       234,383  

Synchronoss Technologies, Inc., Term Loan, (3 mo. LIBOR + 4.500%), 5.76%, 1/19/24 (f)

       848       835,157  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.000%), 4.23%, 5/01/24 (f)

       3,330       3,339,990  

Tibco Software Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 12/04/20 (f)

       2,420       2,425,165  

Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.000%), 3.24%, 4/07/23 (f)

       5,298       5,299,119  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    21


Consolidated Schedule of Investments (continued)

  

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

 

Floating Rate Loan Interests    Par
(000)
    Value  
Software (continued)  

Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.500%, 1.00% Floor), 5.80%, 1/27/23 (f)

     USD       1,837     $ 1,849,767  
      

 

 

 
                       75,213,745  
Specialty Retail — 2.1%  

Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.23%, 7/01/22 (f)

       719       478,611  

Bass Pro Group LLC, Asset Sale Term Loan, (3 mo. LIBOR + 4.750%), 6.05%, 6/09/18 (f)

       665       665,419  

Leslie’s Poolmart, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 8/16/23 (f)

       2,006       2,005,521  

Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 1/30/23 (f)

       2,009       2,004,311  

Party City Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.000%), 4.30%, 8/19/22 (f)

       1,956       1,957,179  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 1/26/23 (f)

       1,684       1,414,154  

PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/11/22 (f)

       183       160,664  

Staples, Inc., 2017 Term Loan B, 8/06/24 (i)

       3,110       3,093,735  

Things Remembered, Inc., 2016 Term Loan, (PIK + 1.000%), 2.24%, 2/29/20 (a)(f)(g)

       1,043       104,264  
      

 

 

 
                       11,883,858  
Technology Hardware, Storage & Peripherals — 0.3%  

Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 4/29/23 (f)

             1,474       1,481,216  
Textiles, Apparel & Luxury Goods — 0.4%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.250%), 6.55%, 8/12/22 (a)(f)

             2,409       2,421,389  
Trading Companies & Distributors — 1.3%  

Beacon Roofing Supply, Inc., Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 10/01/22 (f)

       1,376       1,380,523  

HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.000%, 1.00% Floor), 4.46%, 8/01/24 (f)

       2,380       2,382,975  

HD Supply, Inc. (f):

      

Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 8/13/21

       2,365       2,364,394  

Term Loan B2, (1 mo. LIBOR + 2.500%), 3.74%, 10/17/23

       1,027       1,028,778  

Nexeo Solutions LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.05%, 6/09/23 (f)

       248       248,667  
      

 

 

 
                       7,405,337  
Floating Rate Loan Interests    Par
(000)
    Value  
Transportation — 0.2%  

Gruden Acquisition, Inc., 2017 Term Loan, (1 mo. LIBOR + 5.500%, 1.00% Floor), 6.80%, 8/18/22 (f)

             1,151     $ 1,133,202  
Wireless Telecommunication Services — 2.8%  

GEO Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/22/24 (f)

       2,439       2,439,912  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (g)

       8,235       7,835,475  

LTS Buyer LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%), 4.55%, 4/13/20 (f)

       5,380       5,385,319  
      

 

 

 
                       15,660,706  
Total Floating Rate Loan Interests — 135.9%               755,682,431  
      
                          
Other Interests (h)   

Beneficial

Interest
(000)

        
Auto Components — 0.0%  

Intermet Liquidating Trust, Class A (a)

             256       3  
IT Services — 0.0%  

Millennium Lender Claims (a)(b)

             3,115        
Total Other Interests — 0.0%                      3  
      
                          
Trust Preferred           Shares         
Diversified Financial Services — 0.3%  

GMAC Capital Trust I, Series 2, 7.10%, 2/15/40

             60,894       1,585,934  
Total Preferred Securities — 0.3%                      1,585,934  
      
                          
Rights — 0.0%                      
Electric Utilities — 0.0%  

Tex Energy LLC (a)

             46,682       49,016  
      
                          
Warrants — 0.0%  
Software — 0.0%  

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

             2,406       168  
Total Long-Term Investments
(Cost — $816,251,342) — 146.2%
      812,908,014  
      
                          
Short-Term Securities                      

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.89% (j)(k)

             3,819,454       3,819,454  
Total Short-Term Securities
(Cost — $3,819,454) — 0.7%
      3,819,454  
Options Purchased
(Cost — $146,934) — 0.0%
      38,466  

Total Investments (Cost — $820,217,730) — 146.9%

 

    816,765,934  

Liabilities in Excess of Other Assets — (46.9)%

         (260,793,726
      

 

 

 

Net Assets — 100.0%

 

  $ 555,972,208  
      

 

 

 
 
Notes to Consolidated Schedule of Investments

 

(a)   Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

(b)   Non-income producing security.

 

See Notes to Financial Statements.      
                
22    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

 

(c)   Floating rate security. Rate shown is the rate in effect as of period end.

 

(d)   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.

 

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

 

(f)   Variable rate security. Rate shown is the rate in effect as of period end.

 

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

 

(h)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(i)   Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

 

(j)   Annualized 7-day yield as of period end.

 

(k)   During the year ended August 31, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Shares
Purchased
   

Shares

Sold

    Shares Held
at August 31,
2017
    Value at
August 31,
2017
    Income     Net
Realized
Gain1
   

Change in
Unrealized

Appreciation
(Depreciation)

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

          3,819,454 2            3,819,454     $ 3,819,454     $ 9,434     $ 13        

BlackRock Liquidity Funds, TempFund, Institutional Class

    1,859,207             (1,859,207 )3                               

iShares iBoxx $ High Yield Corporate Bond ETF

    27,839             (27,839                 31,812       2,741     $ (26,532

Total

 

  $ 3,819,454     $ 41,246     $ 2,754     $ (26,532
 

 

 

 

1    Includes net capital gain distributions.

     

2    Represents net shares purchased.

     

3    Represents net shares sold.

     

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

 

Derivative Financial Instruments Outstanding as of Period End

 

Forward Foreign Currency Exchange Contracts        
Currency
Purchased
    Currency
Sold
       Counterparty      Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
USD     3,538,582     GBP     2,694,000        HSBC Bank PLC        9/06/17     $ 54,861    
USD     3,473,796     GBP     2,686,000        UBS AG        10/04/17       (3,025        

Net Unrealized Appreciation

              $ 51,836    
                 

 

 

 

 

OTC Interest Rate Swaptions Purchased        
Description   Counterparty   Expiration
Date
    Exercise
Rate
    Received by the Fund  

Paid by the Fund

  Notional
Amount
(000)
    Value         
        Rate     Frequency   Rate   Frequency           

Put

                     

10-Year Interest Rate Swap, 9/03/27

  JPMorgan Chase Bank N.A.     9/01/17       2.65     3-Month LIBOR     Quarterly   2.65%   Semi-annual   USD     3,300          

10-Year Interest Rate Swap, 9/03/27

  JPMorgan Chase Bank N.A.     9/01/17       2.75     3-Month LIBOR     Quarterly   2.75%   Semi-annual   USD     3,300          

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.     12/08/17       2.48     3-Month LIBOR     Quarterly   2.48%   Semi-annual   USD     1,650     $ 3,963    

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.     12/08/17       2.78     3-Month LIBOR     Quarterly   2.78%   Semi-annual   USD     4,950       3,030    

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.     12/08/17       2.78     3-Month LIBOR     Quarterly   2.78%   Semi-annual   USD     300       184    

10-Year Interest Rate Swap, 3/02/28

  JPMorgan Chase Bank N.A.     2/28/18       2.52     3-Month LIBOR     Quarterly   2.52%   Semi-annual   USD     4,800       25,226    

10-Year Interest Rate Swap, 3/02/28

  JPMorgan Chase Bank N.A.     2/28/18       2.62     3-Month LIBOR     Quarterly   2.62%   Semi-annual   USD     1,600       6,063          

Total

 

  $ 38,466    
 

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    23


Consolidated Schedule of Investments (continued)

  

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

 

 

OTC Options Purchased  
Description   Counterparty    Number of
Contracts
    

Expiration

Date

    

Exercise

Price

     Notional
Amount
(000)
    Value  

Call

                   

Marsico Parent Superholdco LLC

  Goldman Sachs & Co.      44        12/14/19      USD     942.86      USD            

 

Derivative Financial Instruments Categorized by Risk Exposure

 

 

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

 

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

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                     $ 54,861                 $ 54,861  

Options purchased

   Investments at value — unaffiliated1                           $ 38,466             38,466  
    

 

 

 

Total

                       $ 54,861     $ 38,466           $ 93,327  
    

 

 

 
    
Liabilities — Derivative Financial Instruments                                                 

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                     $ 3,025                 $ 3,025  

1    Includes options purchased at value as reported in the Consolidated Schedule of Investments.

     

For the year ended August 31, 2017, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:  

Commodity
Contracts

       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Futures contracts

                                        $ 79,532                 $ 79,532  

Forward foreign currency exchange contracts

                               $ (166,752                          (166,752

Options purchased1

                                          (36,900                 (36,900

Swap

             $ 261,866                            11,325                   273,191  
 

 

 

 

Total

             $ 261,866                 $ (166,752      $ 53,957                 $ 149,071  
 

 

 

 

1    Options purchased are included in net realized gain (loss) from investments.

     

   
Net Change in Unrealized Appreciation (Depreciation) on:                                          

Futures contracts

                                        $ 1,521                 $ 1,521  

Forward foreign currency exchange contracts

                               $ 42,662                            42,662  

Options purchased1

                                          (65,466                 (65,466

Swap

                                          (30,617                 (30,617
 

 

 

 

Total

                               $ 42,662        $ (94,562               $ (51,900
 

 

 

 

1    Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

     

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — short

  $ 996,375  
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 7,972,959  

Average amounts sold — in USD

  $ 1,892,464  
Options:  

Average notional value of swaption contracts purchased

  $ 8,800,000  
Credit default swaps:  

Average notional amount — sell protection

  $ 1,317,000  
Interest rate swaps:  

Average notional amount — pays fixed rate

  $ 2,168,750  
Total return swaps:  

Average notional amount

  $ 142,500  

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

 

See Notes to Financial Statements.      
                
24    ANNUAL REPORT    AUGUST 31, 2017   


Consolidated Schedule of Investments (continued)

  

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

 

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

     Assets        Liabilities  

Forward foreign currency exchange contracts

  $ 54,861        $ 3,025  

Options

    38,466 1          
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

  $ 93,327        $ 3,025  
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

              
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 93,327        $ 3,025  
 

 

 

 

1    Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments.

     

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

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Received
       Cash
Collateral
Received
       Net Amount of
Derivative
Assets1,3
        

HSBC Bank PLC

  $ 54,861                                   $ 54,861    

JPMorgan Chase Bank N.A.

    38,466                                     38,466    
 

 

 

 

Total

  $ 93,327                                   $ 93,327    
 

 

 

 
                       
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2,3
        

UBS AG

  $ 3,025                                     $  3,025          

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

     

 

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

     

 

3    Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

     

 

 

Fair Value Hierarchy as of Period End

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

The following tables summarize the Fund’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3     Total  

Assets:

 

Investments:  

Long-Term Investments:

 

Asset-Backed Securities

           $ 10,871,367              $ 10,871,367  

Common Stocks1

  $ 16,443          15,845        $ 478,161       510,449  

Corporate Bonds

             41,695,470          2,513,176       44,208,646  

Floating Rate Loan Interests

             724,915,065          30,767,366       755,682,431  

Other Interests

                      3       3  

Rights

                      49,016       49,016  

Trust Preferred

    1,585,934                         1,585,934  

Warrants

                      168       168  

Options Purchased:

             

Interest Rate Contracts

             38,466                38,466  

Unfunded Floating Rate Loan Interests2

             2,755                2,755  

Short-Term Securities

    3,819,454                         3,819,454  
 

 

 

 

Total

  $ 5,421,831        $ 777,538,968        $ 33,807,890     $ 816,768,689  
 

 

 

 
             
Derivative Financial Instruments3  

Assets:

 

Foreign currency exchange contracts

           $ 54,861              $ 54,861  

Liabilities:

 

Foreign currency exchange contracts

             (3,025              (3,025
 

 

 

 

Total

           $ 51,836              $ 51,836  
 

 

 

 

1   See above Consolidated Schedule of Investments for values in each industry.

    

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

    

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

    

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    25


Consolidated Schedule of Investments (concluded)

  

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

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $237,000,000 is categorized as Level 2 within the disclosure hierarchy.

During the year ended August 31, 2017, there were no transfers between Level 1 and Level 2.

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

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Total  

Assets:

               

Opening balance, as of August 31, 2016

  $ 2,218,460     $ 140,083     $ 1,527,870     $ 44,995,306     $ 1,562,503           $ 4,902     $ 50,449,124  

Transfers into Level 31

                      6,061,131                         6,061,131  

Transfers out of Level 32

    (1,967,885                 (14,593,766                       (16,561,651

Accrued discounts/premiums

                128       179,683                         179,811  

Net realized gain (loss)

    1,250       24,806       (119,999     (323,603     1,752,603                   1,335,057  

Net change in unrealized appreciation (depreciation)3,4

    (1,825     347,921       976,104       353,090       (749,565   $ 49,016       (4,734     970,007  

Purchases

                129,073       16,744,897                         16,873,970  

Sales

    (250,000     (34,649           (22,649,372     (2,565,538                 (25,499,559
 

 

 

 

Closing Balance, as of August 31, 2017

        $ 478,161     $ 2,513,176     $ 30,767,366     $ 3     $ 49,016     $ 168     $ 33,807,890  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20174

        $ 367,777     $ 856,234     $ (257,993   $ 15,417     $ 49,016     $ (4,734   $ 1,025,717  
 

 

 

 

1   As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

    

2   As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

    

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

    

4   Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

    

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

 

See Notes to Financial Statements.      
                
26    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments August 31, 2017

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Common Stocks          

Shares

    Value  
Chemicals — 0.0%  

LyondellBasell Industries NV, Class A

             37     $ 3,352  
Diversified Financial Services — 0.1%  

Kcad Holdings I Ltd. (a)(b)

             546,753,936       749,053  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc. (b)

             8,511       9,047  
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC (a)(c)

             3,155        
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

             801       24,871  
Total Common Stocks — 0.1%                      786,323  
      
                          
Asset-Backed Securities    Par
(000)
        
Asset-Backed Securities — 12.0%  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.250%), 4.56%, 7/20/26 (d)(e)

     USD       250       250,005  

Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.850%), 5.16%, 1/21/27 (d)(e)

       1,000       1,000,255  

ALM VI Ltd., Series 2012-6A, Class B2RR, (3 mo. LIBOR US + 2.050%), 3.35%, 7/15/26 (d)(e)

       1,000       1,000,305  

ALM XII Ltd., Series 2015-12A, Class C1R, (3 mo. LIBOR US + 3.200%), 4.50%, 4/16/27 (d)(e)

       1,000       1,003,214  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%), 4.76%, 7/28/26 (d)(e)

       4,140       4,161,599  

ALM XVI Ltd/ALM XVI LLC, Series 2015-16A, Class C2R, (3 mo. LIBOR US + 3.200%), 4.50%, 7/15/27 (d)(e)

       270       267,652  

ALM XVII Ltd., Series 2015-17A, Class D, (3 mo. LIBOR US + 6.350%), 7.65%, 1/15/28 (d)(e)

       1,000       1,001,632  

AmeriCredit Automobile Receivables, Series 2014-3, Class C, 2.58%, 9/08/20

       4,850       4,887,194  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.200%), 5.42%, 12/09/26 (d)(e)

       2,000       2,030,266  

Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 4.750%), 6.06%, 4/28/26 (d)(e)

       1,000       991,786  

Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class E, (3 mo. LIBOR US + 5.000%), 6.30%, 10/15/26 (d)(e)

       1,000       983,913  

Anchorage Capital CLO Ltd. (d)(e):

      

Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.400%), 4.71%, 7/28/26

       275       274,933  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.000%), 5.30%, 1/15/29

       350       354,038  

Ares XXXII CLO Ltd., Series 2014-32A, Class BR, (3 mo. LIBOR US + 2.250%), 3.57%, 11/15/25 (d)(e)

       1,250       1,251,928  

Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.650%), 4.96%, 10/20/26 (d)(e)

       280       277,654  

BlueMountain CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.150%), 5.47%, 11/20/28 (d)(e)

       1,000       1,006,182  
Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)  

Carlyle Global Market Strategies CLO Ltd. (d)(e):

      

Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.100%), 6.42%, 7/27/26

     USD       1,000     $ 999,981  

Series 2014-4A, Class E, (3 mo. LIBOR US + 5.200%), 6.50%, 10/15/26

       500       499,492  

Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.000%), 3.31%, 4/20/27

       600       601,217  

CIFC Funding Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 4.000%), 5.31%, 1/22/27 (d)(e)

       600       604,060  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (e)

       886       845,398  

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (e)

       3,103       3,182,174  

Dryden Senior Loan Fund, Series 2014-31A, Class DR, (3 mo. LIBOR US + 3.350%), 4.65%, 4/18/26 (d)(e)

       250       251,342  

Litigation Fee Residual Funding, 4.00%, 10/30/27 (a)

       1,596       1,587,964  

Madison Park Funding XIII Ltd., Series 2014-13A, Class E, (3 mo. LIBOR US + 5.000%), 6.31%, 1/19/25 (d)(e)

       1,250       1,251,821  

Madison Park Funding XIV Ltd., Series 2014-14A, Class E, (3 mo. LIBOR US + 4.750%), 6.06%, 7/20/26 (d)(e)

       1,000       995,417  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.200%), 3.52%, 1/27/26 (d)(e)

       1,500       1,502,395  

Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.480%), 4.79%, 12/16/24 (d)(e)

       1,000       1,002,276  

OHA Loan Funding LLC, Series 2014-1A, Class E, 7.75%, 10/20/26 (e)

       2,000       2,007,715  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (e)

       4,000       4,007,345  

OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.550%), 4.86%, 1/20/27 (d)(e)

       1,000       1,001,185  

OZLM VII Ltd., Series 2014-7A, Class CR, (3 mo. LIBOR US + 3.500%), 4.80%, 7/17/26 (d)(e)

       250       251,208  

OZLM VIII Ltd., Series 2014-8A (d)(e):

      

Class BR, (3 mo. LIBOR US + 2.250%), 3.55%, 10/17/26

       2,500       2,503,404  

Class CR, (3 mo. LIBOR US + 3.400%), 4.70%, 10/17/26

       500       500,263  

OZLM XII Ltd., Series 2015-12A, Class C, (3 mo. LIBOR US + 3.700%), 5.01%, 4/30/27 (d)(e)

       1,000       1,005,668  

OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.000%), 5.31%, 1/20/29 (d)(e)

       1,000       1,009,843  

Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.300%), 3.61%, 10/25/26 (d)(e)

       2,000       2,004,131  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.250%), 4.62%, 4/15/29 (d)(e)

       250       240,273  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    27


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)  

Santander Drive Auto Receivables Trust:

      

Series 2014-3, Class D, 2.65%, 8/17/20

     USD       4,015     $ 4,049,719  

Series 2014-4, Class C, 2.60%, 11/16/20

       3,425       3,439,250  

Series 2014-4, Class D, 3.10%, 11/16/20

       4,500       4,571,787  

Sound Point CLO IV Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.400%), 4.71%, 1/21/26 (d)(e)

       800       800,372  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 3.600%), 4.91%, 1/23/27 (d)(e)

       2,000       2,002,313  

Symphony CLO XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 2.200%), 3.50%, 10/17/26 (d)(e)

       1,250       1,252,821  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.000%), 5.31%, 1/23/28 (d)(e)

       1,000       1,011,197  

THL Credit Wind River CLO Ltd., Series 2014-3A, Class E, (3 mo. LIBOR US + 5.600%), 6.91%, 1/22/27 (d)(e)

       1,000       998,949  

Venture XXI CLO Ltd., Series 2015-21A, Class D, (3 mo. LIBOR US + 3.600%), 4.90%, 7/15/27 (d)(e)

       400       400,121  

Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%), 5.56%, 1/20/29 (d)(e)

       1,000       1,017,525  

Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%), 5.81%,
7/20/28 (d)(e)

       1,000       1,009,342  

Voya CLO Ltd., Series 2014-4A, Class CR, (3 mo. LIBOR US + 3.000%), 4.30%, 10/14/26 (d)(e)

       2,500       2,501,477  

World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22

       3,000       3,043,919  

York CLO Ltd., Series 2016-2A, Class E, (3 mo. LIBOR US + 6.940%), 8.25%, 1/20/30 (d)(e)

       1,000       1,014,663  

York CLO-3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.600%), 4.91%, 10/20/29 (a)(d)(e)

       250       250,000  
      

 

 

 
                       75,960,583  
Interest Only Asset-Backed Securities — 0.1%  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)(e)

       4,013       240,775  

Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 4/15/29 (a)(e)

       3,013       132,754  
      

 

 

 
                       373,529  
Total Asset-Backed Securities — 12.1%                      76,334,112  
      
                          
Corporate Bonds  
Aerospace & Defense — 1.0%  

Arconic, Inc.:

      

5.13%, 10/01/24 (f)

       720       763,200  

5.90%, 2/01/27

       105       114,450  

6.75%, 1/15/28

       76       86,640  

5.87%, 2/23/22

       630       688,275  

5.95%, 2/01/37

       50       52,365  

Bombardier, Inc. (e):

      

8.75%, 12/01/21 (f)

       611       694,053  

6.00%, 10/15/22 (f)

       240       243,600  
Corporate Bonds    Par
(000)
    Value  
Aerospace & Defense (continued)  

Bombardier, Inc. (e) (continued):

      

6.13%, 1/15/23

     USD       296     $ 303,678  

7.50%, 3/15/25 (f)

       565       601,372  

KLX, Inc., 5.88%, 12/01/22 (e)

       733       768,734  

Koppers, Inc., 6.00%, 2/15/25 (e)

       225       238,500  

Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19

       89       90,335  

Moog, Inc., 5.25%, 12/01/22 (e)

       270       280,125  

TransDigm, Inc.:

      

6.00%, 7/15/22 (f)

       1,242       1,285,470  

6.50%, 7/15/24 (f)

       378       392,648  

6.50%, 5/15/25

       55       56,650  

6.38%, 6/15/26

       59       60,696  
      

 

 

 
                       6,720,791  
Air Freight & Logistics — 0.2%  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR       100       123,780  

6.50%, 6/15/22 (e)(f)

     USD       1,100       1,157,310  
      

 

 

 
                       1,281,090  
Airlines — 2.1%  

Air Canada Pass-Through Trust (e):

      

Series 2013-1, Class C, 6.63%, 5/15/18

       651       667,275  

Series 2015-1, Class B, 3.88%, 9/15/24 (f)

       1,340       1,336,437  

American Airlines Pass-Through Trust:

      

Series 2013-2, Class A, 4.95%, 7/15/24 (f)

       2,818       3,020,875  

Series 2013-2, Class B, 5.60%, 1/15/22 (e)(f)

       393       410,791  

Series 2017-1, Class B, 4.95%, 8/15/26

       1,540       1,607,452  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 5/10/20

       221       223,210  

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f)

       230       234,819  

United Airlines Pass-Through Trust:

      

Series 2014-2, Class B, 4.63%, 3/03/24 (f)

       1,972       2,036,649  

Series 2015-1, Class A, 3.70%, 6/01/24

       2,430       2,508,975  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20

       327       353,734  

Virgin Australia Trust, Series 2013-1 (e)(f):

      

Class A, 5.00%, 4/23/25

       401       418,332  

Class C, 7.13%, 10/23/18

       361       370,533  
      

 

 

 
                       13,189,082  
Auto Components — 0.6%  

Allison Transmission, Inc., 5.00%, 10/01/24 (e)

       28       28,840  

Delphi Automotive PLC, 4.40%, 10/01/46

       240       244,277  

Gestamp Funding Luxembourg SA, 3.50%, 5/15/23

     EUR       100       124,527  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

     USD       67       69,931  

HP Pelzer Holding GmbH, 4.13%, 4/01/24

     EUR       100       122,170  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19 (f)

     USD       1,314       1,327,140  

6.25%, 2/01/22

       259       267,094  

6.75%, 2/01/24

       230       242,144  
 

 

See Notes to Financial Statements.      
                
28    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Auto Components (continued)  

IHO Verwaltungs GmbH (g):

      

(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21

     EUR       100     $ 122,081  

(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23

       100       123,039  

(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26

       100       124,759  

(4.13% Cash or 4.88% PIK), 4.13%, 9/15/21 (e)

     USD       200       202,750  

(4.50% Cash or 5.25% PIK), 4.50%, 9/15/23 (e)

       200       203,500  

Tesla, Inc., 5.30%, 8/15/25 (e)

       358       353,060  

ZF North America Capital, Inc., 4.75%, 4/29/25 (e)

       150       157,312  
      

 

 

 
                       3,712,624  
Automobiles — 0.4%  

General Motors Co., 3.50%, 10/02/18 (f)

             2,478       2,518,714  
Banks — 1.8%  

Allied Irish Banks PLC, (5 year EUR Swap + 3.950%), 4.13%, 11/26/25 (h)

     EUR       100       127,527  

Banco Espirito Santo SA (b)(c):

      

4.75%, 1/15/18

       100       35,862  

4.00%, 1/21/19

       100       35,862  

Banco Inbursa SA Institucion de Banca Multiple, 4.38%, 4/11/27 (e)

     USD       666       668,264  

Banco Popolare, 2.75%, 7/27/20

     EUR       100       124,214  

Bank of Ireland, (5 year EUR Swap + 3.550%), 4.25%, 6/11/24 (h)

       100       125,720  

Bankia SA (h):

      

(5 year EUR Swap + 3.166%), 4.00%, 5/22/24

       200       247,757  

(5 year EUR Swap + 3.350%), 3.38%, 3/15/27

       100       124,016  

Barclays PLC, 3.65%, 3/16/25 (f)

     USD       3,600       3,623,274  

CaixaBank SA, (5 year EUR Swap + 3.350%), 3.50%, 2/15/27 (h)

     EUR       100       126,307  

CIT Group, Inc.:

      

5.50%, 2/15/19 (e)(f)

     USD       400       418,500  

5.00%, 8/01/23

       610       662,613  

HSBC Holdings PLC, 4.38%, 11/23/26 (f)

       395       415,237  

Inversiones Atlantida SA, 8.25%, 7/28/22 (e)

       370       380,175  

Nordea Bank AB, 4.50%, 3/26/20

     EUR       1,020       1,349,545  

Santander Holdings USA, Inc., 4.50%, 7/17/25 (f)

     USD       1,750       1,830,999  

Santander UK Group Holdings PLC, 2.88%, 8/05/21 (f)

       950       957,346  
      

 

 

 
                       11,253,218  
Beverages — 0.5%  

Anheuser-Busch InBev Finance, Inc., 3.30%, 2/01/23 (f)

       3,000       3,115,354  

Central American Bottling Corp., 5.75%, 1/31/27 (e)

       209       221,222  
      

 

 

 
                       3,336,576  
Biotechnology — 0.0%  

Senvion Holding GmbH, 3.88%, 10/25/22

     EUR       100       122,676  
Building Materials — 0.1%  

Tecnoglass, Inc., 8.20%, 1/31/22 (e)

     USD       329       338,870  

Titan Global Finance PLC, 3.50%, 6/17/21

     EUR       100       127,693  
      

 

 

 
                       466,563  
Corporate Bonds    Par
(000)
    Value  
Building Products — 0.3%  

American Builders & Contractors Supply Co., Inc. (e):

      

5.63%, 4/15/21

     USD       76     $ 78,090  

5.75%, 12/15/23

       210       220,763  

Building Materials Corp. of America (e):

      

5.38%, 11/15/24

       45       47,025  

6.00%, 10/15/25 (f)

       260       279,500  

CPG Merger Sub LLC, 8.00%, 10/01/21 (e)(f)

       478       495,925  

Masonite International Corp., 5.63%, 3/15/23 (e)(f)

       404       421,170  

Ply Gem Industries, Inc., 6.50%, 2/01/22

       219       228,307  

Standard Industries, Inc., 5.50%, 2/15/23 (e)(f)

       147       154,901  

USG Corp. (e):

      

5.50%, 3/01/25

       11       11,688  

4.88%, 6/01/27

       198       202,950  
      

 

 

 
                       2,140,319  
Capital Markets — 0.6%  

Blackstone CQP Holdco LP (e):

      

6.50%, 3/20/21

       2,040       2,102,770  

6.00%, 8/18/21

       332       331,611  

LPL Holdings, Inc., 5.75%, 9/15/25 (e)

       62       64,945  

Morgan Stanley, 4.00%, 7/23/25 (f)

       965       1,018,480  
      

 

 

 
                       3,517,806  
Chemicals — 1.5%  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (e)(f)

       800       822,000  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25

     EUR       100       125,376  

Axalta Coating Systems LLC, 4.88%, 8/15/24 (e)

     USD       239       244,378  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23

       194       235,225  

10.00%, 10/15/25

       140       172,550  

CF Industries, Inc.:

      

7.13%, 5/01/20

       130       143,325  

5.15%, 3/15/34

       90       85,050  

4.95%, 6/01/43

       120       104,100  

Chemours Co.:

      

6.63%, 5/15/23

       248       263,190  

7.00%, 5/15/25

       112       123,480  

5.38%, 5/15/27

       156       162,630  

Hexion, Inc., 10.38%, 2/01/22 (e)

       184       179,400  

Huntsman International LLC:

      

4.88%, 11/15/20

       339       355,526  

5.13%, 4/15/21

     EUR       100       135,414  

5.13%, 11/15/22

     USD       140       148,050  

Ineos Finance PLC, 4.00%, 5/01/23

     EUR       100       123,207  

INEOS Group Holdings SA, 5.38%, 8/01/24

       100       127,182  

Inovyn Finance PLC, 6.25%, 5/15/21

       80       99,284  

Momentive Performance Materials, Inc., 3.88%, 10/24/21 (f)

     USD       1,578       1,581,945  

NOVA Chemicals Corp. (e):

      

4.88%, 6/01/24

       267       267,000  

5.25%, 6/01/27

       319       318,202  

Platform Specialty Products Corp. (e):

      

10.38%, 5/01/21

       53       58,101  

6.50%, 2/01/22 (f)

       1,693       1,756,487  

PQ Corp., 6.75%, 11/15/22 (e)(f)

       373       403,772  

PSPC Escrow Corp., 6.00%, 2/01/23

     EUR       100       124,997  

Sherwin-Williams Co., 2.75%, 6/01/22

     USD       180       181,367  

Tronox Finance LLC:

      

6.38%, 8/15/20

       150       152,438  

7.50%, 3/15/22 (e)

       62       64,945  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    29


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Chemicals (continued)  

Venator Finance Sarl/Venator Materials LLC, 5.75%, 7/15/25 (e)

     USD       150     $ 153,750  

Versum Materials, Inc., 5.50%, 9/30/24 (e)

       116       122,090  

WR Grace & Co-Conn (e):

      

5.13%, 10/01/21

       176       191,400  

5.63%, 10/01/24

       200       217,000  
      

 

 

 
                       9,242,861  
Commercial Services & Supplies — 1.1%  

ADT Corp.:

      

6.25%, 10/15/21

       140       152,187  

3.50%, 7/15/22 (f)

       129       128,587  

4.13%, 6/15/23

       310       313,875  

4.88%, 7/15/32 (e)

       534       494,618  

Advanced Disposal Services, Inc., 5.63%, 11/15/24 (e)

       225       234,000  

Aviation Capital Group Corp., 4.63%,
1/31/18 (e)(f)

       1,000       1,010,910  

Booz Allen Hamilton, Inc., 5.13%, 5/01/25 (e)

       419       419,377  

CD&R Waterworks Merger Sub LLC, 6.13%, 8/15/25 (e)

       162       165,240  

Covanta Holding Corp., 5.88%, 7/01/25

       134       132,995  

Exela Intermediate LLC/Exela Finance, Inc., 10.00%, 7/15/23 (e)

       170       166,600  

Harland Clarke Holdings Corp., 8.38%, 8/15/22 (e)

       280       299,250  

KAR Auction Services, Inc., 5.13%, 6/01/25 (e)

       401       414,714  

La Financiere Atalian SAS, 4.00%, 5/15/24

     EUR       100       124,105  

Mobile Mini, Inc., 5.88%, 7/01/24 (f)

     USD       499       516,465  

Paprec Holding SA, 5.25%, 4/01/22

     EUR       100       124,402  

Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (e)

     USD       239       249,158  

Pitney Bowes, Inc., 3.38%, 10/01/21 (f)

       500       500,111  

Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (e)

       160       166,400  

S&P Global, Inc., 2.50%, 8/15/18 (f)

       445       448,012  

United Rentals North America, Inc.:

      

7.63%, 4/15/22

       9       9,387  

5.75%, 11/15/24 (f)

       799       855,170  

Verisure Holding AB, 6.00%, 11/01/22

     EUR       113       145,052  
      

 

 

 
                       7,070,615  
Communications Equipment — 0.8%  

Avaya, Inc., 7.00%, 4/01/19 (b)(c)(e)

     USD       183       154,178  

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (e)

       3       3,188  

CommScope Technologies LLC, 5.00%, 3/15/27 (e)

       389       387,658  

CommScope, Inc., 5.00%, 6/15/21 (e)

       465       477,206  

Motorola Solutions, Inc., 3.75%, 5/15/22 (f)

       1,500       1,559,786  

Nokia OYJ:

      

3.38%, 6/12/22

       106       107,060  

4.38%, 6/12/27

       149       153,051  

6.63%, 5/15/39

       200       230,000  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 4/01/23 (f)

       565       598,024  

6.38%, 5/15/25 (f)

       380       408,382  

5.75%, 1/15/27 (e)

       727       771,514  
      

 

 

 
                       4,850,047  
Construction & Engineering — 0.7%  

AECOM, 5.13%, 3/15/27

       48       48,840  

Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (e)(f)

       994       1,063,580  
Corporate Bonds    Par
(000)
    Value  
Construction & Engineering (continued)  

Aeropuertos Argentina 2000 SA, 6.88%, 2/01/27 (e)

     USD       335     $ 353,345  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (e)

       335       362,637  

BlueLine Rental Finance Corp., 9.25%, 3/15/24 (e)(f)

       1,004       1,096,268  

Brand Energy & Infrastructure Services, Inc., 8.50%, 7/15/25 (e)

       528       568,920  

Engility Corp., 8.88%, 9/01/24

       216       235,710  

SPIE SA, 3.13%, 3/22/24

     EUR       100       123,866  

Tutor Perini Corp., 6.88%, 5/01/25 (e)

     USD       139       149,425  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 8/15/25 (e)

       121       117,370  
      

 

 

 
                       4,119,961  
Construction Materials — 0.3%  

American Tire Distributors, Inc., 10.25%, 3/01/22 (e)

       204       210,630  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

       137       145,220  

H&E Equipment Services, Inc., 5.63%, 9/01/25 (e)

       68       70,210  

HD Supply, Inc., 5.75%, 4/15/24 (e)(f)

       790       847,275  

LKQ Italia Bondco SpA, 3.88%, 4/01/24

     EUR       100       130,057  

New Enterprise Stone & Lime Co., Inc., 10.13%, 4/01/22 (e)

     USD       160       172,800  

PulteGroup, Inc., 5.50%, 3/01/26

       190       204,250  

Rexel SA, 3.50%, 6/15/23

     EUR       116       145,445  
      

 

 

 
                       1,925,887  
Consumer Discretionary — 0.1%  

Arch Merger Sub, Inc., 8.50%, 9/15/25 (e)

     USD       240       232,500  

Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (e)

       490       505,925  

ServiceMaster Co. LLC, 5.13%, 11/15/24 (e)

       124       127,410  
      

 

 

 
                       865,835  
Consumer Finance — 1.0%  

Alliance Data Systems Corp. (e):

      

5.25%, 12/01/17

       28       28,175  

5.88%, 11/01/21 (f)

       696       715,140  

Ally Financial, Inc. (f):

      

4.63%, 3/30/25

       846       881,955  

8.00%, 11/01/31

       1,011       1,301,662  

CDK Global, Inc., 4.88%, 6/01/27 (e)

       278       282,170  

Credivalores-Crediservicios SAS, 9.75%, 7/27/22 (e)

       1,259       1,292,993  

IHS Markit Ltd., 4.75%, 2/15/25 (e)

       167       177,855  

Navient Corp.:

      

5.00%, 10/26/20 (f)

       310       318,137  

6.63%, 7/26/21

       190       202,587  

6.50%, 6/15/22

       20       21,125  

5.50%, 1/25/23

       134       135,340  

7.25%, 9/25/23 (f)

       257       278,742  

6.13%, 3/25/24

       43       43,860  

5.88%, 10/25/24

       125       126,313  

6.75%, 6/25/25

       181       186,430  

5.63%, 8/01/33

       95       79,563  

OneMain Financial Holdings LLC (e):

      

6.75%, 12/15/19

       147       153,431  

7.25%, 12/15/21

       150       157,313  

Springleaf Finance Corp., 6.13%, 5/15/22

       70       73,325  
      

 

 

 
                       6,456,116  
 

 

See Notes to Financial Statements.      
                
30    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Containers & Packaging — 1.5%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.25%, 9/15/22 (e)

     USD       239     $ 244,975  

4.63%, 5/15/23 (e)

       206       211,665  

2.75%, 3/15/24

     EUR       125       152,526  

6.75%, 5/15/24

       100       133,330  

7.25%, 5/15/24 (e)(f)

     USD       1,668       1,839,971  

6.00%, 2/15/25 (e)

       599       637,935  

4.75%, 7/15/27

     GBP       100       130,773  

4.75%, 7/15/27 (e)

       100       130,773  

Ball Corp., 5.00%, 3/15/22 (f)

     USD       303       324,210  

BWAY Holding Co., 5.50%, 4/15/24 (e)

       707       737,931  

Crown European Holdings SA, 4.00%, 7/15/22

     EUR       149       198,556  

Horizon Holdings I SASU, 7.25%, 8/01/23

       100       127,378  

JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (g)

       200       260,603  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC:

      

5.75%, 10/15/20 (f)

     USD       1,062       1,081,796  

6.88%, 2/15/21

       136       139,681  

(3 mo. LIBOR US + 3.500%), 4.80%, 7/15/21 (d)(e)

       840       855,750  

5.13%, 7/15/23 (e)

       175       182,383  

7.00%, 7/15/24 (e)(f)

       1,039       1,113,029  

Sealed Air Corp.:

      

4.88%, 12/01/22 (e)

       80       84,200  

4.50%, 9/15/23

     EUR       100       134,983  

6.88%, 7/15/33 (e)

     USD       44       51,480  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%,
5/01/22 (e)(f)

       502       518,315  

Silgan Holdings, Inc., 3.25%, 3/15/25

     EUR       100       122,468  

Verallia Packaging SASU, 5.13%, 8/01/22

       100       126,104  
      

 

 

 
                       9,540,815  
Diversified Consumer Services — 0.5%  

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       30       30,670  

8.75%, 12/01/20 (f)

       233       239,990  

7.88%, 12/01/22 (f)

       182       197,470  

Ascend Learning LLC, 6.88%, 8/01/25 (e)

       244       253,760  

GW Honos Security Corp., 8.75%, 5/15/25 (e)

       87       92,893  

Laureate Education, Inc., 8.25%, 5/01/25 (e)

       114       123,975  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (e)(f)

       1,870       2,066,350  

Sotheby’s, 5.25%, 10/01/22 (e)

       91       93,389  
      

 

 

 
                       3,098,497  
Diversified Financial Services — 1.1%  

Aircastle Ltd.:

      

6.25%, 12/01/19 (f)

       367       395,442  

5.13%, 3/15/21

       16       16,960  

5.50%, 2/15/22

       219       238,710  

Arrow Global Finance PLC, (3 mo. Euribor + 2.875%), 2.88%, 4/01/25 (d)

     EUR       100       119,306  

ASP AMC Merger Sub, Inc., 8.00%, 5/15/25 (e)

     USD       62       58,900  

FBM Finance, Inc., 8.25%, 8/15/21 (e)

       130       138,775  

General Motors Financial Co., Inc., 4.38%, 9/25/21 (f)

       530       561,979  

Grupo KUO SAB de C.V., 5.75%, 7/07/27 (e)

       669       697,767  

Intesa Sanpaolo SpA, 5.02%, 6/26/24 (e)

       2,442       2,499,308  
Corporate Bonds    Par
(000)
    Value  
Diversified Financial Services (continued)  

Intrum Justitia AB, (3 mo. Euribor + 2.625%), 2.63%, 7/15/22 (d)

     EUR       100     $ 120,832  

Jefferies Finance LLC/JFIN Co-Issuer
Corp. (e)(f):

      

7.38%, 4/01/20

     USD       290       298,700  

6.88%, 4/15/22

       480       480,000  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 8/15/24 (g)

     EUR       101       121,395  

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 5/30/21 (g)

       200       249,995  

SPARC EM SPC Panama Metro Line 2 SP, 0.00%, 12/05/22 (e)(i)

     USD       234       211,887  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25 (e)

       219       223,927  

UniCredit SpA:

      

6.95%, 10/31/22

     EUR       100       144,571  

(5 year EUR Swap + 4.316%), 4.38%, 1/03/27 (h)

       100       127,785  

WMG Acquisition Corp., 4.13%, 11/01/24

       100       125,950  
      

 

 

 
                       6,832,189  
Diversified Telecommunication Services — 1.3%  

CenturyLink, Inc.:

      

Series P, 7.60%, 9/15/39

     USD       26       22,945  

Series S, 6.45%, 6/15/21

       648       677,970  

Series T, 5.80%, 3/15/22

       255       253,406  

Series U, 7.65%, 3/15/42

       246       216,480  

Series W, 6.75%, 12/01/23

       275       280,844  

Cincinnati Bell, Inc., 7.00%, 7/15/24 (e)

       456       451,440  

Frontier Communications Corp.:

      

8.13%, 10/01/18

       264       270,270  

7.13%, 3/15/19

       190       188,813  

6.25%, 9/15/21

       11       9,378  

7.13%, 1/15/23 (f)

       136       106,760  

7.63%, 4/15/24 (f)

       326       257,540  

6.88%, 1/15/25 (f)

       1,168       887,680  

Level 3 Financing, Inc.:

      

6 mo. LIBOR US + 3.500%), 4.94%, 1/15/18 (d)

       411       412,027  

5.38%, 8/15/22

       184       189,299  

5.13%, 5/01/23 (f)

       295       299,794  

5.38%, 1/15/24

       325       332,215  

5.38%, 5/01/25 (f)

       303       311,332  

5.25%, 3/15/26

       747       763,807  

OTE PLC, 3.50%, 7/09/20

     EUR       100       124,993  

SoftBank Group Corp.:

      

5 year USD ICE Swap + 4.854%), 6.88% (h)(j)

     USD       200       205,800  

4.75%, 7/30/25

     EUR       122       163,262  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       233       266,202  

6.00%, 9/30/34

       771       851,955  

7.20%, 7/18/36

       202       251,490  

7.72%, 6/04/38

       21       26,981  

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR       37       64,696  

Telecom Italia SpA:

      

5.88%, 5/19/23

     GBP       100       153,370  

3.63%, 1/19/24

     EUR       100       133,243  

Verizon Communications, Inc., 3.38%, 2/15/25 (e)(f)

     USD       156       156,663  
      

 

 

 
                       8,330,655  
Electric Utilities — 1.0%  

AES Corp.:

      

4.88%, 5/15/23 (f)

       240       245,400  

5.13%, 9/01/27

       105       106,837  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    31


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Electric Utilities (continued)  

Black Hills Corp., 3.15%, 1/15/27 (f)

     USD       305     $ 301,987  

Celeo Redes Operacion Chile SA, 5.20%, 6/22/47 (e)(f)

       1,006       1,022,187  

Enel Finance International NV, 3.63%, 5/25/27 (e)(f)

       900       911,162  

Energuate Trust, 5.88%, 5/03/27 (e)

       249       257,092  

Exelon Corp., 3.40%, 4/15/26 (f)

       140       142,262  

Orazul Energy Egenor S en C por A, 5.63%, 4/28/27 (e)

       668       649,630  

Pampa Energia SA, 7.50%, 1/24/27 (e)

       663       709,410  

Southern Co., 2.95%, 7/01/23 (f)

       1,920       1,942,715  

Talen Energy Supply LLC, 6.50%, 6/01/25

       85       62,050  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (a):

      

10.25%, 11/01/15

       47       212  

10.50%, 11/01/17

       31       140  

11.50%, 10/01/20

       300        
      

 

 

 
                       6,351,084  
Electrical Equipment — 0.1%  

Areva SA, 4.88%, 9/23/24

     EUR       100       132,265  

Belden, Inc., 5.50%, 4/15/23

       149       186,836  
      

 

 

 
                       319,101  
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

      

5.00%, 9/01/23

     USD       72       74,970  

5.50%, 12/01/24 (f)

       453       496,601  

5.00%, 9/01/25

       107       111,548  

SESI LLC, 7.75%, 9/15/24 (e)

       208       210,080  
      

 

 

 
                       893,199  
Energy Equipment & Services — 0.7%  

Ensco PLC:

      

4.50%, 10/01/24 (f)

       149       108,770  

5.20%, 3/15/25

       40       29,800  

Gates Global LLC/Gates Global Co.:

      

5.75%, 7/15/22

     EUR       100       121,366  

6.00%, 7/15/22 (e)(f)

     USD       771       790,121  

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

       30       30,000  

Halliburton Co., 3.80%, 11/15/25 (f)

       100       103,307  

Noble Holding International Ltd., 4.63%, 3/01/21

       12       10,230  

Pattern Energy Group, Inc., 5.88%, 2/01/24 (e)

       223       233,592  

Pioneer Energy Services Corp., 6.13%, 3/15/22

       275       218,625  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       100       97,000  

5.25%, 11/15/24

       134       116,915  

Transocean, Inc.:

      

6.00%, 3/15/18 (f)

       151       153,831  

5.80%, 10/15/22

       318       301,305  

9.00%, 7/15/23 (e)

       564       599,250  

6.80%, 3/15/38

       176       134,640  

Trinidad Drilling Ltd., 6.63%, 2/15/25 (e)

       365       337,625  

Weatherford International Ltd.:

      

7.75%, 6/15/21

       465       465,000  

8.25%, 6/15/23

       210       205,800  

9.88%, 2/15/24 (e)

       181       185,073  
      

 

 

 
                       4,242,250  
Environmental, Maintenance, & Security Service — 0.1%  

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR       100       119,531  
Corporate Bonds    Par
(000)
    Value  
Environmental, Maintenance, & Security Service (continued)  

Tervita Escrow Corp., 7.63%, 12/01/21 (e)(f)

     USD       642     $ 645,210  
      

 

 

 
                       764,741  
Food & Staples Retailing — 0.5%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

      

6.63%, 6/15/24

       186       177,537  

5.75%, 3/15/25

       104       93,730  

B&M European Value Retail SA, 4.13%, 2/01/22

     GBP       100       134,484  

Casino Guichard Perrachon SA:

      

4.56%, 1/25/23

     EUR       100       134,399  

4.50%, 3/07/24

       200       266,149  

CVS Health Corp., 4.75%, 12/01/22 (f)

     USD       165       182,005  

Dollar Tree, Inc.:

      

5.25%, 3/01/20

       58       59,631  

5.75%, 3/01/23 (f)

       1,321       1,393,655  

Rite Aid Corp.:

      

6.75%, 6/15/21

       8       8,280  

6.13%, 4/01/23 (e)

       446       437,637  
      

 

 

 
                       2,887,507  
Food Products — 0.6%  

Acosta, Inc., 7.75%, 10/01/22 (e)

       229       171,178  

Aramark Services, Inc., 5.13%, 1/15/24 (f)

       478       507,875  

Arcor SAIC, 6.00%, 7/06/23 (e)

       403       431,814  

B&G Foods, Inc., 5.25%, 4/01/25

       165       169,538  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25 (e)

       316       343,650  

JBS USA LLC/JBS USA Finance, Inc. (e):

      

5.88%, 7/15/24

       186       188,325  

5.75%, 6/15/25

       537       538,342  

Marfrig Holdings Europe BV, 8.00%,
6/08/23 (e)(f)

       205       211,499  

Post Holdings, Inc. (e):

      

5.50%, 3/01/25

       336       349,440  

5.00%, 8/15/26

       235       235,000  

5.75%, 3/01/27

       276       285,660  

TreeHouse Foods, Inc., 6.00%, 2/15/24 (e)(f)

       383       405,022  

WhiteWave Foods Co., 5.38%, 10/01/22

       168       189,822  
      

 

 

 
                       4,027,165  
Health Care Equipment & Supplies — 0.6%  

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (e)(f)

       877       859,460  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (e)(f)

       1,116       1,060,535  

IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19

       235       235,000  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC (e):

      

4.88%, 4/15/20 (f)

       284       281,870  

5.75%, 8/01/22

       402       395,970  

5.63%, 10/15/23

       162       155,115  

5.50%, 4/15/25

       57       53,152  

Teleflex, Inc.:

      

5.25%, 6/15/24

       250       262,500  

4.88%, 6/01/26

       56       57,680  

Thermo Fisher Scientific, Inc., 3.00%, 4/15/23 (f)

       305       311,331  
      

 

 

 
                       3,672,613  
Health Care Providers & Services — 3.3%  

Acadia Healthcare Co., Inc.:

      

5.13%, 7/01/22

       85       87,975  
 

 

See Notes to Financial Statements.      
                
32    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Health Care Providers & Services (continued)  

Acadia Healthcare Co., Inc. (continued):

      

5.63%, 2/15/23

     USD       188     $ 195,990  

6.50%, 3/01/24

       196       210,700  

Aetna, Inc., 2.80%, 6/15/23 (f)

       340       344,992  

Alere, Inc., 6.38%, 7/01/23 (e)(f)

       328       350,960  

Amsurg Corp., 5.63%, 7/15/22 (f)

       618       642,720  

Centene Corp.:

      

5.63%, 2/15/21

       359       373,360  

4.75%, 5/15/22 (f)

       314       329,543  

6.13%, 2/15/24

       37       39,821  

4.75%, 1/15/25

       430       443,975  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

       154       152,653  

7.13%, 7/15/20

       343       322,634  

5.13%, 8/01/21

       1,035       1,036,294  

6.88%, 2/01/22

       117       96,964  

6.25%, 3/31/23

       588       592,410  

DaVita, Inc., 5.13%, 7/15/24 (f)

       300       306,187  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22 (e)(g)

       258       266,707  

Envision Healthcare Corp. (e):

      

5.13%, 7/01/22

       165       171,394  

6.25%, 12/01/24

       509       548,447  

HCA, Inc.:

      

6.50%, 2/15/20 (f)

       911       992,061  

7.50%, 2/15/22 (f)

       342       394,155  

5.88%, 3/15/22 (f)

       57       63,150  

4.75%, 5/01/23

       38       40,082  

5.88%, 5/01/23

       70       76,580  

5.00%, 3/15/24 (f)

       1,040       1,105,000  

5.38%, 2/01/25 (f)

       936       987,480  

5.25%, 4/15/25 (f)

       1,053       1,135,924  

5.88%, 2/15/26 (f)

       426       459,547  

5.25%, 6/15/26 (f)

       268       288,435  

4.50%, 2/15/27

       257       260,534  

5.50%, 6/15/47 (f)

       913       943,814  

HealthSouth Corp., 5.75%, 11/01/24 (f)

       80       82,400  

Hologic, Inc.:

      

5.25%, 7/15/22 (e)(f)

       439       462,179  

Series 2012, 2.00%, 3/01/42 (k)

       274       350,549  

MEDNAX, Inc., 5.25%, 12/01/23 (e)(f)

       201       208,035  

Molina Healthcare, Inc., 4.88%, 6/15/25 (e)

       108       106,110  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (e)(f)

       830       890,175  

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

       283       300,334  

Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (e)

       104       107,120  

Surgery Center Holdings, Inc. (e):

      

8.88%, 4/15/21

       139       142,823  

6.75%, 7/01/25

       272       256,700  

Tenet Healthcare Corp.:

      

6.00%, 10/01/20

       761       810,229  

7.50%, 1/01/22 (e)

       148       159,470  

8.13%, 4/01/22

       388       407,400  

6.75%, 6/15/23 (f)

       540       535,734  

4.63%, 7/15/24 (e)

       185       184,963  

THC Escrow Corp. III (e):

      

5.13%, 5/01/25

       161       161,998  

7.00%, 8/01/25

       415       406,571  

UnitedHealth Group, Inc., 3.75%, 7/15/25 (f)

       1,470       1,565,341  

Vizient, Inc., 10.38%, 3/01/24 (e)

       75       86,250  

WellCare Health Plans, Inc., 5.25%, 4/01/25

       85       89,038  
      

 

 

 
                       20,573,907  
Corporate Bonds    Par
(000)
    Value  
Health Care Technology — 0.1%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25 (e)

     USD       238     $ 244,842  

Quintiles IMS, Inc., 3.25%, 3/15/25 (e)

     EUR       100       122,440  
      

 

 

 
                       367,282  
Hotels, Restaurants & Leisure — 4.4%  

Burger King France SAS, (3 mo. Euribor + 5.250%), 5.25%, 5/01/23 (d)

       100       123,027  

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (f)

     USD       2,225       2,280,625  

Cemex Finance LLC, 9.38%, 10/12/22 (e)

       330       347,490  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

     EUR       100       122,162  

CPUK Finance Ltd., 4.25%, 2/28/47

     GBP       100       131,101  

ESH Hospitality, Inc., 5.25%, 5/01/25 (e)(f)

     USD       275       283,250  

GLP Capital LP/GLP Financing II, Inc., 5.38%, 4/15/26

       95       103,075  

International Game Technology PLC, 4.75%, 2/15/23

     EUR       125       164,416  

Jacobs Entertainment, Inc., 7.88%, 2/01/24 (e)

     USD       89       95,897  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (e):

      

5.00%, 6/01/24

       35       36,585  

5.25%, 6/01/26

       152       160,170  

McDonald’s Corp., 3.70%, 1/30/26 (f)

       405       426,331  

Melco Resorts Finance Ltd., 4.88%, 6/06/25 (e)

       375       376,494  

MGM Resorts International:

      

5.25%, 3/31/20 (f)

       442       466,310  

6.75%, 10/01/20 (f)

       325       360,750  

6.63%, 12/15/21 (f)

       960       1,077,600  

7.75%, 3/15/22

       110       128,700  

4.63%, 9/01/26

       128       130,239  

New Red Finance, Inc. (e):

      

6.00%, 4/01/22 (f)

       1,095       1,131,135  

4.25%, 5/15/24

       245       248,062  

5.00%, 10/15/25

       899       922,599  

Punch Taverns Finance B Ltd., 7.37%, 9/30/21

     GBP       55       80,289  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21 (f)

     USD       630       641,025  

Sabre GLBL, Inc. (e):

      

5.38%, 4/15/23

       147       151,226  

5.25%, 11/15/23

       180       184,500  

Scientific Games International, Inc. (f):

      

7.00%, 1/01/22 (e)

       1,330       1,419,775  

10.00%, 12/01/22

       988       1,099,150  

Six Flags Entertainment Corp. (e):

      

4.88%, 7/31/24

       531       535,673  

5.50%, 4/15/27

       291       297,547  

Spirit Issuer PLC:

      

Series A1, (3 mo. LIBOR GBP + 0.550%), 0.85%, 12/28/28 (d)

     GBP       445       454,998  

Series A2, (3 mo. LIBOR GBP + 2.700%), 3.00%, 12/28/31 (d)

       1,800       2,246,167  

Series A5, 5.47%, 12/28/28

       4,500       6,061,830  

Series A6, (3 mo. LIBOR GBP + 1.800%), 2.10%, 12/28/36 (d)

       2,670       3,452,579  

Station Casinos LLC, 7.50%, 3/01/21 (f)

     USD       511       530,162  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27

     GBP       80       115,752  

Wyndham Worldwide Corp., 4.15%, 4/01/24 (f)

     USD       1,500       1,528,518  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    33


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Yum! Brands, Inc., 3.88%, 11/01/23

     USD       98     $ 97,265  
      

 

 

 
                       28,012,474  
Household Durables — 0.6%  

AV Homes, Inc., 6.63%, 5/15/22

       81       83,734  

Berkline/Benchcraft LLC, 4.50%, 6/01/18 (a)(c)

       200        

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (e)

       259       270,007  

CalAtlantic Group, Inc.:

      

1.63%, 5/15/18 (l)

       159       184,241  

8.38%, 1/15/21

       134       156,110  

5.38%, 10/01/22

       6       6,495  

5.25%, 6/01/26

       28       28,840  

K Hovnanian Enterprises, Inc. (e):

      

10.00%, 7/15/22

       92       94,300  

10.50%, 7/15/24

       92       96,140  

Lennar Corp.:

      

4.50%, 11/15/19

       370       381,562  

4.75%, 4/01/21

       26       27,430  

4.13%, 1/15/22

       118       121,540  

4.75%, 11/15/22

       33       34,485  

4.88%, 12/15/23

       122       129,015  

4.75%, 5/30/25

       260       271,700  

Mattamy Group Corp., 6.88%, 12/15/23 (e)

       103       104,803  

Meritage Homes Corp., 5.13%, 6/06/27 (e)

       104       103,610  

PulteGroup, Inc., 6.38%, 5/15/33 (f)

       469       499,485  

Tempur Sealy International, Inc., 5.50%, 6/15/26 (f)

       556       573,875  

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19

       110       112,200  

4.88%, 7/01/21

       112       117,040  

5.88%, 6/15/24 (f)

       248       263,500  

5.25%, 6/01/27

       180       182,250  

William Lyon Homes, Inc., 5.88%, 1/31/25

       95       97,613  
      

 

 

 
                       3,939,975  
Household Products — 0.2%  

ACCO Brands Corp., 5.25%, 12/15/24 (e)

       85       87,550  

Prestige Brands, Inc., 6.38%, 3/01/24 (e)

       150       160,125  

Spectrum Brands, Inc., 6.63%, 11/15/22 (f)

       815       846,581  
      

 

 

 
                       1,094,256  
Independent Power and Renewable Electricity Producers — 0.5%  

Calpine Corp. (e):

      

6.00%, 1/15/22

       33       34,031  

5.38%, 1/15/23 (f)

       164       156,005  

5.88%, 1/15/24

       108       110,835  

5.25%, 6/01/26

       45       44,100  

Dynegy, Inc.:

      

7.38%, 11/01/22

       324       335,340  

5.88%, 6/01/23

       35       34,738  

8.13%, 1/30/26 (e)

       171       176,557  

Genneia SA, 8.75%, 1/20/22 (e)

       839       900,448  

NRG Energy, Inc.:

      

7.88%, 5/15/21 (f)

       198       204,435  

6.63%, 3/15/23

       40       41,400  

6.63%, 1/15/27

       697       731,850  

NRG Yield Operating LLC, 5.38%, 8/15/24 (f)

       135       141,075  

QEP Resources, Inc., 5.38%, 10/01/22 (f)

       151       145,338  

TerraForm Power Operating LLC, 6.38%, 2/01/23 (e)(k)

       188       194,580  
      

 

 

 
                       3,250,732  
Corporate Bonds    Par
(000)
    Value  
Industrial Conglomerates — 0.1%  

Vertiv Group Corp., 9.25%, 10/15/24 (e)

     USD       466     $ 518,425  
Insurance — 1.6%  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 (f)

       360       367,893  

American International Group, Inc., 3.75%, 7/10/25 (f)

       2,705       2,810,001  

Aon PLC, 3.88%, 12/15/25 (f)

       1,115       1,187,216  

Ardonagh Midco 3 PLC:

      

8.38%, 7/15/23

     GBP       100       125,584  

8.63%, 7/15/23 (e)

     USD       436       437,961  

Assicurazioni Generali SpA (h):

      

3 mo. Euribor + 7.113%), 7.75%, 12/12/42

     EUR       100       150,294  

3 mo. Euribor + 5.350%), 5.50%, 10/27/47

       100       137,420  

AssuredPartners, Inc., 7.00%, 8/15/25 (e)

     USD       114       114,844  

Forethought Financial Group, Inc., 8.63%, 4/15/21 (e)(f)

       750       863,199  

Groupama SA, 6.00%, 1/23/27

     EUR       100       146,425  

HUB International Ltd., 7.88%, 10/01/21 (e)(f)

     USD       948       985,636  

Lincoln National Corp., 3.35%, 3/09/25 (f)

       845       861,531  

Muenchener Rueckversicherungs AG, (3 mo. Euribor + 3.500%), 6.00%, 5/26/41 (h)

     EUR       400       571,347  

Old Mutual PLC, 8.00%, 6/03/21

     GBP       100       149,838  

Radian Group, Inc., 5.25%, 6/15/20 (f)

     USD       355       375,412  

USIS Merger Sub, Inc., 6.88%, 5/01/25 (e)

       37       37,694  

Wayne Merger Sub LLC, 8.25%, 8/01/23 (e)(f)

       545       572,250  
      

 

 

 
                       9,894,545  
Internet Software & Services — 0.3%  

Equinix, Inc., 5.88%, 1/15/26 (f)

       623       683,742  

Netflix, Inc.:

      

4.38%, 11/15/26 (e)(f)

       735       716,625  

3.63%, 5/15/27

     EUR       100       120,357  

Symantec Corp., 5.00%, 4/15/25 (e)

     USD       283       296,358  

United Group BV:

      

4.38%, 7/01/22

     EUR       126       152,716  

3 mo. Euribor + 4.375%), 4.38%, 7/01/23 (d)

       100       120,087  
      

 

 

 
                       2,089,885  
IT Services — 0.7%  

Ceridian HCM Holding, Inc., 11.00%,
3/15/21 (e)(f)

     USD       404       427,735  

First Data Corp. (e)(f):

      

7.00%, 12/01/23

       1,190       1,282,225  

5.75%, 1/15/24

       2,100       2,210,250  

Gartner, Inc., 5.13%, 4/01/25 (e)

       174       183,353  

WEX, Inc., 4.75%, 2/01/23 (e)

       220       225,775  
      

 

 

 
                       4,329,338  
Machinery — 0.2%  

EnPro Industries, Inc., 5.88%, 9/15/22 (e)

       111       115,717  

Navistar International Corp., 8.25%, 11/01/21

       45       45,338  

SPX FLOW, Inc. (e):

      

5.63%, 8/15/24

       292       301,490  

5.88%, 8/15/26

       139       145,255  

Terex Corp., 5.63%, 2/01/25 (e)(f)

       354       370,815  
      

 

 

 
                       978,615  
Media — 7.0%  

Altice Financing SA (e):

      

6.63%, 2/15/23

       575       608,062  

7.50%, 5/15/26 (f)

       1,284       1,406,237  
 

 

See Notes to Financial Statements.      
                
34    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Media (continued)  

Altice Finco SA, 8.13%, 1/15/24 (e)

     USD       200     $ 216,190  

Altice Luxembourg SA:

      

7.75%, 5/15/22 (e)(f)

       465       493,481  

6.25%, 2/15/25

     EUR       100       129,277  

Altice US Finance I Corp. (e)(f):

      

5.38%, 7/15/23

     USD       946       990,935  

5.50%, 5/15/26

       439       464,517  

AMC Networks, Inc.:

      

5.00%, 4/01/24 (f)

       102       105,188  

4.75%, 8/01/25

       360       361,350  

Cablevision SA, 6.50%, 6/15/21 (e)

       335       357,840  

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       51       51,077  

7.75%, 4/15/18 (f)

       464       477,920  

8.00%, 4/15/20

       125       138,281  

CBS Radio, Inc., 7.25%, 11/01/24 (e)

       79       83,148  

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22 (f)

       380       391,400  

5.13%, 2/15/23 (f)

       270       279,113  

5.13%, 5/01/23 (e)(f)

       561       586,879  

5.13%, 5/01/27 (e)(f)

       2,471       2,545,130  

5.00%, 2/01/28 (e)

       390       396,583  

Cequel Communications Holdings I LLC/Cequel Capital Corp. (e):

      

6.38%, 9/15/20

       105       107,394  

5.13%, 12/15/21

       187       190,273  

5.13%, 12/15/21 (f)

       640       651,200  

7.75%, 7/15/25 (f)

       1,276       1,408,385  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 (f)

       2,425       2,597,834  

Clear Channel International BV, 8.75%, 12/15/20 (e)(f)

       474       495,330  

Clear Channel Worldwide Holdings, Inc. (f):

      

6.50%, 11/15/22

       2,284       2,343,542  

Series B, 7.63%, 3/15/20

       1,313       1,308,076  

Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (e)(f)

       321       343,406  

CSC Holdings LLC (f):

      

10.13%, 1/15/23 (e)

       1,210       1,401,724  

5.25%, 6/01/24

       550       564,437  

6.63%, 10/15/25 (e)

       235       257,325  

10.88%, 10/15/25 (e)

       1,307       1,607,610  

Discovery Communications LLC (f):

      

3.25%, 4/01/23

       1,490       1,496,963  

3.45%, 3/15/25

       170       167,181  

DISH DBS Corp.:

      

5.88%, 7/15/22

       626       676,862  

5.00%, 3/15/23

       388       400,726  

5.88%, 11/15/24

       103       111,111  

7.75%, 7/01/26 (f)

       867       1,017,641  

DISH Network Corp., 3.38%, 8/15/26 (l)

       394       456,548  

eircom Finance DAC, 4.50%, 5/31/22

     EUR       100       124,253  

GTT Communications, Inc., 7.88%, 12/31/24 (e)

     USD       115       122,727  

Hughes Satellite Systems Corp.:

      

7.63%, 6/15/21

       93       105,904  

5.25%, 8/01/26 (f)

       483       506,546  

6.63%, 8/01/26

       233       254,261  

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       380       302,100  

9.00%, 9/15/22

       755       547,375  

10.63%, 3/15/23

       944       691,480  

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       296       281,755  
Corporate Bonds    Par
(000)
    Value  
Media (continued)  

Intelsat Jackson Holdings SA (continued):

      

5.50%, 8/01/23 (f)

     USD       390     $ 325,650  

9.75%, 7/15/25 (e)

       379       385,633  

LG Finance Co. Corp., 5.88%, 11/01/24 (e)

       85       88,825  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (e)

       91       87,133  

MDC Partners, Inc., 6.50%, 5/01/24 (e)

       341       339,721  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 8/15/23 (e)

       233       250,475  

Numericable Group SA, 5.38%, 5/15/22

     EUR       110       136,701  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22

     USD       300       309,750  

SFR Group SA (e):

      

6.00%, 5/15/22 (f)

       370       389,880  

6.25%, 5/15/24

       420       442,050  

7.38%, 5/01/26 (f)

       2,493       2,692,490  

Sirius XM Radio, Inc., 5.00%, 8/01/27 (e)

       85       87,338  

Sterling Entertainment Corp., 9.75%, 12/15/19 (a)

       1,175       1,163,250  

TEGNA, Inc.:

      

5.13%, 10/15/19

       197       199,955  

5.50%, 9/15/24 (e)

       66       69,465  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (e)

       422       472,640  

Tribune Media Co., 5.88%, 7/15/22 (f)

       269       279,088  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.63%, 4/15/23

     EUR       70       88,002  

4.00%, 1/15/25

       136       171,211  

5.00%, 1/15/25 (e)

     USD       200       211,000  

Univision Communications, Inc. (e)(f):

      

5.13%, 5/15/23

       336       341,880  

5.13%, 2/15/25

       276       277,380  

UPCB Finance IV Ltd., 4.00%, 1/15/27

     EUR       100       124,753  

Videotron Ltd., 5.13%, 4/15/27 (e)

     USD       240       247,200  

Virgin Media Finance PLC, 5.75%, 1/15/25 (e)(f)

       655       674,650  

Virgin Media Secured Finance PLC:

      

5.13%, 1/15/25

     GBP       100       136,334  

5.50%, 1/15/25

       180       244,924  

5.25%, 1/15/26 (e)(f)

     USD       555       577,200  

5.50%, 8/15/26 (e)(f)

       200       211,500  

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (e)(f)

       790       810,737  

Wind Acquisition Finance SA, 7.38%,
4/23/21 (e)(f)

       925       961,741  

Ziggo Bond Finance BV:

      

4.63%, 1/15/25

     EUR       137       172,298  

5.88%, 1/15/25 (e)(f)

     USD       470       487,038  
      

 

 

 
                       44,080,469  
Metals & Mining — 3.6%  

Anglo American Capital PLC:

      

4.45%, 9/27/20 (e)

       206       215,785  

4.13%, 4/15/21 (e)(f)

       200       207,000  

3.50%, 3/28/22

     EUR       100       132,546  

ArcelorMittal:

      

7.50%, 10/15/39

     USD       94       111,155  

7.25%, 3/01/41

       282       326,500  

Big River Steel LLC/BRS Finance Corp., 7.25%, 9/01/25 (e)

       175       183,312  

Constellium NV, 6.63%, 3/01/25 (e)(f)

       1,241       1,303,050  

First Quantum Minerals Ltd. (e)(f):

      

7.00%, 2/15/21

       299       307,783  

7.25%, 5/15/22

       356       365,790  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    35


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Metals & Mining (continued)  

FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (e)

     USD       189     $ 214,042  

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       286       286,000  

2.38%, 3/15/18

       2,659       2,659,000  

3.10%, 3/15/20

       1,537       1,537,000  

4.00%, 11/14/21

       240       240,120  

3.55%, 3/01/22

       385       378,744  

3.88%, 3/15/23

       1,545       1,529,550  

5.40%, 11/14/34

       126       121,275  

5.45%, 3/15/43

       1,165       1,083,450  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23 (e)

       479       514,925  

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (e)

       172       194,575  

Kaiser Aluminum Corp., 5.88%, 5/15/24

       112       119,840  

Kinross Gold Corp.:

      

4.50%, 7/15/27 (e)

       122       122,000  

6.88%, 9/01/41

       65       69,713  

Novelis Corp. (e)(f):

      

6.25%, 8/15/24

       1,448       1,529,450  

5.88%, 9/30/26

       988       1,029,990  

Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24

     EUR       100       122,021  

Peabody Energy Corp. (e):

      

6.00%, 3/31/22

     USD       64       65,600  

6.38%, 3/31/25

       102       104,040  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (f)

       645       661,899  

6.38%, 8/15/22 (f)

       555       574,425  

5.25%, 4/15/23 (f)

       200       207,000  

5.50%, 10/01/24

       56       60,130  

5.00%, 12/15/26

       15       15,863  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25 (e)

       225       229,500  

Teck Resources Ltd.:

      

4.50%, 1/15/21

       86       89,978  

3.75%, 2/01/23 (f)

       1,709       1,720,878  

8.50%, 6/01/24 (e)(f)

       793       913,932  

6.13%, 10/01/35

       91       100,327  

6.00%, 8/15/40 (f)

       444       473,970  

5.20%, 3/01/42 (f)

       623       613,655  

5.40%, 2/01/43

       279       278,302  

ThyssenKrupp AG, 1.38%, 3/03/22

     EUR       75       89,661  

United States Steel Corp., 8.38%, 7/01/21 (e)

     USD       320       353,600  

VM Holdings SA, 5.38%, 5/04/27 (e)

       668       702,068  
      

 

 

 
                       22,159,444  
Multi-Utilities — 0.3%  

Brooklyn Union Gas Co., 3.41%, 3/10/26 (e)(f)

       1,475       1,534,736  

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

5.13%, 7/15/19

       120       118,200  

6.88%, 10/15/21

       209       203,775  

7.50%, 11/01/23

       240       231,000  
      

 

 

 
                       2,087,711  
Multiline Retail — 0.0%  

Neiman Marcus Group Ltd., 8.00%,
10/15/21 (e)(f)

             332       170,150  
Oil, Gas & Consumable Fuels — 6.3%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24 (e)

       117       125,483  
Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24

     USD       55     $ 56,100  

Antero Resources Corp.:

      

5.13%, 12/01/22

       76       76,190  

5.63%, 6/01/23

       74       75,295  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22 (e)

       291       296,092  

California Resources Corp., 8.00%, 12/15/22 (e)(f)

       153       84,341  

Callon Petroleum Co., 6.13%, 10/01/24

       300       304,500  

Carrizo Oil & Gas, Inc.:

      

6.25%, 4/15/23

       112       108,640  

8.25%, 7/15/25

       127       131,445  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 6/30/24 (f)

       873       993,037  

5.88%, 3/31/25

       396       425,700  

5.13%, 6/30/27 (e)

       590       610,650  

Chesapeake Energy Corp.:

      

6.88%, 11/15/20

       215       215,000  

8.00%, 12/15/22 (e)(f)

       340       351,475  

8.00%, 6/15/27 (e)(f)

       94       89,300  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 7/20/23 (e)

       48       50,913  

Citgo Holding, Inc., 10.75%, 2/15/20 (e)

       135       144,113  

ConocoPhillips Co., 4.20%, 3/15/21 (f)

       290       309,964  

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (f)

       3,647       3,647,000  

8.00%, 4/01/23

       19       20,045  

Continental Resources, Inc.:

      

3.80%, 6/01/24 (f)

       395       367,350  

4.90%, 6/01/44

       164       138,678  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 5/15/25 (e)

       192       192,720  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23

       35       36,138  

CrownRock LP/CrownRock Finance, Inc. (e):

      

7.13%, 4/15/21 (f)

       875       892,500  

7.75%, 2/15/23

       145       153,700  

DCP Midstream LLC (e):

      

4.75%, 9/30/21

       80       82,000  

6.45%, 11/03/36

       197       207,342  

6.75%, 9/15/37

       237       251,220  

DEA Finance SA, 7.50%, 10/15/22

     EUR       100       129,401  

Denbury Resources, Inc.:

      

9.00%, 5/15/21 (e)

     USD       60       53,700  

5.50%, 5/01/22

       238       108,885  

4.63%, 7/15/23

       82       36,080  

Diamond Offshore Drilling, Inc., 7.88%, 8/15/25

       92       92,000  

Diamondback Energy, Inc., 5.38%, 5/31/25

       203       208,582  

Eclipse Resources Corp., 8.88%, 7/15/23

       70       70,000  

Energy Transfer Equity LP (f):

      

7.50%, 10/15/20

       703       793,511  

5.88%, 1/15/24

       352       379,280  

5.50%, 6/01/27

       490       521,850  

Ensco Jersey Finance Ltd., 3.00%, 1/31/24 (e)(l)

       247       180,927  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 5/01/20

       334       245,907  

8.00%, 11/29/24 (e)

       206       201,365  

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

       316       326,270  
 

 

See Notes to Financial Statements.      
                
36    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Extraction Oil & Gas, Inc., 7.38%, 5/15/24 (e)

     USD       146     $ 146,730  

Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, 10/01/25

       145       142,100  

GeoPark Latin America Ltd. Agencia en Chile, 7.50%, 2/11/20 (e)

       336       344,400  

GNL Quintero SA:

      

4.63%, 7/31/29 (e)(f)

       247       258,424  

4.63%, 7/31/29

       240       251,100  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (e)(f)

       822       817,890  

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       74       73,630  

6.38%, 5/15/25 (e)

       87       85,586  

Halcon Resources Corp., 6.75%, 2/15/25 (e)

       1,559       1,566,795  

Hess Corp., 4.30%, 4/01/27

       50       49,026  

Matador Resources Co., 6.88%, 4/15/23 (f)

       866       900,640  

MEG Energy Corp. (e):

      

6.38%, 1/30/23

       30       23,963  

7.00%, 3/31/24 (f)

       670       532,650  

6.50%, 1/15/25 (f)

       1,626       1,510,147  

Murphy Oil Corp.:

      

6.88%, 8/15/24 (f)

       260       274,625  

6.13%, 12/01/42

       67       62,980  

Nabors Industries, Inc., 0.75%, 1/15/24 (e)(l)

       399       289,275  

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

       111       118,215  

NGPL PipeCo LLC (e):

      

4.38%, 8/15/22

       378       388,395  

4.88%, 8/15/27

       331       340,930  

7.77%, 12/15/37 (f)

       475       590,187  

Noble Holding International Ltd., 7.75%, 1/15/24 (f)

       375       289,680  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       54       52,583  

6.88%, 3/15/22

       60       58,350  

6.88%, 1/15/23

       50       47,850  

2.63%, 9/15/23 (l)

       220       203,775  

ONEOK, Inc., 6.00%, 6/15/35

       35       39,035  

Paramount Resources Ltd., 6.88%, 6/30/23 (e)

       530       551,200  

Parker Drilling Co., 7.50%, 8/01/20

       123       105,780  

Parsley Energy LLC/Parsley Finance Corp. (e):

      

6.25%, 6/01/24

       73       76,103  

5.38%, 1/15/25

       316       317,580  

5.25%, 8/15/25

       77       77,000  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25 (e)

       212       209,880  

Petrobras Argentina SA, 7.38%, 7/21/23 (e)(f)

       767       829,127  

Petrobras Global Finance BV:

      

5.75%, 1/20/20

       332       349,098  

4.88%, 3/17/20

       332       339,885  

6.13%, 1/17/22

       335       355,100  

7.38%, 1/17/27

       354       391,255  

Petroleos Mexicanos:

      

5.38%, 3/13/22 (e)

       39       41,847  

4.63%, 9/21/23

       265       275,865  

Precision Drilling Corp., 7.75%, 12/15/23

       75       74,438  

Range Resources Corp.:

      

5.88%, 7/01/22 (e)(f)

       250       255,000  

5.00%, 3/15/23 (e)

       15       14,813  

4.88%, 5/15/25

       80       76,600  

Resolute Energy Corp., 8.50%, 5/01/20

       412       412,000  
Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Rockies Express Pipeline LLC (e):

      

6.85%, 7/15/18

     USD       183     $ 189,405  

6.00%, 1/15/19

       20       20,675  

5.63%, 4/15/20 (f)

       550       578,875  

6.88%, 4/15/40 (f)

       440       480,700  

Rowan Cos., Inc.:

      

4.88%, 6/01/22

       70       63,525  

7.38%, 6/15/25 (f)

       678       613,590  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       291       302,640  

5.25%, 1/15/25 (e)

       151       151,378  

Sanchez Energy Corp.:

      

7.75%, 6/15/21

       50       43,250  

6.13%, 1/15/23 (f)

       1,280       976,000  

SESI LLC, 7.13%, 12/15/21

       85       85,425  

Seven Generations Energy Ltd., 8.25%, 5/15/20 (e)(f)

       119       123,760  

SM Energy Co.:

      

6.50%, 11/15/21

       100       96,625  

5.00%, 1/15/24

       5       4,450  

5.63%, 6/01/25 (f)

       437       395,485  

6.75%, 9/15/26

       118       111,215  

Southwestern Energy Co., 5.80%, 1/23/20 (f)

       967       996,010  

Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26 (f)

       235       232,436  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (e):

      

5.50%, 9/15/24 (f)

       412       412,000  

5.13%, 2/01/25

       114       117,135  

5.38%, 2/01/27

       79       81,765  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/01/23

       15       15,338  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

5.88%, 10/01/20 (f)

       138       140,243  

6.13%, 10/15/21

       39       40,316  

6.25%, 10/15/22

       70       74,025  

Tullow Oil PLC, 6.25%, 4/15/22 (e)

       200       188,000  

Weatherford International LLC, 6.80%, 6/15/37

       27       22,815  

Weatherford International Ltd.:

      

6.50%, 8/01/36

       208       172,640  

7.00%, 3/15/38

       8       6,760  

5.95%, 4/15/42

       310       246,450  

Whiting Petroleum Corp., 5.00%, 3/15/19 (f)

       862       853,380  

Williams Cos., Inc.:

      

4.55%, 6/24/24

       67       68,508  

5.75%, 6/24/44 (f)

       819       849,712  

WPX Energy, Inc.:

      

7.50%, 8/01/20

       47       50,760  

6.00%, 1/15/22

       201       207,281  

8.25%, 8/01/23

       46       50,485  

5.25%, 9/15/24

       106       103,880  

YPF SA (e):

      

8.88%, 12/19/18 (f)

       1,295       1,392,125  

8.50%, 3/23/21

       168       190,848  

6.95%, 7/21/27

       837       894,334  
      

 

 

 
                       39,640,465  
Paper & Forest Products — 0.0%  

Mercer International, Inc., 6.50%, 2/01/24 (e)

             113       117,803  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    37


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Pharmaceuticals — 1.8%  

AbbVie, Inc., 3.60%, 5/14/25 (f)

     USD       695     $ 718,379  

Actavis Funding SCS, 3.45%, 3/15/22 (f)

       2,460       2,555,740  

Endo Finance LLC/Endo Finco, Inc. (e):

      

7.25%, 1/15/22

       121       116,463  

5.38%, 1/15/23

       65       54,438  

6.00%, 7/15/23 (f)

       233       195,720  

5.88%, 10/15/24

       205       211,662  

Ephios Bondco PLC, 6.25%, 7/01/22

     EUR       100       127,890  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (e)

     USD       241       266,305  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (e)(f)

       1,179       1,236,417  

NBTY, Inc., 7.63%, 5/15/21 (e)(f)

       467       498,522  

Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 (f)

       1,500       1,492,136  

Tennessee Merger Sub, Inc., 6.38%,
2/01/25 (e)(f)

       533       514,425  

Valeant Pharmaceuticals International, Inc. (e):

      

7.00%, 10/01/20

       125       124,688  

6.38%, 10/15/20

       496       491,189  

7.50%, 7/15/21

       180       176,625  

6.75%, 8/15/21

       112       107,240  

5.63%, 12/01/21

       442       405,535  

6.50%, 3/15/22

       655       686,931  

5.50%, 3/01/23

       16       13,440  

5.88%, 5/15/23

       679       578,847  

7.00%, 3/15/24

       476       505,155  

6.13%, 4/15/25

       673       567,844  
      

 

 

 
                       11,645,591  
Real Estate — 0.0%  

Prologis LP, 3.75%, 11/01/25 (f)

             255       270,798  
Real Estate Investment Trusts (REITs) — 1.2%  

AvalonBay Communities, Inc., 3.45%, 6/01/25 (f)

       1,245       1,287,119  

ERP Operating LP, 3.38%, 6/01/25 (f)

       1,015       1,044,102  

Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24

       179       182,863  

iStar, Inc., 6.00%, 4/01/22

       100       102,750  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

      

5.63%, 5/01/24 (f)

       1,342       1,459,425  

4.50%, 9/01/26

       396       402,930  

NH Hotel Group SA, 3.75%, 10/01/23

     EUR       129       161,973  

Starwood Property Trust, Inc., 5.00%, 12/15/21

     USD       234       242,482  

Trust F/1401, 6.95%, 1/30/44

       330       357,225  

TVL Finance PLC, (3 mo. LIBOR GBP + 4.875%), 5.15%, 5/15/23 (d)

     GBP       100       130,494  

Ventas Realty LP, 4.13%, 1/15/26 (f)

     USD       650       684,026  

Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f)

       1,300       1,401,247  
      

 

 

 
                       7,456,636  
Real Estate Management & Development — 0.3%  

Aroundtown Property Holdings PLC, 1.50%, 1/18/21 (l)

     EUR       100       136,307  

DEMIRE Deutsche Mittelstand Real Estate AG, 2.88%, 7/15/22

       100       120,878  

Howard Hughes Corp., 5.38%, 3/15/25 (e)

     USD       168       168,111  
Corporate Bonds    Par
(000)
    Value  
Real Estate Management & Development (continued)  

Realogy Group LLC/Realogy Co-Issuer Corp. (e):

      

4.50%, 4/15/19 (f)

     USD       301     $ 310,030  

5.25%, 12/01/21

       58       60,320  

4.88%, 6/01/23 (f)

       759       774,180  

Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (e)

       220       222,420  
      

 

 

 
                       1,792,246  
Road & Rail — 0.7%  

Avis Budget Finance PLC, 4.13%, 11/15/24

     EUR       100       118,873  

Herc Rentals, Inc. (e):

      

7.50%, 6/01/22

     USD       144       157,680  

7.75%, 6/01/24

       136       148,920  

Hertz Corp., 6.75%, 4/15/19

       285       283,931  

Hertz Holdings Netherlands BV, 4.13%, 10/15/21

     EUR       100       116,664  

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (e)(f)

     USD       3,000       3,318,000  

Loxam SAS, 3.50%, 5/03/23

     EUR       100       124,459  

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (e)

     USD       319       331,760  
      

 

 

 
                       4,600,287  
Semiconductors & Semiconductor Equipment — 1.5%  

Advanced Micro Devices, Inc., 7.50%, 8/15/22

       73       82,125  

Analog Devices, Inc. (f):

      

3.90%, 12/15/25

       375       397,524  

3.50%, 12/05/26

       275       282,397  

Applied Materials, Inc., 3.90%, 10/01/25 (f)

       285       306,032  

Broadcom Corp./Broadcom Cayman Finance Ltd. (e)(f):

      

3.00%, 1/15/22

       1,250       1,266,986  

3.63%, 1/15/24

       1,515       1,559,617  

Microchip Technology, Inc. (l):

      

1.63%, 2/15/25

       70       118,650  

2.13%, 12/15/37

       60       221,175  

Micron Technology, Inc.:

      

5.25%, 8/01/23 (e)

       446       464,398  

5.25%, 1/15/24 (e)

       39       40,560  

5.50%, 2/01/25

       10       10,562  

Series G, 3.00%, 11/15/43 (l)

       720       843,750  

Microsemi Corp., 9.13%, 4/15/23 (e)

       20       22,904  

NXP BV/NXP Funding LLC (e):

      

4.13%, 6/15/20 (f)

       834       871,530  

4.13%, 6/01/21

       200       209,200  

3.88%, 9/01/22

       200       207,000  

4.63%, 6/01/23 (f)

       425       454,346  

QUALCOMM, Inc., 3.45%, 5/20/25 (f)

       1,570       1,627,629  

Sensata Technologies BV (e):

      

5.63%, 11/01/24

       179       195,110  

5.00%, 10/01/25 (f)

       332       347,770  
      

 

 

 
                       9,529,265  
Software — 1.8%  

ACI Worldwide, Inc., 6.38%, 8/15/20 (e)(f)

       360       366,750  

BMC Software Finance, Inc., 8.13%,
7/15/21 (e)(f)

       1,493       1,541,523  

CA, Inc., 3.60%, 8/15/22 (f)

       555       566,337  

Ensemble S Merger Sub, Inc., 9.00%,
9/30/23 (e)(f)

       303       312,848  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24 (e)

       175       199,063  
 

 

See Notes to Financial Statements.      
                
38    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Software (continued)  

Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (e)

     USD       296     $ 314,130  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (e)

       46       43,700  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (e)(f)(g)

       545       555,900  

Infor US, Inc., 6.50%, 5/15/22 (f)

       1,153       1,176,060  

Informatica LLC, 7.13%, 7/15/23 (e)

       396       397,980  

Nuance Communications, Inc.:

      

5.38%, 8/15/20 (e)(f)

       36       36,540  

6.00%, 7/01/24

       160       172,366  

5.63%, 12/15/26 (e)

       143       149,256  

PTC, Inc., 6.00%, 5/15/24

       202       216,140  

RP Crown Parent LLC., 7.38%, 10/15/24 (e)

       392       399,840  

Solera LLC/Solera Finance, Inc. (e):

      

10.50%, 3/01/24

       132       150,315  

10.50%, 3/01/24 (f)

       1,535       1,747,981  

SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (f)

       600       630,000  

TIBCO Software, Inc., 11.38%, 12/01/21 (e)(f)

       842       921,990  

Veritas US, Inc./Veritas Bermuda Ltd.:

      

7.50%, 2/01/23

     EUR       100       126,723  

7.50%, 2/01/23 (e)

     USD       600       637,500  

10.50%, 2/01/24 (e)(f)

       800       858,000  
      

 

 

 
                       11,520,942  
Specialty Retail — 0.2%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24 (f)

       282       290,460  

Group 1 Automotive, Inc., 5.00%, 6/01/22 (f)

       155       158,487  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       42       45,255  

6.38%, 10/15/36

       21       15,120  

7.40%, 4/01/37

       84       63,840  

L Brands, Inc., 6.88%, 11/01/35 (f)

       371       355,232  

Penske Automotive Group, Inc., 5.50%, 5/15/26

       32       32,320  

PetSmart, Inc., 5.88%, 6/01/25 (e)

       133       118,703  
      

 

 

 
                       1,079,417  
Technology Hardware, Storage & Peripherals — 0.4%  

Dell International LLC/EMC Corp. (e):

      

4.42%, 6/15/21 (f)

       40       42,149  

7.13%, 6/15/24

       651       721,151  

6.02%, 6/15/26 (f)

       135       150,817  

8.35%, 7/15/46 (f)

       80       103,210  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25 (f)

       375       398,063  

Riverbed Technology, Inc., 8.88%, 3/01/23 (e)

       165       161,287  

Western Digital Corp.:

      

7.38%, 4/01/23 (e)(f)

       459       503,179  

10.50%, 4/01/24

       248       294,500  
      

 

 

 
                       2,374,356  
Textiles, Apparel & Luxury Goods — 0.0%  

BiSoho SAS, 5.88%, 5/01/23

     EUR       90       116,139  

Levi Strauss & Co., 3.38%, 3/15/27

       100       122,623  
      

 

 

 
                       238,762  
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 9/15/21

     GBP       100       134,586  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 3/15/22 (e)

     USD       355       365,650  
Corporate Bonds    Par
(000)
    Value  
Thrifts & Mortgage Finance (continued)  

MGIC Investment Corp., 5.75%, 8/15/23

     USD       163     $ 178,281  
      

 

 

 
                       678,517  
Tobacco — 0.1%  

Reynolds American, Inc., 3.25%, 6/12/20 (f)

             396       407,821  
Transportation Infrastructure — 1.4%  

CEVA Group PLC, 7.00%, 3/01/21 (e)

       460       443,900  

CMA CGM SA, 7.75%, 1/15/21

     EUR       100       125,295  

Empresa de Transporte de Pasajeros Metro SA, 5.00%, 1/25/47 (e)

     USD       231       252,746  

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (e)(f)

       6,155       6,210,605  

Rumo Luxembourg Sarl, 7.38%, 2/09/24 (e)

       907       970,943  

Swissport Financing Sarl, 9.75%, 12/15/22

     EUR       100       130,942  

Transurban Finance Co. Property Ltd., 4.13%, 2/02/26 (e)(f)

     USD       435       457,964  

WFS Global Holding SAS, 9.50%, 7/15/22

     EUR       100       128,926  
      

 

 

 
                       8,721,321  
Utilities — 0.6%  

AES Panama SRL, 6.00%, 6/25/22 (e)

     USD       250       265,125  

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

     EUR       100       125,027  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (e)

     USD       1,030       1,137,120  

Inkia Energy Ltd., 8.38%, 4/04/21 (e)

       332       341,163  

Stoneway Capital Corp., 10.00%, 3/01/27 (e)

       1,685       1,771,357  
      

 

 

 
                       3,639,792  
Wireless Telecommunication Services — 2.4%  

CyrusOne LP/CyrusOne Finance Corp. (e):

      

5.00%, 3/15/24 (f)

       315       329,175  

5.38%, 3/15/27

       20       21,150  

Digicel Group Ltd. (e):

      

8.25%, 9/30/20

       268       257,615  

7.13%, 4/01/22

       267       237,296  

Digicel Ltd., 6.00%, 4/15/21 (e)(f)

       2,073       2,010,810  

GEO Group, Inc.:

      

5.13%, 4/01/23

       407       408,526  

6.00%, 4/15/26

       64       65,920  

Matterhorn Telecom SA, 3.88%, 5/01/22

     EUR       100       122,712  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25 (e)

     USD       361       356,939  

Rogers Communications, Inc., 5.00%, 3/15/44 (f)

       545       626,736  

SBA Communications Corp., 4.88%, 9/01/24

       263       271,547  

Sprint Capital Corp.:

      

6.90%, 5/01/19

       135       144,464  

6.88%, 11/15/28 (f)

       735       808,500  

8.75%, 3/15/32

       750       930,000  

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (e)(f)

       503       543,240  

7.00%, 3/01/20 (e)

       490       536,550  

7.00%, 8/15/20

       125       137,031  

Sprint Corp.:

      

7.25%, 9/15/21

       105       115,763  

7.88%, 9/15/23 (f)

       1,073       1,226,042  

7.13%, 6/15/24 (f)

       2,163       2,379,300  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (e)(f)

       520       527,644  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    39


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Corporate Bonds    Par
(000)
    Value  
Wireless Telecommunication Services (continued)  

T-Mobile USA, Inc.:

      

6.13%, 1/15/22

     USD       75     $ 78,188  

4.00%, 4/15/22

       197       202,910  

6.00%, 3/01/23 (f)

       304       320,340  

6.84%, 4/28/23

       55       58,163  

6.50%, 1/15/24 (f)

       535       571,112  

6.38%, 3/01/25

       14       15,076  

5.13%, 4/15/25

       201       211,110  

5.38%, 4/15/27

       120       128,736  

Trilogy International Partners LLC/Trilogy International Finance, Inc., 8.88%, 5/01/22 (e)

       104       107,640  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC:

      

8.25%, 10/15/23 (f)

       614       599,939  

7.13%, 12/15/24 (e)

       156       145,135  

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR       195       234,691  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 6/01/22 (e)(g)

     USD       87       90,915  
      

 

 

 
                       14,820,915  
Total Corporate Bonds — 62.9%                      395,832,739  
      
                          
Floating Rate Loan Interests                      
Aerospace & Defense — 0.6%  

Accudyne Industries LLC, 2017 Term Loan, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 8/02/24 (m)

       1,085       1,084,664  

DAE Aviation Holdings, Inc., 2017 1st Lien Term Loan, 7/07/22 (r)

       160       160,400  

Engility Corp. (m):

      

Term Loan B1, (PRIME + 2.250%), 3.99%, 8/12/20

       106       106,708  

Term Loan B2, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 8/12/23

       193       193,780  

GTCR Valor Companies, Inc., 2017 Term Loan B1, (3 mo. LIBOR + 4.250%), 5.50%, 6/16/23 (m)

       249       250,778  

TransDigm, Inc. (m):

      

2015 Term Loan E, (3 mo. LIBOR + 3.000%), 4.24%, 5/14/22

       631       631,976  

2016 Extended Term Loan F, (1 mo. LIBOR + 3.000%), 4.24%, 6/09/23

       1,038       1,038,740  

2017 Term Loan G, (3 mo. LIBOR + 3.000%), 4.26%, 8/15/24

       78       77,879  

Term Loan D, (1 mo. LIBOR + 3.000%), 4.30%, 6/04/21

       332       332,704  
      

 

 

 
                       3,877,629  
Air Freight & Logistics — 0.4%  

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 3/20/22 (m)

       1,716       1,720,851  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.50%, 3/19/21 (m)

       213       199,325  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (m)

       218       204,977  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (m)

       42       39,524  
Floating Rate Loan Interests    Par
(000)
    Value  
Air Freight & Logistics (continued)  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (m)

     USD       288     $ 270,621  
      

 

 

 
                       2,435,298  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.230%), 2.65%, 9/10/18 (a)(m)

             207       204,882  
Auto Components — 0.2%  

Anchor Glass Container Corp., 2016 2nd Lien Term Loan, (1 mo. LIBOR + 7.750%, 1.00% Floor), 8.98%, 12/07/24 (m)

       175       177,333  

Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 5.000%), 6.32%, 5/19/23 (a)(m)

       314       314,998  

USI, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%), 4.31%, 5/16/24 (m)

       545       541,708  
      

 

 

 
                       1,034,039  
Automobiles — 0.1%  

CH Hold Corp.(m):

      

1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 2/01/24

       406       407,762  

2nd Lien Term Loan, (1 mo. LIBOR +
7.250%, 1.00% Floor), 8.49%, 2/01/25

       110       112,200  

FCA US LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 12/31/18 (m)

       373       373,509  
      

 

 

 
                       893,471  
Building Materials — 0.1%  

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.750%,
1.00% Floor), 5.05%, 7/28/22 (m)

       325       324,471  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.500%,
1.00% Floor), 9.81%, 7/28/23 (m)

       290       288,187  
      

 

 

 
                       612,658  
Building Products — 0.4%  

Continental Building Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 8/18/23 (a)(m)

       594       593,701  

CPG International Inc., 2017 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 5/03/24 (m)

       633       632,582  

Jeld-Wen, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 7/01/22 (m)

       512       514,580  

Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.000%), 4.30%, 2/01/21 (m)

       383       385,404  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 12/19/23 (m)

       657       657,093  
      

 

 

 
                       2,783,360  
Capital Markets — 0.2%  

FinCo I LLC, 2017 Term Loan B, 6/14/22 (r)

       445       448,560  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.000%), 3.30%, 3/27/23 (m)

       873       875,800  
      

 

 

 
                       1,324,360  
Chemicals — 1.2%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (m)

       610       610,000  
 

 

See Notes to Financial Statements.      
                
40    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Chemicals (continued)  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.000%), 3.30%, 6/01/24 (m)

     USD       715     $ 716,566  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 5/16/24 (m)

       445       445,418  

Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 5/12/22 (m)

       291       291,840  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.75%, 6/28/24 (m)

       215       217,071  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.750%), 5.06%, 7/09/19 (m)

       46       43,031  

Huntsman International LLC, Term Loan B2, (1 mo. LIBOR + 3.000%), 4.24%, 4/01/23 (m)

       334       335,125  

MacDermid, Inc. (m):

      

Term Loan B5, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 6/07/20

       467       470,174  

Term Loan B6, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.23%, 6/07/23

       507       508,145  

OXEA Finance LLC, Term Loan B2, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.48%, 1/15/20 (m)

       1,044       1,038,967  

PQ Corp., 2017 Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 11/04/22 (m)

       612       614,126  

Royal Holdings, Inc. (m):

      

2015 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.79%, 6/19/23 (a)

       102       101,814  

2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/19/22

       456       458,669  

Solenis International LP:

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.57%, 7/31/21 (m)

       503       503,266  

2nd Lien Term Loan, (3 mo. LIBOR + 6.750%, 1.00% Floor), 8.07%, 7/31/22 (m)

       600       599,748  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.06%, 8/07/20 (m)

       476       475,633  
      

 

 

 
                       7,429,593  
Commercial Services & Supplies — 1.7%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.750%), 3.94%, 11/10/23

       1,036       1,040,333  

Asurion LLC:

      

2017 2nd Lien Term Loan, 8/04/25

       260       265,309  

2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/04/22 (m)

       225       225,717  

2017 Term Loan B5, (1 mo. LIBOR + 3.000%), 4.24%, 11/03/23

       1,534       1,539,395  

Camelot UK Holdco Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/03/23 (m)

       660       662,615  

Catalent Pharma Solutions, Inc., Term Loan B, (1 Week LIBOR + 2.750%,
1.00% Floor), 3.99%, 5/20/21 (m)

       1,187       1,192,294  
Floating Rate Loan Interests    Par
(000)
    Value  
Commercial Services & Supplies (continued)  

Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.24%, 6/27/24 (m)

     USD       215     $ 215,537  

Creative Artists Agency LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 2/15/24 (m)

       711       715,281  

Dealer Tire LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 12/22/21 (a)(m)

       229       230,559  

Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor),
7.80%, 5/16/20 (m)

       161       150,583  

Garda World Security Corp., 2017 Term Loan, (PRIME + 3.000%, 1.00% Floor), 5.31%, 5/24/24 (m)

       282       283,454  

GCA Services Group, Inc., 2016 Term Loan, (PRIME + 3.750%, 1.00% Floor), 6.05%, 3/01/23 (m)

       563       564,601  

Harland Clarke Holdings Corp., Term Loan B6, (3 mo. LIBOR + 5.500%,
1.00% Floor), 6.80%, 2/09/22 (m)

       323       323,601  

KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.500%), 3.81%, 3/09/23 (m)

       338       339,126  

Livingston International, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.250%), 5.55%, 4/18/19 (m)

       136       128,863  

Packers Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/02/21 (a)(m)

       590       594,765  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 5/02/22 (m)

       892       895,670  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 7/14/23 (m)

       715       718,596  

Waste Industries USA, Inc., 2016 Term Loan, (1 mo. LIBOR + 2.750%), 3.99%, 2/27/20 (m)

       676       676,956  
      

 

 

 
                       10,763,255  
Commercial Services & Supplies — 0.1%  

TruGreen Limited Partnership, 2017 Term Loan, (1 mo. LIBOR + 4.000%,
1.00% Floor), 5.23%, 4/13/23 (a)(m)

             382       385,416  
Communications Equipment — 0.4%  

Applied Systems, Inc. (m):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 1/25/21

       298       299,534  

2nd Lien Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 1/24/22

       262       265,382  

Avaya, Inc. (m):

      

DIP Term Loan, (1 mo. LIBOR + 7.500%, 1.00% Floor), 8.73%, 1/24/18

       55       55,825  

Term Loan B7, 0.00%, 5/29/20 (c)

       289       243,241  

Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 5/01/24 (m)

       545       547,387  

CommScope, Inc., Term Loan B5, (3 mo. LIBOR + 2.000%), 3.30%, 12/29/22 (m)

       319       319,971  

Riverbed Technology, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 4/24/22 (m)

       395       383,674  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    41


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests   Par
(000)
    Value  
Communications Equipment (continued)  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6/20/24 (r)

    USD       430     $ 433,315  
     

 

 

 
                      2,548,329  
Construction & Engineering — 0.5%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.250%, 1.00% Floor), 5.56%, 6/21/24 (m)

      2,156       2,161,088  

CNT Holdings III Corp., 2017 Term Loan, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 1/22/23 (m)

      568       559,317  

Pike Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 3/10/24 (m)

      189       191,303  

USIC Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.92%, 12/08/23 (m)

      411       412,187  
     

 

 

 
                      3,323,895  
Construction Materials — 0.3%  

Filtration Group Corp., 1st Lien Term Loan, (2 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 11/21/20 (m)

      1,190       1,194,194  

GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/01/23 (m)

      703       704,581  
     

 

 

 
                      1,898,775  
Containers & Packaging — 0.3%  

Berlin Packaging LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 10/01/21 (m)

      260       260,290  

Berry Plastics Group, Inc., Term Loan M, (1 mo. LIBOR + 2.250%), 3.48%, 10/01/22 (m)

      970       970,060  

BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.250%), 4.48%, 4/03/24 (m)

      567       567,176  
     

 

 

 
                      1,797,526  
Distributors — 0.1%  

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 10/31/23 (m)

      545       545,454  

American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 9/01/21 (m)

      220       221,451  
     

 

 

 
                      766,905  
Diversified Consumer Services — 0.9%  

Ascend Learning LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.53%, 7/12/24 (m)

      380       381,265  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 11/07/23 (m)

      723       725,396  

Serta Simmons Bedding LLC (m):

     

1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 11/08/23

      1,588       1,540,697  

2nd Lien Term Loan, (3 mo. LIBOR + 8.000%, 1.00% Floor), 9.31%, 11/08/24

      480       463,252  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 11/08/23 (m)

      736       736,852  

Spin Holdco, Inc., 2017 Term Loan B, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 11/14/22 (m)

      430       430,804  
Floating Rate Loan Interests    Par
(000)
    Value  
Diversified Consumer Services (continued)  

Weight Watchers International, Inc., Term Loan B2, (3 mo. LIBOR + 3.250%), 4.49%, 4/02/20 (m)

     USD       1,421     $ 1,387,325  
      

 

 

 
                       5,665,591  
Diversified Financial Services — 0.4%  

AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor),
4.30%, 4/04/24 (m)

       828       831,717  

Diamond (BC) BV, Term Loan, (1 mo. LIBOR + 3.000%), 4.32%, 7/12/24 (m)

       885       878,920  

Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 6/28/24 (m)

       500       503,540  

Nomad Foods Europe Midco Ltd., Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 5/15/24 (m)

       395       396,359  

SAM Finance Luxembourg Sarl, Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 12/17/20 (m)

       60       59,803  
      

 

 

 
                       2,670,339  
Diversified Telecommunication Services — 2.1%  

CenturyLink, Inc., 2017 Term Loan B, 2.75%, 1/31/25

       5,920       5,789,287  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 10/04/23 (m)

       313       307,186  

Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.750%),
4.99%, 6/15/24 (m)

       671       640,805  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/16/24 (m)

       441       440,863  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 2/22/24 (m)

       2,497       2,494,653  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.500%), 3.75%, 2/02/24 (m)

       983       982,538  

Telenet International Finance Sarl, Term Loan AI, (1 mo. LIBOR + 2.750%), 3.98%, 6/30/25 (m)

       2,080       2,083,182  

Virgin Media Investment Holdings Ltd., Term Loan J, (1 mo. LIBOR + 3.500%), 3.75%, 1/31/26 (m)

     GBP       303       394,083  
      

 

 

 
                       13,132,597  
Electric Utilities — 0.7%  

Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.23%, 6/30/18 (m)

     USD       3,135       3,147,540  

TEX Operations Co. LLC (m):

      

Exit Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23

       656       655,422  

Exit Term Loan C, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23

       152       151,878  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/17 (a)(r)

       780        

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 12/14/23 (m)

       303       303,909  
      

 

 

 
                       4,258,749  
 

 

See Notes to Financial Statements.      
                
42    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Electrical Equipment — 0.2%  

Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor),
4.55%, 4/01/24 (m)

     USD       1,186     $ 1,189,841  
Electronic Equipment, Instruments & Components — 0.1%  

Zebra Technologies Corporation, 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.31%, 10/27/21 (m)

             375       374,505  
Energy Equipment & Services — 0.3%  

Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.750%, 1.00% Floor),
6.05%, 9/16/21 (m)

       371       249,281  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.000%, 1.00% Floor), 7.23%, 3/01/24 (m)

       983       925,249  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 2/21/21 (m)

       285       182,896  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.300%), 3.54%, 7/13/20 (a)(m)

       470       446,386  
      

 

 

 
                       1,803,812  
Food & Staples Retailing — 0.5%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/25/21 (m)

       640       620,490  

BJ’s Wholesale Club, Inc. (m):

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 4.97%, 2/03/24

       813       781,773  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor),
8.71%, 2/03/25

       104       100,006  

Rite Aid Corp. (m):

      

2nd Lien Term Loan, (1 mo. LIBOR + 4.750%, 1.00% Floor),
5.99%, 8/21/20

       240       241,800  

2nd Lien Term Loan, (1 mo. LIBOR + 3.875%, 1.00% Floor),
5.12%, 6/21/21

       815       818,056  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/27/23 (m)

       658       660,197  
      

 

 

 
                       3,222,322  
Food Products — 1.0%  

Chobani LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.49%, 10/07/23 (m)

       748       752,939  

Dole Food Co., Inc., 2017 Term Loan B, (2 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 4/06/24 (m)

       340       340,639  

Hostess Brands LLC, 2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 8/03/22 (m)

       1,201       1,204,189  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 10/30/22 (m)

       1,160       1,145,538  

Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 2/02/24 (m)

       642       643,142  

Reddy Ice Corp. (m):

      

1st Lien Term Loan, (3 mo. LIBOR + 5.500%), 6.88%, 5/01/19

       642       632,837  

2nd Lien Term Loan, (3 mo. LIBOR + 9.500%), 10.81%, 11/01/19

       233       218,146  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/05/23 (m)

       1,266       1,266,866  
      

 

 

 
                       6,204,296  
Floating Rate Loan Interests    Par
(000)
    Value  
Health Care Equipment & Supplies — 1.1%  

Alere, Inc. (m):

      

2015 Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 6/18/20

     USD       353     $ 352,538  

2015 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor),
4.49%, 6/18/22

       482       481,022  

Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 9/28/23 (m)

       623       624,111  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor),
4.49%, 6/08/20 (m)

       1,675       1,665,871  

Immucor, Inc., Extended Term Loan B, (1 mo. LIBOR + 5.000%, 1.00% Floor),
6.24%, 6/15/21 (m)

       1,003       1,015,726  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%, 9/24/24 (m)

       527       527,754  

National Vision, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/12/21 (m)

       1,166       1,168,699  

Ortho-Clinical Diagnostics, Inc., Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 6/30/21 (m)

       929       930,226  
      

 

 

 
                       6,765,947  
Health Care Providers & Services — 1.9%  

Acadia Healthcare Co., Inc. (m):

      

Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 2/11/22

       232       233,356  

Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 2/16/23

       640       643,451  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.000%,
1.00% Floor), 4.30%, 1/17/22 (m)

       856       856,397  

CHG Healthcare Services, Inc., 2017 Term Loan B, (2 mo. LIBOR + 3.250%,
1.00% Floor), 4.51%, 6/07/23 (m)

       973       979,574  

Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.750%), 4.07%, 12/31/19 (m)

       329       328,150  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (2 mo. LIBOR + 4.000%, 1.00% Floor), 5.26%, 2/07/22 (m)

       319       319,504  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/24/21 (m)

       388       390,581  

Envision Healthcare Corp., 2016 Term Loan B, (3 mo. LIBOR + 3.000%), 4.30%, 12/01/23 (m)

       2,378       2,394,102  

HC Group Holdings III, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.32%, 4/07/22 (a)(m)

       820       824,207  

HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.000%), 3.24%, 3/17/23 (m)

       1,086       1,088,775  

Iasis Healthcare LLC, Term Loan B3, (3 mo. LIBOR + 4.000%), 5.30%, 2/16/21 (m)

       150       149,962  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.000%,
1.00% Floor), 4.30%, 6/07/23 (m)

       1,068       1,072,118  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 10/20/22 (a)(m)

       545       546,542  

NVA Holdings, Inc., 1st Lien Term Loan B2, (3 mo. LIBOR + 3.500%), 4.80%, 8/14/21 (m)

       553       555,522  

Surgery Center Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%,
1.00% Floor), 4.49%, 6/06/24 (m)

       280       277,082  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    43


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Health Care Providers & Services (continued)  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 2/06/24 (m)

     USD       463     $ 456,153  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor),
4.73%, 2/13/23 (m)

       572       577,623  
      

 

 

 
                       11,693,099  
Health Care Technology — 0.4%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/24 (m)

       2,019       2,017,940  

Press Ganey Holdings, Inc. (m):

      

1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor),
4.49%, 10/21/23 (a)

       423       424,461  

2nd Lien Term Loan, (1 mo. LIBOR + 7.250%, 1.00% Floor),
8.49%, 10/21/24

       215       219,031  
      

 

 

 
                       2,661,432  
Hotels, Restaurants & Leisure — 2.3%  

Amaya Holdings BV (m):

      

2nd Lien Term Loan, (3 mo. LIBOR + 7.000%, 1.00% Floor),
8.30%, 8/01/22

       199       199,438  

Repriced Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor),
4.80%, 8/01/21

       976       978,594  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.500%), 3.70%, 9/15/23 (m)

       536       536,378  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.000%,
1.00% Floor), 5.32%, 8/15/20 (m)

       981       989,287  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.250%, 1.00% Floor), 3.55%, 2/16/24 (m)

       1,494       1,488,972  

Caesars Entertainment Operating Co., Term Loan B7, 6.25%, 3/01/22 (c)

       1,067       1,356,690  

Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/11/20 (m)

       2,789       2,800,421  

Caesars Growth Properties Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/08/21 (m)

       906       907,728  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 8/08/21 (m)

       552       552,985  

CEC Entertainment, Inc., Term Loan B, 2/14/21 (r)

       531       526,731  

Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, 7/26/24 (r)

       456       458,567  

ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 8/30/23 (m)

       868       871,436  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 11/30/23 (m)

       100       99,845  

Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.750%,
1.00% Floor), 5.05%, 2/22/23 (m)

       135       135,337  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.000%), 3.23%, 10/25/23 (m)

       32       32,046  

La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.750%,
1.00% Floor), 4.05%, 4/14/21 (m)

       238       238,672  
Floating Rate Loan Interests    Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.250%), 3.56%, 5/11/24 (a)(m)

     USD       409     $ 411,020  

Sabre GLBL, Inc., Incremental Term Loan B, (3 mo. LIBOR + 2.250%, 1.00% Floor), 3.49%, 2/22/24 (m)

       898       901,344  

Scientific Games International, Inc., 2017 Term Loan B4, (3 mo. LIBOR + 3.250%), 4.51%, 8/14/24 (m)

       1,002       1,009,036  
      

 

 

 
                       14,494,527  
Household Products — 0.1%  

Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.31%, 6/23/22 (m)

             933       936,448  
Independent Power and Renewable Electricity Producers — 0.9%  

AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.32%, 5/24/22 (m)

       479       478,800  

Calpine Construction Finance Co., LP, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.74%, 5/03/20 (m)

       489       488,048  

Calpine Corp. (m):

      

Term Loan B5, (3 mo. LIBOR + 2.750%), 4.05%, 1/15/24

       255       254,551  

Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 1/15/23

       271       270,114  

Term Loan B7, (3 mo. LIBOR + 2.750%), 4.05%, 5/31/23

       408       406,858  

Calpine Corporation, 1st Lien Term Loan, (PRIME + 0.750%), 2.99%, 11/30/17 (m)

       114       113,388  

Dynegy, Inc., 2017 Term Loan C, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 2/07/24 (m)

       914       915,276  

Granite Acquisition, Inc. (m):

      

Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21

       1,089       1,095,638  

Term Loan C, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21

       49       49,424  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 4/26/24 (m)

       820       824,100  

Talen Energy Supply LLC (m):

      

2017 Term Loan B1, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 7/15/23

       98       95,873  

2017 Term Loan B2, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 4/15/24

       196       191,888  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 12/09/21 (a)(m)

       506       458,003  
      

 

 

 
                       5,641,961  
Industrial Conglomerates — 0.3%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%), 5.24%, 11/30/23 (m)

       1,282       1,289,641  

Sequa Corp., 1st Lien Term Loan, (2 mo. LIBOR + 5.500%), 6.81%, 11/28/21 (m)

       480       483,000  
      

 

 

 
                       1,772,641  
Insurance — 0.7%  

Alliant Holdings I, Inc., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 8/12/22 (m)

       743       742,521  
 

 

See Notes to Financial Statements.      
                
44    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Insurance (continued)  

AmWINS Group, Inc., 2017 Term Loan B, (PRIME + 1.750%, 1.00% Floor), 3.99%, 1/25/24 (m)

     USD       622     $ 622,267  

AssuredPartners, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%), 4.74%, 10/22/2024 (m)

       216       216,817  

Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 10/02/20 (m)

       496       497,476  

Sedgwick Claims Management Services, Inc. (m):

      

1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/21

       799       799,261  

2016 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 3/01/21

       263       262,744  

2nd Lien Term Loan, (1 mo. LIBOR + 5.750%, 1.00% Floor), 6.99%, 2/28/22

       765       766,912  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/22/23 (m)

       235       236,762  
      

 

 

 
                       4,144,760  
Internet & Direct Marketing Retail — 0.1%  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.250%), 4.49%, 8/18/23 (m)

             420       421,268  
Internet Software & Services — 0.5%  

Go Daddy Operating Co. LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/15/24 (m)

       1,189       1,191,184  

GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 1/09/24 (m)

       161       161,593  

Rackspace Hosting, Inc., 2017 1st Lien Term Loan, (2 mo. LIBOR + 3.000%,
1.00% Floor), 4.31%, 11/03/23 (m)

       1,088       1,088,177  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 5/06/24 (m)

       470       471,565  

WaveDivision Holdings LLC, Term Loan B, (2 mo. LIBOR + 2.750%, 1.00% Floor), 4.03%, 10/15/19 (m)

       381       381,077  
      

 

 

 
                       3,293,596  
IT Services — 2.0%  

First Data Corp. (m):

      

2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 4/26/24

       4,021       4,020,581  

2022 Term Loan, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       175       175,177  

Term Loan A, (1 mo. LIBOR + 2.000%), 3.24%, 6/02/20

       133       132,819  

IG Investment Holdings LLC, 2017 Term Loan, (3 mo. LIBOR + 4.000%,
1.00% Floor), 5.30%, 10/31/21 (m)

       831       835,787  

NeuStar, Inc. (r):

      

Term Loan B1, 1/08/20

       108       108,746  

Term Loan B2, 3/01/24

       344       346,482  

Optiv Security, Inc. (m):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 2/01/24

       1,232       1,119,394  
Floating Rate Loan Interests    Par
(000)
    Value  
IT Services (continued)  

2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.56%, 2/01/25

     USD       335     $ 296,971  

Peak 10, Inc. (m):

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 8/01/24

       696       693,482  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.56%, 8/01/25

       513       516,422  

TKC Holdings, Inc. (m):

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.000%, 1.00% Floor), 9.24%, 2/01/24

       438       438,000  

2017 Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.49%, 2/01/23

       718       720,218  

Vantiv LLC, 2014 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 10/14/23 (m)

       517       516,940  

VF Holding Corp., Reprice Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/30/23 (m)

       1,449       1,453,397  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.99%, 6/30/23 (m)

       1,203       1,210,825  
      

 

 

 
                       12,585,241  
Life Sciences Tools & Services — 0.3%  

Albany Molecular Research, Inc. (m):

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.250%), 4.49%, 8/30/24

       626       626,000  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.24%, 8/30/25

       300       303,750  

Parexel International Corp,, Term Loan B, 8/07/24 (r)

       814       815,891  
      

 

 

 
                       1,745,641  
Machinery — 0.7%  

Clark Equipment Co., 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 4.01%, 5/18/24 (m)

       364       364,696  

Columbus McKinnon Corp., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (a)(m)

       96       96,633  

Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.01%, 7/30/24 (m)

       759       757,807  

Hayward Industries, Inc., Term
Loan B, 7/18/24 (r)

       494       496,005  

Infiltrator Systems, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/27/22 (m)

       757       761,687  

Manitowoc Foodservice, Inc., 2016 Term Loan B, (1 Week LIBOR + 3.000%), 4.24%, 3/03/23 (m)

       51       51,329  

Mueller Water Products, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.74%, 11/25/21 (m)

       297       298,521  

Navistar International Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%,
1.00% Floor), 5.24%, 8/07/20 (m)

       411       413,559  

Rexnord LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 8/21/23 (m)

       761       761,728  

Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.750%,
1.00% Floor), 3.99%, 5/04/21 (m)

       80       79,465  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    45


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Machinery (continued)  

Tecomet, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 5/02/24 (m)

     USD       290     $ 291,450  
      

 

 

 
                       4,372,880  
Media — 3.4%  

Altice Financing SA, 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%, 7/15/25 (m)

       454       453,132  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/28/25 (m)

       2,199       2,181,377  

Cable One, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.250%), 3.57%, 5/01/24 (a)(m)

       260       260,650  

CBS Radio, Inc., Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/17/23 (m)

       432       434,660  

Charter Communications Operating LLC, 2016 Term Loan I Add, (1 mo. LIBOR + 2.250%), 3.49%, 1/15/24 (m)

       1,709       1,717,053  

CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/17/25 (m)

       1,500       1,489,383  

DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 12/29/23 (a)(m)

       280       280,700  

Entercom Radio LLC, 2016 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 11/01/23 (m)

       234       233,946  

Getty Images, Inc., Term Loan B, (1 Week LIBOR + 3.500%), 4.80%, 10/18/19 (m)

       178       153,462  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/07/24 (m)

       503       503,514  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/31/21 (m)

       495       476,233  

iHeartCommunications, Inc. (m):

      

Extended Term Loan E, (1 mo. LIBOR + 7.500%), 8.74%, 7/30/19

       215       171,766  

Term Loan D, (1 mo. LIBOR + 6.750%), 7.99%, 1/30/19

       1,972       1,577,324  

Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.00%, 6/30/19 (m)

       2,681       2,669,165  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 12/01/23 (m)

       568       570,222  

Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (m)

       150       150,359  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (m)

       1,209       1,210,814  

Numericable US LLC, Term Loan B10, (3 mo. LIBOR + 3.250%), 4.56%, 1/14/25 (m)

       343       344,627  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/01/24 (m)

       449       442,514  

SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 3/24/21 (m)

       675       676,179  
Floating Rate Loan Interests    Par
(000)
    Value  
Media (continued)  

Trader Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.54%, 9/28/23 (m)

     USD       454     $ 452,919  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.000%), 4.24%, 1/27/24 (m)

       1,222       1,223,856  

Unitymedia Hessen GmbH & Co. KG, Term Loan B, 9/30/25 (r)

       691       687,545  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.750%,
1.00% Floor), 3.99%, 3/15/24 (m)

       625       619,520  

Virgin Media Bristol LLC, Term Loan I, (1 mo. LIBOR + 2.750%), 3.98%, 1/31/25 (m)

       1,480       1,482,871  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 5/06/21 (m)

       109       109,888  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.500%), 3.73%, 4/15/25 (m)

       745       742,765  
      

 

 

 
                       21,316,444  
Metals & Mining — 0.0%  

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.82%, 9/30/23 (m)

             233       235,717  
Multiline Retail — 0.1%  

Hudson’s Bay Co., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (m)

             966       926,953  
Oil, Gas & Consumable Fuels — 1.1%  

BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.51%, 6/24/24 (m)

       570       573,323  

BCP Renaissance Parent LLC, Term Loan, 12/07/24 (a)(r)

       810        

California Resources Corp. (m):

      

Second Out Term Loan, (1 mo. LIBOR + 10.375%), 11.60%, 12/31/21

       983       1,040,373  

Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 10/01/19 (a)

       795       755,291  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 8/23/21 (m)

       712       755,672  

CITGO Holding, Inc., 2015 Term Loan B, (3 mo. LIBOR + 8.500%, 1.00% Floor), 9.80%, 5/12/18 (m)

       343       345,189  

Drillships Financing Holding, Inc., Term Loan B1, 8.25%, 3/31/21 (c)

       441       280,259  

Energy Transfer Equity LP, 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 2/02/24 (m)

       817       817,905  

EWT Holdings III Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 1/15/21 (m)

       308       310,801  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/31/23 (m)

       747       740,573  

Moxie Patriot LLC, Term Loan B1, (3 mo. LIBOR + 5.750%), 7.05%, 12/19/20 (m)

       157       145,579  

PowerTeam Services LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%,
1.00% Floor), 8.55%, 11/06/20 (m)

       275       272,594  

Ultra Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/12/24 (m)

       331       330,447  
 

 

See Notes to Financial Statements.      
                
46    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Veresen Midstream LP, 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 3/31/22 (m)

     USD       815     $ 818,078  
      

 

 

 
                       7,186,084  
Personal Products — 0.5%  

Nature’s Bounty Co.:

      

2017 2nd Lien Term Loan, 9/15/25 (r)

       544       539,468  

2017 Term Loan, 8/11/24 (r)

       1,200       1,191,756  

2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/05/23

       250       249,490  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 1/26/24 (m)

       854       854,791  

Revlon Consumer Products Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.500%), 4.74%, 9/07/23 (m)

       206       184,858  
      

 

 

 
                       3,020,363  
Pharmaceuticals — 0.9%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.50%, 4/16/21 (a)(m)

       609       615,582  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.250%), 3.44%, 1/31/25 (m)

       1,237       1,238,224  

Jaguar Holding Co. II, 2015 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 8/18/22 (m)

       1,976       1,979,948  

Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, (1 mo. LIBOR + 4.750%), 5.99%, 4/01/22 (m)

       1,620       1,647,415  
      

 

 

 
                       5,481,169  
Professional Services — 0.3%  

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 7/23/21 (m)

       519       498,526  

Information Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.250%,
1.00% Floor), 5.49%, 1/18/24 (m)

       344       346,289  

SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 11/14/22 (a)(m)

       239       239,994  

Sterling Infosystems, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%,
1.00% Floor), 5.55%, 6/20/22 (m)

       739       741,230  
      

 

 

 
                       1,826,039  
Real Estate Investment Trusts (REITs) — 0.3%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%,
1.00% Floor), 4.24%, 3/24/24 (m)

       249       249,515  

Communications Sales & Leasing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 10/24/22 (m)

       171       165,263  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 4/25/23 (m)

       1,382       1,384,441  
      

 

 

 
                       1,799,219  
Real Estate Management & Development — 0.4%  

CityCenter Holdings LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.73%, 4/18/24 (m)

       1,125       1,127,129  
Floating Rate Loan Interests    Par
(000)
    Value  
Real Estate Management & Development (continued)  

DTZ US Borrower LLC, 2015 1st Lien Term Loan, (3 mo. LIBOR + 3.250%,
1.00% Floor), 4.56%, 11/04/21 (m)

     USD       499     $ 499,345  

Realogy Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 7/20/22 (m)

       816       818,362  
      

 

 

 
                       2,444,836  
Road & Rail — 0.0%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (PRIME + 2.500%, 1.00% Floor), 4.73%, 6/13/23 (m)

             149       149,559  
Semiconductors & Semiconductor Equipment — 0.1%  

Cavium, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.48%, 8/16/22 (a)(m)

       236       236,449  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 5/12/24 (a)(m)

       158       157,802  

Microsemi Corp., 2015 Term Loan B, (3 mo. LIBOR + 2.250%), 3.55%, 1/15/23 (m)

       155       155,039  

ON Semiconductor Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/31/23 (m)

       236       236,454  
      

 

 

 
                       785,744  
Software — 3.9%  

Almonde, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.57%, 6/13/25 (m)

       373       379,237  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 12/20/22 (m)

       379       381,658  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.000%,
1.00% Floor), 5.24%, 9/10/22 (m)

       1,153       1,156,843  

Cypress Intermediate Holdings III, Inc. (m):

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 4/27/24

       294       293,217  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.750%, 1.00% Floor), 7.99%, 4/27/25

       160       164,350  

Dell, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 9/07/23 (m)

       789       791,975  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.07%, 5/28/24 (m)

       876       883,980  

DTI Holdco, Inc., 2016 Term Loan B, (2 mo. LIBOR + 5.250%, 1.00% Floor), 6.51%, 9/30/23 (m)

       507       484,604  

Hyland Software, Inc. (m):

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.24%, 7/07/25

       190       193,088  

2017 Term Loan, (1 mo. LIBOR + 3.250%), 4.49%, 7/01/22

       443       446,348  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 2/01/22 (m)

       1,369       1,364,229  

Informatica Corp., Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 8/05/22 (m)

       1,249       1,250,084  

IPS Corp., 2016 1st Lien Term Loan, (1 mo. LIBOR + 5.250%, 1.00% Floor), 6.49%, 12/20/23 (a)(m)

       284       284,284  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.30%, 4/01/21 (m)

       376       371,701  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    47


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Floating Rate Loan Interests    Par
(000)
    Value  
Software (continued)  

Kronos, Inc. (m):

      

2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 11/01/23

     USD       1,164     $ 1,173,063  

2nd Lien Term Loan, (3 mo. LIBOR + 8.250%, 1.00% Floor), 9.56%, 11/01/24

       615       634,987  

LANDesk Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 1/20/24 (m)

       180       177,107  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.750%), 3.98%, 6/21/24 (m)

       90       90,194  

Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR + 3.500%), 4.82%, 6/13/24 (m)

       1,010       1,014,292  

Mitchell International, Inc. (m):

      

1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 10/13/20

       689       690,481  

2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 10/11/21

       600       603,936  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 4/26/24 (m)

       1,011       985,725  

Project Leopard Holdings, Inc., Term Loan B, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.76%, 7/07/23 (a)(m)

       280       281,400  

RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/12/23 (m)

       846       852,010  

Seattle Spinco, Inc., Term Loan B3, (3 mo. LIBOR + 2.750%), 4.03%, 6/21/24 (m)

       610       609,104  

SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 2/05/23 (m)

       911       914,111  

Solera LLC, Term Loan B, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.51%, 3/03/23 (m)

       1,419       1,422,733  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (m)

       1,134       1,132,507  

SS&C Technologies, Inc. (m):

      

2017 Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       1,622       1,627,966  

2017 Term Loan B2, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22

       85       84,922  

Synchronoss Technologies, Inc., Term Loan, (3 mo. LIBOR + 4.500%), 5.76%, 1/19/24 (m)

       374       368,452  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.000%), 4.23%, 5/01/24 (m)

       1,135       1,138,405  

Tibco Software Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 12/04/20 (m)

       886       887,839  

Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.000%), 3.24%, 4/10/23 (m)

       1,140       1,139,836  

Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.500%, 1.00% Floor), 5.80%, 1/27/23 (m)

       584       587,669  
      

 

 

 
                       24,862,337  
Specialty Retail — 0.6%  

Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.23%, 7/01/22 (m)

       321       213,804  

Bass Pro Group LLC, Asset Sale Term Loan, (3 mo. LIBOR + 4.750%), 6.05%, 6/09/18 (m)

       295       295,186  
Floating Rate Loan Interests    Par
(000)
    Value  
Specialty Retail (continued)  

Leslie’s Poolmart, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 8/16/23 (m)

     USD       632     $ 631,959  

Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 1/30/23 (m)

       403       402,223  

Party City Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.000%), 4.30%, 8/19/22 (m)

       496       496,094  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%,
1.00% Floor), 4.31%, 1/26/23 (m)

       560       469,696  

PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/11/22 (m)

       59       51,713  

Staples, Inc., 2017 Term Loan B, 8/06/24 (m)(r)

       970       964,927  
      

 

 

 
                       3,525,602  
Technology Hardware, Storage & Peripherals — 0.1%  

Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 4/29/23 (m)

             618       620,811  
Textiles, Apparel & Luxury Goods — 0.1%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.250%, 1.00% Floor), 6.55%, 8/12/22 (a)(m)

             712       715,155  
Trading Companies & Distributors — 0.4%  

Beacon Roofing Supply, Inc., Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 10/01/22 (m)

       837       839,204  

HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.000%,
1.00% Floor), 4.46%, 8/01/24 (m)

       750       750,938  

HD Supply, Inc. (m):

      

Term Loan B1, (1 mo. LIBOR + 2.250%), 4.05%, 8/13/21

       819       818,319  

Term Loan B2, (1 mo. LIBOR + 2.500%), 4.05%, 10/17/23

       223       223,647  

Nexeo Solutions LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.05%, 6/09/23 (m)

       109       109,414  
      

 

 

 
                       2,741,522  
Transportation — 0.1%  

Gruden Acquisition, Inc., 2017 Term Loan, (1 mo. LIBOR + 5.500%, 1.00% Floor), 6.80%, 8/18/22 (m)

             443       435,677  
Wireless Telecommunication Services — 0.8%  

GEO Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/22/24 (m)

       730       730,477  

Ligado Networks LLC (m):

      

2015 2nd Lien Term Loan, 13.72%, 12/07/20 (b)(c)

       32       19,762  

PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (g)

       2,826       2,688,792  

LTS Buyer LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%), 4.55%, 4/13/20 (m)

       1,789       1,790,898  
      

 

 

 
                       5,229,929  
Total Floating Rate Loan Interests — 37.2%               234,434,044  
 

 

See Notes to Financial Statements.      
                
48    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Foreign Agency Obligations    Par
(000)
    Value  

Argentine Republic Government International Bond:

      

6.25%, 4/22/19 (f)

     USD       2,269     $ 2,385,853  

5.63%, 1/26/22 (f)

       5,010       5,240,460  

7.50%, 4/22/26 (f)

       3,008       3,362,944  

6.88%, 1/26/27

       170       183,175  

7.63%, 4/22/46 (f)

       2,422       2,652,090  

Banque Centrale de Tunisie International Bond, 4.50%, 6/22/20

     EUR       559       697,404  

Brazilian Government International Bond:

      

4.25%, 1/07/25

     USD       211       213,110  

6.00%, 4/07/26

       212       235,108  

Colombia Government International Bond:

      

11.75%, 2/25/20

     USD       37       45,547  

4.38%, 7/12/21 (f)

       2,492       2,660,210  

Cyprus Government International Bond, 4.63%, 2/03/20 (e)

     EUR       2,600       3,416,358  

Egypt Government International Bond:

      

5.75%, 4/29/20

     USD       1,857       1,938,114  

8.50%, 1/31/47 (e)

       373       417,760  

Iceland Government International Bond, 5.88%, 5/11/22

       3,030       3,465,588  

Indonesia Government International Bond:

      

5.88%, 3/13/20

       1,421       1,551,631  

4.13%, 1/15/25

       320       336,544  

4.75%, 1/08/26

       637       696,157  

Lebanon Government International Bond, 6.85%, 3/23/27

       42       42,025  

Mexico Government International Bond, 4.15%, 3/28/27

       420       444,570  

Portugal Government International Bond, 5.13%, 10/15/24 (e)

       3,190       3,313,070  

Republic of South Africa Government International Bond:

      

5.50%, 3/09/20

       862       920,990  

5.88%, 5/30/22

       275       303,498  

Turkey Government International Bond, 7.00%, 6/05/20 (f)

             3,251       3,577,238  
Total Foreign Agency Obligations — 6.1%                      38,099,444  
      
                          
Non-Agency Mortgage-Backed Securities  
Collateralized Mortgage Obligations — 1.0%  

Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

       2,729       2,398,425  

Countrywide Home Loan Mortgage Pass-Through Trust:

      

Series 2005-17, Class 1A6, 5.50%, 9/25/35

       535       532,592  

Series 2006-17, Class A2, 6.00%, 12/25/36

       1,391       1,238,171  

Series 2007-HY5, Class 3A1, 3.66%, 9/25/37 (n)

       1,034       1,001,217  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.59%, 10/25/35 (n)

       910       807,370  
      

 

 

 
                       5,977,775  
Commercial Mortgage-Backed Securities — 6.7%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 4/14/33 (e)(n)

       4,830       4,976,717  

Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class D, (1 mo. LIBOR + 3.050%), 4.28%, 9/15/27 (d)(e)

       2,825       2,830,357  
Non-Agency Mortgage-Backed Securities     Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)        

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT (d)(e):

      

Class E, (1 mo. LIBOR + 3.150%), 4.38%, 8/13/27

     USD       1,000     $ 1,004,329  

Class F, (1 mo. LIBOR + 2.441%), 3.67%, 8/13/27

       2,000       1,962,369  

Commercial Mortgage Trust:

      

Series 2013-LC6, Class B, 3.74%, 1/10/46

       1,110       1,141,021  

Series 2014-CR21, Class A3, 3.53%, 12/10/47

       230       241,516  

Series 2015-3BP, Class A, 3.18%, 2/10/35 (e)

       5,930       6,075,761  

Series 2015-CR22, Class B, 3.93%, 3/10/48 (n)

       5,000       5,143,680  

Core Industrial Trust, Series 2015-TEXW, Class D, 3.98%, 2/10/34 (e)(n)

       3,615       3,700,927  

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 4/15/50 (n)

       890       922,537  

GAHR Commercial Mortgage Trust, Series 2015-NRF (e)(n):

      

Class DFX, 3.49%, 12/15/34

       4,830       4,896,199  

Class GFX, 3.49%, 12/15/34

       2,500       2,474,360  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.96%, 7/10/38 (n)

       668       667,462  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (e)

       1,995       2,063,973  

JPMorgan Chase Commercial Mortgage Securities Trust:

      

Series 2004-LN2, Class A2, 5.12%, 7/15/41

       10       9,890  

Series 2016-NINE, Class A, 2.95%, 10/06/38 (e)(n)

       800       798,847  

Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4, 3.70%, 11/15/48

       600       637,064  

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

      

Class B, 4.31%, 8/15/45

       1,085       1,156,620  

Class C, 5.06%, 8/15/45 (n)

       1,395       1,465,686  
      

 

 

 
                       42,169,315  
Interest Only Commercial Mortgage-Backed Securities — 0.2%  

Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 1.00%, 7/10/48 (n)

       15,963       680,356  

WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.31%, 5/15/47 (n)

       14,299       722,142  
      

 

 

 
                       1,402,498  
Total Non-Agency Mortgage-Backed Securities — 7.9%       49,549,588  
      
                          
Other Interests (o)   

Beneficial

Interest
(000)

        
Auto Components — 0.0%  

Lear Corp. Escrow (a)

             1,000       10  
IT Services — 0.0%                   

Millennium Lender Claims (a)(b)

             1,779        
Total Other Interests — 0.0%                      10  
 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    49


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Preferred Securities    Par
(000)
    Value  
Capital Trusts               
Banks — 2.7%  

Banco Santander SA, 6.25% (h)(j)

     USD       100     $ 122,512  

Capital One Financial Corp., Series E, 5.55% (f)(h)(j)

       3,000       3,131,100  

CIT Group, Inc., 5.80% (h)(j)

       475       492,813  

Citigroup, Inc. (f)(h)(j):

      

5.90%

       5,000       5,387,500  

Series A, 5.95%

       1,370       1,476,175  

Series R, 6.13%

       950       1,017,070  

Cooperatieve Rabobank UA, 6.63% (h)(j)

       200       266,363  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 1.50% (d)(j)

       100       82,832  

Intesa Sanpaolo SpA, 7.00% (h)(j)

       200       256,245  

RZB Finance Jersey IV Ltd., 1.62% (h)(j)

       100       115,528  

U.S. Bancorp, Series J, 5.30% (h)(j)

       261       283,185  

Wells Fargo & Co. (f)(h)(j):

      

Series S, 5.90%

       3,170       3,439,450  

Series U, 5.88%

       650       721,500  
      

 

 

 
                       16,792,273  
Capital Markets — 1.1%  

Goldman Sachs Group, Inc. (f)(h)(j):

 

Series L, 5.70%

       819       847,665  

Series M, 5.38%

       1,730       1,799,200  

Morgan Stanley, Series H, 5.45% (f)(h)(j)

       2,546       2,619,197  

State Street Corp., Series F, 5.25% (f)(h)(j)

       1,625       1,710,313  

UBS Group AG, 5.75% (h)(j)

       200       265,754  
      

 

 

 
                       7,242,129  
Chemicals — 0.0%  

Lanxess AG, 4.50%, 12/6/76 (h)

       50       65,267  

Solvay Finance SA, 5.12% (h)(j)

       100       132,706  
      

 

 

 
                       197,973  
Diversified Financial Services — 3.1%  

Bank of America Corp. (f)(h)(j):

 

Series AA, 6.10%

       1,241       1,360,446  

Series U, 5.20%

       1,250       1,293,750  

Series V, 5.13%

       510       521,531  

Series X, 6.25%

       1,929       2,119,971  

Credit Agricole SA, 6.50% (h)(j)

       100       131,961  

HBOS Capital Funding LP, 6.85% (j)

       100       102,210  

HSBC Holdings PLC, 6.00% (h)(j)

       415       436,373  

JPMorgan Chase & Co. (f)(h)(j):

      

Series U, 6.13%

       6,690       7,350,638  

Series V, 5.00%

       4,060       4,122,930  

Royal Bank of Scotland Group PLC, 8.63% (h)(j)

       200       221,500  

Societe Generale SA, 6.00% (e)(f)(h)(j)

       2,000       2,018,308  
      

 

 

 
                       19,679,618  
Diversified Telecommunication Services — 0.1%  

SoftBank Group Corp., 6.00% (h)(j)

       200       200,500  

Telefonica Europe BV (h)(j):

      

3.75%

       100       124,278  

4.20%

       200       251,542  

5.00%

       100       127,736  
      

 

 

 
                       704,056  
Electric Utilities — 0.1%  
Enel SpA (h):  

5.00%, 1/15/75

       100       128,795  

7.75%, 9/10/75

       100       147,738  

Origin Energy Finance Ltd., 4.00% (h)

       100       123,850  

RWE AG, 2.75% (h)

       60       72,224  
      

 

 

 
                       472,607  
Capital Trusts   

Par

(000)

    Value  
Insurance — 1.6%  

Hartford Financial Services Group, Inc., 8.13%, 6/15/38 (f)(h)

     USD       2,500     $ 2,605,000  

Prudential Financial, Inc., 5.63%, 6/15/68 (f)(h)

       3,250       3,518,125  

Voya Financial, Inc., 5.65%, 5/15/53 (f)(h)

       3,500       3,710,000  
      

 

 

 
                       9,833,125  
Oil, Gas & Consumable Fuels — 0.1%  

Gas Natural Fenosa Finance BV, 3.38% (j)(n)

       100       121,421  

Repsol International Finance BV, 4.50%, 3/25/75 (h)

       100       126,371  

TOTAL SA, 3.88% (h)(j)

       100       128,828  
      

 

 

 
                       376,620  
Total Capital Trusts — 8.8%                      55,298,401  
      
                          
Preferred Stocks           Shares         
Capital Markets — 1.9%  

Goldman Sachs Group, Inc., Series J, 5.50% (h)(j)

       202,526       5,454,025  

Morgan Stanley (j)(h):

      

Series F, 6.88%

       120,000       3,490,800  

Series K, 5.85%

       78,162       2,131,478  

SCE Trust III, Series H, 5.75% (h)(j)

       21,200       584,696  
      

 

 

 
                       11,660,999  
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Aquired 4/08/15, cost $11,497) (p)

             127,973       116,865  
Total Preferred Stocks — 1.9%                      11,777,864  
      
                          
Trust Preferred                      
Diversified Financial Services — 0.4%                   

GMAC Capital Trust I, Series 2, 7.10% 2/15/40

             105,753       2,754,250  
Total Preferred Securities — 11.1%                      69,830,515  
      
                          
U.S. Government Sponsored Agency
Securities
   Par
(000)
        
Collateralized Mortgage Obligations — 1.0%              

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%), 4.23%, 10/25/29 (d)

     USD       1,600       1,627,814  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44 (f)

       4,362       4,688,102  
      

 

 

 
                       6,315,916  
Interest Only Collateralized Mortgage Obligations — 0.4%        

Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.11%, 12/25/17 (n)

       2,966       16,075  

Freddie Mac Mortgage-Backed Securities, Class X1 (n):

      

Series K042, 1.19%, 12/25/24

       34,664       2,227,610  

Series K707, 1.66%, 12/25/18

       40,242       587,922  
      

 

 

 
                       2,831,607  
Mortgage-Backed Securities — 0.2%                   

Fannie Mae Mortgage-Backed Securities, 5.00%, 7/1/20 - 8/1/23 (f)

             1,189       1,217,765  
Total U.S. Government Sponsored Agency Securities — 1.6%       10,365,288  
 

 

See Notes to Financial Statements.      
                
50    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

U.S. Treasury Obligations — 0.5%   

Par

(000)

    Value  

U.S. Treasury Bonds, 2.50%, 2/15/46 (f)

     USD       3,200     $ 3,055,250  
      
                          
Rights — 0.0%           Shares         
Electric Utilities — 0.0%                   

Tex Energy LLC (a)

             18,143       19,050  
      
                          
Warrants                      
Metals & Mining — 0.0%                   

Ameriforge Group, Inc. (Expires 12/20/20) (a)

             2,542        
Software — 0.0%                   

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

             3,100       217  
Total Warrants — 0.0%                      217  
Total Long-Term Investments
(Cost — $865,229,496) — 139.5%
                     878,306,580  
Short-Term Securities               
Shares
    Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.89% (q)(s)

             1,298,832     $ 1,298,832  
Total Short-Term Securities
(Cost — $1,298,832) — 0.2%
      1,298,832  
Options Purchased
(Cost — $1,711,356) — 0.4%
      2,543,224  
Total Investments Before Options Written
(Cost — $868,239,684) — 140.1%
      882,148,636  
Options Written
(Premiums Received — $1,380,441) — (0.4)%
      (2,133,681

Total Investments, Net of Options Written

(Cost — $866,859,243) — 139.7%

 

 

    880,014,955  

Liabilities in Excess of Other Assets — (39.7)%

 

    (250,286,759
      

 

 

 

Net Assets — 100.0%

 

  $ 629,728,196  
      

 

 

 
 
Notes to Schedule of Investments

 

(a)   Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

(b)   Non-income producing security.

 

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

 

(d)   Floating rate security. Rate shown is the rate in effect as of period end.

 

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

 

(f)   All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

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

 

(h)   Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

 

(i)   Zero-coupon bond.

 

(j)   Perpetual security with no stated maturity date.

 

(k)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(l)   Convertible security.

 

(m)   Variable rate security. Rate shown is the rate in effect as of period end.

 

(n)   Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

 

(o)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(p)   Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $116,865 and an original cost of $11,497, which was less than 0.05% of its net assets.

 

(q)   Annualized 7-day yield as of period end.

 

(r)   Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

 

(s)   During the year ended August 31, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliate   Shares Held
at August 31,
2016
    Shares
Purchased
    Shares
Sold
    Shares Held
at August 31,
2017
    Value at
August 31,
2017
    Income     Net
Realized
Gain1
    Change  in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

          1,298,832 2        1,298,832     $ 1,298,832     $ 31,660     $ 12        

BlackRock Liquidity Funds, TempFund, Institutional Class

    2,911,779             (2,911,779 )3                  33              

iShares iBoxx $ High Yield Corporate Bond ETF

    8,500             (8,500                 9,713       (3,886   $ (3,377

Total

    $ 1,298,832     $ 41,406     $ (3,874   $ (3,377
         

 

 

   

 

 

   

 

 

   

 

 

 

1   Includes net capital gain distributions.

    

2    Represents net shares purchased.

     

3    Represents net shares sold.

     

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    51


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

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

 

Reverse Repurchase Agreements
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the Agreements1

Credit Suisse Securities (USA) LLC

    1.17     12/29/16       Open     $ 2,860,000     $ 2,876,107     U.S. Treasury Obligations   Open/Demand

RBC Capital Markets LLC

    1.95     1/18/17       Open       440,000       444,590     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/23/17       Open       244,850       247,357     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/25/17       Open       974,820       984,561     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/27/17       Open       784,400       792,369     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/27/17       Open       1,113,552       1,124,865     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/27/17       Open       661,752       668,475     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     1/31/17       Open       1,619,680       1,635,758     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     2/07/17       Open       257,480       259,966     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     2/10/17       Open       143,000       144,231     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     2/15/17       Open       105,300       106,284     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     2/23/17       Open       1,261,000       1,270,510     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/06/17       Open       1,697,000       1,711,655     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     3/07/17       Open       875,000       881,803     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/09/17       Open       419,000       422,602     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/09/17       Open       373,000       376,206     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/09/17       Open       316,000       318,716     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/09/17       Open       347,000       349,983     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/09/17       Open       340,000       342,923     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/10/17       Open       668,000       673,715     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/10/17       Open       167,000       168,429     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/10/17       Open       441,000       444,773     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/10/17       Open       295,000       297,524     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17       Open       587,000       591,951     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17       Open       219,000       220,847     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17       Open       195,000       196,629     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     3/14/17       Open       256,880       259,010     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/15/17       Open       162,000       163,356     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17       Open       1,485,000       1,494,659     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17       Open       2,889,000       2,907,791     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.65     3/16/17       Open       2,741,000       2,760,107     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,096,000       1,105,174     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,287,000       1,297,773     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,310,000       1,320,966     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,504,000       1,516,590     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       329,000       331,754     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       2,122,000       2,139,763     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       275,000       277,302     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       925,000       932,743     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       2,111,000       2,128,671     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       2,496,000       2,516,894     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,724,000       1,738,431     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       128,000       129,071     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       938,000       945,852     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       562,000       566,704     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       161,000       162,348     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       214,000       215,791     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       992,000       1,000,304     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,007,000       1,015,429     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       524,000       528,386     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       131,000       132,097     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       854,000       861,149     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       466,000       469,901     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       593,000       597,964     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       423,000       426,541     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       418,000       421,499     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       250,000       252,093     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       549,000       553,596     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       333,000       335,787     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       1,145,000       1,154,585     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       481,000       485,026     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       289,000       291,419     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.      
                
52    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open     $ 922,000     $ 929,718     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       307,000       309,570     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       921,000       928,710     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       316,000       318,645     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       814,000       820,814     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       286,000       288,394     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       33,000       33,276     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       945,000       952,910     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       398,000       401,332     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       466,000       469,901     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       397,000       400,323     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       421,000       424,524     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       165,000       166,381     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       781,000       787,538     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       440,000       443,683     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       959,000       967,028     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       416,000       419,482     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       539,000       543,512     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       646,000       651,408     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       363,000       366,039     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       298,000       300,495     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17       Open       222,000       223,858     Corporate Bonds   Open/Demand

UBS Ltd.

    1.50     3/16/17       Open       2,970,000       2,988,624     Capital Trusts   Open/Demand

UBS Ltd.

    1.50     3/16/17       Open       2,647,500       2,664,102     Capital Trusts   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       1,112,875       1,121,152     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       265,633       267,608     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       373,450       376,228     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       303,365       305,621     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       160,650       161,845     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       770,625       776,357     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       1,665,000       1,677,383     Capital Trusts   Open/Demand

UBS Ltd.

    1.75     3/16/17       Open       4,581,250       4,615,323     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/17/17       Open       636,215       641,541     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/17/17       Open       685,912       691,654     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/17/17       Open       884,318       891,721     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/17/17       Open       267,000       269,197     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.75     3/20/17       Open       3,327,187       3,351,379     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17       Open       1,242,402       1,252,851     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/21/17       Open       172,000       173,399     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/22/17       Open       603,717       608,571     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     3/23/17       Open       65,600       66,118     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/30/17       Open       152,000       153,150     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/31/17       Open       351,000       353,640     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     3/31/17       Open       121,275       122,187     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/05/17       Open       797,940       803,828     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       140,738       141,569     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       552,900       556,167     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       132,300       133,082     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       218,550       219,841     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       289,750       291,462     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       1,771,200       1,781,666     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/06/17       Open       320,450       322,344     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       546,887       550,923     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       430,550       433,727     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       323,635       326,023     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       170,000       171,254     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       512,940       516,725     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       477,125       480,646     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       687,150       692,221     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       914,760       921,510     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       299,213       301,420     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       331,280       333,725     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       894,735       901,337     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       670,455       675,402     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       564,475       568,640     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       1,349,220       1,359,176     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    53


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets LLC

    1.95     4/06/17       Open     $ 1,624,470     $ 1,636,457     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       257,550       259,451     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       118,695       119,571     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       158,400       159,569     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       437,340       440,567     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/06/17       Open       111,375       112,197     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/07/17       Open       127,000       127,913     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/07/17       Open       97,008       97,567     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/07/17       Open       39,856       40,086     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/07/17       Open       218,592       220,164     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/13/17       Open       219,664       221,170     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/18/17       Open       342,000       344,346     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/19/17       Open       660,000       664,465     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/19/17       Open       1,565,000       1,575,588     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/19/17       Open       673,000       677,553     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     4/19/17       Open       2,983,000       2,998,184     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/19/17       Open       1,451,250       1,459,123     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/19/17       Open       1,458,187       1,466,099     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     4/19/17       Open       1,187,500       1,193,943     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/19/17       Open       57,000       57,383     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/20/17       Open       165,000       166,085     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/20/17       Open       339,000       341,229     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/20/17       Open       388,000       390,552     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/26/17       Open       282,000       283,801     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/28/17       Open       2,069,000       2,081,825     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     4/28/17       Open       228,200       229,615     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/01/17       Open       468,000       470,879     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     5/05/17       Open       307,860       309,470     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/08/17       Open       562,273       565,599     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     5/10/17       Open       369,786       371,705     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/11/17       Open       816,000       820,557     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/12/17       Open       867,000       871,801     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/12/17       Open       231,000       232,279     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/17/17       Open       213,000       214,169     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     5/17/17       Open       283,650       284,904     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     5/17/17       Open       392,038       393,770     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     5/17/17       Open       263,313       264,476     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     5/17/17       Open       423,862       425,736     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     5/17/17       Open       539,737       542,123     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       175,821       176,787     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       320,243       322,001     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       257,550       258,964     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       242,150       243,479     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       332,920       334,748     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       190,500       191,546     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       260,663       262,094     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/17/17       Open       703,010       706,803     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/19/17       Open       317,300       318,952     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       1,159,000       1,165,090     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       811,000       815,261     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       1,194,000       1,200,273     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       1,028,000       1,033,401     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       1,980,000       1,990,403     Foreign Agency Obligations   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/22/17       Open       2,853,000       2,867,990     Foreign Agency Obligations   Open/Demand

RBC Capital Markets LLC

    1.59     5/22/17       Open       497,900       499,990     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/24/17       Open       69,000       69,350     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/24/17       Open       1,065,050       1,070,445     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17       Open       923,000       927,370     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     5/31/17       Open       98,685       99,152     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/05/17       Open       95,880       96,327     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.75     6/07/17       Open       173,306       173,589     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/07/17       Open       121,849       122,397     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/07/17       Open       485,000       486,980     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/08/17       Open       392,280       394,001     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/09/17       Open       519,715       521,967     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.70     6/14/17       Open       205,303       206,050     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.61     6/15/17       Open       390,000       391,291     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.      
                
54    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the Agreements1

BNP Paribas S.A.

    1.61     6/15/17       Open     $ 576,000     $ 577,906     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       437,000       438,761     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       238,000       238,959     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       643,000       645,591     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       578,000       580,329     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       459,000       460,849     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       336,000       337,354     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       1,895,000       1,902,635     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       988,000       991,981     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       367,000       368,479     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       865,000       868,485     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/15/17       Open       1,088,000       1,092,383     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.20     6/15/17       Open       3,948,000       3,965,854     Foreign Agency Obligations   Open/Demand

BNP Paribas S.A.

    2.20     6/15/17       Open       1,933,000       1,941,741     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    (1.00 )%      6/15/17       Open       405,000       404,134     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     6/15/17       Open       1,298,375       1,302,541     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     6/15/17       Open       931,262       934,250     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.55     6/15/17       Open       5,808,781       5,828,039     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.75     6/15/17       Open       838,687       841,827     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/15/17       Open       2,710,960       2,722,557     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/15/17       Open       2,128,332       2,137,437     Foreign Agency Obligations   Open/Demand

RBC Capital Markets LLC

    1.95     6/16/17       Open       118,535       119,004     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       808,000       810,458     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       2,504,000       2,511,616     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       3,412,000       3,422,378     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       2,389,000       2,396,267     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       3,510,000       3,520,676     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       424,000       425,290     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       908,000       910,762     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       1,464,000       1,468,453     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       466,000       467,417     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       341,000       342,037     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.50     6/19/17       Open       1,437,000       1,441,371     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       495,000       496,757     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       6,379,000       6,401,637     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       209,000       209,742     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       1,008,000       1,011,577     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       355,000       356,260     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       159,000       159,564     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       897,000       900,183     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17       Open       607,000       609,154     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       326,375       327,648     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       415,438       417,080     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       51,283       51,485     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       624,100       626,568     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       223,808       224,692     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       730,625       733,514     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       363,375       364,812     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       379,140       380,639     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       383,303       384,818     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       790,215       793,340     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/19/17       Open       99,960       100,355     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       674,150       676,264     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       253,725       254,521     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       646,750       648,778     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       1,488,375       1,493,042     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       1,741,250       1,746,710     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       437,175       438,546     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       248,853       249,633     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       1,204,538       1,208,315     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       2,167,000       2,173,795     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/21/17       Open       348,300       349,392     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       231,240       232,117     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       2,425,000       2,434,326     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       377,540       378,992     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       570,825       573,020     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       505,575       507,519     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       221,520       222,372     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       294,018       295,148     Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    55


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets LLC

    1.95     6/21/17       Open     $ 628,050     $ 630,465     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       202,553       203,331     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/21/17       Open       164,835       165,469     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/22/17       Open       592,000       594,119     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/22/17       Open       549,000       550,965     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    (0.25 )%      6/22/17       Open       78,725       78,689     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/22/17       Open       300,900       301,977     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/26/17       Open       380,363       381,683     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/27/17       Open       110,000       110,388     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    1.96     6/29/17       Open       370,000       371,193     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       370,313       371,329     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       290,700       291,498     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       97,250       97,517     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       1,095,487       1,098,494     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       494,900       496,258     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       375,938       376,969     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       1,396,875       1,400,709     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     6/29/17       Open       970,000       972,662     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       390,000       391,313     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       188,438       189,072     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       475,447       477,048     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       125,625       126,048     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       688,675       690,993     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       522,900       524,660     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     6/29/17       Open       394,800       396,129     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     7/06/17       Open       483,075       484,462     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/10/17       Open       857,000       859,460     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/11/17       Open       249,858       250,535     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/24/17       Open       85,000       85,175     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/24/17       Open       303,000       303,607     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     7/24/17       Open       379,620       380,401     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/25/17       Open       160,000       160,312     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/25/17       Open       194,000       194,378     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     7/25/17       Open       677,280       678,601     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/27/17       Open       438,000       438,830     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/27/17       Open       898,580       900,332     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     7/27/17       Open       657,825       658,965     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     7/28/17       Open       216,460       216,823     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       896,610       898,116     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       745,420       746,672     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       625,485       626,535     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       755,695       756,964     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       729,000       730,224     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       693,910       695,075     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       728,325       729,548     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/01/17       Open       749,090       750,348     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     8/03/17       Open       804,000       805,219     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/03/17       Open       323,190       323,680     Corporate Bonds   Open/Demand

UBS Ltd.

    1.75     8/03/17       Open       1,094,512       1,096,002     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/04/17       Open       1,501,200       1,503,233     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

          8/07/17       Open       852,260       852,260     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     8/08/17       Open       2,078,000       2,080,476     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.23     8/10/17       9/13/17       207,000       207,127     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

    1.23     8/10/17       9/13/17       962,000       962,592     U.S. Government Sponsored Agency Securities   Up to 30 Days

Deutsche Bank Securities, Inc.

    1.95     8/10/17       Open       193,000       193,188     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/11/17       Open       626,175       626,752     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     8/14/17       Open       475,000       475,336     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

    1.62     8/15/17       9/06/17       4,198,000       4,201,023     U.S. Government Sponsored Agency Securities   Up to 30 Days

Deutsche Bank Securities, Inc.

    1.95     8/15/17       Open       199,000       199,162     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     8/15/17       Open       473,000       473,384     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/18/17       Open       858,220       858,685     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.00     8/21/17       Open       436,175       436,393     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.59     8/21/17       Open       146,535       146,601     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/23/17       Open       120,840       120,886     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.95     8/25/17       Open       320,000       320,069     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    1.95     8/28/17       Open       485,060       485,113     Corporate Bonds   Open/Demand

Total

        $ 250,960,234     $ 252,279,565      
       

 

 

     

1   Certain agreements have no stated maturity and can be terminated by either party at any time.

 

 

See Notes to Financial Statements.      
                
56    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Description   Number of
Contracts
       Expiration Date      Notional
Amount
(000)
    Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

               

Euro Bund Future

    2        November 2017      $ 2       $ (1,252

Euro Bund Future

    1        November 2017      $ 0         (906

Ultra Long U.S. Treasury Bond

    7        December 2017      $ 1,183         9,612  
               

 

 

 
      7,454  
               

 

 

 

Short Contracts

               

2-Year U.S. Treasury Note

    (56      December 2017      $ 12,114         (1,900

5-Year U.S. Treasury Note

    (36      December 2017      $ 4,266         (5,248

10-Year U.S. Treasury Note

    (295      December 2017      $ 37,460         (134,815

10-Year U.S. Ultra Long Treasury Note

    (91      December 2017      $ 12,424         (55,499

Long U.S. Treasury Bond

    (83      December 2017      $ 12,956         (89,142

UK Long Gilt Bond

    (1      December 2017      $ 165         426  
Euro Bund Future     (3      September 2017      $ 590               (2,360
      (288,538
               

 

 

 

Total

 

    $ (281,084
               

 

 

 

 

Forward Foreign Currency Exchange Contracts        
Currency
Purchased
    Currency
Sold
       Counterparty      Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
AUD     2,044,982     EUR     1,365,000        Barclays Bank PLC        9/01/17     $ 693    
EUR     1,365,000     AUD     1,997,055        Barclays Bank PLC        9/01/17       37,407    
EUR     1,365,000     AUD     2,006,236        Barclays Bank PLC        9/01/17       30,108    
EUR     1,365,000     AUD     2,008,693        Barclays Bank PLC        9/01/17       28,155    
EUR     1,365,000     AUD     2,012,998        Barclays Bank PLC        9/01/17       24,733    
EUR     1,365,000     AUD     2,028,628        Barclays Bank PLC        9/01/17       12,308    
EUR     8,735,000     AUD     13,047,338        Deutsche Bank AG        9/01/17       26,607    
EUR     820,000     AUD     1,190,500        Morgan Stanley & Co. International PLC        9/01/17       29,782    
USD     380,916     GBP     290,000        HSBC Bank PLC        9/06/17       5,906    
USD     2,581,037     GBP     1,965,000        HSBC Bank PLC        9/06/17       40,016    
USD     12,207,715     GBP     9,294,000        HSBC Bank PLC        9/06/17       189,266    
AUD     2,054,767     GBP     1,210,000        Citibank N.A.        9/12/17       68,323    
CAD     1,995,812     AUD     2,000,000        Citibank N.A.        9/12/17       8,628    
CAD     4,351,314     EUR     2,900,000        Citibank N.A.        9/12/17       31,388    
CAD     1,997,000     NZD     2,150,000        BNP Paribas S.A.        9/12/17       55,874    
CHF     1,526,740     USD     1,570,000        State Street Bank and Trust Co.        9/12/17       22,793    
EUR     1,370,000     AUD     2,016,740        Bank of America N.A.        9/12/17       28,393    
EUR     2,900,000     CAD     4,304,360        Credit Suisse International        9/12/17       6,216    
EUR     2,910,000     CHF     3,162,181        Citibank N.A.        9/12/17       166,415    
EUR     1,360,000     GBP     1,203,882        BNP Paribas S.A.        9/12/17       62,493    
NOK     13,029,181     GBP     1,210,000        BNP Paribas S.A.        9/12/17       114,750    
NOK     12,514,596     GBP     1,215,000        Barclays Bank PLC        9/12/17       41,943    
NOK     12,333,822     NZD     2,140,000        Citibank N.A.        9/12/17       53,789    
NOK     24,631,585     NZD     4,360,000        Credit Suisse International        9/12/17       45,497    
SEK     13,237,223     AUD     2,040,000        BNP Paribas S.A.        9/12/17       45,000    
SEK     12,939,125     EUR     1,345,000        Barclays Bank PLC        9/12/17       27,337    
SEK     12,964,431     EUR     1,360,000        Citibank N.A.        9/12/17       12,660    
SEK     26,055,219     EUR     2,710,000        Citibank N.A.        9/12/17       53,137    
SEK     12,688,150     GBP     1,220,000        BNP Paribas S.A.        9/12/17       19,522    
USD     1,564,024     NZD     2,150,000        BNP Paribas S.A.        9/12/17       20,540    
EUR     4,095,000     GBP     3,716,958        Credit Suisse International        9/26/17       70,480    
IDR     240,750,000     USD     18,000        BNP Paribas S.A.        9/27/17       30    
IDR     78,599,232,000     USD     5,856,000        BNP Paribas S.A.        9/27/17       30,461    
USD     2,210,695     EUR     1,852,000        Deutsche Bank AG        10/04/17       2,511    
USD     7,425,286     EUR     6,220,500        Deutsche Bank AG        10/04/17       8,435    
CHF     1,505,820     USD     1,570,000        Barclays Bank PLC        10/18/17       4,700    

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    57


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts (continued)        
Currency
Purchased
    Currency
Sold
       Counterparty      Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
USD     1,570,000     CHF     1,488,572        Barclays Bank PLC        10/18/17     $ 13,336    
USD     1,590,312     GBP     1,200,000        Barclays Bank PLC        10/18/17       36,319    
USD     1,575,000     JPY     170,509,830        Barclays Bank PLC        10/25/17       20,405    
SEK     12,928,359     NOK     12,635,000        Morgan Stanley & Co. International PLC        10/30/17       1,534    
                 

 

 

   
                    1,497,890    
                 

 

 

   
AUD     1,990,347     EUR     1,365,000        Barclays Bank PLC        9/01/17       (42,739  
AUD     1,999,245     EUR     1,365,000        Barclays Bank PLC        9/01/17       (35,666  
AUD     2,005,218     EUR     1,365,000        Barclays Bank PLC        9/01/17       (30,918  
AUD     2,007,369     EUR     1,365,000        Barclays Bank PLC        9/01/17       (29,208  
AUD     2,014,627     EUR     1,365,000        Barclays Bank PLC        9/01/17       (23,438  
AUD     2,015,865     EUR     1,365,000        Barclays Bank PLC        9/01/17       (22,454  
AUD     2,018,304     EUR     1,365,000        Barclays Bank PLC        9/01/17       (20,515  
AUD     2,022,514     EUR     1,365,000        Barclays Bank PLC        9/01/17       (17,168  
AUD     2,024,048     EUR     1,365,000        Barclays Bank PLC        9/01/17       (15,949  
AUD     2,031,950     EUR     1,365,000        Barclays Bank PLC        9/01/17       (9,667  
AUD     2,037,406     EUR     1,365,000        Barclays Bank PLC        9/01/17       (5,330  
USD     4,820,307     EUR     4,082,000        Deutsche Bank AG        9/06/17       (39,351  
USD     15,390,266     EUR     13,033,000        Deutsche Bank AG        9/06/17       (125,641  
AUD     2,044,696     EUR     1,370,000        BNP Paribas S.A.        9/12/17       (6,171  
AUD     2,040,000     SEK     13,225,189        Bank of America N.A.        9/12/17       (43,485  
CAD     1,973,023     AUD     1,990,000        Citibank N.A.        9/12/17       (1,674  
CHF     3,154,760     EUR     2,910,000        Bank of America N.A.        9/12/17       (174,156  
CHF     1,060,733     USD     1,110,174        Bank of America N.A.        9/12/17       (3,550  
CHF     1,060,733     USD     1,110,174        Bank of America N.A.        9/12/17       (3,550  
CHF     448,856     USD     469,826        Citibank N.A.        9/12/17       (1,551  
CHF     448,856     USD     469,826        Citibank N.A.        9/12/17       (1,551  
EUR     1,345,000     SEK     12,803,995        Barclays Bank PLC        9/12/17       (10,324  
EUR     2,720,000     SEK     25,965,936        Deutsche Bank AG        9/12/17       (29,987  
GBP     1,210,000     AUD     2,028,690        Goldman Sachs International        9/12/17       (47,595  
GBP     1,217,378     EUR     1,360,000        BNP Paribas S.A.        9/12/17       (45,037  
GBP     1,225,000     NOK     12,356,575        Morgan Stanley & Co. International PLC        9/12/17       (8,637  
GBP     1,240,000     USD     1,606,396        Bank of America N.A.        9/12/17       (2,604  
NOK     26,700,000     SEK     27,422,315        Citibank N.A.        9/12/17       (10,284  
NZD     2,150,000     CAD     1,983,919        Citibank N.A.        9/12/17       (45,398  
NZD     2,150,000     USD     1,550,032        Citibank N.A.        9/12/17       (6,547  
SEK     26,802,979     NOK     26,700,000        BNP Paribas S.A.        9/12/17       (67,690  
USD     1,575,000     CHF     1,514,426        Barclays Bank PLC        9/12/17       (4,946  
USD     1,580,000     CHF     1,517,623        Citibank N.A.        9/12/17       (3,282  
USD     1,570,000     CHF     1,517,823        National Australia Bank Ltd.        9/12/17       (13,490  
USD     3,160,000     CHF     3,042,506        Standard Chartered Bank        9/12/17       (14,137  
USD     1,582,288     GBP     1,240,000        BNP Paribas S.A.        9/12/17       (21,504  
GBP     1,199,915     EUR     1,340,000        Barclays Bank PLC        9/26/17       (44,259  
GBP     1,225,231     EUR     1,400,000        Barclays Bank PLC        9/26/17       (83,005  
GBP     1,205,809     EUR     1,355,000        Credit Suisse International        9/26/17       (54,508  
USD     7,373,103     EUR     6,220,500        Bank of America N.A.        10/04/17       (43,749  
USD     2,195,346     EUR     1,852,000        Royal Bank of Scotland PLC        10/04/17       (12,838  
USD     373,763     GBP     289,000        UBS AG        10/04/17       (325  
USD     2,272,323     GBP     1,757,000        UBS AG        10/04/17       (1,979  
USD     11,925,228     GBP     9,220,796        UBS AG        10/04/17       (10,385  
GBP     1,205,000     USD     1,575,309        Goldman Sachs International        10/18/17       (14,840  
JPY     172,401,075     USD     1,575,000        Barclays Bank PLC        10/25/17       (3,162  
NOK     12,625,000     SEK     12,947,343        Barclays Bank PLC        10/30/17       (5,221  
USD     148,718     EUR     137,859        Citibank N.A.        2/21/18       (16,944  
USD     245,034     EUR     227,918        Deutsche Bank AG        2/21/18       (28,850  
USD     243,365     EUR     226,375        Morgan Stanley & Co. International PLC        2/21/18       (28,665  
                 

 

 

 
                                            (1,333,924        

Net Unrealized Appreciation

              $ 163,966    
                 

 

 

 

 

See Notes to Financial Statements.      
                
58    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

OTC Interest Rate Swaptions Purchased  
Description   Counterparty   Expiration
Date
  Exercise
Rate
    Received by the Fund  

Paid by the Fund

  Notional
Amount
(000)
    Value  
        Rate     Frequency   Rate   Frequency    

Put

 

10-Year Interest Rate Swap, 9/03/27

  JPMorgan Chase Bank N.A.   9/01/17     2.65     3-Month LIBOR     Quarterly   2.65%   Semi-annual   USD     1,300        

10-Year Interest Rate Swap, 9/03/27

  JPMorgan Chase Bank N.A.   9/01/17     2.75     3-Month LIBOR     Quarterly   2.75%   Semi-annual   USD     1,300        

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.   12/08/17     2.48     3-Month LIBOR     Quarterly   2.48%   Semi-annual   USD     675     $ 1,621  

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.   12/08/17     2.78     3-Month LIBOR     Quarterly   2.78%   Semi-annual   USD     2,025       1,240  

10-Year Interest Rate Swap, 12/10/27

  JPMorgan Chase Bank N.A.   12/08/17     2.78     3-Month LIBOR     Quarterly   2.78%   Semi-annual   USD     100       61  

10-Year Interest Rate Swap, 3/02/28

  JPMorgan Chase Bank N.A.   2/28/18     2.52     3-Month LIBOR     Quarterly   2.52%   Semi-annual   USD     1,500       7,883  

10-Year Interest Rate Swap, 3/02/28

  JPMorgan Chase Bank N.A.   2/28/18     2.62     3-Month LIBOR     Quarterly   2.62%   Semi-annual   USD     500       1,895  

Total

 

  $ 12,700  
                   

 

 

 

 

OTC Options Purchased  
Description   Counterparty    Number of
Contracts
   Expiration
Date
   Exercise
Price
     Notional
Amount
(000)
    Value  

Call

 

AUD Currency

  Barclays Bank PLC       9/04/17    CAD     1.02      AUD     15,915     $ 114  

EUR Currency

  Barclays Bank PLC       9/22/17    GBP     0.90      EUR     11,495       333,882  

USD Currency

  Morgan Stanley & Co. International PLC       9/27/17    CHF     0.98      USD     12,580       29,009  

USD Currency

  Morgan Stanley & Co. International PLC       9/27/17    CHF     0.96      USD     12,580       106,439  

EUR Currency

  Barclays Bank PLC       9/28/17    NZD     1.74      EUR     10,460       11,282  

EUR Currency

  Barclays Bank PLC       9/28/17    NZD     1.68      EUR     10,460       76,829  

USD Currency

  Deutsche Bank AG       10/16/17    CHF     1.00      USD     12,550       21,925  

NOK Currency

  Barclays Bank PLC       10/26/17    SEK     1.06      NOK     52,415       8,236  

EUR Currency

  HSBC Bank PLC       11/14/17    JPY     132.00      EUR     10,660       156,001  

CAD Currency

  Goldman Sachs International       11/29/17    JPY     90.00      CAD     15,730       101,440  

EUR Currency

  Barclays Bank PLC       11/29/17    CAD     1.55      EUR     5,395       34,636  

EUR Currency

  JPMorgan Chase Bank N.A.       11/29/17    GBP     0.93      EUR     10,745       157,552  

Marsico Parent Superholdco LLC

  Goldman Sachs & Co.    46    12/14/19    USD     942.86                   
    1,037,345  
                   

 

 

 

Put

 

GBP Currency

  Goldman Sachs International       9/27/17    SEK     10.30      GBP     9,710     $ 135,090  

NZD Currency

  Deutsche Bank AG       9/27/17    CAD     0.93      NZD     16,850       454,085  

GBP Currency

  Goldman Sachs International       10/16/17    NOK     10.30      GBP     9,755       364,374  

GBP Currency

  Goldman Sachs International       10/16/17    USD     1.25      GBP     9,635       21,729  

GBP Currency

  Morgan Stanley & Co. International PLC       10/16/17    NOK     10.20      GBP     9,755       270,423  

USD Currency

  Barclays Bank PLC       10/23/17    JPY     107.00      USD     12,595       63,819  

GBP Currency

  Morgan Stanley & Co. International PLC       11/29/17    NOK     9.80      GBP     9,810       96,282  

NZD Currency

  Citibank N.A.       11/29/17    USD     0.69      NZD     17,385       87,377  
    1,493,179  
                   

 

 

 

Total

 

  $ 2,530,524  
                   

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    59


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

OTC Options Written  
Description   Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
    Value  

Call

                   

AUD Currency

  Citibank N.A.             9/04/17      CAD     1.02      AUD     15,915     $ (114

EUR Currency

  JPMorgan Chase Bank N.A.             9/22/17      GBP     0.90      EUR     11,495       (327,190

NZD Currency

  Citibank N.A.             9/27/17      USD     0.74      NZD     12,910       (12,022

USD Currency

  Morgan Stanley & Co. International PLC             9/27/17      CHF     0.97      USD     25,160       (115,057

EUR Currency

  Barclays Bank PLC             9/28/17      NZD     1.71      EUR     20,920       (61,862

GBP Currency

  Goldman Sachs International             10/16/17      USD     1.35      GBP     9,635       (9,369

EUR Currency

  HSBC Bank PLC             11/14/17      JPY     135.00      EUR     15,990       (96,433

EUR Currency

  JPMorgan Chase Bank N.A.             11/29/17      GBP     0.95      EUR     10,745       (79,179
                      (701,226
                   

 

 

 

Put

                   

GBP Currency

  Deutsche Bank AG             9/04/17      NOK     10.25      GBP     9,580     $ (269,994

NZD Currency

  Citibank N.A.             9/04/17      USD     0.72      NZD     17,075       (54,949

GBP Currency

  Goldman Sachs International             9/28/17      SEK     10.05      GBP     9,725       (32,583

GBP Currency

  Goldman Sachs International             10/16/17      NOK     10.20      GBP     9,755       (266,878

GBP Currency

  Morgan Stanley & Co. International PLC             10/16/17      NOK     10.30      GBP     9,755       (368,120

USD Currency

  Barclays Bank PLC             10/23/17      JPY     105.00      USD     12,595       (30,581

NZD Currency

  Deutsche Bank AG             10/27/17      CAD     0.91      NZD     25,460       (409,350
                      (1,432,455
                   

 

 

 

Total

                    $ (2,133,681
                   

 

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection  
Reference Obligation/Index   Financing
Rate
Received by
the Fund
    Payment
Frequency
  Termination
Date
  Credit
Rating1
  Notional
Amount
(000)2
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Chesapeake Energy Corp.

    5.00   Quarterly   12/20/21   CCC   USD     75     $ (9,400   $ (2,689   $ (6,711

1   Using Standard & Poor’s (“S&P”) rating of the issuer or the underlying securities of the index, as applicable.

    

2   The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

    

 

Centrally Cleared Interest Rate Swaps  
Paid by the Fund   

Received by the Fund

   Termination
Date
     Notional
Amount
(000)
    Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency              
MXN 28D TIIE    Monthly    7.16%    Monthly      3/20/20        MXN        58,325     $ 16,201             $ 16,201  
MXN 28D TIIE    Monthly    7.17%    Monthly      3/20/20        MXN        58,325       15,432               15,432  
3-Month LIBOR    Quarterly    2.54%    Semi-annual      9/04/24        USD        18,700       795,347      $ 220        795,127  
2.60%    Semi-annual    3-Month LIBOR    Quarterly      9/04/24        USD        18,700       (864,781      (68,140      (796,641
2.24%    Semi-annual    3-Month LIBOR    Quarterly      8/09/27        USD        17,400       (277,959      272        (278,231
Total                     $ (315,760    $ (67,648    $ (248,112
                   

 

 

 

 

OTC Credit Default Swaps — Buy Protection                              
Reference Obligation/Index   Financing
Rate
Paid by
the Fund
    Payment
Frequency
  Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Australia & New Zealand Banking Group Ltd.

    1.00   Quarterly   Deutsche Bank AG     9/20/17     USD     1     $ (2         $ (2

Westpac Banking Corp.

    1.00   Quarterly   Deutsche Bank AG     9/20/17     USD     1       (1           (1

Federation of Russia

    1.00   Quarterly   Bank of America N.A.     12/20/21     USD     215       2,139     $ 10,980       (8,841

Total

              $ 2,136     $ 10,980     $ (8,844
             

 

 

 

 

See Notes to Financial Statements.      
                
60    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

OTC Credit Default Swaps — Sell Protection  
Reference Obligation/Index   Financing
Rate
Received by
the Fund
    Payment
Frequency
  Counterparty   Termination
Date
  Credit
Rating1
  Notional
Amount
(000)2
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Hellenic Telecommunications Organization SA

    5.00   Quarterly   Barclays Bank PLC   12/20/21   B+     EUR       20     $ 3,776     $ 1,159     $ 2,617  

Jaguar Land Rover Automotive PLC

    5.00   Quarterly   Credit Suisse International   6/20/22   BB+     EUR       20       3,959       3,794       165  

Jaguar Land Rover Automotive PLC

    5.00   Quarterly   Barclays Bank PLC   6/20/22   BB+     EUR       20       3,959       3,764       195  

Markit CMBX North America, Series 8

    3.00   Monthly   Barclays Bank PLC   10/17/57   BBB-     USD       5,000       (822,771     (521,589     (301,182

Markit CMBX North America, Series 8

    3.00   Monthly   Credit Suisse International   10/17/57   BBB-     USD       2,500       (411,385     (257,705     (153,680

Markit CMBX North America, Series 8

    3.00   Monthly   Morgan Stanley & Co. International PLC   10/17/57   BBB-     USD       4,450       (731,895     (611,306     (120,589

Markit CMBX North America, Series 9

    3.00   Monthly   Morgan Stanley & Co. International PLC   9/17/58   BBB-     USD       7,550       (873,518     (958,365     84,847  

Markit CMBX North America, Series 9

    3.00   Monthly   Credit Suisse International   9/17/58   BBB-     USD       5,000       (578,489     (556,917     (21,572

Markit CMBX North America, Series 9

    3.00   Monthly   Credit Suisse International   9/17/58   BBB-     USD       5,000       (578,489     (556,917     (21,572

Markit CMBX North America, Series 9

    3.00   Monthly   Credit Suisse International   9/17/58   BBB-     USD       5,000       (578,489     (550,834     (27,655

Total

 

  $ (4,563,342   $ (4,004,916   $ (558,426
 

 

 

 

1   Using S&P rating of the issuer or the underlying securities of the index, as applicable.

    

2   The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

    

 

OTC Interest Rate Swaps  
Paid by the Fund  

Received by the Fund

  Counterparty   Termination
Date
  Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
Rate   Frequency   Rate   Frequency            
9.98%   At termination   1-day BZDIOVER   At termination   JPMorgan Chase Bank N.A.   1/02/18     BRL       11,660     $ (17,726         $ (17,726
9.98%   At termination   1-day BZDIOVER   At termination   JPMorgan Chase Bank N.A.   1/02/18     BRL       11,660       (17,726           (17,726
9.98%   At termination   1-day BZDIOVER   At termination   Citibank N.A.   1/02/18     BRL       11,660       (17,860           (17,860
8.78%   At termination   1-day BZDIOVER   At termination   Citibank N.A.   1/02/20     BRL       10,039       (19,730           (19,730
1-day BZDIOVER   At termination   9.73%   At termination   Citibank N.A.   1/02/20     BRL       6,996       55,272             55,272  
1-day BZDIOVER   At termination   9.73%   At termination   JPMorgan Chase Bank N.A.   1/02/20     BRL       6,996       55,272             55,272  
1-day BZDIOVER   At termination   9.73%   At termination   JPMorgan Chase Bank N.A.   1/02/20     BRL       6,996       55,272             55,272  
1-day BZDIOVER   At termination   9.84%   At termination   Citibank N.A.   1/02/23     BRL       4,459       14,534             14,534  

Total

    $ 107,308           $ 107,308  
 

 

 

 

 

Balances reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives      

 

     Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation1
       Unrealized
Depreciation
 

Centrally Cleared Swaps1

  $ 492        $ (70,829      $ 826,760        $ (1,081,583

OTC Derivatives

  $ 19,697        $ (4,013,633      $ 268,174        $ (728,136

1    Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

     

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    61


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 10,038           $ 10,038    

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                     $ 1,497,890                   1,497,890    

Options purchased

   Investments at value—unaffiliated2                       2,530,524       12,700             2,543,224    

Swaps — centrally cleared

   Net unrealized appreciation1                             826,760             826,760    

Swaps — OTC

   Unrealized appreciation on OTC swaps; Swap premiums paid         $ 107,521                   180,350             287,871    
    

 

 

 

Total

           $ 107,521           $ 4,028,414     $ 1,029,848           $ 5,165,783    
    

 

 

 
                  
Liabilities — Derivative Financial Instruments                                                        

Futures contracts

   Net unrealized depreciation1                           $ 291,122           $ 291,122    

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                     $ 1,333,924                   1,333,924    

Options written

   Options written at value                       2,133,681                   2,133,681    

Swaps — centrally cleared

   Net unrealized depreciation1         $ 6,711                   1,074,872             1,081,583    

Swaps — OTC

   Unrealized depreciation on OTC swaps; Swap premiums received           4,668,727                   73,042             4,741,769    
    

 

 

 

Total

           $ 4,675,438           $ 3,467,605     $ 1,439,036           $ 9,582,079    
    

 

 

 

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

     

 

2    Includes options purchased at value as reported in the Schedule of Investments.

     

 

For the year ended August 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                      $ 1,561,307                 $ 1,561,307  

Forward foreign currency exchange contracts

                             $ (1,230,690                          (1,230,690

Options purchased1

                               (2,243,471        (13,950                 (2,257,421

Options written

                               1,986,421                            1,986,421  

Swaps

           $ 559,435                            214,648                   774,083  
 

 

 

 

Total

           $ 559,435                 $ (1,487,740      $ 1,762,005                 $ 833,700  
 

 

 

 

1    Options purchased are included in net change in realized appreciation (depreciation) on investments.

     

                               
Net Change in Unrealized Appreciation (Depreciation) on:                      

Futures contracts

                                      $ (407,142               $ (407,142

Forward foreign currency exchange contracts

                             $ 36,106                            36,106  

Options purchased1

                               1,151,658          (25,688                 1,125,970  

Options written

                               (869,429                          (869,429

Swaps

           $ (105,711                          (136,449                 (242,160
 

 

 

 

Total

           $ (105,711               $ 318,335        $ (569,279               $ (356,655
 

 

 

 

1   Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

    

 

See Notes to Financial Statements.      
                
62    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 13,465,356  

Average notional value of contracts — short

  $ 90,120,296  
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 166,390,718  

Average amounts sold — in USD

  $ 101,682,890  
Options:  

Average value of option contracts purchased

  $ 1,043,388  

Average value of option contracts written

  $ 863,591  

Average notional value of swaption contracts purchased

  $ 3,250,000  
Credit default swaps:  

Average notional amount — buy protection

  $ 1,521,200  

Average notional amount — sell protection

  $ 24,702,110  
Interest rate swaps:  

Average notional amount — pays fixed rate

  $ 30,290,488  

Average notional amount — receives fixed rate

  $ 25,537,749  

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

 

Derivative Financial Instruments — Offsetting as of Period End            

 

     Assets        Liabilities  

Futures contracts

  $ 220        $ 106,501  

Forward foreign currency exchange contracts

    1,497,890          1,333,924  

Options

    2,543,224 1         2,133,681  

Swaps — Centrally cleared

             35,267  

Swaps — OTC2

    287,871          4,741,769  
 

 

 

 

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

  $ 4,329,205        $ 8,351,142  
 

 

 

 

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

    (220        (141,768
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 4,328,985        $ 8,209,374  
 

 

 

 

1   Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

    

2    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

     

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

 

Counterparty   Derivative Assets
Subject to an MNA
by  Counterparty
       Derivatives
Available
for Offset1
       Non-cash
Collateral
Received
       Cash
Collateral
Received
       Net Amount of
Derivative
Assets2,5
        

Bank of America N.A.

  $ 39,373        $ (39,373                             

Barclays Bank PLC

    813,977          (813,977                             

BNP Paribas S.A.

    348,670          (140,402                        $ 208,268    

Citibank N.A.

    551,523          (191,906                          359,617    

Credit Suisse International

    126,152          (126,152                             

Deutsche Bank AG

    513,563          (513,563                             

Goldman Sachs International

    622,633          (371,265                          251,368    

HSBC Bank PLC

    391,189          (96,433                          294,756    

JPMorgan Chase Bank N.A.

    280,796          (280,796                             

Morgan Stanley & Co. International PLC

    618,316          (618,316                             

State Street Bank and Trust Co.

    22,793                                     22,793    
 

 

 

 

Total

  $ 4,328,985        $ (3,192,183                        $ 1,136,802    
 

 

 

 
                       

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    63


Schedule of Investments (continued)

  

BlackRock Limited Duration Income Trust (BLW)

 

Counterparty   Derivative Liabilities
Subject to an MNA
by  Counterparty
       Derivatives
Available
for Offset1
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged3
       Net Amount of
Derivative
Liabilities4,5
        

Bank of America N.A.

  $ 279,935        $ (39,373                        $ 240,562    

Barclays Bank PLC

    1,319,183          (813,977               $ (505,206           

BNP Paribas S.A.

    140,402          (140,402                             

Citibank N.A.

    191,906          (191,906                             

Credit Suisse International

    2,201,360          (126,152                 (2,075,208           

Deutsche Bank AG

    903,176          (513,563                          389,613    

Goldman Sachs International

    371,265          (371,265                             

HSBC Bank PLC

    96,433          (96,433                             

JPMorgan Chase Bank N.A.

    441,821          (280,796                 (161,025           

Morgan Stanley & Co. International PLC

    2,210,739          (618,316                 (1,592,423           

National Australia Bank Ltd.

    13,490                                     13,490    

Royal Bank of Scotland PLC

    12,838                                     12,838    

Standard Chartered Bank

    14,137                                     14,137    

UBS AG

    12,689                                     12,689    
 

 

 

 

Total

  $ 8,209,374        $ (3,192,183               $ (4,333,862      $ 683,329    
 

 

 

 

1   The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

    

 

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

    

 

3   Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

    

 

4   Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

    

 

5   Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

    

 

 

Fair Value Hierarchy as of Period End      

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

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

 

     Level 1        Level 2        Level 3     Total  

Assets:

             
Investments:  

Long-Term Investments:

 

Asset-Backed Securities

           $ 74,122,619        $ 2,211,493     $ 76,334,112  

Common Stocks1

  $ 3,352          33,918          749,053       786,323  

Corporate Bonds

    521,009          394,148,128          1,163,602       395,832,739  

Floating Rate Loan Interests

             224,973,351          9,460,693       234,434,044  

Foreign Agency Obligations

             38,099,444                38,099,444  

Non-Agency Mortgage-Backed Securities

             49,549,588                49,549,588  

Other Interests

                      10       10  

Preferred Securities

    14,415,249          55,298,401                69,713,650  

Rights

                      19,050       19,050  

U.S. Government Sponsored Agency Securities

             10,365,288                10,365,288  

U.S. Treasury Obligations

             3,055,250                3,055,250  

Warrants

                      217       217  

Unfunded Floating Rate Loan Interests2

                      755       755  

Short-Term Securities

    1,298,832                         1,298,832  

Options Purchased:

             

Foreign Currency Exchange Contracts

             2,530,524                2,530,524  

Interest Rate Contracts

             12,700                12,700  
 

 

 

      

 

 

      

 

 

   

 

 

 

Total

  $ 16,238,442        $ 852,189,211        $ 13,604,873     $ 882,032,526  
 

 

 

      

 

 

      

 

 

   

 

 

 

Investments Valued at NAV3

                116,865  
             

 

 

 

Total

              $ 882,149,391  
             

 

 

 
             

 

See Notes to Financial Statements.      
                
64    ANNUAL REPORT    AUGUST 31, 2017   


Schedule of Investments (concluded)

  

BlackRock Limited Duration Income Trust (BLW)

 

 

Fair Value Hierarchy as of Period End (continued)      

 

     Level 1        Level 2        Level 3     Total  
Derivative Financial Instruments4  

Assets:

 

Foreign currency exchange contracts

           $ 1,497,890              $ 1,497,890  

Credit contracts

             87,824                87,824  

Interest rate contracts

  $ 10,038          1,007,110                1,017,148  

Liabilities:

 

Foreign currency exchange contracts

             (3,467,605              (3,467,605

Credit contracts

             (661,805              (661,805

Interest rate contracts

    (288,964        (1,150,072              (1,439,036
 

 

 

      

 

 

      

 

 

   

 

 

 

Total

  $ (278,926      $ (2,686,658            $ (2,965,584
 

 

 

      

 

 

      

 

 

   

 

 

 

1    See above Schedule of Investments for values in each industry.

     

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

     

3    As of August 31, 2017, certain of the Fund’s investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.

     

4   Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

    

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $252,279,565 are categorized as Level 2 within the disclosure hierarchy.

During the year ended August 31, 2017, there were no transfers between Level 1 and Level 2.

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

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Unfunded
Floating
Rate Loan
Interests
    Grand Total  

Assets:

                 

Opening balance, as of August 31, 2016

  $ 18,351,873     $ 1,167,006     $ 1,163,250     $ 12,230,322     $ 193,629           $ 6,316           $ 33,112,396  

Transfers into Level 31

                      1,706,625                               1,706,625  

Transfers out of Level 32

    (1,955,000                 (4,562,048                             (6,517,048

Accrued discounts/premiums

    (125,948           400       28,920                               (96,628

Net realized gain (loss)

    (1,465,020     685,715       (374,996     (247,358     193,619                         (1,208,040

Net change in unrealized appreciation (depreciation)3

    2,074,790       198,134       374,948       379,274       (193,619   $ 19,050       (6,099   $ 755       2,847,233  

Purchases

    250,000                   5,423,614                               5,673,614  

Sales

    (14,919,202     (1,301,802           (5,498,656     (193,619                       (21,913,279
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing Balance, as of August 31, 2017

  $ 2,211,493     $ 749,053     $ 1,163,602     $ 9,460,693     $ 10     $ 19,050     $ 217     $ 755     $ 13,604,873  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20173

  $ 570,682     $ 563,157     $ 351     $ 26,536           $ 19,050     $ (6,099   $ 755     $ 1,174,432  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1   As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

    

2   As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

    

3    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

     

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

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    65


Statements of Assets and Liabilities     

 

August 31, 2017   BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
   
Assets  

Investments at value — unaffiliated2

  $ 812,946,480     $ 880,849,804  

Investments at value — affiliated3

    3,819,454       1,298,832  

Cash

    5,133,521       1,286,815  
Cash pledge:    

Collateral — OTC derivatives

          4,950,000  

Futures contracts

          775,255  

Centrally cleared swaps

          626,170  

Foreign currency at value4

    12,418       1,854,334  
Receivables:  

Investments sold

    9,572,774       4,984,598  

Interest — unaffiliated

    2,791,488       8,636,418  

Dividends — affiliated

    1,652       3,845  

Options written

          96,564  

Variation margin on futures contracts

          220  

Swap premiums paid

          19,697  
Unrealized appreciation on:  

Forward foreign currency exchange contracts

    54,861       1,497,890  

OTC derivatives

          268,174  

Unfunded floating rate loan interests

    2,755       755  

Deferred offering costs

    30,883        

Prepaid expenses

    9,911       10,421  
 

 

 

 

Total assets

    834,376,197       907,159,792  
 

 

 

 
   
Liabilities  

Cash received as collateral for reverse repurchase agreements

          780,000  

Swap premiums received

          4,013,633  

Options written at value5

          2,133,681  

Reverse repurchase agreements

          252,279,565  
Payables:  

Bank borrowings

    237,000,000        

Investments purchased

    40,083,323       14,217,191  

Investment advisory fees

    500,477       413,529  

Interest expense

    404,047        

Income dividends

    88,626       89,080  

Options written

          11,375  

Officer’s and Directors’ fees

    9,298       407,592  

Variation margin on futures contracts

          106,501  

Variation margin on centrally cleared swaps

          35,267  

Reverse repurchase agreements

          575,376  

Other accrued expenses

    315,193       306,746  
Unrealized depreciation on:    

Forward foreign currency exchange contracts

    3,025       1,333,924  

OTC derivatives

          728,136  

Contingencies9

           
 

 

 

 

Total liabilities

    278,403,989       277,431,596  
 

 

 

 

Net Assets

  $ 555,972,208     $ 629,728,196  
 

 

 

 
   

 

 

See Notes to Financial Statements.      
                
66    ANNUAL REPORT    AUGUST 31, 2017   


Statements of Assets and Liabilities (concluded)     

 

August 31, 2017   BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
   
Net Assets Consist of  

Paid-in capital6,7,8

  $ 629,504,081     $ 691,017,347  

Undistributed (distributions in excess of) net investment income

    2,005,585       232,048  

Accumulated net realized loss

    (72,143,351     (73,918,045

Net unrealized appreciation (depreciation)

    (3,394,107     12,396,846  
 

 

 

 

Net Assets

  $ 555,972,208     $ 629,728,196  
 

 

 

 

Net asset value, offering and redemption price per share

  $ 14.93     $ 17.02  
 

 

 

 

1    Consolidated Statement of Assets and Liabilities

   

2    Investments at cost — unaffiliated

  $ 816,398,276     $ 866,940,852  

3    Investments at cost — affiliated

  $ 3,819,454     $ 1,298,832  

4    Foreign currency at cost

  $ 12,275     $ 1,857,095  

5    Premiums received

        $ 1,380,441  

6    Par value per share

  $ 0.100     $ 0.001  

7    Shares outstanding

    37,232,488       37,003,854  

8    Shares authorized

    200 million       unlimited  

9    See Note 12 of the Notes to Financial Statements for details of contingencies.

     

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    67


Statements of Operations     

 

Year Ended August 31, 2017   BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
   
Investment Income  

Interest — unaffiliated

  $ 37,527,483     $ 45,525,668  

Dividends — unaffiliated

    150,342       609,778  

Dividends — affiliated

    41,246       41,406  

Other Income

    999,202       319,204  

Foreign taxes withheld

          (1,280
 

 

 

   

 

 

 

Total investment income

    38,718,273       46,494,776  
 

 

 

   

 

 

 
   
Expenses  

Investment advisory

    5,873,655       4,855,300  

Custodian

    232,232       169,093  

Professional

    187,158       184,638  

Accounting services

    102,846       86,146  

Transfer agent

    65,022       83,513  

Officer and Directors

    58,345       99,880  

Printing

    26,629       21,168  

Registration

    14,863       14,771  

Miscellaneous

    207,197       58,984  
 

 

 

   

 

 

 

Total expenses excluding interest expense

    6,767,947       5,573,493  

Interest expense

    3,682,438       3,472,321  
 

 

 

   

 

 

 

Total expenses

    10,450,385       9,045,814  

Less fees waived by the Manager

    (4,718     (5,247

Less fees paid indirectly

          (167
 

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    10,445,667       9,040,400  
 

 

 

   

 

 

 

Net investment income

    28,272,606       37,454,376  
 

 

 

   

 

 

 
   
Realized and Unrealized Gain (Loss)  
Net realized gain (loss) from:  

Investments — unaffiliated

    3,177,521       2,663,766  

Investments — affiliated

    2,741       (3,886

Futures contracts

    79,532       1,561,307  

Forward foreign currency exchange contracts

    (166,752     (1,230,690

Foreign currency transactions

    293,532       1,627,247  

Capital gain distributions from investment companies — affiliated

    13       12  

Options written

          1,986,421  

Swaps

    273,191       774,083  
 

 

 

   

 

 

 
    3,659,778       7,378,260  
 

 

 

   

 

 

 
Net change in unrealized appreciation (depreciation) on:    

Investments — unaffiliated

    4,102,621       10,235,431  

Investments — affiliated

    (26,532     (3,377

Futures contracts

    1,521       (407,142

Forward foreign currency exchange contracts

    42,662       36,106  

Foreign currency translations

    (5,038     33,971  

Options written

          (869,429

Swaps

    (30,617     (242,160

Unfunded floating rate loan interests

    (8,361     (678
 

 

 

   

 

 

 
    4,076,256       8,782,722  
 

 

 

   

 

 

 

Net realized and unrealized gain

    7,736,034       16,160,982  
 

 

 

   

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 36,008,640     $ 53,615,358  
 

 

 

   

 

 

 

1    Consolidated Statement of Operations.

     

 

 

See Notes to Financial Statements.      
                
68    ANNUAL REPORT    AUGUST 31, 2017   


Statements of Changes in Net Assets     

 

    BlackRock Floating Rate Income
Strategies Fund, Inc. (FRA)1
          BlackRock Limited Duration
Income Trust (BLW)
 
    Year Ended August 31,           Year Ended August 31,  
Increase (Decrease) in Net Assets:   2017      2016           2017      2016  
           
Operations                           

Net investment income

  $ 28,272,606      $ 28,437,150       $ 37,454,376      $ 48,949,670  

Net realized gain (loss)

    3,659,778        (9,800,070       7,378,260        (26,033,447

Net change in unrealized appreciation (depreciation)

    4,076,256        4,497,103         8,782,722        17,919,734  
 

 

 

     

 

 

 

Net increase in net assets resulting from operations

    36,008,640        23,134,183         53,615,358        40,835,957  
 

 

 

     

 

 

 
           
Distributions to Shareholders2                           

From net investment income

    (30,307,245      (27,967,481       (47,105,906      (48,005,248
 

 

 

     

 

 

 
           
Net Assets                           

Total increase (decrease) in net assets

    5,701,395        (4,833,298       6,509,452        (7,169,291

Beginning of year

    550,270,813        555,104,111         623,218,744        630,388,035  
 

 

 

     

 

 

 

End of year

  $ 555,972,208      $ 550,270,813       $ 629,728,196      $ 623,218,744  
 

 

 

     

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

  $ 2,005,585      $ 3,653,152       $ 232,048      $ 8,760,255  
 

 

 

     

 

 

 

1    Consolidated Statement of Changes in Net Assets.

     

2    Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

     

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    69


Statements of Cash Flows     

 

Year Ended August 31, 2017   BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
    BlackRock
Limited
Duration
Income Trust
(BLW)
 
   
Cash Provided by Operating Activities  

Net increase in net assets resulting from operations

  $ 36,008,640     $ 53,615,358  
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:  

Proceeds from sales of long-term investments and principal paydowns

    532,270,100       505,163,058  

Purchases of long-term investments

    (535,566,484     (491,303,509

Net proceeds from sales of short-term securities

          1,612,947  

Net purchases of short-term securities

    (1,960,247      

Amortization of premium and accretion of discount on investments and other fees

    (910,607     855,174  

Paid-in-kind-income

    (965,157      

Premiums paid on closing options written

          (729,642

Premiums received from options written

          5,101,059  

Net realized gain on investments and options written

    (3,084,984     (4,656,150

Net unrealized gain on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

    (4,079,773     (9,387,650

(Increase) Decrease in Assets:

 

Cash Pledged:  

Collateral — OTC derivatives

          (3,270,000

Futures contracts

    23,000       198,215  

Centrally cleared swaps

          (605,000
Receivables:  

Interest

    1,090,277       401,038  

Dividends — unaffiliated

          31  

Dividends — affiliated

    (1,042     (2,608

Variation margin on futures contracts

          6,248  

Variation margin on centrally cleared swaps

          829  

Swap premiums paid

          51,082  

Deferred offering costs

    (30,883      

Prepaid expenses

    (558     (495

Increase (Decrease) in Liabilities:

 

Cash received as collateral for reverse repurchase agreements

          (898,000
Payables:  

Investment advisory fees

    (468,458     (392,911

Interest expense and fees

    177,807       531,400  

Officer’s and Directors’ fees

    (3,154     40,968  

Variation margin on futures contracts

          106,501  

Variation margin on centrally cleared swaps

          35,267  

Other accrued expenses

    (9,426     28,288  

Swap premiums received

          3,223,334  
 

 

 

 

Net cash provided by operating activities

    22,489,051       59,724,832  
 

 

 

 
   
Cash Used for Financing Activities  

Cash dividends paid to Common Shareholders

    (30,312,633     (47,111,713

Payments on bank borrowings

    (360,000,000      

Proceeds from bank borrowings

    372,000,000        

Net borrowing of reverse repurchase agreements

          (10,735,171
 

 

 

 

Net cash used for financing activities

    (18,312,633     (57,846,884
 

 

 

 
   
Cash Impact from Foreign Exchange Fluctuations  

Cash impact from foreign exchange fluctuations

  $ 210     $ 5,608  
 

 

 

 
   
Cash and Foreign Currency  

Net increase in cash and foreign currency at value

    4,176,628       1,883,556  

Cash and foreign currency at value at beginning of year

    969,311       1,257,593  
 

 

 

 

Cash and foreign currency at value at end of year

  $ 5,145,939     $ 3,141,149  
 

 

 

 
   
Supplemental Disclosure of Cash Flow Information  

Cash paid during the year for interest expense

  $ 3,504,631     $ $2,940,921  
 

 

 

 

1   Consolidated Statement of Cash Flows.

    

 

 

See Notes to Financial Statements.      
                
70    ANNUAL REPORT    AUGUST 31, 2017   


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

 

    Year Ended August 31,  
    2017     2016     2015     2014     2013  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 14.78     $ 14.91     $ 15.38     $ 15.36     $ 14.98  
 

 

 

 

Net investment income1

    0.76       0.76       0.81       0.87       0.99  

Net realized and unrealized gain (loss)

    0.20       (0.14     (0.47     0.04       0.42  
 

 

 

 

Net increase from investment operations

    0.96       0.62       0.34       0.91       1.41  
 

 

 

 

Distributions from net investment income2

    (0.81     (0.75     (0.81     (0.89     (1.03
 

 

 

 

Net asset value, end of year

  $ 14.93     $ 14.78     $ 14.91 3    $ 15.38     $ 15.36  
 

 

 

 

Market price, end of year

  $ 14.10     $ 13.70     $ 12.94     $ 14.26     $ 14.96  
 

 

 

 
         
Total Return4                          

Based on net asset value

    6.93%       5.00%       2.88% 3      6.45%       9.68%  
 

 

 

 

Based on market price

    8.95%       12.14%       (3.71)%       1.33%       5.28%  
 

 

 

 
         
Ratios to Average Net Assets                          

Total expenses

    1.88%       1.54%       1.56%       1.48%       1.54% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.88%       1.54%       1.56%       1.48%       1.52% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.21%       1.14%       1.19%       1.15%       1.15% 5,6 
 

 

 

 

Net investment income

    5.08%       5.27%       5.39%       5.65%       6.49%  
 

 

 

 
         
Supplemental Data                          

Net assets, end of year (000)

  $ 555,972     $ 550,271     $ 555,104     $ 572,463     $ 571,802  
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 237,000     $ 225,000     $ 196,000     $ 235,000     $ 214,000  
 

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,346     $ 3,446     $ 3,832     $ 3,436     $ 3,672  
 

 

 

 

Portfolio turnover rate

    64%       48%       43%       58%       88%  
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  3  

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  5  

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

 

  6  

The total expense ratios after fees waived and/or paid indirectly and excluding interest expense and borrowing costs were 1.14%.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2017    71


Financial Highlights    BlackRock Limited Duration Income Trust (BLW)

 

    Year Ended August 31,  
    2017     2016     20151     20141     20131  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 16.84     $ 17.04     $ 18.09     $ 17.54     $ 17.38  
 

 

 

 

Net investment income2

    1.01       1.32       1.16       1.26       1.30  

Net realized and unrealized gain (loss)

    0.44       (0.22     (0.92     0.51       0.25  
 

 

 

 

Net increase from investment operations

    1.45       1.10       0.24       1.77       1.55  
 

 

 

 

Distributions from net investment income3

    (1.27     (1.30     (1.29     (1.22     (1.39
 

 

 

 

Net asset value, end of year

  $ 17.02     $ 16.84     $ 17.04 4    $ 18.09     $ 17.54  
 

 

 

 

Market price, end of year

  $ 15.99     $ 15.74     $ 14.60     $ 16.81     $ 16.89  
 

 

 

 
         
Total Return5                          

Based on net asset value

    9.62%       7.78%       2.23% 4      10.77%       9.13%  
 

 

 

 

Based on market price

    10.18%       17.59%       (5.74)%       6.89%       1.47%  
 

 

 

 
         
Ratios to Average Net Assets                          

Total expenses

    1.45%       1.21%       1.15%       1.14%       1.12%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.45%       1.21%       1.15%       1.14%       1.12%  
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense and fees

    0.89%       0.89%       0.92%       0.92%       0.90%  
 

 

 

 

Net investment income

    6.00%       8.04%       6.65%       7.00%       7.34%  
 

 

 

 
         
Supplemental Data                          

Net assets, end of year (000)

  $ 629,728     $ 623,219     $ 630,388     $ 669,382     $ 649,120  
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 252,280     $ 263,445     $ 264,036     $ 293,890     $ 273,347  
 

 

 

 

Portfolio turnover rate

    55%       54%       47%       57%       71%  
 

 

 

 

 

  1   

Consolidated Financial Highlights.

 

  2   

Based on average shares outstanding.

 

  3   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  4   

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

 

See Notes to Financial Statements.      
                
72    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred to As    Organized    Diversification Classification

BlackRock Floating Rate Income Strategies Fund, Inc.

  FRA    Maryland    Diversified

BlackRock Limited Duration Income Trust

  BLW    Delaware    Diversified

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of FRA. The Taxable Subsidiary enables FRA to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for FRA. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for FRA. FRA may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of period end were $0. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to FRA.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income (in the form of cash) and non-cash dividend income (in the form of additional securities) are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Payment-in-kind interest income is accrued as interest income and is reclassified as payment-in-kind interest income when the additional securities are received.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    73


Notes to Financial Statements (continued)     

 

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

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

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, if applicable. Deferred compensation liabilities are included in the officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Funds’ presentation in the Statements of Cash Flows.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

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

Through May 31, 2016, the Funds had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Funds no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and fair Value Measurements:

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of each Fund (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

 

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

 

 

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news,

 

                
74    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements (continued)     

 

 

and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

 

Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include Market approach, Income approach and Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    75


Notes to Financial Statements (continued)     

 

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)      recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)     recapitalizations and other transactions across the capital structure; and

(iii)    market multiples of comparable issuers.

Income approach

 

(i)      future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)     quoted prices for similar investments or assets in active markets; and

(iii)    other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)      audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)     changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)    relevant news and other public sources; and

(iv)    known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

 

 

Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

 

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of August 31, 2017, certain investments of BLW were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

                
76    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements (continued)     

 

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be

 

                
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Notes to Financial Statements (continued)     

 

structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

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

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

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest

 

                
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Notes to Financial Statements (continued)     

 

income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

Fund   Borrower    Par      Commitment
Amount
     Value      Unrealized
Appreciation
 

FRA

  Equian LLC    $ 200,362      $ 199,360      $ 202,115      $ 2,755  

BLW

  USAGM HoldCo LLC    $ 301,977      $ 300,467      $ 301,222      $ 755  

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the year ended August 31, 2017, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $258,664,623 and 1.35%, respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

 

                
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Notes to Financial Statements (continued)     

 

As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

Counterparty   Reverse
Repurchase
Agreements
     Fair Value of
Non-cash  Collateral
Pledged Including
Accrued Interest1
     Cash
Collateral
Pledged
     Net
Amount
 

Barclays Capital, Inc.

  $ 5,214,212      $ (5,214,212              

BNP Paribas S.A.

    15,173,791        (15,173,791              

Credit Suisse Securities (USA) LLC

    17,046,892        (17,046,892              

Deutsche Bank Securities, Inc.

    82,802,900        (82,802,900              

HSBC Securities (USA), Inc.

    34,813,026        (34,813,026              

J.P. Morgan Securities LLC

    4,201,023        (4,201,023              

RBC Capital Markets LLC

    76,296,301        (76,296,301              

UBS Ltd.

    16,731,420        (16,731,420              
 

 

 

 

Total

  $ 252,279,565      $ (252,279,565              
 

 

 

 

 

  1   

Net collateral with a value of $294,496,268 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

5. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

 

                
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Notes to Financial Statements (continued)     

 

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

 

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

 

Foreign currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

 

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay

 

                
   ANNUAL REPORT    AUGUST 31, 2017    81


Notes to Financial Statements (continued)     

 

the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

 

 

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event each Fund’s net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

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

 

                
82    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements (continued)     

 

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, FRA pays the Manager a monthly fee at an annual rate equal to 0.75% of the average daily value of the Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” mean the total assets of the Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of each Fund’s managed assets. For purposes of calculating this fee, “managed assets” mean the total assets of the Fund minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, FRA pays the Manager based on FRA’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.

Distribution Fees: FRA and BLW have entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of August 31, 2017, BLW is no longer actively engaged in a Shelf Offering has no effective registration statement or current prospectus. Pursuant to each Fund’s Distribution Agreement, FRA and BLW will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s and BLW’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

Expense Waivers: The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. For the year ended August 31, 2017, the amounts waived were as follows:

 

     FRA      BLW  

Amounts waived

  $ 1,205      $ 4,460  

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016, the Manager did not waive such fees. Effective December 2, 2016, the waiver became contractual through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. For the year ended August 31, 2017, the amounts waived were as follows:

 

     FRA      BLW  

Amounts waived

  $ 3,513      $ 787  

Officers and Directors: Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Officer and Directors in the Statements of Operations.

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended August 31, 2017, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized
Gain (Loss)
 

BLW

  $ 245,474      $ 453,978      $ 2,960  

7. Purchases and Sales:

For the year ended August 31, 2017, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   FRA      BLW  

Non-U.S. Government Securities

  $ 527,282,597      $ 483,284,935  

U.S. Government Securities

            
 

 

 

 

Total Purchases

  $ 527,282,597      $ 483,284,935  
 

 

 

 
    

 

                
   ANNUAL REPORT    AUGUST 31, 2017    83


Notes to Financial Statements (continued)     

 

Sales   FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 533,372,635      $ 501,442,961  

U.S. Government Securities

           1,589,200  
 

 

 

 

Total Sales

  $ 533,372,635      $ 503,032,161  
 

 

 

 

8. Income Tax Information:

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

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2017. The statutes of limitations on each Fund’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of August 31, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

U.S. GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of investments, foreign currency transactions, the expiration of capital loss carryforwards, net paydown gains, liquidating distribution on a wholly-owned subsidiary and dividend recognized for tax purposes were reclassified to the following accounts:

 

     FRA      BLW  

Paid-in capital

  $ (30,184,292    $ (9,996,868

Undistributed net investment income

  $ 387,072      $ 1,123,323  

Accumulated net realized loss

  $ 29,797,220      $ 8,873,545  

The tax character of distributions paid was as follows:

 

             FRA      BLW  

Ordinary income

    8/31/2017      $ 30,307,245      $ 47,105,906  
    8/31/2016      $ 27,967,481      $ 48,005,248  
 

 

 

    

 

 

    

 

 

 

As of period end the tax components of accumulated net earnings (losses) were as follows:

 

     FRA      BLW  

Undistributed ordinary income

  $ 2,091,074      $ 2,480,672  

Capital loss carryforwards

    (72,161,216      (73,966,884

Net unrealized gains (losses)1

    (3,461,731      10,197,061  
 

 

 

    

 

 

 

Total

  $ (73,531,873    $ (61,289,151
 

 

 

    

 

 

 

 

  1   

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the accounting for swap agreements and the deferral of compensation to directors.

As of August 31, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   FRA      BLW  
No expiration date2   $ 18,810,432      $ 36,457,609  
2018     51,144,703        37,509,275  
2019     2,206,081         
 

 

 

    

 

 

 

Total

  $ 72,161,216      $ 73,966,884  
 

 

 

    

 

 

 

 

  2   

Must be utilized prior to losses subject to expiration.

During the year ended August 31 2017, the Funds listed below utilized the following amounts of their respective capital loss carryforward:

 

FRA    BLW
$3,066,038    $4,669,859

 

                
84    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements (continued)     

 

As of August 31, 2017, gross unrealized appreciation and unrealized depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     FRA      BLW  

Tax cost

  $ 820,109,118      $ 868,289,810  
 

 

 

    

 

 

 

Gross unrealized appreciation

  $ 6,452,548      $ 29,462,349  

Gross unrealized depreciation

    (9,792,978      (17,061,502
 

 

 

    

 

 

 

Net unrealized appreciation (depreciation)

  $ (3,340,430    $ 12,400,847  
 

 

 

    

 

 

 

9. Bank Borrowings:

FRA is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to FRA. As of period end, FRA has not received any notice to terminate. FRA has granted a security interest in substantially all of its assets to SSB. The SSB Agreement allows for the following maximum commitment amount of $274,000,000.

Advances will be made by SSB to FRA, at FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to FRA as of period end are shown in the Consolidated Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the year ended August 31, 2017, the average amount of bank borrowings and the daily weighted average interest rates for FRA with loans under the revolving credit agreements was $226,224,658 and $1.63%, respectively.

10. Principal Risks:

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) general economy; (ii) overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Fund’s prospectus provides details of the risks to which each Fund is subject.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’ valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’ results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’ ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions

 

                
   ANNUAL REPORT    AUGUST 31, 2017    85


Notes to Financial Statements (continued)     

 

only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent the Funds deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

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

11. Capital Share Transactions:

BLW authorized to issue an unlimited numbers of shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s shares is $0.001 and $0.10, respectively. Each Board is authorized, however, to reclassify any unissued Common shares to Preferred Shares without the approval of Common Shareholders.

The Board previously approved each Fund’s participation in an open market share repurchase program. The Funds are eligible to purchase, at prevailing market prices, up to 5% of their common shares outstanding as of the close of business on October 28, 2016, subject to certain conditions. Repurchases may be made through November 30, 2017. On September 6, 2017, the Board approved a renewal of this program. Commencing December 1, 2017, each Fund may purchase through November 30, 2018, up to 5% of its shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts. For the year ended August 31, 2017, the Funds did not repurchase any shares.

For the year ended August 31, 2017 and for the year ended August 31, 2016, shares issued and outstanding remained constant for both Funds.

BLW had previously filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 3,750,000 Common Shares through a Shelf Offering. BLW did not issue any Common Shares through the Shelf Offering. BLW is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus for the sale of Common Shares.

FRA filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 3,050,000 Common Shares, through Shelf Offering. Under the Shelf Offering, FRA, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA’s NAV per Common Share (calculated within 48 hours of pricing). FRA has not issued any Common Shares through its Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

 

                
86    ANNUAL REPORT    AUGUST 31, 2017   


Notes to Financial Statements (concluded)     

 

Initial costs incurred by the Funds in connection with the shelf offering are recorded as “Deferred offering costs” on the Consolidated Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to the FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that the FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that the FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. The FRA cannot predict the outcome of the lawsuit, or the effect, if any, on the FRA’s NAV. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by the FRA but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $668,165 for FRA.

13. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share  
     Paid1      Declared2  

FRA

  $ 0.0610      $ 0.0610  

BLW

  $ 0.0795      $ 0.0795  

 

  1   

Net investment income dividend paid on September 29, 2017 to Common Shareholders of record on September 15, 2017.

 

  2   

Net investment income dividend declared on October 2, 2017, payable to Common Shareholders of record on October 16, 2017.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    87


Report of Independent Registered Public Accounting Firm     

 

To the Shareholders and Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. and to the Shareholders and Board of Trustees of BlackRock Limited Duration Income Trust:

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of BlackRock Floating Rate Income Strategies Fund, Inc. as of August 31, 2017, and its related consolidated statements of operations and cash flows for the year then ended, its consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the five years in the period then ended.

We have also audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Limited Duration Income Trust (collectively with the BlackRock Floating Rate Income Strategies Fund, Inc., the “Funds”) as of August 31, 2017, and its related statements of operations and cash flows for the year then ended, its statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period ended August 31, 2017, and the consolidated financial highlights for each of the three years in the period ended August 31, 2015. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust, as of August 31, 2017, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

October 24, 2017

 

Important Tax Information (Unaudited)     

During the fiscal year ended August 31, 2017, the following information is provided with respect to the ordinary income distributions paid by the Funds:

 

     Payable Dates   FRA     BLW  

Qualified Dividend Income for Individuals1

  September 2016 — October 2016           5.91%  
  November 2016           5.50%  
  December 2016 — January 2017           5.25%  
    February 2017 — August 2017           8.26%  

Dividends Qualifying for the Dividends Received Deduction for Corporations 1

  September 2016 — August 2017           6.44%  

Interest-Related Dividends for Non-U.S. Residents2

  September 2016 — January 2017     80.81%       78.32%  
    February 2017 — August 2017     81.08%       43.61%  

 

  1   

The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

 

  2   

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

                
88    ANNUAL REPORT    AUGUST 31, 2017   


Disclosure of Investment Advisory Agreements     

 

The Board of Trustees or the Board of Directors, as applicable (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” and together with FRA, each a “Trust,” and, collectively, the “Trusts”) met in person on April 27, 2017 (the “April Meeting”) and June 7-8, 2017 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (each an “Agreement,” and collectively, the “Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Manager is also referred to herein as “BlackRock”.

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Agreement for its Trust on an annual basis. Each Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement for its Trust and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, each Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trust; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trust’s adherence to its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Trust in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Trust as compared with a peer group of funds as determined by Broadridge1 and a customized peer group selected by BlackRock (“Customized Peer Group”) with respect to FRA, as well as the performance of BLW as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by the Trust to BlackRock.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2017    89
1    Trusts are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.


Disclosure of Investment Advisory Agreements (continued)     

 

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting. Topics covered included: (a) fund repositionings and portfolio management changes, including additional information about the portfolio managers, research teams, organization and methods and historical track records of the teams, and the potential impact of such changes on fund performance and the costs of such changes; (b) scientific active equity management; (c) BlackRock’s option overwrite policy; (d) differences in services between closed-end funds and mutual funds; (d) market discount; and (e) adviser profitability.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2018. In approving the continuation of the Agreement for its Trust, each Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trust; (d) the Trust’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Trust. Throughout the year, each Board compared its Trust’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board engaged in a review of BlackRock’s compensation structure with respect to its Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, registration statements in connection with the equity shelf programs of FRA and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trust; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trust’s performance. Each Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board of each Trust received and reviewed information regarding the investment performance, based on net asset value (NAV), of the Trust as compared to other funds in its applicable Broadridge category, a Customized Peer Group with respect to FRA and the performance of BLW as compared with its custom benchmark. Each Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. Each Board was provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

 

                
90    ANNUAL REPORT    AUGUST 31, 2017   


Disclosure of Investment Advisory Agreements (continued)     

 

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of FRA noted that for the one-, three- and five-year periods reported, FRA ranked in the fourth, first and third quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for FRA. The Board and BlackRock reviewed FRA’s underperformance during the one- and five-year periods. The Board was informed that, among other things, a more defensive position across both high yield and bank loans and an underweight position in commodity-related sectors detracted from performance over the one-year period. In addition, FRA’s focus on quality when higher risk assets outperformed coupled with FRA’s lower relative use of leverage detracted from performance over both the one- and five-year periods.

The Board and BlackRock discussed BlackRock’s strategy for improving FRA’s investment performance. Discussions covered topics such as: investment risks undertaken by FRA; performance attribution; FRA’s investment personnel; and the resources appropriate to support FRA’s investment processes.

The Board of BLW noted that for each of the one-, three- and five-year periods reported, BLW exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2016 compared to available aggregate profitability data provided for the prior two years. Each Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board may receive and review information from independent third parties as part of its annual evaluation. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Trust’s Agreement and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of FRA noted that FRA’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of BLW noted that BLW’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether

 

                
   ANNUAL REPORT    AUGUST 31, 2017    91


Disclosure of Investment Advisory Agreements (concluded)     

 

there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. Each Board considered its Trust’s asset levels and whether the current fee was appropriate.

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of FRA noted that although its Trust may from time to time make additional share offerings pursuant to its equity shelf program, the growth of the assets of its Trust will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with its Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of auction rate preferred shares (“AMPS”) for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2018. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Agreement for its Trust were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement for its Trust, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Trust’s Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
92    ANNUAL REPORT    AUGUST 31, 2017   


Automatic Dividend Reinvestment Plan     

 

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    93


Officers and Directors     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Fund
  Length of
Time Served³
  Principal Occupation(s) During Past Five Years  

Number of BlackRock-

Advised Registered

Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen4

 

Public
Company and

Other Investment

Company Directorships
Held During Past
Five Years

Independent Directors2               

Richard E. Cavanagh

1946

  Chair of the Board and Director   Since 2007   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) since 2015 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.   74 RICs consisting of
74 Portfolios
  None

Karen P. Robards

1950

  Vice Chair of the Board and Director   Since 2007   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.   74 RICs consisting of
74 Portfolios
  Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

  Director   Since 2011   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.   74 RICs consisting of
74 Portfolios
  None

Cynthia L. Egan

1955

  Director   Since 2016   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.   74 RICs consisting of
74 Portfolios
  Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

  Director   Since 2007   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014 and since 2016; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.   74 RICs consisting of
74 Portfolios
  None

Jerrold B. Harris

1942

  Director   Since 2007   Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited — Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) from 2000 to 2016; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.   74 RICs consisting of
74 Portfolios
  BlackRock Capital Investment Corp. (business development company)

R. Glenn Hubbard

1958

  Director   Since 2007   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.   74 RICs consisting of
74 Portfolios
  ADP (data and information services); Metropolitan Life Insurance Company (insurance)

W. Carl Kester

1951

  Director   Since 2007   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.   74 RICs consisting of
74 Portfolios
  None

Catherine A. Lynch

1961

  Director   Since 2016   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.   74 RICs consisting of
74 Portfolios
  None

 

                
94    ANNUAL REPORT    AUGUST 31, 2017   


Officers and Directors (continued)     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Fund
  Length of
Time Served³
  Principal Occupation(s) During Past
Five Years
 

Number of BlackRock-

Advised Registered

Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen4

 

Public
Company and

Other Investment

Company Directorships
Held During Past
Five Years

Interested Directors5

Barbara G. Novick

1960

  Director   Since 2014   Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.   100 RICs consisting of
218 Portfolios
  None

John M. Perlowski

1964

  Director, President and Chief Executive Officer   Since 2015 (Director); Since 2011 (President and Chief Executive Officer)   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund & Accounting Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.   127 RICs consisting of
316 Portfolios
  None
 

1    The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Each Independent Director will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding of good cause therefor.

 

3    Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Directors as joining the Board in 2007, each Director first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

 

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex.

 

5    Ms. Novick and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliates. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex. Interested Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon a finding of good cause therefor.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    95


Officers and Directors (concluded)     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Fund
  Length of
Time Served
as an Officer
  Principal Occupation(s) During Past Five Years
Officers Who Are Not Directors2     

Jonathan Diorio

1980

  Vice President   Since 2015   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal J. Andrews

1966

  Chief Financial Officer   Since 2007   Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

1970

  Treasurer   Since 2007   Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

1967

  Chief Compliance Officer   Since 2014   Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

  Secretary   Since 2012   Director of BlackRock, Inc. since 2009; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.
 

1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Officers of the Funds serve at the pleasure of the Board.

 

       

Investment Adviser

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

Distributor

BlackRock Investments, LLC

New York, NY 10022

 

Transfer Agent

Computershare Trust
Company, N.A.

Canton, MA 02021

 

Legal Counsel

Skadden, Arps, Slate,
Meagher & Flom LLP

Boston, MA 02116

 

 

                
96    ANNUAL REPORT    AUGUST 31, 2017   


Additional Information     

 

 

Proxy Results

The Annual Meeting of Shareholders was held on July 25, 2017 for shareholders of record on May 30, 2017, to elect trustee or director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class I Trustees as follows:

 

     Michael J. Castellano                    R. Glenn Hubbard                    W. Carl Kester                    John M. Perlowski         
    Votes For      Votes
Withheld
                 Votes For      Votes
Withheld
                 Votes For      Votes
Withheld
                 Votes For      Votes
Withheld
       

BLW

    33,080,444        419,063                        32,480,596        1,018,911                        32,471,849        1,027,658                        33,101,815        397,692    

For the Fund listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Frank J. Fabozzi, Jerrold B. Harris, Catherine A. Lynch, Barbara G. Novick and Karen P. Robards.

Shareholders elected the Directors as follows:

 

    Michael J. Castellano                  Cynthia L. Egan                  Catherine A. Lynch        
    Votes For      Votes
Withheld
                 Votes For      Votes
Withheld
                 Votes For      Votes
Withheld
       

FRA

    34,210,284        312,054                  34,208,305        314,033                  34,194,445        327,893    

For the Fund listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, W. Carl Kester, Frank J. Fabozzi, Jerrold B. Harris, R. Glenn Hubbard, John M. Perlowski, Barbara G. Novick and Karen P. Robards.

 

Fund Certification

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

 

Dividend Policy

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

 

General Information

BLW does not make available copies of its Statement of Additional Information because the Fund’s shares are not continuously offered, which means that the Statement of Additional Information has not been updated after completion of the Fund’s offerings and the information contained in its Statement of Additional Information may have become outdated.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    97


Additional Information (continued)     

 

 

General Information (concluded)

FRA’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

Except as described below, during the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

On October 28, 2016, FRA announced that it had divided its Board of Directors into three classes, with one class standing for election each year, and had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

On October 28, 2016, BLW announced that it had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Funds from time to time may purchase their common shares in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

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

Householding

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

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

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

Availability of Proxy Voting Record

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

Availability of Fund Updates

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

 

                
98    ANNUAL REPORT    AUGUST 31, 2017   


Additional Information (continued)     

 

 

Section 19(a) Notices

BLW’s amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund’s investment experience during the remainder of the fiscal year and may be subject to changes based on tax regulations. The Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

 

August 31, 2017          
    Total Cumulative Distributions
for the Fiscal Period
     % Breakdown of the Total Cumulative
Distributions for the Fiscal Period
 
     Net Investment
Income
     Net Realized
Capital Gains
Short Term
     Net Realized
Capital Gains
Long Term
     Return of
Capital
     Total Per
Common
Share
     Net Investment
Income
     Net Realized
Capital Gains
Short Term
     Net Realized
Capital Gains
Long Term
     Return of
Capital
     Total Per
Common
Share
 

BLW

  $ 1.2216568                    $ 0.0513432      $ 1.2730        96      0      0      4      100

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

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.

 

Shelf Offering Program

From time-to-time, FRA may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, FRA may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow FRA to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

FRA has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of FRA are not offers to sell FRA Common Shares or solicitation of an offer to buy FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of FRA contain important information about FRA, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of FRA carefully and in its entirety before investing. Copies of the final prospectus for FRA can be obtained from BlackRock at http://www.blackrock.com.

 

                
   ANNUAL REPORT    AUGUST 31, 2017    99


Additional Information (concluded)     

 

 

BlackRock Privacy Principles

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

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

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

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

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

 

                
100    ANNUAL REPORT    AUGUST 31, 2017   


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEFT-BK3-8/17-AR    LOGO


Item 2 –   Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to clarify an inconsistency in to whom persons covered by the code should report suspected violations of the code. The amendment clarifies that such reporting should be made to BlackRock’s General Counsel, and retains the alternative option of anonymous reporting following “whistleblower” policies. Other non-material changes were also made in connection with this amendment. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 1-800-882-0052, option 4.

Item 3 –  Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.    

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an

 

2


audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 –  Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

     (a) Audit Fees   (b) Audit-Related Fees1   (c) Tax Fees2   (d) All Other Fees
Entity Name  

Current

  Fiscal Year  

End

 

Previous

  Fiscal Year  

End

 

Current

  Fiscal Year  

End

 

Previous

  Fiscal Year  

End

 

Current

  Fiscal Year  

End

 

Previous

  Fiscal Year  

End

 

Current

  Fiscal Year  

End

 

Previous

  Fiscal Year  

End

BlackRock Limited Duration Income Trust   $72,408   $75,978   $0   $4,000   $16,932   $16,932   $0   $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

              Current Fiscal Year End                             Previous Fiscal Year  End                

(b) Audit-Related Fees1

   $0                $0            

(c) Tax Fees2

   $0                $0            

(d) All Other Fees3

   $2,129,000                $2,154,000            

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,129,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

            The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved

 

3


provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

            Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

                               Entity Name  

  Current Fiscal Year        

End      

 

  Previous Fiscal Year      

End      

                                                                                             
  BlackRock Limited Duration Income Trust        $16,932   $20,932   

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal

Year End

  

Previous Fiscal

Year End

$2,129,000    $2,154,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

4


Item 5 –  Audit Committee of Listed Registrants

 

  (a) The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

 

  (b) Not Applicable

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies

 

  (a)(1) As of the date of filing this Report:

 

5


  The registrant is managed by a team of investment professionals comprised of James E. Keenan, Managing Director of BlackRock, C. Adrian Marshall, Director of BlackRock, Thomas Musmanno, Managing Director at BlackRock and Mitchell Garfin, Managing Director at BlackRock. Mr. Keenan is responsible for setting the registrant’s overall investment strategy and overseeing the registrant’s investment process and performance. Messrs. Marshall, Musmanno and Garfin are jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Keenan, Marshall, Musmanno and Garfin have been members of the registrant’s portfolio management team since 2007, 2009, 2012 and 2016, respectively.

 

Portfolio Manager    Biography
James E. Keenan    Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.
C. Adrian Marshall    Director of BlackRock since 2007; Vice President of BlackRock from 2004 to 2007.
Thomas Musmanno    Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.
Mitchell Garfin   

Managing Director of BlackRock, Inc. since

2009; Director of BlackRock, Inc. from 2005

to 2008.

(a)(2) As of August 31, 2017:

 

      (ii) Number of Other Accounts Managed
and Assets by Account Type
   (iii) Number of Other Accounts and
Assets for Which Advisory Fee is
Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

    Investment    

Companies

  

    Other Pooled    

Investment

Vehicles

  

Other

    Accounts    

  

Other

Registered

    Investment    

Companies

  

Other Pooled

    Investment    

Vehicles

  

Other

    Accounts    

James E. Keenan

   13    24    20    0    0    4
     $28.09 Billion    $14.14 Billion    $8.86 Billion    $0    $0    $907.3 Million

C. Adrian Marshall

   6    28    13    0    2    0
     $6.00 Billion    $10.08 Billion    $1.96 Billion    $0    $0.98 Million    $0

Thomas Musmanno

   11    10    137    0    1    0
     $11.54 Billion    $4.10 Billion    $53.37 Billion    $0    $1.59 Billion    $0

Mitchell Garfin

   13    12    23    0    0    4
     $24.35 Billion

 

   $8.33 Billion

 

   $10.60 Billion

 

   $0

 

   $0

 

   $907.3 Million

 

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the

 

6


allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.  It should also be noted that Messrs. Keenan, Marshall, Musmanno and Garfin may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, Marshall, Musmanno and Garfin may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2017:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 31, 2017.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

7


Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager                Benchmark
James Keenan   

A combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

 

C. Adrian Marshall   

A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.

 

Thomas Musmanno   

A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.

 

Mitchell Garfin   

A combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

 

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.

Portfolio managers generally receive deferred BlackRock, Inc. stock awards as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future

 

8


periods. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest ratably over a number of years and, once vested, settle in BlackRock, Inc. common stock. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align their interests with long-term shareholder interests and motivate performance. Such equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For some portfolio managers, discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($270,000 for 2017). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of August 31, 2017.

 

Portfolio Manager                       

Dollar Range of Equity Securities

of the Fund Beneficially Owned      

James E. Keenan

   None

C. Adrian Marshall

   None

Thomas Musmanno

   $10,001-$50,000

Mitchell Garfin

   None

 

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(b) Not Applicable

Item 9 –  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period   (a) Total
Number of
Shares
Purchased
  (b) Average
Price Paid per
Share
  (c) Total Number of
Shares Purchased as Part
of Publicly Announced
Plans or Programs
  (d) Maximum Number of
Shares that May Yet Be
Purchased Under the Plans
or Programs
1

March 1-31, 2017

  N/A   N/A   N/A   1,850,912

April 1-31, 2017

  N/A   N/A   N/A   1,850,912

May 1-31, 2017

  N/A   N/A   N/A   1,850,912

June 1-30, 2017

  N/A   N/A   N/A   1,850.912

July 1-31, 2017

  N/A   N/A   N/A   1,850,912

August 1-31, 2017

  N/A   N/A   N/A   1,850,912

Total:

  N/A   N/A   N/A   1,850912

1The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund may repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (1,850,912 common shares), in open market transactions. On September 6, 2017, the Fund announced a continuation of the open market share repurchase program. Commencing on December 1, 2017, the Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

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

Item 11 – Controls and Procedures

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

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

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the fiscal year ended August 31, 2017. The Fund did not engage in any securities lending activity during the fiscal year ended August 31, 2017.

 

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BlackRock Limited Duration Income Trust

  (1)    Gross income from securities lending activities    $0        

  (2)

  

Fees and/or compensation for securities lending activities and related services

  
          (a)    Securities lending income paid to BIM for services as securities lending agent    $0     
          (b)    Collateral management expenses (including fees deducted from a polled cash collateral vehicle) not
included in (a)
   $0     
          (c)    Administrative fees not included in (a)    $0     
          (d)    Indemnification fees not included in (a)    $0     
          (e)    Rebate (paid to borrowers)    $0     
          (f)    Other fees not included in (a)    $0     
  (3)    Aggregate fees/compensation for securities lending activities       $0
  (4)    Net income from securities lending activities         $0

 (b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

  Item 13 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

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

 

BlackRock 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: November 3, 2017

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: November 3, 2017
By:   /s/ Neal J. Andrews                                    
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Limited Duration Income Trust
Date: November 3, 2017

 

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