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: 08/31/2014

 

Date of reporting period: 02/28/2014

 

Item 1 – Report to Stockholders

 

 

 

 

 

 

 
 

FEBRUARY 28, 2014

SEMI-ANNUAL REPORT (UNAUDITED)  

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee
     
 
  

Table of Contents

 
           Page    
Dear Shareholder
           3    
Semi-Annual Report:
                
Fund Summaries
           4    
The Benefits and Risks of Leveraging
           10    
Derivative Financial Instruments
           10    
Financial Statements
                
Schedules of Investments
           11    
Statements of Assets and Liabilities
           52    
Statements of Operations
           53    
Statements of Changes in Net Assets
           54    
Statements of Cash Flows
           57    
Financial Highlights
           58    
Notes to Financial Statements
           61    
Officers and Directors
           74    
Additional Information
           75    
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Dear Shareholder  

One year ago, US financial markets were improving despite a sluggish global economy, as easy monetary policy gave investors enough conviction to take on more risk in their portfolios. Slow but positive growth in the US was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced expectations that the Federal Reserve would continue its aggressive monetary stimulus programs. International markets were more volatile given uneven growth rates and more direct exposure to macro risks such as the banking crisis in Cyprus and a generally poor outlook for European economies. Emerging markets significantly lagged the rest of the world amid fears over slowing growth and debt problems.

Global financial markets were rattled in May when then-Fed Chairman Bernanke mentioned the possibility of reducing (or “tapering”) the central bank’s asset purchase programs — comments that were widely misinterpreted as signaling an end to the Fed’s zero-interest-rate policy. US Treasury yields rose sharply, triggering a steep sell-off across fixed income markets. (Bond prices move in the opposite direction of yields.) Equity prices also suffered as investors feared the implications of a potential end of a program that had greatly supported the markets. Markets rebounded in late June, however, when the Fed’s tone turned more dovish, and improving economic indicators and better corporate earnings helped extend gains through most of the summer.

Although autumn brought mixed events, it was a surprisingly positive period for most asset classes. Early on, the Fed defied market expectations with its decision to delay tapering, but higher volatility returned in late September when the US Treasury Department warned that the national debt would soon breach its statutory maximum. The ensuing political brinksmanship led to a partial government shutdown, roiling global financial markets through the first half of October. Equities and other so-called “risk assets” managed to resume their rally when politicians engineered a compromise to reopen the government and extend the debt ceiling, at least temporarily.

The remainder of 2013 was generally positive for stock markets in the developed world, although investors continued to grapple with uncertainty about when and how much the Fed would scale back on stimulus. When the long-awaited taper announcement ultimately came in mid-December, the Fed reduced the amount of its monthly asset purchases but at the same time reaffirmed its commitment to maintaining low short-term interest rates. Markets reacted positively, as the taper signaled the Fed’s perception of real improvement in the economy, and investors were finally relieved from the anxiety that had gripped them for quite some time.

The start of the new year brought another turn in sentiment, as heightened volatility in emerging markets and mixed US economic data caused global equities to weaken in January while bond markets found renewed strength. Although these headwinds persisted, equities were back on the rise in February thanks to positive developments in Washington, DC. For one, Congress extended the nation’s debt ceiling through mid-March 2015, thereby reducing some degree of fiscal uncertainty for the next year. Additionally, investors were encouraged by market-friendly comments in new Fed Chair Janet Yellen’s Congressional testimony, giving further assurance that short-term rates would remain low for a prolonged period.

While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty. Developed market stocks were the strongest performers for the six- and 12-month periods ended February 28. In contrast, emerging markets were weighed down by uneven growth, high levels of debt and severe currency weakness, in addition to the broader concern about reduced global liquidity. The anticipation of Fed tapering during 2013 pressured US Treasury bonds and other high-quality fixed income sectors, including tax-exempt municipals and investment grade corporate bonds. High yield bonds, to the contrary, benefited from income-oriented investors’ search for yield in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.

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

Sincerely,

Rob Kapito
President, BlackRock Advisors, LLC



 
 
“While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty.”

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of February 28, 2014

         6-month      12-month
US large cap equities (S&P 500® Index)
           15.07 %           25.37 %  
US small cap equities (Russell 2000® Index)
           17.75            31.56   
International equities (MSCI Europe, Australasia, Far East Index)
           15.01            19.28   
Emerging market equities (MSCI Emerging Markets Index)
           4.77            (6.01 )  
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury
Bill Index)
           0.03            0.08   
US Treasury securities (BofA Merrill Lynch
10-Year US Treasury Index)
           2.61            (3.65 )  
US investment grade bonds (Barclays US Aggregate Bond Index)
           2.84            0.15   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           6.08            (0.27 )  
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
           7.46            8.36   

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


 
 

THIS PAGE NOT PART OF YOUR FUND REPORT

3
 
  
Fund Summary as of February 28, 2014 BlackRock Defined Opportunity Credit Trust

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended February 28, 2014, the Fund returned 4.22% based on market price and 3.75% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.71% based on market price and 4.33% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher quality loan instruments, where the Fund maintained a quality bias, had a positive impact on performance. From an industry perspective, holdings within gaming, wirelines and lodging boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed bank loans during the period. Exposure to high-quality collateralized loan obligations (“CLOs”) also enhanced results.
Conversely, security selection in the media non-cable and electric industries detracted from results. The Fund’s limited exposure to lower-rated loan credits represented a missed opportunity for additional gains as this segment performed well during the period.

Describe recent portfolio activity.

During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. Although we expect modest growth and improving economic conditions, we continue to limit the Fund’s exposure to lower-rated segments of the market given less attractive risk-reward profiles in that space. From an asset allocation perspective, we continued to reduce exposure to higher-quality high yield bonds as valuations in that market also moved closer to fair value. In addition, we tactically added risk in high-quality CLOs.

Describe portfolio positioning at period end.

At period end, the Fund held 94% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund’s highest-conviction holdings included La Quinta (lodging), Caesars Entertainment Resort Properties LLC (gaming) and Level 3 Financing, Inc. (wirelines).
  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
4 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
    BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”)
     
BHL
Initial Offering Date
     
January 31, 2008
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($13.87)1
     
5.71%
Current Monthly Distribution per Common Share2
     
$0.066
Current Annualized Distribution per Common Share2
     
$0.792
Economic Leverage as of February 28, 20143
     
28%
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 monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0605 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.
3 Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary




   
2/28/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 13.87         $ 13.77            0.73 %        $ 14.09         $ 13.48   
Net Asset Value
        $ 14.48         $ 14.44            0.28 %        $ 14.53         $ 14.39   

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



 
    

    

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
2/28/14
   
8/31/13
Floating Rate Loan Interests
           94 %           94 %  
Corporate Bonds
           3             3    
Asset-Backed Securities
           2             2    
Common Stocks
           1             1    

Corporate Bonds Credit Quality Allocation4



   
2/28/14
   
8/31/13
BBB/Baa
           12 %           11 %  
BB/Ba
           18             17    
B
           70             72    
4   Using the higher of Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2014 5
 
  
Fund Summary as of February 28, 2014 BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended February 28, 2014, the Fund returned 1.47% based on market price and 4.27% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.71% based on market price and 4.33% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher quality loan instruments, where the Fund maintained a quality bias, had a positive impact on performance. From an industry perspective, holdings within gaming, wirelines and lodging boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed bank loans during the period. Exposure to high-quality collateralized loan obligations (“CLOs”) also enhanced results.
Conversely, security selection in the media non-cable and electric industries detracted from results. The Fund’s limited exposure to lower-rated loan credits represented a missed opportunity for additional gains as this segment performed well during the period.

Describe recent portfolio activity.

During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. Although we expect modest growth and improving economic conditions, we continue to limit the Fund’s exposure to lower-rated segments of the market given less attractive risk-reward profiles in that space. From an asset allocation perspective, we continued to reduce exposure to higher-quality high yield bonds as valuations in that market also moved closer to fair value. In addition, we tactically added risk in high-quality CLOs.

Describe portfolio positioning at period end.

At period end, the Fund held 93% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund’s highest-conviction holdings included La Quinta (lodging), Caesars Entertainment Resort Properties LLC (gaming) and Level 3 Financing, Inc. (wirelines).
  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
6 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
    BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE
     
FRA
Initial Offering Date
     
October 31, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($14.70)1
     
6.16%
Current Monthly Distribution per Common Share2
     
$0.0755
Current Annualized Distribution per Common Share2
     
$0.9060
Economic Leverage as of February 28, 20143
     
28%
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 monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0700 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.
3 Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary




   
2/28/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 14.70         $ 14.96            (1.74 )%        $ 15.02         $ 14.30   
Net Asset Value
        $ 15.51         $ 15.36            0.98 %        $ 15.54         $ 15.33   
 

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



 
    

    

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
2/28/14
   
8/31/13
Floating Rate Loan Interests
           93 %           92 %  
Corporate Bonds
           4             4    
Asset-Backed Securities
           2             3    
Common Stocks
           1             1    

Corporate Bonds Credit Quality Allocation4



   
2/28/14
   
8/31/13
BBB/Baa
           9 %           10 %  
BB/Ba
           13             15    
B
           37             57    
CCC/Caa
           24             5    
Not Rated
           17             13    
4   Using the higher of S&P’s or Moody’s ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2014 7
 
  
Fund Summary as of February 28, 2014 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 US Government and agency securities;
  senior, secured floating rate loans made to corporate and other business entities; and
  US dollar-denominated securities of US and non-US issuers rated below investment grade and, to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade.

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended February 28, 2014, the Fund returned 6.32% based on market price and 7.35% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 12.50% based on market price and 10.48% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Fixed income markets experienced a rally over the six-month period that was only temporarily suspended at the beginning of 2014 due to investors’ concern over softening US economic data, which appeared to be mostly driven by unusually harsh weather conditions. In addition, certain risk assets, including emerging market debt, were negatively impacted by the tightening of global liquidity as the Fed continued to reduce the size of its asset purchase program.
The Fund benefited from the generally positive market environment, with positions in corporate credit being the largest contributors to returns. Exposure to securitized assets, including asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”) also had a positive impact on performance. In addition, positions in non-agency residential mortgage-backed securities (“MBS”) and high yield credit enhanced results.
Based on the view that short-term rates would remain low, the Fund maintained its leverage to augment income generation throughout the period.
As most fixed income sectors performed well during the period, there were no material detractors from the Fund’s performance.

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

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

  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
8 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
    BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE
     
BLW
Initial Offering Date
     
July 30, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($17.31)1
     
7.24%
Current Monthly Distribution per Common Share2
     
$0.1045
Current Annualized Distribution per Common Share2
     
$1.2540
Economic Leverage as of February 28, 20143
     
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 monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0995 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.
3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary




   
2/28/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 17.31         $ 16.89            2.49 %        $ 17.62         $ 16.15   
Net Asset Value
        $ 18.15         $ 17.54            3.48 %        $ 18.15         $ 17.54   
 
Market Price and Net Asset Value History For the Past Five Years



 
    

    

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
2/28/14
   
8/31/13
Corporate Bonds
           44 %           44 %  
Floating Rate Loan Interests
           36             36    
Non-Agency Mortgage-Backed Securities
           8             8    
Asset-Backed Securities
           4             6    
US Government Sponsored Agency Securities
           4             4    
Preferred Securities
           2             1    
Foreign Agency Obligations
           1             -    
Common Stocks
           1             1    

             
Corporate Bonds Credit Quality Allocation4



   
2/28/14
   
8/31/13
AAA/Aaa5
           9 %           9 %  
AA/Aa
           -             1    
A
           3             6    
BBB/Baa
           17             17    
BB/Ba
           30             25    
B
           33             34    
CCC/Caa
           7             7    
Not Rated
           1             1    
4 Using the higher of S&P’s or Moody’s ratings.
5 Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor.
SEMI-ANNUAL REPORT FEBRUARY 28, 2014 9
 
  
The Benefits and Risks of Leveraging 

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

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

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s costs of leverage are significantly lower than the income earned on the Fund’s longer-term investments acquired from 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 or dividends and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders will be lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

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

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

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

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders and/or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

10 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Schedule of Investments February 28, 2014 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Common Stocks (a)                     
Shares
     Value
Hotels, Restaurants & Leisure — 0.4%
                                                            
BLB Worldwide Holdings, Inc.
     
 
        21,020         $     524,449     
Software — 0.4%
                                                            
HMH Holdings/EduMedia
     
 
        24,355            470,149   
Total Common Stocks — 0.8%
     
 
                      994,598   

Asset-Backed Securities (b)(c)
     
 
  
Par
(000)
  
  
ALM Loan Funding, Series 2013-7RA, Class C, 3.69%, 4/24/24
     
USD
        835             807,395   
Atrium CDO Corp., Series 9A,Class D, 3.73%, 2/28/24
     
 
        250             242,219   
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.74%, 1/20/25
     
 
        250             251,422   
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.88%, 3/21/24
     
 
        250             243,188   
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23
     
 
        215             214,994   
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22
     
 
        350             352,038   
Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23
     
 
        400             401,120   
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25
     
 
        500             489,415   
North End CLO Ltd., Series 2013-1A, Class D, 3.74%, 7/17/25
     
 
        250             242,227   
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25
     
 
        250             238,487   
Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23
     
 
        250             250,082   
Symphony CLO Ltd., Series 2012-10A,
Class D, 5.49%, 7/23/23
     
 
        350             351,927   
Total Asset-Backed Securities — 3.1%
     
 
                      4,084,514   

Corporate Bonds
     
 
                           
Airlines — 0.7%
                                                            
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)
     
 
        250             259,375   
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
 
        48             54,006   
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
        590             601,800   
 
     
 
                      915,181   
Auto Components — 0.2%
                                                            
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 (c)
     
 
        269             272,363   
Chemicals — 0.1%
                                                            
INEOS Finance PLC, 8.38%, 2/15/19 (c)
     
 
        110             121,825   
                         
Corporate Bonds                 Par
(000)
     Value
Commercial Services & Supplies — 0.3%
                                                            
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.99%, 12/01/17 (b)(c)
     
USD
        68          $      68,680     
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)
     
 
        268             277,751   
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
        80             85,800   
 
     
 
                      432,231   
Communications Equipment — 0.4%
                                                            
Avaya, Inc., 7.00%, 4/01/19 (c)
     
 
        101             100,242   
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
        380             418,950   
 
     
 
                      519,192   
Diversified Financial Services — 0.3%
                                                            
Ally Financial, Inc., 2.92%, 7/18/16 (b)
     
 
        275             280,714   
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
        120             127,650   
 
     
 
                      408,364   
Diversified Telecommunication Services — 0.3%
                                                            
Level 3 Financing, Inc. (c):
                                                            
3.85%, 1/15/18 (b)
     
 
        228             231,420   
6.13%, 1/15/21
     
 
        127             134,303   
 
     
 
                      365,723   
Health Care Technology — 0.3%
                                                            
IMS Health, Inc., 12.50%, 3/01/18 (c)
     
 
        295             339,250   
Household Durables — 0.1%
                                                            
Beazer Homes USA, Inc., 6.63%, 4/15/18
     
 
        180             194,400   
Independent Power Producers & Energy Traders — 0.8%
                                  
Calpine Corp., 6.00%, 1/15/22 (c)
     
 
        80             84,800   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                            
10.00%, 12/01/20
     
 
        700             728,000   
10.25%, 12/01/20 (c)
     
 
        230             239,200   
 
     
 
                      1,052,000   
Media — 0.1%
                                                            
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)
     
 
        96             100,080   
Oil, Gas & Consumable Fuels — 0.1%
                                                            
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
        145             156,419   
Wireless Telecommunication Services — 0.0%
                                                            
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
        50             52,813   
Total Corporate Bonds — 3.7%
     
 
                      4,929,841   

Floating Rate Loan Interests (b)
     
 
                           
Aerospace & Defense — 2.1%
                                                            
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
        511             510,499   
The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16
     
 
        410             401,671   
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19
     
 
        364             364,888   
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20
     
 
        223             223,585   
TransUnion LLC, Term Loan, 4.25%, 2/08/19
     
 
        1,276            1,279,733   
 
     
 
                      2,780,376   

Portfolio Abbreviations

 
CAD
EBITDA
  
EUR
  
Canadian Dollar
Earnings Before Interest, Taxes, Depreciation and Amortization
Euro
  
GBP
OTC
PIK
USD
  
British Pound
Over-the-Counter
Payment-In-Kind
US Dollar

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 11
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Airlines — 1.0%
                                                            
Delta Air Lines, Inc.:
                                                            
Term Loan, 3.49%, 9/16/15
     
USD
        317          $ 306,656     
Term Loan B1, 3.50%, 10/18/18
     
 
        325             326,023   
Northwest Airlines, Inc., Term Loan:
                                                            
2.24%, 3/10/17
     
 
        208             201,148   
1.62%, 9/10/18
     
 
        273             257,513   
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
        260             260,081   
 
     
 
                       1,351,421   
Auto Components — 4.6%
                                                            
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
        358             358,497   
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16
     
 
        60             59,887   
Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/29/17
     
 
        627             627,309   
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
        360             363,150   
Federal-Mogul Corp.:
                                                            
Term Loan B, 2.10%, 12/29/14
     
 
        1,354            1,342,640   
Term Loan C, 2.10%, 12/28/15
     
 
        1,258            1,247,910   
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
        1,150            1,160,638   
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
     
 
        15             15,098   
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18
     
 
        489             480,258   
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
        340             338,865   
 
     
 
                      5,994,252   
Automobiles — 0.1%
                                                            
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18
     
 
        190             189,016   
Building Products — 2.1%
                                                            
Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/15/20
     
 
        258             258,293   
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/28/20
     
 
        269             269,212   
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
        783             783,531   
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21
     
 
        200             200,334   
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
        339             339,855   
Wilsonart LLC:
                                                            
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
        110             109,725   
Term Loan B, 4.00%, 10/31/19
     
 
        792             791,010   
 
     
 
                      2,751,960   
Capital Markets — 0.2%
                                                            
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
        197             197,211   
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
     
 
        110             110,041   
 
     
 
                      307,252   
Chemicals — 4.1%
                                                            
Allnex USA, Inc.:
                                                            
Term Loan B1, 4.50%, 10/03/19
     
 
        255             256,554   
Term Loan B2, 4.50%, 10/03/19
     
 
        133             133,114   
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20
     
 
        729             732,092   
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
        27             27,005   
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
        324             326,003   
Chromaflo Technologies Corp.:
                                                            
1st Lien Term Loan, 4.50%, 12/02/19
     
 
        260             260,650   
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
        110             110,825   
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
        478             479,404   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Chemicals (concluded)
                                                            
INEOS Finance LLC:
                                                            
3 Year Term Loan, 2.15%, 5/04/15
     
USD
        88          $      88,142     
6 Year Term Loan, 2.75%, 5/04/18
     
 
        195             194,458   
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20
     
 
        353             354,638   
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
        584             579,797   
OXEA Finance LLC:
                                                            
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
        315             321,004   
Term Loan B2, 4.25%, 1/15/20
     
 
        584             587,185   
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
        159             160,875   
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
        134             134,661   
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20
     
 
        409             409,636   
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
        223             221,861   
 
     
 
                      5,377,904   
Commercial Banks — 0.2%
                                                            
Redtop Acquisitions Ltd.:
                                                            
1st Lien Term Loan, 4.50%, 12/03/20
     
 
        190             191,108   
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
        70             71,400   
 
     
 
                      262,508   
Commercial Services & Supplies — 4.2%
                                                            
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
        740             739,202   
ARAMARK Corp.:
                                                            
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
        14             13,860   
Extended Synthetic Line of Credit 3, 6.65%, 7/26/16
     
 
        9             9,373   
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
        290             290,876   
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
        870             872,596   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
        115             116,438   
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17
     
 
        555             555,490   
Livingston International, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/19
     
 
        308             309,221   
2nd Lien Term Loan, 9.00%, 4/20/20
     
 
        200             204,373   
Progressive Waste Solutions Ltd., Term Loan B, 3.00%, 10/24/19
     
 
        312             312,942   
Protection One, Inc., Term Loan, 4.25%, 3/21/19
     
 
        471             469,371   
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
        928             928,970   
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
        681             677,103   
 
     
 
                      5,499,815   
Communications Equipment — 2.3%
                                                            
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19
     
 
        1,206            1,215,823   
Applied Systems, Inc.:
                                                            
1st Lien Term Loan, 4.25%, 1/25/21
     
 
        185             186,156   
2nd Lien Term Loan, 7.50%, 1/22/22
     
 
        85             86,764   
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17
     
 
        347             337,369   
Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18
     
 
        115             115,685   
CommScope, Inc.:
                                                            
Term Loan B3, 2.65% - 2.73%, 1/21/17
     
 
        158             157,483   
Term Loan B4, 3.25%, 1/26/18
     
 
        237             236,962   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
 
        649             650,673   
 
     
 
                      2,986,915   

See Notes to Financial Statements.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Construction & Engineering — 1.0%
                                                            
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
USD
        301          $     300,759   
Centaur Acquisition LLC:
                                                            
1st Lien Term Loan, 5.25%, 2/20/19
     
 
        504             504,554     
2nd Lien Term Loan, 8.75%, 2/15/20
     
 
        280             285,600   
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20
     
 
        269             268,201   
 
     
 
                      1,359,114   
Construction Materials — 1.6%
                                                            
Filtration Group Corp.:
                                                            
1st Lien Term Loan, 4.50%, 11/21/20
     
 
        220             221,742   
2nd Lien Term Loan, 8.25%, 11/21/21
     
 
        120             122,550   
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
        1,612            1,616,736   
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
        150             151,159   
 
     
 
                      2,112,187   
Consumer Finance — 0.5%
                                                            
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19
     
 
        700             708,050   
Containers & Packaging — 1.1%
                                                            
Ardagh Holdings USA, Inc.:
                                                            
Incremental Term Loan, 4.00%, 12/17/19
     
 
        210             210,788   
Term Loan B, 4.25%, 12/17/19
     
 
        290             290,725   
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21
     
 
        185             184,445   
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18
     
 
        331             332,584   
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
     
 
        393             393,489   
 
     
 
                      1,412,031   
Distributors — 1.3%
                                                            
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
        1,147            1,147,481   
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
        233             231,633   
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17
     
 
        277             277,200   
 
     
 
                      1,656,314   
Diversified Consumer Services — 2.1%
                                                            
Allied Security Holdings LLC:
                                                            
1st Lien Term Loan, 4.25%, 2/12/21
     
 
        242             241,367   
Delayed Draw Term Loan, 0.50%, 2/12/21
     
 
        86             85,689   
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20
     
 
        639             639,482   
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20
     
 
        208             210,313   
Garda World Securities Corp.:
                                                            
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
        69             68,860   
Term Loan B, 4.00%, 11/06/20
     
 
        269             269,180   
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
        249             242,829   
ServiceMaster Co., Term Loan, 4.25%, 1/31/17
     
 
        467             467,397   
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
        630             481,149   
 
     
 
                      2,706,266   
Diversified Financial Services — 2.3%
                                                            
ION Trading Technologies Sarl:
                                                            
1st Lien Term Loan, 4.50%, 5/22/20
     
 
        371             373,342   
2nd Lien Term Loan, 8.25%, 5/21/21
     
 
        80             80,800   
Kasima LLC, Term Loan B, 3.25%, 5/17/21
     
 
        355             354,556   
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
        749             754,173   
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
        88             88,247   
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
        595             595,994   
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20
     
 
        798             796,803   
 
     
 
                      3,043,915   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Diversified Telecommunication Services — 4.4%
                                                            
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
USD
        873          $     878,422     
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
        523             525,515   
Integra Telecom, Inc.:
                                                            
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
        255             261,439   
Term Loan B, 5.25%, 2/22/19
     
 
        462             465,666   
Level 3 Financing, Inc.:
                                                            
2020 Term Loan B, 4.00%, 1/15/20
     
 
        2,160            2,165,400   
Term Loan, 4.00%, 8/01/19
     
 
        220             220,660   
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
        446             447,514   
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
        732             736,073   
 
     
 
                      5,700,689   
Electric Utilities — 0.5%
                                                            
American Energy – Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
        325             339,738   
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
        300             300,609   
 
     
 
                      640,347   
Electrical Equipment — 1.0%
                                                            
Southwire Co., Term Loan, 3.25%, 2/11/21
     
 
        265             264,857   
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17
     
 
        1,505            1,048,880   
 
     
 
                      1,313,737   
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
        521             518,239   
Energy Equipment & Services — 0.7%
                                                            
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
        259             259,476   
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
        360             360,880   
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21
     
 
        115             115,312   
Unifrax Corp., Term Loan, 4.25%, 11/28/18
     
 
        217             217,692   
 
     
 
                      953,360   
Food & Staples Retailing — 1.9%
                                                            
Alliance Boots Holdings Ltd., Term Loan B1, 3.47%, 7/09/15
     
GBP
        767             1,282,968   
Rite Aid Corp.:
                                                            
2nd Lien Term Loan, 5.75%, 8/21/20
     
USD
        235             239,895   
Term Loan 6, 4.00%, 2/21/20
     
 
        223             224,038   
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
        511             512,257   
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19
     
 
        199             199,995   
 
     
 
                      2,459,153   
Food Products — 3.3%
                                                            
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
 
        200             200,701   
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
        259             259,459   
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20
     
 
        395             395,494   
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18
     
 
        180             179,885   
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
        605             608,176   
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20
     
 
        109             110,088   
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
        75             74,939   
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18
     
 
        165             165,513   
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
        711             722,097   
Pinnacle Foods Finance LLC:
                                                            
Incremental Term Loan H, 3.25%, 4/29/20
     
 
        125             124,272   
Term Loan G, 3.25%, 4/29/20
     
 
        695             691,929   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 13
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Food Products (concluded)
                                                            
Reddy Ice Corp.:
                                                            
1st Lien Term Loan, 6.75% – 7.75%, 5/01/19
     
USD
        566          $     562,897     
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
        270             261,900   
 
     
 
                      4,357,350   
Health Care Equipment & Supplies — 5.5%
                                                            
Arysta LifeScience Corp.:
                                                            
1st Lien Term Loan, 4.50%, 5/29/20
     
 
        935             938,415   
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
        380             385,225   
Biomet, Inc., Term Loan B2, 3.65% – 3.75%, 7/25/17
     
 
        756             757,221   
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
     
 
        349             348,814   
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
        472             471,238   
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17
     
 
        980             985,077   
Fresenius SE & Co. KGaA:
                                                            
Incremental Term Loan B, 2.25%, 6/25/19
     
EUR
        120             165,429   
Term Loan B, 2.25%, 8/07/19
     
USD
        618             617,504   
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
        765             763,460   
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
        95             95,715   
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
        807             810,604   
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
        120             120,048   
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
        95             95,237   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
     
 
        132             128,213   
Onex Carestream Finance LP:
                                                            
1st Lien Term Loan, 5.00%, 6/07/19
     
 
        302             305,650   
2nd Lien Term Loan, 9.50%, 12/07/19
     
 
        245             249,900   
 
     
 
                      7,237,750   
Health Care Providers & Services — 6.7%
                                                            
American Renal Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/20/19
     
 
        655             655,050   
2nd Lien Term Loan, 8.50%, 2/14/20
     
 
        410             411,025   
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
        262             263,006   
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19
     
 
        414             415,513   
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
        1,965            1,981,368   
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
        563             565,723   
DaVita, Inc.:
                                                            
Term Loan B, 4.50%, 10/20/16
     
 
        995             1,000,143   
Term Loan B2, 4.00%, 11/01/19
     
 
        405             406,623   
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
        239             241,196   
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
        426             427,067   
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
     
 
        276             283,410   
HCA, Inc., Extended Term Loan B4, 3.00%, 5/01/18
     
 
        234             234,150   
Ikaria, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 2/12/21
     
 
        270             271,520   
2nd Lien Term Loan, 8.75%, 1/17/22
     
 
        70             70,992   
inVentiv Health, Inc.:
                                                            
Combined Term Loan, 7.50%, 8/04/16
     
 
        260             259,324   
Incremental Term Loan B3, 7.75%, 5/15/18
     
 
        219             217,161   
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21
     
 
        190             191,663   
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18
     
 
        423             422,524   
US Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
        482             484,653   
 
     
 
                      8,802,111   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Health Care Technology — 0.7%
                                                            
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17
     
USD
        744          $     743,568     
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
        182             182,913   
 
     
 
                      926,481   
Hotels, Restaurants & Leisure — 12.1%
                                                            
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
        429             431,284   
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
        269             269,524   
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
        724             730,079   
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
        2,835            2,877,015   
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
        330             336,600   
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20
     
 
        2,093            2,098,767   
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
        370             373,237   
La Quinta Intermediate Holdings, Term Loan B, 3.00%, 2/19/21
     
 
        2,710            2,715,420   
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20
     
 
        600             599,376   
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18
     
 
        335             337,791   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
        539             538,034   
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19
     
 
        230             229,866   
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
        517             517,886   
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
     
 
        409             410,509   
Sabre, Inc.:
                                                            
Incremental Term Loan, 4.50%, 2/19/19
     
 
        115             114,820   
Term Loan B, 4.25%, 2/19/19
     
 
        317             316,867   
Six Flags Theme Parks, Inc., Term Loan B, 3.50%, 12/20/18
     
 
        303             304,232   
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20
     
 
        1,191            1,191,369   
Travelport LLC:
                                                            
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
        250             258,692   
Refinancing Term Loan, 6.25%, 6/26/19
     
 
        269             275,283   
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18
     
 
        566             569,982   
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
        370             369,467   
 
     
 
                      15,866,100   
Household Products — 1.2%
                                                            
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
        638             640,163   
Prestige Brands, Inc., Term Loan, 3.75% – 5.00%, 1/31/19
     
 
        311             312,034   
Spectrum Brands, Inc.:
                                                            
Term Loan A, 3.00%, 9/07/17
     
 
        231             231,007   
Term Loan C, 3.50%, 9/04/19
     
 
        342             342,035   
 
     
 
                      1,525,239   
Independent Power Producers & Energy Traders — 1.8%
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18
     
 
        761             762,859   
Calpine Corp., Term Loan B1, 4.00%, 4/02/18
     
 
        212             212,588   
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
        1,009            1,010,122   
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20
     
 
        352             352,805   
 
     
 
                      2,338,374   
Industrial Conglomerates — 0.8%
                                                            
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
        1,045            1,028,203   

See Notes to Financial Statements.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Insurance — 3.2%
                                                            
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
USD
        421          $     423,119   
Asurion LLC:
                                                            
2nd Lien Term Loan, 8.50%, 2/19/21
     
 
        310                 319,687     
Term Loan B1, 4.50%, 5/24/19
     
 
        458             458,390   
CNO Financial Group, Inc.:
                                                            
Term Loan B1, 3.00%, 9/28/16
     
 
        308             308,462   
Term Loan B2, 3.75%, 9/20/18
     
 
        519             517,933   
Cooper Gay Swett & Crawford Ltd.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/20
     
 
        418             411,285   
2nd Lien Term Loan, 8.25%, 10/16/20
     
 
        200             192,750   
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19
     
 
        366             364,468   
Hub International Ltd., Term Loan B, 4.75%, 10/02/20
     
 
        439             442,556   
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20
     
 
        129             130,482   
Sedgwick CMS Holdings, Inc.:
                                                            
1st Lien Term Loan, 3.75%, 2/11/21
     
 
        345             343,189   
2nd Lien Term Loan, 6.75%, 12/12/18
     
 
        260             262,460   
 
     
 
                      4,174,781   
Internet Software & Services — 1.7%
                                                            
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21
     
 
        255             256,275   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
     
 
        871             871,442   
Open Text Corp., Term Loan B, 3.25%, 1/04/21
     
 
        280             279,860   
W3 Co.:
                                                            
1st Lien Term Loan, 5.75%, 3/13/20
     
 
        407             407,942   
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
        155             156,159   
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17
     
 
        281             283,923   
 
     
 
                      2,255,601   
IT Services — 3.5%
                                                            
Ceridian Corp., Term Loan B, 4.37% – 4.40%, 5/09/17
     
 
        899             901,891   
First Data Corp.:
                                                            
2018 Term Loan, 4.16%, 9/24/18
     
 
        270             270,451   
Extended 2018 Term Loan B, 4.16%, 3/23/18
     
 
        2,140            2,141,650   
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
        658             657,639   
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18
     
 
        245             213,758   
SunGard Data Systems, Inc.:
                                                            
Term Loan D, 4.50%, 1/31/20
     
 
        262             262,678   
Term Loan E, 4.00%, 3/09/20
     
 
        144             144,495   
 
     
 
                      4,592,562   
Leisure Equipment & Products — 0.2%
                                                            
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
        205             208,273   
Life Sciences Tools & Services — 0.5%
                                                            
Patheon, Inc.:
                                                            
2nd Lien Term Loan, 6.25%, 1/09/21
     
 
        365             363,861   
Term Loan, 7.25%, 12/14/18
     
 
        272             270,748   
 
     
 
                      634,609   
Machinery — 4.4%
                                                            
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20
     
 
        210             209,649   
Alliance Laundry Systems LLC:
                                                            
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
        131             132,545   
Refinancing Term Loan, 4.25%, 12/10/18
     
 
        257             257,672   
Faenza Acquisition GmbH:
                                                            
Term Loan B1, 4.25%, 8/31/20
     
 
        274             274,255   
Term Loan B3, 4.25%, 8/28/20
     
 
        83             83,419   
Gardner Denver, Inc., Term Loan, 4.25%, 7/30/20
     
EUR
        886             930,473   
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20
     
USD
        781             780,934   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Machinery (concluded)
                                                            
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
USD
        395          $     395,744   
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19
     
 
        564             566,885   
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
        206                 208,319     
Pacific Industrial Services US Finance Co. LLC:
                                                            
1st Lien Term Loan, 5.00%, 10/02/18
     
 
        499             504,984   
2nd Lien Term Loan, 8.75%, 4/02/19
     
 
        195             199,875   
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
        480             480,671   
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
        286             286,262   
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
        155             155,388   
Terex Corp., Term Loan, 4.00%, 4/28/17
     
EUR
        34             47,150   
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
USD
        288             289,628   
 
     
 
                      5,803,853   
Marine — 0.4%
                                                            
HGIM Corp., Term Loan B, 5.50%, 6/18/20
     
 
        517             523,090   
Media — 13.4%
                                                            
Acosta, Inc., Term Loan B, 4.25%, 3/02/18
     
 
        45             45,157   
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
        589             589,908   
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
        255             255,849   
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20
     
 
        574             576,189   
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
        170             169,548   
Cengage Learning Acquisitions, Inc.:
                                                            
Non-Extended Term Loan, 4.75%, 7/03/14
     
 
        226             212,603   
Tranche 1 Incremental, 9.50%, 7/03/14
     
 
        365             339,508   
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20
     
 
        463             460,246   
Clear Channel Communications, Inc.:
                                                            
Term Loan B, 3.80%, 1/29/16
     
 
        148             144,914   
Term Loan C, 3.80%, 1/29/16
     
 
        40             39,086   
Term Loan D, 6.90%, 1/30/19
     
 
        1,564            1,534,650   
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
        559             561,740   
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20
     
 
        350             350,735   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
     
 
        249             249,455   
Fender Musical Instruments Corp., Term Loan B, 5.75%, 4/03/19
     
 
        62             62,827   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
        45             42,981   
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20
     
 
        367             368,394   
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
        386             387,464   
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
        1,058            1,064,762   
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
        150             151,875   
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
        115             114,856   
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
        420             423,415   
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18
     
 
        255             253,406   
Mediacom LLC, Term Loan E, 4.50%, 10/23/17
     
 
        483             482,900   
NEP/NCP Holdco, Inc.:
                                                            
2nd Lien Term Loan, 9.50%, 7/22/20
     
 
        131             134,386   
Incremental Term Loan, 4.50%, 1/22/20
     
 
        653             653,400   
Nielsen Finance LLC, Term Loan E, 2.91%, 5/02/16
     
 
        537             536,601   
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20
     
 
        537             522,524   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 15
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Media (concluded)
                                                            
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
USD
        388          $ 389,549   
SBA Senior Finance II LLC:
                                                            
Incremental Delayed Draw Term Loan B, 3.25%, 3/31/21
     
 
        248             246,728   
Incremental Term Loan B, 3.25%, 3/24/21
     
 
        248                 246,765     
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
        372             369,491   
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20
     
 
        494             496,108   
Tribune Co., Term Loan, 4.00%, 12/27/20
     
 
        650             649,389   
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
     
 
        465             449,887   
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
        525             525,938   
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21
     
EUR
        281             390,405   
Virgin Media Investment Holdings Ltd.:
                                                            
Term Loan B, 3.50%, 6/08/20
     
USD
        780             779,165   
Term Loan C, 4.50%, 6/05/20
     
GBP
        650             1,094,521   
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
        512             514,606   
Ziggo NV:
                                                            
Term Loan B1, 3.50%, 1/15/22
     
 
        233             231,576   
Term Loan B2, 3.50%, 1/15/22
     
 
        150             149,251   
Term Loan B3, 2.75%, 1/15/22
     
 
        247             245,464   
 
     
 
                      17,508,222   
Metals & Mining — 3.3%
                                                            
Ameriforge Group, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 12/19/19
     
 
        371             372,957   
2nd Lien Term Loan, 8.75%, 12/19/20
     
 
        185             189,163   
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
        370             369,850   
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
     
 
        824             840,250   
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19
     
 
        845             853,036   
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
        788             790,512   
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18
     
 
        137             136,503   
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18
     
 
        145             142,272   
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
        607             621,952   
 
     
 
                      4,316,495   
Multiline Retail — 3.9%
                                                            
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
        453             457,043   
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20
     
 
        481             475,196   
BJ’s Wholesale Club, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/26/19
     
 
        541             543,833   
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
        200             205,188   
HEMA Holding BV, Extended 2nd Lien Term Loan, 5.97%, 1/05/18
     
EUR
        1,800            2,236,087   
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
USD
        430             436,241   
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/25/20
     
 
        698             706,036   
 
     
 
                      5,059,624   
Oil, Gas & Consumable Fuels — 5.4%
                                                            
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18
     
 
        195             192,249   
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
     
 
        985             1,006,463   
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
        591             601,434   
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
        440             439,670   
Fieldwood Energy LLC:
                                                            
1st Lien Term Loan, 3.88%, 9/28/18
     
 
        314             314,863   
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
        135             139,641   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Oil, Gas & Consumable Fuels (concluded)
                                                            
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20
     
USD
        325          $ 331,500   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
        280             283,977   
Offshore Group Investment Ltd.:
                                                            
5.00%, 10/25/17
     
 
        678                 680,608     
5.75%, 3/28/19
     
 
        172             174,457   
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18
     
 
        552             555,505   
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
        360             367,650   
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18
     
 
        52             46,499   
Power Buyer, LLC:
                                                            
1st Lien Term Loan, 4.25%, 5/06/20
     
 
        195             193,971   
2nd Lien Term Loan, 8.25%, 11/06/20
     
 
        105             103,950   
Delayed Draw Term Loan, 4.25%, 5/06/20
     
 
        11             10,600   
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20
     
 
        240             241,500   
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20
     
 
        404             402,935   
Tesoro Corp., Term Loan B, 2.40%, 5/30/16
     
 
        429             430,373   
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
        335             337,094   
WTG Holdings III Corp.:
                                                            
1st Lien Term Loan, 4.75%, 1/15/21
     
 
        135             135,338   
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
        30             30,356   
 
     
 
                      7,020,633   
Pharmaceuticals — 4.4%
                                                            
Akorn, Inc., Term Loan B, 3.50%, 8/27/20
     
 
        410             412,562   
Amneal Pharmaceuticals LLC, Term Loan, 5.75% – 7.00%, 11/01/19
     
 
        279             280,697   
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
        213             213,050   
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20
     
 
        360             359,251   
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18
     
 
        95             95,136   
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19
     
 
        1,240            1,241,379   
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
        916             919,724   
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
        577             577,407   
Valeant Pharmaceuticals International, Inc.:
                                                            
Series C2 Term Loan B, 3.75%, 12/11/19
     
 
        607             608,831   
Series D2 Term Loan B, 3.75%, 2/13/19
     
 
        657             658,906   
Series E Term Loan B, 3.75%, 8/05/20
     
 
        378             379,743   
 
     
 
                      5,746,686   
Professional Services — 1.7%
                                                            
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
        720             721,099   
ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20
     
 
        170             170,585   
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
        427             434,243   
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20
     
 
        259             260,971   
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
        596             597,151   
 
     
 
                      2,184,049   
Real Estate Investment Trusts (REITs) — 0.5%
                                                            
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
     
 
        587             587,837   
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20
     
 
        125             124,257   
 
     
 
                      712,094   
Real Estate Management & Development — 1.4%
                                                            
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20
     
 
        575             580,301   

See Notes to Financial Statements.

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Real Estate Management & Development (concluded)
Realogy Corp.:
                                                            
Extended Letter of Credit, 4.40%, 10/10/16
     
USD
        87          $      87,087   
Extended Term Loan, 4.50%, 3/05/20
     
 
        1,194            1,196,793   
 
     
 
                      1,864,181   
Road & Rail — 0.4%
                                                            
Genesee & Wyoming, Inc., Term Loan A, 1.90% – 1.91%, 9/29/17
     
 
        236                 235,989     
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18
     
 
        229             230,212   
 
     
 
                      466,201   
Semiconductors & Semiconductor Equipment — 0.8%
Freescale Semiconductor, Inc.:
                                                            
Term Loan B4, 5.00%, 2/28/20
     
 
        534             536,128   
Term Loan B5, 5.00%, 1/15/21
     
 
        165             166,439   
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
        329             328,846   
 
     
 
                      1,031,413   
Software — 4.9%
                                                            
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
        560             561,282   
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20
     
 
        139             138,890   
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
        244             237,437   
GCA Services Group, Inc.:
                                                            
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
        176             177,980   
Term Loan B, 4.25% – 5.50%, 11/01/19
     
 
        414             416,105   
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20
     
 
        924             922,271   
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21
     
 
        210             205,800   
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20
     
 
        115             115,791   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
        409             416,390   
Mitchell International, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 10/12/20
     
 
        310             310,775   
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
        350             356,709   
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
        357             357,682   
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21
     
 
        155             156,356   
Sophia LP, Term Loan B, 4.50%, 7/19/18
     
 
        603             607,224   
SS&C Technologies, Inc.:
                                                            
Term Loan B1, 3.25%, 6/07/19
     
 
        631             633,050   
Term Loan B2, 3.25%, 6/07/19
     
 
        65             65,488   
StoneRiver Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 11/29/19
     
 
        146             146,198   
2nd Lien Term Loan, 8.50%, 5/29/20
     
 
        204             205,765   
Websence, Inc.:
                                                            
2nd Lien Term Loan, 8.25%, 12/24/20
     
 
        170             170,425   
Term Loan B, 4.50%, 6/25/20
     
 
        184             185,456   
 
     
 
                      6,387,074   
Specialty Retail — 4.7%
                                                            
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
        614             617,139   
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17
     
 
        146             146,643   
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
     
 
        846             850,520   
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% – 5.50%, 1/31/20
     
 
        452             455,539   
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
 
        77             70,706   
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
        454             460,055   
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
        221             220,687   
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
        554             556,305   
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20
     
 
        520             521,404   
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
        753             752,988   
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
        779             781,781   
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20
     
 
        61             61,244   
                         
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Specialty Retail (concluded)
                                                            
SRAM LLC, Term Loan B, 4.00% – 5.25%, 4/10/20
     
USD
        188          $ 187,810   
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
        395             393,236   
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
        37             31,274   
 
     
 
                      6,107,331   
Textiles, Apparel & Luxury Goods — 1.2%
                                                            
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
        909             881,548   
J. Crew Group, Inc., Term Loan B, 4.00%, 2/20/21
     
 
        405             403,481   
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20
     
 
        239             239,105   
 
     
 
                      1,524,134   
Thrifts & Mortgage Finance — 0.3%
                                                            
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
        446             446,614   
Trading Companies & Distributors — 0.1%
                                                            
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19
     
 
        54             55,059   
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19
     
 
        127             127,477   
 
     
 
                      182,536   
Wireless Telecommunication Services — 0.7%
                                                            
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19
     
 
        371             370,793   
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
        607             605,815   
 
     
 
                      976,608   
Total Floating Rate Loan Interests — 132.8%
     
 
                      173,893,093   

Non-Agency Mortgage-Backed Securities — 0.2%
Commercial Mortgage-Backed Securities — 0.2%
                                                            
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c)
     
 
        304             312,445   

Investment Companies
     
 
        Shares                  
Capital Markets — 0.0%
                                                            
Eaton Vance Floating-Rate Income Trust
     
 
        12             185    
Eaton Vance Senior Income Trust
     
 
        3,347            23,563   
Total Investment Companies — 0.0%
     
 
                      23,748   

Warrants (d) — 0.0%
Software — 0.0%
                                                            
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
     
 
        691             2,444   
Total Long-Term Investments
(Cost — $181,985,573) — 140.6%
     
 
                      184,240,683   

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (e)(f)
     
 
        2,835,510            2,835,510   
Total Short-Term Securities
(Cost — $2,835,510) — 2.2%
     
 
                      2,835,510   
Total Investments (Cost — $184,821,083) — 142.8%
                   187,076,193   
Liabilities in Excess of Other Assets — (42.8)%
     
 
                      (56,105,233 )  
Net Assets — 100.0%
                $ 130,970,960   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 17
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
    

Notes to Schedule of Investments

(a)      
Non-income producing security.
(b)      
Variable rate security. Rate shown is as of report date.
(c)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(e)      
Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate

Shares
Held at
August 31, 2013

Net
Activity

Shares
Held at
February 28, 2014

Income
   
BlackRock Liquidity Funds, TempFund, Institutional Class
1,298,269 1,537,241 2,835,510 $112     

(f)      
Represents the current yield as of report date.
     
Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows:


Currency Purchased


Currency Sold  

 
Counterparty

 

Settlement
Date

 
   
Unrealized
Appreciation
(Depreciation)

   
EUR
           120,000      
USD
        162,968      
Citibank N.A.
  
4/22/14
     $ 2,665   
GBP
           136,000      
USD
        224,249      
Citibank N.A.
  
4/22/14
        3,407   
USD
           151,295      
EUR
        110,000      
Goldman Sachs Bank USA
  
4/22/14
        (535 )  
USD
           164,020      
EUR
        120,000      
JPMorgan Chase Bank N.A.
  
4/22/14
        (1,613 )  
USD
           2,749,739      
EUR
        2,023,468      
Royal Bank of Scotland PLC
  
4/22/14
        (43,205 )  
USD
           130,389      
GBP
        80,000      
Deutsche Bank AG
  
4/22/14
        (3,526 )  
USD
           2,313,367      
GBP
        1,409,000      
JPMorgan Chase Bank N.A.
  
4/22/14
        (45,217 )  
Total
                   
 
                
 
  
 
     $ (88,024 )  

     
OTC credit default swaps — sold protection outstanding as of February 28, 2014 were as follows:

Issuer



   
Receive
Fixed
Rate
   
Counterparty
   
Expiration
Date
   
Credit
Rating1
   
Notional
Amount
(000)2
   
Market
Value
   
Premiums
Received
   
Unrealized
Depreciation
   
 
     
 
  
 
  
 
                                                                                                                     
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
124
     $ (28,398 )        $ (28,003 )        $ (395 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
34
        (7,873 )           (6,730 )           (1,143 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
49
        (13,138 )           (9,516 )           (3,622 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
49
        (13,138 )           (9,516 )           (3,622 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
143
        (38,129 )           (26,322 )           (11,807 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
6/20/16
  
CCC-
  
USD
  
190
        (56,729 )           (37,975 )           (18,754 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Deutsche Bank AG
  
9/20/16
  
CCC-
  
USD
  
500
        (165,840 )           (97,671 )           (68,169 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
9/20/16
  
CCC-
  
USD
  
473
        (156,768 )           (90,237 )           (66,531 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/17
  
CCC-
  
USD
  
89
        (35,635 )           (21,284 )           (14,351 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Deutsche Bank AG
  
6/20/17
  
CCC-
  
USD
  
127
        (53,128 )           (32,555 )           (20,573 )  
 
     
 
  
 
  
 
  
 
                                                                                                 
Total
     
 
  
 
  
 
  
 
  
 
  
 
     $ (568,776 )        $ (359,809 )        $ (208,967 )  
1Using S&P’s rating of the issuer.
2The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement.

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

See Notes to Financial Statements.

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
    
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
     
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
     
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
     
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

       
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
 
       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, please refer to Note 2 of the Notes to Financial Statements.
 
       
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 


   
Level 1
   
Level 2
   
Level 3
   
Total
Assets:
                                                  
Investments:
                                                  
Long-Term Investments:
                                                  
Asset-Backed Securities
                  $ 4,084,514                   $ 4,084,514   
Common Stocks
                   994,598                    994,598   
Corporate Bonds
                   4,929,841                    4,929,841   
Floating Rate Loan Interests
                   160,957,420         $ 12,935,673          173,893,093   
Investment Companies
        $ 23,748                              23,748   
Non-Agency Mortgage-Backed Securities
                   312,445                    312,445   
Warrants
                   2,444                    2,444   
Short-Term Securities
         2,835,510                              2,835,510   
Unfunded Loan Commitments
                   19                     19    
Total
        $   2,859,258         $ 171,281,281         $  12,935,673         $ 187,076,212   
                     











 


   
Level 1
   
Level 2
   
Level 3
   
Total
Derivative Financial Instruments1
Assets:
                                                  
Foreign currency exchange contracts
                  $ 6,072                   $ 6,072   
Liabilities:
                                                  
Credit contracts
                   (208,967 )                   (208,967 )  
Foreign currency exchange contracts
                   (94,096 )                   (94,096 )  
Total
                  $    (296,991 )                  $    (296,991 )  
1   Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The carrying amount for certain of the Fund’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


 


   
Level 1
   
Level 2
   
Level 3
   
Total
Assets:
                                                                                
Cash
        $ 182,484                                 $ 182,484   
Foreign currency at value
           171,631                                    171,631   
Liabilities:
                                                                                
Bank borrowings payable
                    $ (52,000,000 )                       (52,000,000 )  
Total
        $     354,115         $ (52,000,000 )                    $ (51,645,885 )  

There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 19
 
  
Schedule of Investments (concluded)   BlackRock Defined Opportunity Credit Trust (BHL)
    
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 


   
Asset-Backed
Securities

   
Floating Rate
Loan Interests

   
Total
Assets:
Opening Balance, as of August 31, 2013
        $   4,422,403         $ 21,940,408         $ 26,362,811   
Transfers into Level 31
                       3,663,924            3,663,924   
Transfers out of Level 32
           (3,316,503 )           (12,127,990 )           (15,444,493 )  
Accrued discounts/premiums
           398             19,789            20,187   
Net realized gain
           39,182            34,456            73,638   
Net change in unrealized appreciation/ depreciation3,4
           (38,010 )           74,198            36,188   
Purchases
                       4,014,657            4,014,657   
Sales
           (1,107,470 )           (4,683,769 )           (5,791,239 )  
Closing Balance, as of February 28, 2014
                    $ 12,935,673         $ 12,935,673   
Net change in unrealized appreciation/depreciation on investments
still held at February 28, 20144
                    $ 89,436         $ 89,436   
1   As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,663,924 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2   As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $15,444,493 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.
4   Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 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 inputs could result in a significantly lower or higher value of such Level 3 investments.

See Notes to Financial Statements.

20 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments
 February 28, 2014 (Unaudited)
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)
     
 
        23,849         $ 20,033     
Diversified Financial Services — 0.2%
                                                            
Kcad Holdings I Ltd. (a)
     
 
        217,833,983            849,552   
Electrical Equipment — 0.0%
                                                            
Medis Technologies Ltd.
     
 
        260,833            3    
Paper & Forest Products — 0.5%
                                                            
Ainsworth Lumber Co., Ltd. (a)
     
 
        393,892            1,494,036   
Ainsworth Lumber Co., Ltd. (a)(b)
     
 
        346,000            1,312,382   
Western Forest Products, Inc. (a)
     
 
        84,448            192,950   
 
     
 
                        2,999,368   
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.
     
 
        1,860            61,622   
Software — 0.4%
                                                            
HMH Holdings/EduMedia (a)
     
 
        116,627            2,251,367   
Total Common Stocks — 1.1%
     
 
                      6,181,945   

Asset-Backed Securities (b)(c)
     
 
  
Par
(000)
  
 
ALM Loan Funding:
                                                            
Series 2013-7R2A, Class B, 2.84%, 4/24/24
     
USD
        775             759,965   
Series 2013-7RA, Class C, 3.69%, 4/24/24
     
 
        2,125            2,054,748   
Series 2013-7RA, Class D, 5.24%, 4/24/24
     
 
        900             852,192   
Series 2013-8A, Class B, 2.99%, 1/20/26
     
 
        1,150            1,133,091   
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24
     
 
        1,100            1,065,763   
Carlyle Global Market Strategies CLO Ltd.:
                                                            
Series 2012-4A, Class D, 4.74%, 1/20/25
     
 
        700             703,981   
Series 2013-1A, Class C, 4.24%, 2/14/25
     
 
        250             250,723   
Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24
     
 
        500             490,738   
Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25
     
 
        500             482,420   
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.88%, 3/21/24
     
 
        500             486,375   
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23
     
 
        950             949,974   
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22
     
 
        1,500            1,508,736   
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25
     
 
        370             356,655   
Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23
     
 
        1,650            1,654,621   
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25
     
 
        1,000            978,830   
North End CLO Ltd., Series 2013-1A, Class D, 3.74%, 7/17/25
     
 
        750             726,680   
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25
     
 
        1,000            953,949   
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23
     
 
        500             501,416   
Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23
     
 
        1,075            1,075,353   
Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25
     
 
        500             497,120   
Symphony CLO Ltd., Series 2012-10A, Class D, 5.49%, 7/23/23
     
 
        1,500            1,508,260   
Total Asset-Backed Securities  — 3.3%
     
 
                      18,991,590   

Corporate Bonds
     
  
                             
Airlines — 0.7%
                                                            
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)
     
 
        1,140            1,182,750   
                         
Corporate Bonds                 Par
(000)
     Value
Airlines (concluded)
                                                            
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
USD
        190               $216,025   
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
        2,605            2,657,100     
 
     
 
                      4,055,875   
Auto Components — 0.2%
                                                            
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 (b)
     
 
        1,177               1,191,713   
Capital Markets — 0.0%
                                                            
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(d)(e)
     
 
        129             280,172   
Chemicals — 0.6%
                                                            
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (b)
     
 
        1,559            3,398,812   
Commercial Services & Supplies — 0.3%
                                                            
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.99%, 12/01/17 (b)(c)
     
 
        295             297,950   
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
     
 
        1,085            1,125,779   
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
        350             375,375   
 
     
 
                      1,799,104   
Communications Equipment — 0.3%
                                                            
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
        390             387,075   
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
        1,470            1,620,675   
 
     
 
                      2,007,750   
Construction & Engineering — 0.1%
                                                            
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)
     
 
        335             355,938   
Diversified Financial Services — 0.4%
                                                            
Ally Financial, Inc.:
                                                            
2.92%, 7/18/16 (c)
     
 
        1,375            1,403,572   
7.50%, 9/15/20
     
 
        160             193,600   
8.00%, 11/01/31
     
 
        360             453,600   
 
     
 
                      2,050,772   
Diversified Telecommunication Services — 0.3%
                                                            
Level 3 Financing, Inc. (b):
                                                            
3.85%, 1/15/18 (c)
     
 
        1,000            1,015,000   
6.13%, 1/15/21
     
 
        555             586,912   
 
     
 
                      1,601,912   
Health Care Technology — 0.4%
                                                            
IMS Health, Inc., 12.50%, 3/01/18 (b)
     
 
        1,776            2,042,400   
Hotels, Restaurants & Leisure — 0.3%
                                                            
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (b)
     
 
        948             949,682   
Travelport LLC/Travelport Holdings, Inc., 6.36%, 3/01/16 (b)(c)
     
 
        668             675,935   
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(f)
     
 
        120                
 
     
 
                      1,625,617   
Household Durables — 0.1%
                                                            
Beazer Homes USA, Inc., 6.63%, 4/15/18
     
 
        790             853,200   
Independent Power Producers & Energy Traders — 0.8%
Calpine Corp., 6.00%, 1/15/22 (b)
     
 
        349             369,940   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                            
10.00%, 12/01/20
     
 
        2,895            3,010,800   
10.25%, 12/01/20 (b)
     
 
        1,115            1,159,600   
 
     
 
                      4,540,340   
Media — 0.2%
                                                            
Checkout Holding Corp., 0.00%, 11/15/15 (b)(d)
     
 
        400             338,000   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
        514             535,845   
 
     
 
                      873,845   
Oil, Gas & Consumable Fuels — 0.1%
                                                            
EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19
     
 
        635                 685,006   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 21
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Corporate Bonds                 Par
(000)
     Value
Wireless Telecommunication Services — 0.0%
                                                            
T-Mobile USA, Inc., 6.13%, 1/15/22
     
USD
        225          $    237,656     
Total Corporate Bonds  — 4.8%
     
 
                       27,600,112   

Floating Rate Loan Interests (c)
     
 
  
  
  
  
Aerospace & Defense — 2.1%
                                                            
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
        2,223            2,220,421   
The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16
     
 
        1,686            1,651,566   
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19
     
 
        1,572            1,577,895   
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20
     
 
        891             894,341   
TransUnion LLC, Term Loan, 4.25%, 2/10/19
     
 
        5,587            5,602,539   
 
     
 
                      11,946,762   
Airlines — 1.0%
                                                            
Delta Air Lines, Inc.:
                                                            
Term Loan, 3.49%, 9/16/15
     
 
        1,373            1,328,844   
Term Loan B1, 3.50%, 10/18/18
     
 
        1,436            1,439,045   
Northwest Airlines, Inc., Term Loan:
                                                            
2.24%, 3/10/17
     
 
        913             881,153   
1.62%, 9/10/18
     
 
        1,197            1,130,849   
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
        1,150            1,150,356   
 
     
 
                      5,930,247   
Auto Components — 4.8%
                                                            
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
        1,572            1,573,405   
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16
     
 
        253             254,519   
Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/28/17
     
 
        2,797            2,798,763   
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
        1,595            1,608,956   
Federal-Mogul Corp.:
                                                            
Term Loan B, 2.10%, 12/29/14
     
 
        5,942            5,893,407   
Term Loan C, 2.10%, 12/28/15
     
 
        5,482            5,436,550   
FleetPride Corp., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
        1,559            1,536,641   
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
        5,015            5,061,389   
GPX International Tire Corp., Term Loan (a)(f)(g):
                                                            
PIK, 13.00%, 12/31/49
     
 
        18                
12.25%, 12/31/49
     
 
        1,097               
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
     
 
        15             15,098   
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18
     
 
        2,123            2,085,970   
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
        1,455            1,452,279   
 
     
 
                      27,716,977   
Automobiles — 0.1%
                                                            
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18
     
 
        825             820,727   
Building Products — 2.1%
                                                            
Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20
     
 
        1,136            1,137,481   
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/14/20
     
 
        1,177            1,176,556   
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
        3,436              3,438,552     
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21
     
 
        895             896,495   
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
        1,481            1,484,368   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Building Products (concluded)
                                                            
Wilsonart LLC:
                                                            
Incremental Term Loan B2, 4.00%, 10/31/19
     
USD
        505          $ 503,737   
Term Loan B, 4.00%, 10/31/19
     
 
        3,420            3,416,176   
 
     
 
                      12,053,365   
Capital Markets — 0.2%
                                                            
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
        879                878,829     
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
     
 
        479             480,638   
 
     
 
                      1,359,467   
Chemicals — 4.0%
                                                            
Allnex USA, Inc.:
                                                            
Term Loan B1, 4.50%, 10/03/19
     
 
        1,110            1,115,025   
Term Loan B2, 4.50%, 10/03/19
     
 
        576             578,533   
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20
     
 
        3,171            3,182,358   
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
        117             117,489   
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
        1,264            1,271,662   
Chromaflo Technologies Corp.:
                                                            
1st Lien Term Loan, 4.50%, 12/02/19
     
 
        1,150            1,152,875   
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
        490             493,675   
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
        2,070            2,075,765   
INEOS Finance LLC:
                                                            
3 Year Term Loan, 2.15%, 5/04/15
     
 
        382             381,948   
6 Year Term Loan, 3.75%, 5/04/18
     
 
        865             862,595   
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20
     
 
        1,547            1,553,414   
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
        2,467            2,449,696   
OXEA Finance LLC:
                                                            
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
        1,365            1,391,017   
Term Loan B2, 4.25%, 1/15/20
     
 
        2,544            2,559,523   
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
        694             703,830   
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
        587             588,517   
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20
     
 
        1,768            1,773,173   
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
        989             982,475   
 
     
 
                       23,233,570   
Commercial Banks — 0.2%
                                                            
Redtop Acquisitions Ltd.:
                                                            
1st Lien Term Loan, 4.50%, 12/03/20
     
 
        845             849,926   
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
        310             316,200   
 
     
 
                      1,166,126   
Commercial Services & Supplies — 4.1%
                                                            
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
        3,251            3,247,654   
ARAMARK Corp.:
                                                            
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
        46             46,140   
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
        32             32,207   
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
        1,202            1,205,059   
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
        3,816            3,829,945   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
        500             506,250   
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17
     
 
        2,429            2,430,375   
Livingston International, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/19
     
 
        1,353              1,356,583     
2nd Lien Term Loan, 9.00%, 4/20/20
     
 
        875             892,261   
Progressive Waste Solutions Ltd., Term Loan B, 3.00%, 10/24/19
     
 
        1,337            1,341,178   
Protection One, Inc., Term Loan, 4.25%, 3/21/19
     
 
        2,054            2,048,684   

See Notes to Financial Statements.

22 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)                 Par
(000)
     Value
Commercial Services & Supplies (concluded)
                                                            
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
USD
        4,072         $ 4,075,505   
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
        2,966            2,948,834   
 
     
 
                      23,960,675   
Communications Equipment — 2.6%
                                                            
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19
     
 
        5,170              5,213,211     
Applied Systems, Inc.:
                                                            
1st Lien Term Loan, 4.25%, 1/25/21
     
 
        805             810,031   
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
        380             387,885   
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17
     
 
        1,524               1,482,677     
Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18
     
 
        493             496,766   
CommScope, Inc.:
                                                            
Term Loan B3, 2.65% – 2.73%, 1/21/17
     
 
        696             694,806   
Term Loan B4, 3.25%, 1/26/18
     
 
        1,044            1,045,467   
Telesat Canada, Term Loan A, 4.28%, 3/24/17
     
CAD
        2,375            2,144,857   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
        2,837            2,842,628   
 
     
 
                      15,118,328   
Construction & Engineering — 1.0%
                                                            
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
 
        1,428            1,425,907   
Centaur Acquisition LLC:
                                                            
1st Lien Term Loan, 5.25%, 2/20/19
     
 
        2,210            2,212,958   
2nd Lien Term Loan, 8.75%, 2/15/20
     
 
        1,230            1,254,600   
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20
     
 
        1,169            1,167,172   
 
     
 
                      6,060,637   
Construction Materials — 1.6%
                                                            
Filtration Group Corp.:
                                                            
1st Lien Term Loan, 4.50%, 11/21/20
     
 
        970             977,682   
2nd Lien Term Loan, 8.25%, 11/21/21
     
 
        525             536,156   
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
        7,226            7,246,313   
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
        663             670,137   
 
     
 
                      9,430,288   
Consumer Finance — 0.5%
                                                            
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19
     
 
        3,060            3,095,190   
Containers & Packaging — 1.1%
                                                            
Ardagh Holdings USA, Inc.:
                                                            
Incremental Term Loan, 4.00%, 12/17/19
     
 
        925             928,469   
Term Loan B, 4.25%, 12/17/19
     
 
        1,285            1,288,212   
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21
     
 
        800             797,600   
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18
     
 
        1,450            1,455,597   
Tekni-Plex, Inc., Term Loan B, 5.50%, 8/25/19
     
 
        1,716            1,718,407   
 
     
 
                      6,188,285   
Distributors — 1.3%
                                                            
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
        5,022            5,023,969   
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
        1,020            1,015,244   
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17
     
 
        1,198            1,197,900   
 
     
 
                      7,237,113   
Diversified Consumer Services — 2.1%
                                                            
Allied Security Holdings, LLC:
                                                            
1st Lien Term Loan, 4.25%, 2/12/21
     
 
        1,067            1,065,639   
Delayed Draw Term Loan, 0.50%, 2/12/21
     
 
        379             378,320   
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20
     
 
        2,797              2,800,833     
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20
     
 
        908             916,365   
Garda World Securities Corp.:
                                                            
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
        301             300,781   
Term Loan B, 4.00%, 11/06/20
     
 
        1,175            1,175,782   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Diversified Consumer Services (concluded)
                                                            
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
USD
        1,077         $ 1,049,021   
ServiceMaster Co., Term Loan, 4.25%, 1/31/17
     
 
        2,047            2,046,680   
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
        2,819              2,151,908     
 
     
 
                      11,885,329   
Diversified Financial Services — 2.3%
                                                            
ION Trading Technologies Sarl:
                                                            
1st Lien Term Loan, 4.50%, 5/22/20
     
 
        1,636            1,644,596   
2nd Lien Term Loan, 8.25%, 5/21/21
     
 
        365             368,650   
Kasima LLC, Term Loan B, 3.25%, 5/17/21
     
 
        1,535               1,533,081     
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
        3,277            3,299,545   
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
        395             397,110   
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
        2,595            2,599,334   
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20
     
 
        3,486            3,481,033   
 
     
 
                      13,323,349   
Diversified Telecommunication Services — 4.4%
                                                            
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
        3,891            3,912,971   
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
        2,731            2,741,600   
Integra Telecom, Inc.:
                                                            
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
        1,125            1,153,406   
Term Loan B, 5.25%, 2/22/19
     
 
        2,025            2,042,922   
Level 3 Financing, Inc.:
                                                            
2020 Term Loan B, 4.00%, 1/15/20
     
 
        9,510            9,533,775   
Term Loan, 4.00%, 8/01/19
     
 
        1,085            1,088,255   
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
        1,939            1,945,713   
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
        3,072            3,091,508   
 
     
 
                      25,510,150   
Electric Utilities — 0.5%
                                                            
American Energy – Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
        1,423            1,486,535   
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
        1,315            1,317,670   
 
     
 
                      2,804,205   
Electrical Equipment — 1.0%
                                                            
Southwire Co., Term Loan, 3.25%, 2/11/21
     
 
        1,180            1,179,363   
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17
     
 
        6,610            4,606,707   
 
     
 
                      5,786,070   
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
        2,283            2,270,381   
Energy Equipment & Services — 0.8%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
        1,831            1,836,292   
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
        1,585            1,589,488   
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21
     
 
        520             521,409   
Unifrax Corp., Term Loan, 4.25%, 11/28/18
     
 
        952             954,879   
 
     
 
                      4,902,068   
Food & Staples Retailing — 1.7%
                                                            
Alliance Boots Holdings Ltd., Term Loan B1, 3.47%, 7/09/15
     
GBP
        2,769            4,632,941   
Rite Aid Corp.:
                                                            
2nd Lien Term Loan, 5.75%, 8/21/20
     
USD
        1,040              1,061,663     
Term Loan 6, 4.00%, 2/21/20
     
 
        868             871,260   
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
        2,229            2,236,198   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 23
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)                 Par
(000)
     Value
Food & Staples Retailing (concluded)
                                                            
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19
     
USD
        861          $ 864,978   
 
     
 
                      9,667,040   
Food Products — 3.3%
                                                            
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
 
        884             886,403   
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
        1,132            1,132,638   
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20
     
 
        1,740            1,742,175   
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18
     
 
        785             784,498   
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
        2,655            2,668,939   
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20
     
 
        493             495,396   
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
        313             314,744   
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18
     
 
        635             635,765   
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
        2,945            2,989,378   
Pinnacle Foods Finance LLC:
                                                            
Incremental Term Loan H, 3.25%, 4/29/20
     
 
        534             531,885   
Term Loan G, 3.25%, 4/29/20
     
 
        3,027            3,014,835   
Reddy Ice Corp.:
                                                            
1st Lien Term Loan, 6.75% – 7.75%, 5/01/19
     
 
        2,476            2,463,906   
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
        1,195            1,159,150   
 
     
 
                      18,819,712   
Health Care Equipment & Supplies — 5.5%
                                                            
Arysta LifeScience Corp.:
                                                            
1st Lien Term Loan, 4.50%, 5/29/20
     
 
        4,089            4,103,068   
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
        1,675            1,698,031   
Biomet, Inc., Term Loan B2, 3.65% – 3.75%, 7/25/17
     
 
        3,318            3,322,805   
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
     
 
        1,538            1,537,730   
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
        2,072            2,069,394   
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17
     
 
        4,293            4,314,326   
Fresenius SE & Co. KgaA, Term Loan B:
                                                            
2.47%, 6/30/19
     
EUR
        530             730,645   
2.25%, 8/07/19
     
USD
        2,703            2,699,089   
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
        3,324            3,316,127   
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
        434             435,206   
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
        3,554            3,571,571   
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
        529             530,213   
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
        415             416,037   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
     
 
        576             560,382   
Onex Carestream Finance LP:
                                                            
1st Lien Term Loan, 5.00%, 6/07/19
     
 
        1,316            1,331,058   
2nd Lien Term Loan, 9.50%, 12/07/19
     
 
        1,170            1,193,400   
 
     
 
                      31,829,082   
Health Care Providers & Services — 6.8%
                                                            
American Renal Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/20/19
     
 
        2,868            2,868,325   
2nd Lien Term Loan, 8.50%, 2/14/20
     
 
        1,795            1,799,487   
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
        1,148            1,151,271   
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19
     
 
        1,778            1,785,694   
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
        8,665              8,737,179     
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
        2,440            2,451,466   
DaVita, Inc.:
                                                            
Term Loan B, 4.50%, 10/20/16
     
 
        3,832            3,849,962   
Term Loan B2, 4.00%, 11/01/19
     
 
        1,765            1,770,292   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Health Care Providers & Services (concluded)
                                                            
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
USD
        1,042         $ 1,050,205   
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
        1,922            1,925,059   
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
     
 
        1,242            1,276,469   
HCA, Inc.:
                                                            
Extended Term Loan B4, 3.00%, 5/01/18
     
 
        1,136            1,134,443   
Term Loan B5, 2.90%, 3/31/17
     
 
        825             823,810   
Ikaria, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 2/12/21
     
 
        1,215            1,221,840   
2nd Lien Term Loan, 8.75%, 1/17/22
     
 
        315             319,464   
inVentiv Health, Inc.:
                                                            
Combined Term Loan, 7.50%, 8/04/16
     
 
        1,008               1,006,016   
Incremental Term Loan B3, 7.75%, 5/15/18
     
 
        1,105            1,095,907   
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21
     
 
        820             827,175   
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18
     
 
        1,856            1,854,135   
US Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
        2,111            2,124,354   
 
     
 
                      39,072,553   
Health Care Technology — 0.7%
                                                            
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17
     
 
        3,202            3,199,914   
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
        797             799,039   
 
     
 
                      3,998,953   
Hotels, Restaurants & Leisure — 12.0%
                                                            
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
        1,880            1,890,629   
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
        1,192            1,192,895   
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
        3,167            3,192,879   
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
        12,440            12,624,361   
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
        1,435            1,463,700   
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20
     
 
        9,195            9,222,030   
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
        1,620            1,634,175   
La Quinta Intermediate Holdings, Term Loan B, 4.00%, 2/19/21
     
 
        11,860            11,883,720   
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20
     
 
        2,500            2,497,400   
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18
     
 
        1,475            1,487,287   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
        2,364            2,359,489   
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19
     
 
        1,012            1,010,453   
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
        2,264            2,265,753   
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
     
 
        1,776            1,782,208   
Sabre, Inc.:
                                                            
Incremental Term Loan, 4.50%, 2/19/19
     
 
        509             509,203   
Term Loan B, 4.25%, 2/19/19
     
 
        1,396            1,396,193   
Six Flags Theme Parks, Inc., Term Loan B, 3.50%, 12/20/18
     
 
        1,146            1,151,449   
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20
     
 
        5,240            5,242,024   
Travelport LLC/Travelport Holdings, Inc.:
                                                            
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
        1,057            1,095,009   
Refinancing Term Loan, 6.25%, 6/26/19
     
 
        1,378            1,412,100   
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18
     
 
        2,458              2,475,349     
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
        1,643            1,639,789   
 
     
 
                      69,428,095   

See Notes to Financial Statements.

24 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)                 Par
(000)
     Value
Household Products — 1.1%
                                                            
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
USD
        2,769         $ 2,780,379   
Prestige Brands, Inc., Term Loan, 3.75% – 5.00%, 1/31/19
     
 
        1,359            1,363,451   
Spectrum Brands, Inc.:
                                                            
Term Loan A, 3.00%, 9/07/17
     
 
        1,021            1,022,326   
Term Loan C, 3.50%, 9/04/19
     
 
        1,473            1,471,039   
 
     
 
                      6,637,195   
Independent Power Producers & Energy Traders — 1.7%
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18
     
 
        3,042            3,051,437   
Calpine Corp., Term Loan B1, 4.00%, 4/02/18
     
 
        921             924,508   
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
        4,414               4,419,284     
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20
     
 
        1,537            1,540,492   
 
     
 
                      9,935,721   
Industrial Conglomerates — 0.8%
                                                            
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
        4,547            4,474,933   
Insurance — 3.3%
                                                            
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
 
        1,822            1,831,856   
Asurion LLC:
                                                            
2nd Lien Term Loan, 8.50%, 2/19/21
     
 
        1,350            1,392,187   
Term Loan B1, 4.50%, 5/24/19
     
 
        2,774            2,778,270   
CNO Financial Group, Inc.:
                                                            
Term Loan B1, 3.00%, 9/28/16
     
 
        1,350            1,354,225   
Term Loan B2, 3.75%, 9/20/18
     
 
        2,267            2,261,333   
Cooper Gay Swett & Crawford Ltd.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/20
     
 
        1,836            1,806,715   
2nd Lien Term Loan, 8.25%, 10/16/20
     
 
        860             828,825   
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19
     
 
        1,584            1,576,080   
Hub International Ltd., Term Loan B, 4.75%, 10/02/20
     
 
        1,925            1,941,212   
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20
     
 
        562             567,094   
Sedgwick CMS Holdings, Inc.:
                                                            
1st Lien Term Loan, 3.75%, 2/11/21
     
 
        1,510            1,502,072   
2nd Lien Term Loan, 6.75%, 12/12/18
     
 
        1,155            1,165,926   
 
     
 
                      19,005,795   
Internet Software & Services — 1.7%
                                                            
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21
     
 
        1,105            1,110,525   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
     
 
        3,819            3,822,491   
Open Text Corp., Term Loan B, 3.25%, 1/04/21
     
 
        1,225            1,224,388   
W3 Co.:
                                                            
1st Lien Term Loan, 5.75%, 3/13/20
     
 
        1,782            1,785,991   
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
        693             700,195   
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17
     
 
        1,228            1,241,515   
 
     
 
                      9,885,105   
IT Services — 3.5%
                                                            
Ceridian Corp., Term Loan B, 4.37% – 4.40%, 5/09/17
     
 
        3,873            3,883,918   
First Data Corp.:
                                                            
2018 Term Loan, 4.16%, 9/24/18
     
 
        1,050            1,051,753   
Extended 2018 Term Loan B, 4.16%, 3/23/18
     
 
        9,424            9,433,909   
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
        2,868            2,867,910   
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18
     
 
        1,015                885,177     
SunGard Data Systems, Inc.:
                                                            
Term Loan D, 4.50%, 1/31/20
     
 
        1,153            1,154,792   
Term Loan E, 4.00%, 3/09/20
     
 
        645             647,738   
 
     
 
                      19,925,197   
Leisure Equipment & Products — 0.2%
                                                            
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
        884             897,505   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Life Sciences Tools & Services — 0.5%
                                                            
Patheon, Inc.:
                                                            
2nd Lien Term Loan, 6.25%, 1/09/21
     
USD
        1,595         $ 1,590,024   
Term Loan, 7.25%, 12/06/18
     
 
        1,195            1,191,290   
 
     
 
                      2,781,314   
Machinery — 4.4%
                                                            
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20
     
 
        915             913,472   
Alliance Laundry Systems LLC:
                                                            
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
        573             579,886   
Refinancing Term Loan, 4.25%, 12/10/18
     
 
        1,117            1,120,897   
Faenza Acquisition GmbH:
                                                            
Term Loan B1, 4.25%, 8/31/20
     
 
        1,191               1,193,188     
Term Loan B3, 4.25%, 8/28/20
     
 
        362             362,926   
Gardner Denver, Inc.:
                                                            
4.25%, 7/30/20
     
 
        3,321            3,305,304   
4.75%, 7/30/20
     
EUR
        548             756,942   
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20
     
USD
        3,418            3,417,210   
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
        1,975            1,978,721   
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19
     
 
        2,440            2,451,527   
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
        904             916,022   
Pacific Industrial Services US Finance Co. LLC:
                                                            
1st Lien Term Loan, 5.00%, 10/02/18
     
 
        2,204            2,232,031   
2nd Lien Term Loan, 8.75%, 4/02/19
     
 
        855             876,375   
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
        1,726            1,729,466   
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
        1,260            1,261,589   
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
        690             691,725   
Terex Corp., Term Loan, 4.00%, 4/28/17
     
EUR
        153             212,173   
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
USD
        1,271            1,276,028   
 
     
 
                      25,275,482   
Marine — 0.4%
                                                            
HGIM Corp., Term Loan B, 5.50%, 6/18/20
     
 
        2,275            2,299,628   
Media — 13.0%
                                                            
Acosta, Inc., Term Loan B, 4.25%, 3/02/18
     
 
        195             195,683   
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
        2,576            2,580,316   
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
        1,125            1,128,746   
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20
     
 
        2,494            2,505,171   
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
        750             748,005   
Cengage Learning Acquisitions, Inc.:
                                                            
Non-Extended Term Loan, 4.75%, 7/03/14
     
 
        781             735,656   
Tranche 1 Incremental, 9.50%, 7/03/14
     
 
        1,708            1,586,495   
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20
     
 
        2,025            2,014,195   
Clear Channel Communications, Inc.:
                                                            
Term Loan B, 3.80%, 1/29/16
     
 
        655             642,986   
Term Loan C, 3.80%, 1/29/16
     
 
        174             169,711   
Term Loan D, 6.90%, 1/30/19
     
 
        6,875            6,745,958   
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
        2,411            2,425,073   
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20
     
 
        1,540            1,543,234   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
     
 
        1,097              1,097,693     
Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19
     
 
        286             287,208   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
        196             186,676   
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20
     
 
        1,614            1,618,010   
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
        1,544            1,549,857   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 25
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)                 Par
(000)
     Value
Media (concluded)
                                                            
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
USD
        5,188         $ 5,221,966   
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
        645             653,063   
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
        499             499,373   
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
        1,845            1,860,000   
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18
     
 
        1,120            1,113,000   
NEP/NCP Holdco, Inc.:
                                                            
2nd Lien Term Loan, 9.50%, 7/22/20
     
 
        571                  584,286     
Incremental Term Loan, 4.50%, 1/22/20
     
 
        2,871            2,871,000   
Nielsen Finance LLC, Term Loan E, 2.91%, 5/02/16
     
 
        2,362            2,362,030   
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20
     
 
        2,353            2,288,463   
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
        1,709            1,714,015   
SBA Senior Finance II LLC:
                                                            
Incremental Delayed Draw Term Loan B, 3.25%, 3/31/21
     
 
        1,093            1,089,091   
Incremental Term Loan B, 3.25%, 3/24/21
     
 
        1,093            1,089,255   
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
        1,881            1,867,161   
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20
     
 
        2,150            2,159,823   
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
        2,855            2,852,316   
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
     
 
        2,045            1,978,538   
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
        2,294            2,299,049   
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21
     
EUR
        1,272            1,768,249   
Virgin Media Investment Holdings Ltd.:
                                                            
Term Loan B, 3.50%, 6/08/20
     
USD
        3,415            3,411,346   
Term Loan C, 4.50%, 6/05/20
     
GBP
        2,840            4,782,214   
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
        2,231            2,241,505   
Ziggo NV:
                                                            
Term Loan B1, 3.50%, 1/15/22
     
 
        1,025            1,020,535   
Term Loan B2, 3.50%, 1/15/22
     
 
        661             657,731   
Term Loan B3, 2.75%, 1/15/22
     
 
        1,087            1,081,734   
 
     
 
                      75,226,416   
Metals & Mining — 3.3%
                                                            
Ameriforge Group, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 12/19/19
     
 
        1,624            1,631,067   
2nd Lien Term Loan, 8.75%, 12/19/20
     
 
        815             833,337   
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
        1,639            1,637,201   
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
     
 
        3,628            3,700,139   
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19
     
 
        3,719            3,752,316   
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
        3,418            3,429,608   
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18
     
 
        576             576,346   
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18
     
 
        623             611,408   
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
        2,633            2,698,315   
 
     
 
                      18,869,737   
Multiline Retail — 2.7%
                                                            
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
        1,979              1,995,332     
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20
     
 
        2,099            2,072,248   
BJ’s Wholesale Club, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/26/19
     
 
        2,367            2,380,002   
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
        870             892,568   
HEMA Holding BV:
                                                            
Extended 2nd Lien Term Loan, 5.97%, 1/05/18
     
EUR
        1,400            1,739,179   
Extended Term Loan B, 4.60%, 12/06/17
     
 
        576             782,014   
Extended Term Loan C, 4.60%, 12/06/17
     
 
        528             716,166   
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
USD
        1,882            1,909,142   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Multiline Retail (concluded)
                                                            
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/26/20
     
USD
        3,057         $ 3,091,427   
 
     
 
                      15,578,078   
Oil, Gas & Consumable Fuels — 5.2%
                                                            
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18
     
 
        845             833,077   
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
     
 
        4,285            4,378,370   
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
        2,597            2,643,288   
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
        1,920               1,918,560     
Fieldwood Energy LLC:
                                                            
1st Lien Term Loan, 3.88%, 9/28/18
     
 
        1,367            1,369,396   
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
        590             610,284   
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20
     
 
        1,435            1,463,700   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
        1,246            1,264,780   
Offshore Group Investment Ltd.:
                                                            
5.00%, 10/25/17
     
 
        2,959            2,970,493   
5.75%, 3/28/19
     
 
        749             757,719   
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18
     
 
        2,418            2,432,212   
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
        1,560            1,593,150   
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18
     
 
        235             211,792   
Power Buyer, LLC:
                                                            
1st Lien Term Loan, 4.25%, 5/06/20
     
 
        840             837,601   
2nd Lien Term Loan, 8.25%, 11/06/20
     
 
        470             465,300   
Delayed Draw Term Loan, 4.25%, 5/06/20
     
 
        46             45,774   
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20
     
 
        1,025            1,031,406   
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20
     
 
        1,188            1,185,912   
Tesoro Corp., Term Loan B, 2.40%, 5/30/16
     
 
        1,880            1,884,875   
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
        1,470            1,479,188   
WTG Holdings III Corp.:
                                                            
1st Lien Term Loan, 4.75%, 1/15/21
     
 
        605             606,513   
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
        140             141,663   
 
     
 
                      30,125,053   
Pharmaceuticals — 4.4%
                                                            
Akorn, Inc., Term Loan B, 4.50%, 8/27/20
     
 
        1,790            1,801,187   
Amneal Pharmaceuticals LLC, Term Loan, 5.75% – 7.00%, 11/01/19
     
 
        1,232            1,238,072   
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
        921             921,565   
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20
     
 
        1,580            1,576,714   
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18
     
 
        425             425,608   
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19
     
 
        5,356            5,360,314   
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
        4,056            4,071,443   
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
        2,647            2,649,280   
Valeant Pharmaceuticals International, Inc.:
                                                            
Series C2 Term Loan B, 3.75%, 12/11/19
     
 
        2,666              2,672,916     
Series D2 Term Loan B, 3.75%, 2/13/19
     
 
        2,933            2,940,830   
Series E Term Loan B, 3.75%, 8/05/20
     
 
        1,663            1,671,880   
 
     
 
                      25,329,809   
Professional Services — 1.7%
                                                            
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
        3,241            3,244,945   
ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20
     
 
        754             754,509   
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
        1,846            1,878,356   

See Notes to Financial Statements.

26 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)                 Par
(000)
     Value
Professional Services (concluded)
                                                            
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20
     
USD
        1,162         $ 1,169,350   
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
        2,605            2,610,685   
 
     
 
                      9,657,845   
Real Estate Investment Trusts (REITs) — 0.5%
                                                            
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
     
 
        2,513            2,517,376   
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20
     
 
        559             556,672   
 
     
 
                      3,074,048   
Real Estate Management & Development — 1.4%
                                                            
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20
     
 
        2,525               2,548,281     
Realogy Corp.:
                                                            
Extended Letter of Credit, 4.40%, 10/10/16
     
 
        247             247,967   
Extended Term Loan, 4.50%, 3/05/20
     
 
        5,238            5,249,522   
 
     
 
                      8,045,770   
Road & Rail — 0.4%
                                                            
Genesee & Wyoming, Inc., Term Loan A, 1.90% – 1.91%, 9/29/17
     
 
        1,079            1,079,430   
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18
     
 
        1,004            1,009,015   
 
     
 
                      2,088,445   
Semiconductors & Semiconductor Equipment — 0.8%
Freescale Semiconductor, Inc.:
                                                            
Term Loan B4, 5.00%, 2/28/20
     
 
        2,355            2,363,088   
Term Loan B5, 5.00%, 1/15/21
     
 
        713             721,236   
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
        1,426            1,424,999   
 
     
 
                      4,509,323   
Software — 4.9%
                                                            
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
        2,455            2,460,622   
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20
     
 
        611             610,134   
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
        1,065            1,036,969   
GCA Services Group, Inc.:
                                                            
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
        780             788,775   
Term Loan B, 4.25% – 5.50%, 11/01/19
     
 
        1,804            1,815,730   
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20
     
 
        4,107            4,098,720   
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21
     
 
        920             901,600   
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20
     
 
        510             513,509   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
        1,787            1,817,896   
Mitchell International, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 10/12/20
     
 
        1,380            1,383,450   
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
        1,600            1,630,672   
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
        1,553            1,554,924   
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21
     
 
        690             696,038   
Sophia LP, Term Loan B, 4.50%, 7/19/18
     
 
        2,641            2,657,774   
SS&C Technologies, Inc.:
                                                            
Term Loan B1, 3.25%, 6/07/19
     
 
        2,762            2,770,375   
Term Loan B2, 3.25%, 6/07/19
     
 
        286             286,591   
StoneRiver Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 11/29/19
     
 
        635                 634,594     
2nd Lien Term Loan, 8.50%, 5/29/20
     
 
        902             908,530   
Websence, Inc.:
                                                            
2nd Lien Term Loan, 8.25%, 12/24/20
     
 
        730             731,825   
Term Loan B, 4.50%, 6/25/20
     
 
        801             806,982   
 
     
 
                      28,105,710   
Specialty Retail — 4.7%
                                                            
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
        2,685            2,698,728   
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17
     
 
        594             597,544   
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
     
 
        3,672            3,690,566   
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% – 5.50%, 1/31/20
     
 
        1,950            1,967,327   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Specialty Retail (concluded)
                                                            
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
USD
        161          $ 146,775   
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
        1,980            2,005,238   
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
        976             975,753   
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
        2,390            2,399,256   
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20
     
 
        2,264            2,269,267   
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
        3,306            3,307,345   
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
        3,387            3,397,452   
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20
     
 
        258                  258,811     
SRAM LLC, Term Loan B, 4.00% – 5.25%, 4/10/20
     
 
        823             823,476   
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
        1,714            1,705,654   
Toys ‘R’ Us-Delaware, Inc.:
                                                            
Incremental Term Loan B2, 5.25%, 5/25/18
     
 
        789             660,479   
Term Loan B3, 5.25%, 5/25/18
     
 
        164             136,798   
 
     
 
                      27,040,469   
Textiles, Apparel & Luxury Goods — 1.2%
                                                            
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
        3,964            3,845,456   
J. Crew Group, Inc., Term Loan B, 4.00%, 2/20/21
     
 
        1,780            1,773,325   
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20
     
 
        1,123            1,123,794   
 
     
 
                      6,742,575   
Thrifts & Mortgage Finance — 0.3%
                                                            
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
        1,940            1,945,251   
Trading Companies & Distributors — 0.1%
                                                            
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19
     
 
        242             245,264   
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19
     
 
        550             551,151   
 
     
 
                      796,415   
Wireless Telecommunication Services — 0.7%
                                                            
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19
     
 
        1,621            1,621,640   
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
        2,677            2,671,545   
 
     
 
                      4,293,185   
Total Floating Rate Loan Interests  — 131.1%
     
 
                      757,160,748   

Non-Agency Mortgage-Backed Securities — 0.2%
Commercial Mortgage-Backed Securities — 0.2%
                                                            
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c)
     
 
        1,336            1,373,113   

Investment Companies
     
 
        Shares                   
Capital Markets — 0.0%
                                                            
Eaton Vance Floating-Rate Income Trust
     
 
        54             830    
Eaton Vance Senior Income Trust
     
 
        13,945            98,173   
Total Investment Companies  — 0.0%
     
 
                      99,003   

Other Interests (h)
        
Beneficial
Interest
(000)
            
Auto Components — 0.0%
                                                            
Intermet Liquidating Trust, Class A
     
USD
        256             3    

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 27
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Other Interests (h)          Beneficial
Interest
(000)
     Value
Diversified Financial Services — 0.1%
                                                            
J.G. Wentworth LLC Preferred Equity Interests:
(135-day lockup), (Acquired 11/18/13, cost $1,177,928) (a)(i)
     
USD
        17          $ 311,621   
(180-day lockup), (Acquired 11/18/13, cost $1,177,928) (a)(i)
     
 
        17             311,622   
 
     
 
                      623,243   
Household Durables — 0.4%
                                                            
Stanley Martin, Class B Membership Units
     
 
        1               2,032,500   
Total Other Interests — 0.5%
     
 
                      2,655,746   

Preferred Securities
     
 
        Shares                  
Preferred Stocks — 0.0%
     
 
                           
Consumer Finance — 0.0%
                                                            
Ally Financial, Inc., Series A, 8.50% (c)(j)
     
 
        4,976            136,094   
Trust Preferreds — 0.5%
     
 
                           
Diversified Financial Services — 0.5%
                                                            
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
     
 
        95,644            2,587,021   
Total Preferred Securities—0.5%
     
 
                      2,723,115   
Warrants (k)
     
 
       

Shares
            Value     
Chemicals — 0.0%
                                                            
GEO Specialty Chemicals, Inc., (Expires 3/31/15)
     
 
        143,928         $ 119,460   
Software — 0.0%
                                                            
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
     
 
        2,406            8,510   
Total Warrants — 0.0%
     
 
                      127,970   
Total Long-Term Investments
(Cost — $814,499,723) — 141.5%
     
 
                      816,913,342   

Short-Term Securities
     
 
                             
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(m)
     
 
        4,239,004            4,239,004   
Total Short-Term Securities
(Cost — $4,239,004) — 0.7%
     
 
                      4,239,004   

Options Purchased
     
 
                           
(Cost — $43,022) — 0.0%
     
 
                         
Total Investments (Cost — $818,781,749) — 142.2%
                $ 821,152,346   
Liabilities in Excess of Other Assets  — (42.2)%
     
 
                      (243,791,198 )  
Net Assets  — 100.0%
     
 
                   $ 577,361,148   

Notes to Consolidated Schedule of Investments

(a)      
Non-income producing security.
(b)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)      
Variable rate security. Rate shown is as of report date.
(d)      
Zero-coupon bond. Rate shown epresents the current yield as of report date.
(e)      
Convertible security.
(f)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(g)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(i)      
Restricted security as to resale. As of report date the Fund held 0.1% of its net assets, with a current value of $623,243 in this security.
(j)      
Security is perpetual in nature and has no stated maturity date.
(k)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(l)      
Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate



   
Shares
Held at
August 31, 2013

   
Net
Activity

   
Shares
Held at
February 28, 2014

   
Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           907,643            3,331,361            4,239,004         $ 439    

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

See Notes to Financial Statements.

28 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 

     
Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows:


Currency Purchased

Currency Sold
   
Counterparty
   
Settlement
Date

   
Unrealized
Appreciation
(Depreciation)

   
CAD
           7,633      
USD
        6,912      
Deutsche Bank AG
  
4/22/14
     $ (27 )  
EUR
           548,283      
USD
        747,076      
Deutsche Bank AG
  
4/22/14
        9,706   
GBP
           490,997      
USD
        805,149      
Deutsche Bank AG
  
4/22/14
        16,752   
USD
           3,130,317      
CAD
        3,435,000      
Barclays Bank PLC
  
4/22/14
        31,839   
USD
           574,141      
EUR
        425,000      
BNP Paribas S.A.
  
4/22/14
        (12,476 )  
USD
           728,969      
EUR
        530,000      
Goldman Sachs Bank USA
  
4/22/14
        (2,577 )  
USD
           724,424      
EUR
        530,000      
JPMorgan Chase Bank N.A.
  
4/22/14
        (7,123 )  
USD
           4,971,754      
EUR
        3,656,462      
Royal Bank of Scotland PLC
  
4/22/14
        (75,174 )  
USD
           9,112,268      
GBP
        5,550,000      
JPMorgan Chase Bank N.A.
  
4/22/14
        (178,108 )  
Total
                   
 
                
 
  
 
     $ (217,188 )  

     
OTC options purchased as of February 28, 2014 were as follows:


Description



   
Counterparty
   
Put/
Call

   
Strike
Price

   
Expiration
Date

   
Contracts
   
Market
Value

   
Marsico Parent Superholdco LLC
     
Goldman Sachs & Co.
  
Call
  
USD
  
942.86
  
12/14/19
  
44
  

     
OTC credit default swaps — sold protection outstanding as of February 28, 2014 were as follows:


Issuer



   
Receive
Fixed
Rate

   
Counterparty
   
Expiration
Date

   
Credit
Rating1

   
Notional
Amount
(000)2

   
Market
Value

   
Premiums
Received

   
Unrealized
Depreciation

   
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
9/20/15
  
CCC-
  
USD
  
413
     $ (79,580 )        $ (73,641 )        $ (5,939 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
538
        (123,311 )           (121,598 )           (1,713 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
149
        (34,190 )           (29,227 )           (4,963 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
12/20/15
  
CCC-
  
USD
  
1,112
        (254,556 )           (192,793 )           (61,763 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs International
  
12/20/15
  
CCC-
  
USD
  
339
        (77,702 )           (37,985 )           (39,717 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
3/20/16
  
CCC-
  
USD
  
2,000
        (531,934 )           (347,486 )           (184,448 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
6/20/16
  
CCC-
  
USD
  
362
        (108,154 )           (60,571 )           (47,583 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs International
  
9/20/16
  
CCC-
  
USD
  
2,092
        (693,781 )           (399,346 )           (294,435 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
9/20/16
  
CCC-
  
USD
  
302
        (100,206 )           (57,733 )           (42,473 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Deutsche Bank AG
  
9/20/16
  
CCC-
  
USD
  
800
        (265,344 )           (156,273 )           (109,071 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
389
        (154,756 )           (92,433 )           (62,323 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Deutsche Bank AG
  
6/20/17
  
CCC-
  
USD
  
593
        (247,930 )           (151,923 )           (96,007 )  
 
     
 
  
 
  
 
  
 
  
 
  
 
                                         
Total
     
 
  
 
  
 
  
 
  
 
  
 
     $ (2,671,444 )        $ (1,721,009 )        $ (950,435 )  
1   Using S&P’s rating of the issuer.
2   The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of the agreement.

     
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
     
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
     
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
     
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

       
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 29
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:


 


   
Level 1
   
Level 2
   
Level 3
   
Total
Assets:
                                                                                
Investments:
                                                                                
Long-Term Investments:
                                                                                
Asset-Backed Securities
                    $ 18,231,625         $ 759,965         $ 18,991,590   
Common Stocks
        $ 1,748,608            3,563,749            869,588            6,181,945   
Corporate Bonds
                       24,201,300            3,398,812            27,600,112   
Floating Rate Loan Interests
                       698,273,817            58,886,931            757,160,748   
Investment Companies
           99,003                                    99,003   
Non-Agency Mortgage-Backed Securities
                       1,373,113                        1,373,113   
Other Interests
                       623,243            2,032,503            2,655,746   
Preferred Securities
           2,723,115                                    2,723,115   
Warrants
                       8,510            119,460            127,970   
Short-Term Securities
           4,239,004                                    4,239,004   
Unfunded Loan Commitments
                       82                         82    
Total
        $    8,809,730         $   746,275,439         $    66,067,259         $   821,152,428   

 


   
Level 1
   
Level 2
   
Level 3
   
Total
Derivative Financial Instruments1
                                                                                
Assets:
                                                                                
Foreign currency exchange contracts
                    $ 58,297                     $ 58,297   
Liabilities:
                                                                                
Credit contracts
                       (950,435 )                       (950,435 )  
Foreign currency exchange contracts
                       (275,485 )                       (275,485 )  
Total
                    $    (1,167,623 )                    $    (1,167,623 )  
1   Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The carrying amount for certain of the Fund’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


 


   
Level 1
   
Level 2
   
Level 3
   
Total
Assets:
                                                                                
Cash pledged as collateral for OTC derivatives
        $ 1,560,000                                 $ 1,560,000   
Foreign currency at value
           724,871                                    724,871   
Liabilities:
                                                                                
Bank overdraft
           (89,151 )                                   (89,151 )  
Bank borrowings payable
                    $ (224,000,000 )                       (224,000,000 )  
Total
        $   2,195,720         $ (224,000,000 )                    $ (221,804,280 )  

There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014.

See Notes to Financial Statements.

30 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (concluded)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 

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

 
   
Common
Stocks
   
Asset-Backed
Securities
   
Corporate
Bonds
   
Floating
Rate Loan
Interests
   
Other
Interests
   
Warrants
   
Total
Assets:
                                                                                                                                        
Opening Balance, as of August 31, 2013
    $ 1,119,143         $ 21,081,133         $ 4,187,534         $ 86,976,283         $ 2,150,980         $ 113,703         $ 115,628,776   
Transfers into Level 31
                                           18,257,199                                    18,257,199   
Transfers out of Level 32
                   (15,468,197 )           (929,040 )           (43,938,814 )                                   (60,336,051 )  
Other
                                                                                  
Accrued discounts/premiums
                   3,548            38,185            95,812                                    137,545   
Net realized gain (loss)
                   220,661            (1,353,448 )           150,421                                    (982,366 )  
Net change in unrealized appreciation/depreciation3,4
       (249,555 )           (202,589 )           1,456,879            212,819            3,571,107            5,757            4,794,418   
Purchases
                                           17,689,490                                    17,689,490   
Sales
                   (4,874,591 )           (1,298 )           (20,556,279 )           (3,689,584 )                       (29,121,752 )  
Closing Balance, as of February 28, 2014
    $ 869,588         $ 759,965         $ 3,398,812         $ 58,886,931         $ 2,032,503         $ 119,460         $ 66,067,259   
Net change in unrealized appreciation/depreciation
on investments still held at February 28, 20144
    $ (249,555 )        $ 18,547         $ 102,132         $ 279,801         $ 525,000         $ 5,757         $ 681,682   

1As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,257,199 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $60,336,051 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.
4Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2014. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $57,941,248. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.


 


   
Value
   
Valuation Techniques

   
Unobservable Inputs

   
Range of
Unobservable
Inputs Utilized

Assets:
                                                                                
Common Stocks
        $ 869,585      
Market Comparable Companies
  
Offshore Last 12 Months
EBITDA Multiple5
  
6.50x
 
                   
 
  
Offshore Current Fiscal Year
EBITDA Multiple5
  
6.88x
 
                   
 
  
Onshore EBITDA Multiple5
  
4.00x
 
                   
 
  
Onshore Current Fiscal Year
EBITDA Multiple5
  
3.88x
 
                   
 
  
Last 12 Months EBITDA Multiple5
  
6.25x
 
                   
 
  
Illiquidity Discount6
  
17.50%
Corporate Bonds
           3,398,812      
Market Comparable Companies
  
Last 12 Months EBITDA Multiple5
  
6.25x
 
                   
 
  
Illiquidity Discount6
  
17.50%
Floating Rate Loan Interests
           1,705,654      
Market Comparable Yield Analysis
  
Yield6
  
8.13%
Other Interests
           2,032,500      
Discounted Cash Flow
  
Perpetuity Growth Rate5
  
3.50%
 
                   
 
  
Specific Risk Premium6
  
10.00%
 
                   
 
  
Weighted Cost of Capital6
  
17.80%
 
                   
 
  
Risk Free Rate6
  
3.40%
 
                   
 
  
Free Cash Flow5
  
$33.5 – 59.57
Warrants
           119,460      
Market Comparable Companies
  
Last 12 Months EBITDA Multiple5
  
6.25x
Total
        $ 8,126,011                                                             

 

5Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.
6Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.
7Amount is stated in millions.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 31
 
  
Consolidated Schedule of Investments February 28, 2014 (Unaudited) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Common Stocks                  
Shares
     Value
Auto Components — 0.0%
                                                            
Lear Corp.
     
 
        807          $ 65,528     
Construction & Engineering — 0.0%
                                                            
USI United Subcontractors (a)
     
 
        6,454            70,994   
Diversified Financial Services — 0.2%
                                                            
Kcad Holdings I Ltd. (a)
     
 
        384,412,912               1,499,210   
Hotels, Restaurants & Leisure — 0.2%
                                                            
BLB Worldwide Holdings, Inc. (a)
     
 
        51,947            1,296,078   
Travelport Worldwide Ltd. (a)
     
 
        256,191            439,880   
 
     
 
                      1,735,958   
Paper & Forest Products — 0.2%
                                                            
NewPage Holdings, Inc.
     
 
        13,780            1,143,740   
Software — 0.4%
                                                            
HMH Holdings/EduMedia (a)
     
 
        128,441            2,479,425   
Total Common Stocks — 1.0%
     
 
                      6,994,855   

Asset-Backed Securities
     
 
  
Par
(000)
  
 
Asset-Backed Securities — 5.7%
                                                            
321 Henderson Receivables I LLC, Class A (b):
                                                            
Series 2010-2A, 4.07%, 1/15/48
     
USD
        1,263            1,351,703   
Series 2010-3A, 3.82%, 12/15/48
     
 
        3,628            3,839,300   
ACAS CLO Ltd. (b)(c):
                                                            
Series 2007-1A, Class A1S, 0.45%, 4/20/21
     
 
        746             735,929   
Series 2013-1A, Class D, 3.84%, 4/20/25
     
 
        750             731,250   
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.89%, 4/15/24 (b)(c)
     
 
        1,750            1,708,828   
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.42%, 5/10/32 (b)(c)
     
 
        722             697,173   
ALM Loan Funding (b)(c):
                                                            
Series 2013-7R2A, Class B, 2.84%, 4/24/24
     
 
        865             848,219   
Series 2013-7RA, Class C, 3.69%, 4/24/24
     
 
        2,410            2,330,325   
Series 2013-7RA, Class D, 5.24%, 4/24/24
     
 
        1,040            984,755   
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24 (b)(c)
     
 
        1,100            1,065,763   
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.59%, 10/22/25 (b)(c)
     
 
        500             477,200   
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17
     
GBP
        2,650            4,477,134   
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.24%, 2/14/25 (b)(c)
     
USD
        250             250,723   
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19
     
 
        2,530            2,595,681   
Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 (b)(c)
     
 
        500             490,738   
Central Park CLO Ltd., Series 2011-1A, Class D, 3.44%, 7/23/22 (b)(c)
     
 
        500             492,346   
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.32%, 10/25/47 (c)
     
 
        1,751            1,716,412   
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (b)
     
 
        2,763            2,604,165   
ECP CLO Ltd., Series 2013-5A, Class C, 3.74%, 1/20/25 (b)(c)
     
 
        1,500            1,443,713   
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 (b)(c)
     
 
        1,090            1,089,970   
GSAA Trust, Series 2007-3, Class 1A2, 0.33%, 3/25/47 (c)
     
 
        2,804            1,379,899   
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.74%, 4/15/25 (b)(c)
     
 
        1,000            954,203   
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 (b)(c)
     
 
        420             404,852   
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25 (b)(c)
     
 
        1,000            978,830   
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.59%, 7/17/25 (b)(c)
     
 
        500             482,116   
                         
Asset-Backed Securities                 Par
(000)
     Value
Asset-Backed Securities (concluded)
                                                            
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c)
     
USD
        500          $ 501,416     
Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25 (b)(c)
     
 
        500             497,120   
Santander Drive Auto Receivables Trust, Series 2011-S2A (b):
                                                            
Class B, 2.06%, 6/15/17
     
 
        199             199,373   
Class C, 2.86%, 6/15/17
     
 
        118             118,140   
SLC Student Loan Trust, Series 2006-A, Class A4, 0.36%, 1/15/19 (c)
     
 
        28             28,024   
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22
     
 
        3,000            3,062,325   
 
     
 
                        38,537,625   
Interest Only Asset-Backed Securities — 0.2%
                                                            
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)
     
 
        8,643            618,492   
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b)
     
 
        8,875            590,748   
 
     
 
                      1,209,240   
Total Asset-Backed Securities — 5.9%
     
 
                      39,746,865   

Corporate Bonds
     
 
                           
Aerospace & Defense — 0.3%
                                                            
DigitalGlobe, Inc., 5.25%, 2/01/21 (d)
     
 
        928             918,720   
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (d)
     
 
        570             634,125   
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)
     
 
        339             359,088   
 
     
 
                      1,911,933   
Airlines — 3.0%
                                                            
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)
     
 
        651             664,020   
American Airlines Pass-Through Trust, Series 2013-2 (b):
Class A, 4.95%, 7/15/24 (d)
     
 
        3,749            4,011,063   
Class B, 5.60%, 1/15/22
     
 
        736             765,133   
Class C, 6.00%, 1/15/17 (d)
     
 
        2,600            2,697,500   
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (d)
     
 
        2,090            2,212,787   
Continental Airlines, Inc., 6.75%, 9/15/15 (b)(d)
     
 
        1,350            1,377,000   
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
 
        226             255,990   
United Continental Holdings, Inc., 6.00%, 12/01/20 (d)
     
 
        950             989,188   
US Airways Pass-Through Trust, Class C (d):
                                                            
Series 2011-1, 10.88%, 10/22/14
     
 
        847             880,914   
Series 2012-1, 9.13%, 10/01/15
     
 
        2,115            2,241,907   
Virgin Australia Trust, Series 2013-1 (b):
                                                            
Class A, 5.00%, 10/23/23
     
 
        800             848,000   
Class B, 6.00%, 10/23/20
     
 
        1,700            1,780,750   
Class C, 7.13%, 10/23/18
     
 
        1,240            1,283,400   
 
     
 
                      20,007,652   
Auto Components — 1.6%
                                                            
Affinia Group, Inc., 7.75%, 5/01/21 (d)
     
 
        1,095            1,182,600   
Autodis SA, 6.50%, 2/01/19
     
EUR
        100             140,031   
Brighthouse Group PLC, 7.88%, 5/15/18
     
GBP
        100             176,113   
Chrysler Group LLC/CG Co-Issuer, Inc. (b):
                                                            
8.00%, 6/15/19 (d)
     
USD
        1,087            1,195,700   
8.25%, 6/15/21
     
 
        1,165            1,319,362   
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (b)(d)
     
 
        2,058            2,099,160   
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20
     
GBP
        554             1,052,941   
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (b)
     
USD
        445             485,050   
Rhino Bondco SpA, 7.25%, 11/15/20
     
EUR
        110             160,412   
Schaeffler Holding Finance BV (e):
                                                            
6.88%, 8/15/18
     
 
        375             552,551   
6.88%, 8/15/18 (b)(d)
     
USD
        1,085            1,155,525   

See Notes to Financial Statements.

32 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
Auto Components (concluded)
                                                            
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18
     
EUR
        342          $ 508,497     
Titan International, Inc., 6.88%, 10/01/20 (b)
     
USD
        555             586,913   
 
     
 
                        10,614,855   
Auto Parts — 0.0%
                                                            
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20
     
 
        260             263,900   
Automobiles — 0.5%
                                                            
Ford Motor Co., 4.25%, 11/15/16 (f)
     
 
        434             782,285   
General Motors Co., 3.50%, 10/02/18 (b)(d)
     
 
        2,478            2,558,535   
 
     
 
                      3,340,820   
Beverages — 0.0%
                                                            
Constellation Brands, Inc., 7.25%, 5/15/17
     
 
        82             94,915   
Building Products — 1.2%
                                                            
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)
     
 
        415             426,413   
Builders FirstSource, Inc., 7.63%, 6/01/21 (b)(d)
     
 
        890             952,300   
Building Materials Corp. of America (b)(d):
                                                            
7.00%, 2/15/20
     
 
        1,345            1,442,512   
6.75%, 5/01/21
     
 
        1,030            1,117,550   
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)(d)
     
 
        1,030            1,107,250   
Momentive Performance Materials, Inc., 8.88%, 10/15/20 (d)
     
 
        530             567,100   
Ply Gem Industries, Inc., 6.50%, 2/01/22 (b)
     
 
        745             756,175   
USG Corp., 9.75%, 1/15/18 (d)
     
 
        1,390            1,678,425   
 
     
 
                      8,047,725   
Capital Markets — 0.9%
                                                            
American Capital Ltd., 6.50%, 9/15/18 (b)(d)
     
 
        975             1,038,375   
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(f)(g)
     
 
        249             540,797   
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (d)
     
 
        3,285            3,382,206   
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (b)(d)
     
 
        1,079            1,141,229   
 
     
 
                      6,102,607   
Chemicals — 1.4%
                                                            
Ashland, Inc., 3.88%, 4/15/18 (d)
     
 
        675             698,625   
Chemtura Corp., 5.75%, 7/15/21
     
 
        200             208,000   
Huntsman International LLC:
                                                            
8.63%, 3/15/21 (d)
     
 
        655             740,150   
5.13%, 4/15/21
     
EUR
        135             190,999   
INEOS Finance PLC, 7.50%, 5/01/20 (b)(d)
     
USD
        445             489,500   
INEOS Group Holdings SA:
                                                            
6.13%, 8/15/18 (b)(d)
     
 
        680             703,800   
6.50%, 8/15/18
     
EUR
        328             478,205   
5.75%, 2/15/19
     
 
        340             484,554   
LSB Industries, Inc., 7.75%, 8/01/19 (b)
     
USD
        301             322,823   
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)(d)
     
 
        320             332,000   
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)(d)
     
 
        898             978,820   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (d)
     
 
        3,175            3,294,063   
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV:
                                                            
5.75%, 2/01/21
     
 
        200             291,934   
7.38%, 5/01/21 (b)
     
 
        398             429,840   
 
     
 
                      9,643,313   
Commercial Banks — 0.8%
                                                            
CIT Group, Inc. (d):
                                                            
5.00%, 5/15/17
     
 
        890             954,525   
5.50%, 2/15/19 (b)
     
 
        1,370            1,489,875   
HSBC Holdings PLC, 6.25%, 3/19/18
     
EUR
        1,000            1,612,136   
Nordea Bank AB, 4.50%, 3/26/20
     
 
        1,020            1,579,167   
 
     
 
                      5,635,703   
Commercial Services & Supplies — 1.5%
                                                            
AA Bond Co., Ltd., 9.50%, 7/31/43
     
GBP
        306             574,876   
ACCO Brands Corp., 6.75%, 4/30/20
     
USD
        100             103,000   
ADS Waste Holdings, Inc., 8.25%, 10/01/20
     
 
        292             316,820   
                         
Corporate Bonds                 Par
(000)
     Value
Commercial Services & Supplies (concluded)
                                                            
ARAMARK Corp., 5.75%, 3/15/20 (b)(d)
     
USD
        712          $      751,160     
Aviation Capital Group Corp., 4.63%, 1/31/18 (b)(d)
     
 
        1,000            1,041,921   
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (e)
     
EUR
        100             143,634   
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)(d)
     
USD
        617             643,223   
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18
     
 
        306             311,355   
Covanta Holding Corp., 6.38%, 10/01/22
     
 
        100             105,750   
Interactive Data Corp., 10.25%, 8/01/18 (d)
     
 
        2,210            2,397,850   
Mobile Mini, Inc., 7.88%, 12/01/20 (d)
     
 
        915             1,022,512   
United Rentals North America, Inc. (d):
                                                            
5.75%, 7/15/18
     
 
        494             529,815   
7.63%, 4/15/22
     
 
        1,518            1,724,827   
Verisure Holding AB:
                                                            
8.75%, 9/01/18
     
EUR
        199             299,401   
8.75%, 12/01/18
     
 
        111             166,236   
West Corp., 8.63%, 10/01/18
     
USD
        165             177,788   
 
     
 
                        10,310,168   
Communications Equipment — 2.1%
                                                            
ADC Telecommunications, Inc., 3.50%, 7/15/15
     
 
        6,670            6,753,375   
Alcatel-Lucent USA, Inc. (b)(d):
                                                            
4.63%, 7/01/17
     
 
        800             825,000   
6.75%, 11/15/20
     
 
        1,560            1,661,400   
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
        437             433,723   
CommScope Holding Co., Inc., 6.63% (10.50% Cash or 11.25% PIK), 6/01/20 (b)(d)(e)
     
 
        605             639,787   
Zayo Group LLC/Zayo Capital, Inc. (d):
                                                            
8.13%, 1/01/20
     
 
        1,800            1,984,500   
10.13%, 7/01/20
     
 
        1,460            1,693,600   
 
     
 
                      13,991,385   
Construction & Engineering — 0.2%
                                                            
Astaldi SpA, 7.13%, 12/01/20
     
EUR
        365             536,598   
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)
     
USD
        165             174,281   
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)
     
 
        258             274,125   
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23
     
 
        320             314,400   
 
     
 
                      1,299,404   
Construction Materials — 1.3%
                                                            
Buzzi Unicem SpA, 6.25%, 9/28/18
     
EUR
        154             242,591   
HD Supply, Inc. (d):
                                                            
8.13%, 4/15/19
     
USD
        4,285            4,820,625   
11.00%, 4/15/20
     
 
        770             941,325   
7.50%, 7/15/20
     
 
        2,696            2,952,120   
 
     
 
                      8,956,661   
Consumer Finance — 0.7%
                                                            
Ford Motor Credit Co. LLC (d):
                                                            
3.88%, 1/15/15
     
 
        2,475            2,543,354   
7.00%, 4/15/15
     
 
        400             427,339   
Hyundai Capital America, 3.75%, 4/06/16 (b)(d)
     
 
        1,285            1,349,701   
IVS F. SpA, 7.13%, 4/01/20
     
EUR
        235             345,455   
Springleaf Finance Corp.:
                                                            
7.75%, 10/01/21
     
USD
        52             57,590   
8.25%, 10/01/23
     
 
        94             105,045   
 
     
 
                      4,828,484   
Containers & Packaging — 0.4%
                                                            
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.38%, 10/15/17
     
EUR
        100             147,175   
Berry Plastics Corp., 9.75%, 1/15/21
     
USD
        290             336,400   
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (b)(d)
     
 
        1,560            1,622,400   
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (d)
     
 
        144             157,680   
OI European Group BV, 4.88%, 3/31/21
     
EUR
        311             457,176   
 
     
 
                      2,720,831   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 33
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
Distributors — 0.1%
                                                            
VWR Funding, Inc., 7.25%, 9/15/17 (d)
     
USD
        874          $ 937,365     
Diversified Consumer Services — 0.5%
                                                            
APX Group, Inc. (d):
                                                            
6.38%, 12/01/19
     
 
        491             506,344   
8.75%, 12/01/20
     
 
        1,112            1,159,260   
Garda World Security Corp., 7.25%, 11/15/21 (b)
     
 
        275             291,500   
Laureate Education, Inc., 9.25%, 9/01/19 (b)
     
 
        1,020            1,091,400   
 
     
 
                      3,048,504   
Diversified Financial Services — 2.8%
                                                            
Aircastle Ltd., 6.25%, 12/01/19 (d)
     
 
        367             400,030   
Ally Financial, Inc. (d):
                                                            
8.30%, 2/12/15
     
 
        2,460            2,619,900   
8.00%, 11/01/31
     
 
        2,766            3,471,570   
CE Energy AS, 7.00%, 2/01/21
     
EUR
        150             213,772   
Co-Operative Group Holdings, 5.63%, 7/08/20 (h)
     
GBP
        190             334,076   
DPL, Inc.:
                                                            
6.50%, 10/15/16
     
USD
        70             75,425   
Gala Group Finance PLC, 8.88%, 9/01/18
     
GBP
        700             1,255,669   
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)(d)
     
USD
        585             618,638   
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (b)
     
 
        567             578,340   
Leucadia National Corp., 8.13%, 9/15/15 (d)
     
 
        1,870            2,057,000   
Macquarie Bank Ltd./London, 10.25%, 6/20/57 (c)
     
 
        1,450            1,645,750   
Reynolds Group Issuer, Inc.:
                                                            
7.13%, 4/15/19 (d)
     
 
        1,294            1,376,492   
9.00%, 4/15/19
     
 
        180             193,500   
9.88%, 8/15/19 (d)
     
 
        535             603,213   
5.75%, 10/15/20 (d)
     
 
        800             836,000   
6.88%, 2/15/21 (d)
     
 
        820             891,750   
WMG Acquisition Corp.:
                                                            
11.50%, 10/01/18
     
 
        753             856,537   
6.00%, 1/15/21 (b)(d)
     
 
        841             878,845   
 
     
 
                        18,906,507   
Diversified Telecommunication Services — 3.7%
                                                            
CenturyLink, Inc., Series V, 5.63%, 4/01/20 (d)
     
 
        906             946,770   
Level 3 Communications, Inc., 8.88%, 6/01/19 (d)
     
 
        735             810,338   
Level 3 Financing, Inc.:
                                                            
3.85%, 1/15/18 (b)(c)
     
 
        411             417,165   
8.13%, 7/01/19 (d)
     
 
        3,083            3,391,300   
7.00%, 6/01/20
     
 
        495             539,550   
6.13%, 1/15/21 (b)(d)
     
 
        1,682            1,778,715   
Telecom Italia SpA:
                                                            
6.13%, 11/15/16 (f)
     
EUR
        300             470,903   
6.38%, 6/24/19
     
GBP
        200             360,162   
4.88%, 9/25/20
     
EUR
        220             320,067   
4.50%, 1/25/21
     
 
        270             384,677   
5.88%, 5/19/23
     
GBP
        450             763,603   
Telenet Finance V Luxembourg SCA:
                                                            
6.25%, 8/15/22
     
EUR
        271             409,597   
6.75%, 8/15/24
     
 
        397             602,733   
Verizon Communications, Inc., 3.65%, 9/14/18 (d)
     
USD
        13,000            13,852,891   
Windstream Corp., 7.75%, 10/15/20
     
 
        46             49,450   
 
     
 
                      25,097,921   
Electric Utilities — 0.2%
                                                            
Homer City Generation LP (e):
                                                            
8.14% (8.14% Cash or 8.64% PIK), 10/01/19
     
 
        345             363,975   
8.73% (8.73% Cash or 9.23% PIK), 10/01/26
     
 
        495             519,750   
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (d)
     
 
        538             566,133   
 
     
 
                      1,449,858   
Electrical Equipment — 0.2%
                                                            
Belden, Inc., 5.50%, 4/15/23
     
EUR
        140             195,561   
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20
     
 
        106             165,318   
Techem GmbH, 6.13%, 10/01/19
     
 
        300             450,406     
                         
Corporate Bonds                 Par
(000)
     Value
Electrical Equipment (concluded)
                                                            
Trionista Holdco GmbH, 5.00%, 4/30/20
     
EUR
        410          $      589,975     
Trionista TopCo GmbH, 6.88%, 4/30/21
     
 
        100             149,762   
 
     
 
                      1,551,022   
Energy Equipment & Services — 1.5%
                                                            
Calfrac Holdings LP, 7.50%, 12/01/20 (b)(d)
     
USD
        503             525,635   
CGG SA, 7.75%, 5/15/17 (d)
     
 
        330             337,425   
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d)
     
 
        185             190,550   
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (d)
     
 
        375             390,000   
MEG Energy Corp. (b)(d):
                                                            
6.50%, 3/15/21
     
 
        358             377,690   
7.00%, 3/31/24
     
 
        864             907,200   
Oil States International, Inc. (d):
                                                            
6.50%, 6/01/19
     
 
        1,614            1,706,805   
5.13%, 1/15/23
     
 
        908             1,020,365   
Peabody Energy Corp. (d):
                                                            
6.00%, 11/15/18
     
 
        1,004            1,086,830   
6.25%, 11/15/21
     
 
        991             1,023,207   
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b)(d)
     
 
        535             551,050   
Seadrill Ltd., 5.63%, 9/15/17 (b)
     
 
        1,806            1,882,755   
Transocean, Inc., 6.00%, 3/15/18 (d)
     
 
        230             259,047   
 
     
 
                        10,258,559   
Food & Staples Retailing — 0.8%
                                                            
Bakkavor Finance 2 PLC:
                                                            
8.25%, 2/15/18
     
GBP
        312             559,032   
8.75%, 6/15/20
     
 
        200             367,899   
Brakes Capital, 7.13%, 12/15/18
     
 
        1,655            2,743,668   
R&R Ice Cream PLC, 9.25%, 5/15/18 (e)
     
EUR
        314             444,250   
Rite Aid Corp., 9.25%, 3/15/20 (d)
     
USD
        1,095            1,259,250   
 
     
 
                      5,374,099   
Food Products — 0.3%
                                                            
Findus Bondco SA:
                                                            
9.13%, 7/01/18
     
EUR
        187             282,637   
9.50%, 7/01/18
     
GBP
        100             183,154   
Post Holdings, Inc., 6.75%, 12/01/21 (b)
     
USD
        252             269,955   
Smithfield Foods, Inc.:
                                                            
5.25%, 8/01/18 (b)
     
 
        207             217,091   
5.88%, 8/01/21 (b)
     
 
        193             198,790   
6.63%, 8/15/22 (d)
     
 
        783             845,640   
Univeg Holding BV, 7.88%, 11/15/20
     
EUR
        135             186,296   
 
     
 
                      2,183,563   
Gas Utilities — 0.2%
                                                            
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (d)
     
USD
        1,515            1,624,838   
Health Care Equipment & Supplies — 1.1%
                                                            
Biomet, Inc. (d):
                                                            
6.50%, 8/01/20
     
 
        1,720            1,855,450   
6.50%, 10/01/20
     
 
        418             445,693   
CareFusion Corp., 5.13%, 8/01/14 (d)
     
 
        3,000            3,055,440   
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (d)
     
 
        413             452,235   
IDH Finance PLC, 6.00%, 12/01/18
     
GBP
        113             194,901   
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19
     
USD
        328             377,200   
Teleflex, Inc., 6.88%, 6/01/19 (d)
     
 
        675             717,187   
 
     
 
                      7,098,106   
Health Care Providers & Services — 1.8%
                                                            
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.:
                                                            
7.75%, 2/15/19 (d)
     
 
        995             1,074,600   
6.00%, 10/15/21
     
 
        232             241,860   
CHS/Community Health Systems, Inc.:
                                                            
5.13%, 8/15/18 (d)
     
 
        490             518,788   
5.13%, 8/01/21 (b)
     
 
        192             198,720   
6.88%, 2/01/22 (b)
     
 
        739             786,111   

See Notes to Financial Statements.

34 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
Health Care Providers & Services (concluded)
                                                            
Crown Newco 3 PLC, 7.00%, 2/15/18
     
GBP
        335          $ 591,828     
HCA, Inc. (d):
                                                            
7.88%, 2/15/20
     
USD
        1,896            2,028,720   
7.25%, 9/15/20
     
 
        711             773,213   
Hologic, Inc., 6.25%, 8/01/20 (d)
     
 
        1,289            1,369,562   
LifePoint Hospitals, Inc., 5.50%, 12/01/21 (b)
     
 
        240             251,100   
Tenet Healthcare Corp.:
                                                            
6.25%, 11/01/18 (d)
     
 
        1,134            1,255,905   
8.00%, 8/01/20 (d)
     
 
        775             850,563   
6.00%, 10/01/20 (b)
     
 
        461             495,575   
8.13%, 4/01/22 (d)
     
 
        898             1,005,760   
Voyage Care Bondco PLC, 6.50%, 8/01/18
     
GBP
        355             619,730   
 
     
 
                        12,062,035   
Health Care Technology — 0.7%
                                                            
IMS Health, Inc., 12.50%, 3/01/18 (b)(d)
     
USD
        4,300            4,945,000   
Hotels, Restaurants & Leisure — 4.5%
                                                            
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18
     
EUR
        540             777,040   
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (f)
     
GBP
        100             188,220   
Enterprise Inns PLC, 6.50%, 12/06/18
     
 
        926             1,624,289   
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19
     
EUR
        290             430,309   
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (b)
     
USD
        357             370,388   
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (b)(i)
     
 
        980             1,009,400   
Intralot Finance Luxembourg SA, 9.75%, 8/15/18
     
EUR
        480             752,120   
Isle of Capri Casinos, Inc.:
                                                            
7.75%, 3/15/19
     
USD
        70             76,038   
5.88%, 3/15/21
     
 
        294             303,555   
MCE Finance Ltd., 5.00%, 2/15/21 (b)(d)
     
 
        941             938,647   
PNK Finance Corp., 6.38%, 8/01/21 (b)(d)
     
 
        268             280,060   
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20
     
EUR
        100             145,277   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)(d)
     
USD
        576             583,200   
Snai SpA, 7.63%, 6/15/18
     
EUR
        205             296,402   
Spirit Issuer PLC (c):
                                                            
Series A1, 1.08%, 12/28/28
     
GBP
        655             924,080   
Series A2, 3.23%, 12/28/31
     
 
        1,800            2,742,915   
Series A5, 5.47%, 12/28/34
     
 
        4,500            7,121,028   
Series A6, 2.33%, 12/28/36
     
 
        2,670            4,202,788   
Station Casinos LLC, 7.50%, 3/01/21 (d)
     
USD
        2,245            2,407,762   
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (b)
     
 
        78             78,792   
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(j)
     
 
        375                
The Unique Pub Finance Co. PLC:
                                                            
Series A3, 6.54%, 3/30/21
     
GBP
        1,364            2,400,557   
Series A4, 5.66%, 6/30/27
     
 
        811             1,365,385   
Vougeot Bidco PLC, 7.88%, 7/15/20
     
 
        218             396,556   
Wynn Macau Ltd., 5.25%, 10/15/21 (b)(d)
     
USD
        428             439,770   
 
     
 
                      29,854,578   
Household Durables — 1.4%
                                                            
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18
     
EUR
        530             799,228   
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)(d)
     
USD
        510             508,725   
Beazer Homes USA, Inc., 6.63%, 4/15/18 (d)
     
 
        910             982,800   
Berkline/Benchcraft LLC, 11/03/14 (a)(j)
     
 
        200                
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)(d)
     
 
        925             982,812   
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)
     
 
        259             266,123   
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)(d)
     
 
        2,130            2,332,350   
KB Home, 7.25%, 6/15/18 (d)
     
 
        880             992,200   
Libbey Glass, Inc., 6.88%, 5/15/20 (d)
     
 
        226             244,645   
                         
Corporate Bonds                 Par
(000)
     Value
Household Durables (concluded)
                                                            
Spie BondCo 3 SCA, 11.00%, 8/15/19
     
EUR
        248          $      390,239     
Standard Pacific Corp., 8.38%, 1/15/21 (d)
     
USD
        1,000            1,192,500   
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)
     
 
        597             591,030     
 
     
 
                      9,282,652   
Household Products — 0.2%
                                                            
Ontex IV SA, 9.00%, 4/15/19
     
EUR
        353             526,226   
Spectrum Brands, Inc.:
                                                            
6.38%, 11/15/20
     
USD
        250             272,500   
6.63%, 11/15/22
     
 
        285             310,650   
 
     
 
                      1,109,376   
Independent Power Producers & Energy Traders — 1.6%
The AES Corp., 7.75%, 10/15/15 (d)
     
 
        972             1,069,200   
Calpine Corp. (b):
                                                            
7.50%, 2/15/21
     
 
        147             162,067   
6.00%, 1/15/22
     
 
        143             151,580   
5.88%, 1/15/24
     
 
        438             448,950   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                            
6.88%, 8/15/17 (b)
     
 
        625             641,406   
10.00%, 12/01/20
     
 
        390             405,600   
10.25%, 12/01/20 (b)
     
 
        2,105            2,189,200   
12.25%, 3/01/22 (b)
     
 
        3,408            3,953,280   
NRG Energy, Inc., 7.63%, 1/15/18 (d)
     
 
        913             1,031,690   
NRG REMA LLC:
                                                            
Series B, 9.24%, 7/02/17
     
 
        85             84,505   
Series C, 9.68%, 7/02/26 (d)
     
 
        899             872,030   
 
     
 
                        11,009,508   
Insurance — 3.0%
                                                            
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (d)
     
 
        3,000            3,427,086   
The Allstate Corp., 6.13%, 5/15/67 (c)(d)
     
 
        3,000            3,138,750   
CNO Financial Group, Inc., 6.38%, 10/01/20 (b)(d)
     
 
        304             323,760   
Forethought Financial Group, Inc., 8.63%, 4/15/21 (b)(d)
     
 
        750             850,466   
Galaxy Bidco Ltd., 6.38%, 11/15/20
     
GBP
        100             172,479   
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (b)
     
USD
        255             268,388   
ING US, Inc., 5.65%, 5/15/53 (c)
     
 
        3,500            3,430,000   
Liberty Mutual Group, Inc. (b):
                                                            
7.00%, 3/07/67 (c)(d)
     
 
        1,575            1,641,937   
7.80%, 3/07/87
     
 
        1,500            1,627,500   
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)
     
 
        595             635,163   
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (c)
     
EUR
        400             651,926   
Prudential Financial, Inc., 5.63%, 6/15/43 (c)(d)
     
USD
        3,250            3,355,625   
TMF Group Holding BV, 9.88%, 12/01/19 (c)
     
EUR
        310             474,961   
 
     
 
                      19,998,041   
Internet Software & Services — 0.2%
                                                            
Cerved Group SpA:
                                                            
6.38%, 1/15/20
     
 
        100             147,692   
8.00%, 1/15/21
     
 
        100             149,172   
Equinix, Inc., 4.88%, 4/01/20
     
USD
        139             141,259   
IAC/InterActiveCorp, 4.88%, 11/30/18 (b)(d)
     
 
        695             724,537   
 
     
 
                      1,162,660   
IT Services — 2.1%
                                                            
Ceridian Corp., 8.88%, 7/15/19 (b)(d)
     
 
        1,395            1,593,788   
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)(d)
     
 
        1,004            1,148,325   
Epicor Software Corp., 8.63%, 5/01/19 (d)
     
 
        1,260            1,376,550   
First Data Corp. (b)(d):
                                                            
7.38%, 6/15/19
     
 
        1,775            1,923,656   
6.75%, 11/01/20
     
 
        1,250            1,350,000   
11.75%, 8/15/21
     
 
        582             622,740   
SunGard Data Systems, Inc., 6.63%, 11/01/19 (d)
     
 
        1,040            1,111,500   
The Western Union Co., 2.88%, 12/10/17 (d)
     
 
        4,000            4,115,096   
WEX, Inc., 4.75%, 2/01/23 (b)(d)
     
 
        550             517,000   
 
     
 
                      13,758,655   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 35
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
Machinery — 0.0%
                                                            
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b)
     
USD
        167          $ 173,680     
Media — 4.2%
                                                            
Adria Bidco BV, 7.88%, 11/15/20
     
EUR
        140             200,972   
Altice Financing SA, 6.50%, 1/15/22 (b)(d)
     
USD
        850             886,125   
AMC Networks, Inc., 7.75%, 7/15/21 (d)
     
 
        865             981,775   
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (b):
                                                            
5.25%, 2/15/22
     
 
        105             107,625   
5.63%, 2/15/24
     
 
        85             87,763   
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b)(j)
     
 
        509             488,640   
Checkout Holding Corp., 0.00%, 11/15/15 (b)(g)
     
 
        467             394,615   
Clear Channel Communications, Inc., 9.00%, 3/01/21 (d)
     
 
        1,311            1,373,272   
Clear Channel Worldwide Holdings, Inc.:
                                                            
7.63%, 3/15/20
     
 
        677             732,852   
6.50%, 11/15/22 (d)
     
 
        965             1,020,487   
6.50%, 11/15/22
     
 
        213             226,845   
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (d)
     
 
        3,000               3,122,721   
DISH DBS Corp. (d):
                                                            
7.13%, 2/01/16
     
 
        200             220,000   
4.25%, 4/01/18
     
 
        1,330            1,383,200   
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)
     
 
        305             327,113   
Gannett Co., Inc. (b):
                                                            
5.13%, 10/15/19
     
 
        197             206,850   
5.13%, 7/15/20
     
 
        218             224,540   
6.38%, 10/15/23
     
 
        304             320,720   
Gray Television, Inc., 7.50%, 10/01/20 (d)
     
 
        428             466,520   
Intelsat Jackson Holdings SA:
                                                            
7.25%, 10/15/20 (d)
     
 
        1,660            1,805,250   
5.50%, 8/01/23 (b)
     
 
        515             509,206   
Intelsat Luxembourg SA, 6.75%, 6/01/18 (b)
     
 
        800             852,000   
Lamar Media Corp., 5.38%, 1/15/24 (b)
     
 
        240             247,800   
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)
     
 
        185             203,038   
The McClatchy Co., 9.00%, 12/15/22
     
 
        330             377,438   
MDC Partners, Inc., 6.75%, 4/01/20 (b)
     
 
        493             526,277   
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)
     
 
        245             254,800   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
        345             359,663   
Play Finance 2 SA, 5.25%, 2/01/19
     
EUR
        220             313,156   
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)
     
USD
        580             609,000   
Sirius XM Holdings, Inc. (b):
                                                            
5.75%, 8/01/21
     
 
        424             440,960   
4.63%, 5/15/23
     
 
        311             292,340   
Sterling Entertainment Corp., 9.75%, 12/15/19 (b)
     
 
        1,175            1,198,500   
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (b)(d)
     
 
        789             873,817   
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
                                                            
7.50%, 3/15/19
     
 
        1,440            1,566,000   
5.63%, 4/15/23
     
EUR
        104             154,332   
Univision Communications, Inc., 6.75%, 9/15/22 (b)(d)
     
USD
        286             317,460   
Virgin Media Secured Finance PLC:
                                                            
6.50%, 1/15/18 (d)
     
 
        1,000            1,036,250   
6.00%, 4/15/21
     
GBP
        1,274            2,245,380   
VTR Finance BV, 6.88%, 1/15/24 (b)
     
USD
        512             524,267   
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)
     
EUR
        513             753,270   
Ziggo Finance BV, 6.13%, 11/15/17
     
 
        100             142,258   
 
     
 
                      28,375,097   
Metals & Mining — 1.7%
                                                            
APERAM (b):
                                                            
7.38%, 4/01/16
     
USD
        150             155,250   
7.75%, 4/01/18
     
 
        308             324,940   
                         
Corporate Bonds                 Par
(000)
     Value
Metals & Mining (concluded)
                                                            
ArcelorMittal:
                                                            
9.50%, 2/15/15 (d)
     
USD
        1,219         $ 1,307,377     
4.25%, 8/05/15 (d)
     
 
        738             761,062   
5.00%, 2/25/17
     
 
        343             366,581   
6.13%, 6/01/18 (d)
     
 
        498             547,800   
Eco-Bat Finance PLC, 7.75%, 2/15/17
     
EUR
        495             708,016   
Global Brass & Copper, Inc., 9.50%, 6/01/19 (d)
     
USD
        695             802,725   
Kaiser Aluminum Corp., 8.25%, 6/01/20 (d)
     
 
        510             577,575   
Novelis, Inc., 8.75%, 12/15/20 (d)
     
 
        2,375            2,671,875   
Perstorp Holding AB, 8.75%, 5/15/17 (b)
     
 
        290             311,388   
Steel Dynamics, Inc., 6.38%, 8/15/22 (d)
     
 
        555             609,113   
ThyssenKrupp AG, 3.13%, 10/25/19
     
EUR
        400             554,881   
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)(d)
     
USD
        1,301            1,405,080   
 
     
 
                        11,103,663   
Multiline Retail — 0.2%
                                                            
Dufry Finance SCA, 5.50%, 10/15/20 (b)(d)
     
 
        557             570,925   
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (b)(d)
     
 
        856             918,060   
 
     
 
                      1,488,985   
Oil, Gas & Consumable Fuels — 3.8%
                                                            
Access Midstream Partners LP/ACMP Finance Corp., 4.88%, 5/15/23
     
 
        455             464,100   
Alpha Natural Resources, Inc., 6.25%, 6/01/21
     
 
        209             176,605   
Antero Resources Finance Corp., 5.38%, 11/01/21 (b)(d)
     
 
        774             791,415   
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)
     
 
        254             269,240   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
     
 
        95             102,125   
Chaparral Energy, Inc., 7.63%, 11/15/22
     
 
        305             330,925   
Concho Resources, Inc., 6.50%, 1/15/22 (d)
     
 
        221             241,719   
CONSOL Energy, Inc., 8.25%, 4/01/20 (d)
     
 
        1,890            2,055,375   
El Paso LLC, 7.80%, 8/01/31
     
 
        116             122,993   
EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19 (d)
     
 
        630             679,612   
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (b)(d)
     
 
        1,285            1,416,712   
Kinder Morgan, Inc., 5.63%, 11/15/23 (b)
     
 
        457             459,382   
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d)
     
 
        1,470            1,635,375   
Laredo Petroleum, Inc.:
                                                            
9.50%, 2/15/19 (d)
     
 
        630             697,725   
7.38%, 5/01/22
     
 
        515             571,650   
Lightstream Resources Ltd., 8.63%, 2/01/20 (b)
     
 
        379             387,528   
Linn Energy LLC/Linn Energy Finance Corp.:
                                                            
8.63%, 4/15/20 (d)
     
 
        903             984,270   
7.75%, 2/01/21
     
 
        215             232,738   
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
     
 
        344             362,920   
Oasis Petroleum, Inc.:
                                                            
7.25%, 2/01/19
     
 
        380             408,500   
6.50%, 11/01/21
     
 
        410             442,800   
6.88%, 3/15/22 (b)
     
 
        479             519,715   
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
     
 
        202             221,695   
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.38%, 6/01/20
     
 
        351             392,243   
Petrobras Global Finance BV, 3.00%, 1/15/19 (d)
     
 
        768             732,663   
Range Resources Corp.:
                                                            
6.75%, 8/01/20 (d)
     
 
        815             886,312   
5.75%, 6/01/21
     
 
        161             173,075   
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b)
     
 
        143             153,725   
Rosetta Resources, Inc., 5.63%, 5/01/21
     
 
        379             390,370   
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 (b)(d)
     
 
        754             740,805   
Sabine Pass LNG LP, 7.50%, 11/30/16 (d)
     
 
        3,110            3,452,100   

See Notes to Financial Statements.

36 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
Oil, Gas & Consumable Fuels (concluded)
                                                            
SandRidge Energy, Inc.:
                                                            
8.75%, 1/15/20
     
USD
        94          $ 101,755     
7.50%, 2/15/23 (d)
     
 
        1,096            1,156,280   
SM Energy Co.:
                                                            
6.63%, 2/15/19
     
 
        60             64,350   
6.50%, 11/15/21 (d)
     
 
        605             656,425   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b)
     
 
        636             674,160   
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (d)
     
 
        176             183,920   
Ultra Petroleum Corp., 5.75%, 12/15/18 (b)
     
 
        425             445,187   
Whiting Petroleum Corp., 5.00%, 3/15/19 (d)
     
 
        1,426            1,507,995   
 
     
 
                        25,286,484   
Paper & Forest Products — 0.2%
                                                            
Ainsworth Lumber Co., Ltd., 7.50%, 12/15/17 (b)(d)
     
 
        728             780,780   
NewPage Corp., 11.38%, 12/31/14 (a)(j)
     
 
        3,177               
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b)(d)
     
 
        305             338,550   
 
     
 
                      1,119,330   
Pharmaceuticals — 1.0%
                                                            
Capsugel SA, 7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (b)(e)
     
 
        156             161,850   
Endo Finance LLC, 5.75%, 1/15/22 (b)
     
 
        517             533,803   
Forest Laboratories, Inc., 4.38%, 2/01/19 (b)
     
 
        585             625,950   
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (b)
     
 
        140             149,800   
Valeant Pharmaceuticals International (b):
                                                            
6.88%, 12/01/18 (d)
     
 
        1,210            1,287,137   
7.50%, 7/15/21
     
 
        335             381,900   
Valeant Pharmaceuticals International, Inc. (b):
                                                            
6.75%, 8/15/18 (d)
     
 
        2,214            2,440,935   
6.38%, 10/15/20 (d)
     
 
        613             669,702   
5.63%, 12/01/21
     
 
        520             551,850   
 
     
 
                      6,802,927   
Professional Services — 0.1%
                                                            
Truven Health Analytics, Inc., 10.63%, 6/01/20 (d)
     
 
        540             611,550   
Real Estate Investment Trusts (REITs) — 0.5%
                                                            
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b)(d)
     
 
        634             684,720   
Felcor Lodging LP, 6.75%, 6/01/19 (d)
     
 
        820             881,500   
iStar Financial, Inc., 4.88%, 7/01/18
     
 
        449             453,490   
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (d)
     
 
        1,300            1,399,120   
 
     
 
                      3,418,830   
Real Estate Management & Development — 1.1%
                                                            
Realogy Corp. (b):
                                                            
7.88%, 2/15/19 (d)
     
 
        1,833            1,988,805   
7.63%, 1/15/20 (d)
     
 
        1,081            1,213,422   
9.00%, 1/15/20
     
 
        301             346,150   
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)(d)
     
 
        756             763,560   
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)
     
 
        220             224,400   
RPG Byty Sro, 6.75%, 5/01/20
     
EUR
        220             315,813   
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (d)
     
USD
        2,110            2,326,275   
 
     
 
                      7,178,425   
Road & Rail — 0.9%
                                                            
Asciano Finance, Ltd., 3.13%, 9/23/15 (b)(d)
     
 
        3,400            3,494,612   
The Hertz Corp.:
                                                            
7.50%, 10/15/18 (d)
     
 
        540             577,125   
6.75%, 4/15/19
     
 
        405             433,856   
5.88%, 10/15/20
     
 
        435             461,100   
7.38%, 1/15/21 (d)
     
 
        675             742,500   
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)
     
 
        319             322,190   
 
     
 
                      6,031,383   
                         
Corporate Bonds                 Par
(000)
     Value
Semiconductors & Semiconductor Equipment — 0.3%
GCS Holdco Finance I SA, 6.50%, 11/15/18
     
EUR
        100          $ 147,002     
NXP BV/NXP Funding LLC (b)(d):
                                                            
3.75%, 6/01/18
     
USD
        950             960,687   
5.75%, 2/15/21
     
 
        560             596,400   
 
     
 
                      1,704,089   
Software — 0.7%
                                                            
Activision Blizzard, Inc. (b):
                                                            
5.63%, 9/15/21 (d)
     
 
        467             502,025   
6.13%, 9/15/23
     
 
        163             176,855   
Healthcare Technology Intermediate, Inc., 7.38% (7.38% Cash or 8.13% PIK), 9/01/18 (b)(e)
     
 
        298             308,430   
Infor US, Inc., 9.38%, 4/01/19 (d)
     
 
        2,000            2,260,000   
Nuance Communications, Inc., 5.38%, 8/15/20 (b)(d)
     
 
        1,715            1,719,287   
 
     
 
                      4,966,597   
Specialty Retail — 0.6%
                                                            
Claire’s Stores, Inc. (b):
                                                            
9.00%, 3/15/19 (d)
     
 
        1,034            1,088,285   
7.75%, 6/01/20
     
 
        219             183,413   
Magnolia BC SA, 9.00%, 8/01/20
     
EUR
        274             400,894   
Michaels Stores, Inc., 7.75%, 11/01/18
     
USD
        317             339,982   
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00% (8.00% Cash or 8.75% PIK), 6/15/18 (b)(e)
     
 
        218             222,905   
New Look Bondco I PLC, 8.75%, 5/14/18
     
GBP
        100             181,270   
Party City Holdings, Inc., 8.88%, 8/01/20 (d)
     
USD
        374             417,010   
PC Nextco Holdings LLC/PC Nextco Finance, Inc.,
8.75% (8.75% Cash or 9.50% PIK), 8/15/19 (b)(e)
                252             260,190   
QVC, Inc., 7.50%, 10/01/19 (b)(d)
     
 
        410             438,625   
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (d)
     
 
        508             515,620   
 
     
 
                      4,048,194   
Textiles, Apparel & Luxury Goods — 0.2%
                                                            
Levi Strauss & Co., 6.88%, 5/01/22 (d)
     
 
        380             416,100   
SIWF Merger Sub, Inc., 6.25%, 6/01/21 (b)(d)
     
 
        645             661,125   
The William Carter Co., 5.25%, 8/15/21 (b)
     
 
        346             354,650   
 
     
 
                      1,431,875   
Trading Companies & Distributors — 0.2%
                                                            
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)(d)
     
 
        1,054            1,143,590   
Transportation Infrastructure — 1.8%
                                                            
Aguila 3 SA, 7.88%, 1/31/18 (b)
     
 
        848             901,000   
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (b)(d)
     
 
        917             929,293   
Penske Truck Leasing Co. LP/PTL Finance Corp. (b)(d):
                                                            
3.13%, 5/11/15
     
 
        3,372            3,465,934   
3.38%, 3/15/18
     
 
        6,155            6,470,758   
 
     
 
                        11,766,985   
Wireless Telecommunication Services — 2.5%
                                                            
Crown Castle Towers LLC, 4.52%, 1/15/35 (b)(d)
     
 
        3,000            3,081,309   
Digicel Ltd., 6.00%, 4/15/21 (b)(d)
     
 
        2,073            2,083,365   
The Geo Group, Inc., 5.88%, 1/15/22
     
 
        340             346,800   
Phones4u Finance PLC, 9.50%, 4/01/18
     
GBP
        103             181,127   
Sprint Communications, Inc. (b)(d):
                                                            
9.00%, 11/15/18
     
USD
        2,020            2,474,500   
7.00%, 3/01/20
     
 
        1,361            1,571,955   
Sprint Corp. (b):
                                                            
7.88%, 9/15/23 (d)
     
 
        2,325            2,574,937   
7.13%, 6/15/24
     
 
        405             425,250   
T-Mobile USA, Inc.:
                                                            
6.63%, 4/28/21 (d)
     
 
        1,380            1,493,850   
6.13%, 1/15/22
     
 
        215             227,094   
6.73%, 4/28/22 (d)
     
 
        1,455            1,571,400   
6.50%, 1/15/24
     
 
        395             418,700   
Wind Acquisition Finance SA, 6.50%, 4/30/20 (b)
     
 
        311             342,878   
 
     
 
                      16,793,165   
Total Corporate Bonds — 62.8%
     
 
                      421,928,052   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 37
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Aerospace & Defense — 0.7%
                                                            
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
USD
        1,290         $ 1,288,637     
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20
     
 
        653             655,850   
TransUnion LLC, Term Loan, 4.25%, 2/10/19
     
 
        2,571            2,577,617   
 
     
 
                      4,522,104   
Airlines — 0.3%
                                                            
Northwest Airlines, Inc., Term Loan:
                                                            
2.24%, 3/10/17
     
 
        527             508,126   
1.62%, 9/10/18
     
 
        690             652,050   
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
        665             665,206   
 
     
 
                      1,825,382   
Auto Components — 2.3%
                                                            
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
        905             906,202   
Autoparts Holdings Ltd.:
                                                            
1st Lien Term Loan, 6.50%, 7/28/17
     
 
        964             965,091   
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
        1,500            1,430,625   
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
        860             867,525   
Federal-Mogul Corp.:
                                                            
Term Loan B, 2.10%, 12/29/14
     
 
        3,883            3,851,304   
Term Loan C, 2.10%, 12/28/15
     
 
        3,169            3,143,037   
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
        2,985            3,012,611   
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
     
 
        45             45,295   
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18
     
 
        1,269            1,246,731   
 
     
 
                        15,468,421   
Automobiles — 0.1%
                                                            
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18
     
 
        345             343,213   
Beverages — 0.0%
                                                            
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j)
     
 
        1,000            100    
Building Products — 0.7%
                                                            
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/14/20
     
 
        913             912,329   
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
        1,377            1,377,417   
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21
     
 
        125             125,209   
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
        549             549,766   
United Subcontractors, Inc., Term Loan, 4.25%, 6/30/15
     
 
        172             167,251   
Wilsonart LLC:
                                                            
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
        770             768,075   
Term Loan B, 4.00%, 10/31/19
     
 
        812             810,786   
 
     
 
                      4,710,833   
Capital Markets — 0.1%
                                                            
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
        581             581,401   
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
     
 
        198             198,579   
 
     
 
                      779,980   
Chemicals — 1.7%
                                                            
Allnex USA, Inc.:
                                                            
Term Loan B1, 4.50%, 10/03/19
     
 
        321             322,338   
Term Loan B2, 4.50%, 10/03/19
     
 
        167             167,246   
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20
     
 
        2,094            2,101,651   
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
        46             45,593   
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
        247             248,858   
Chromaflo Technologies Corp.:
                                                            
1st Lien Term Loan, 4.50%, 12/02/19
     
 
        660             661,650   
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
        560             564,200   
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
        773             775,422   
INEOS Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
        665             663,151   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Chemicals (concluded)
                                                            
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20
     
USD
        667          $ 669,317     
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
        1,264            1,255,565   
OXEA Finance LLC:
                                                            
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
        705             718,437   
Term Loan B2, 4.25%, 1/15/20
     
 
        678             682,539   
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
        789             799,350   
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
        662             663,329   
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20
     
 
        938             940,414   
 
     
 
                      11,279,060   
Commercial Banks — 0.1%
                                                            
Redtop Acquisitions Ltd.:
                                                            
1st Lien Term Loan, 4.50%, 12/03/20
     
 
        420             422,449   
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
        355             362,100   
 
     
 
                      784,549   
Commercial Services & Supplies — 1.6%
                                                            
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
        1,475            1,473,260   
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
        1,239            1,241,996   
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
     
 
        584             585,258   
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
        1,570            1,575,410   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
        370             374,625   
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17
     
 
        967             966,991   
Livingston International, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/19
     
 
        776             778,040   
2nd Lien Term Loan, 9.00%, 4/20/20
     
 
        352             358,898   
Protection One, Inc., Term Loan, 4.25%, 3/21/19
     
 
        572             570,293   
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
        1,787            1,788,346   
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
        982             976,403   
 
     
 
                        10,689,520   
Communications Equipment — 1.6%
                                                            
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19
     
 
        4,257            4,292,548   
Applied Systems, Inc.:
                                                            
1st Lien Term Loan, 4.25%, 1/25/21
     
 
        330             332,062   
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
        265             270,499   
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17
     
 
        765             744,241   
CommScope, Inc.:
                                                            
Term Loan B3, 2.65% – 2.73%, 1/21/17
     
 
        436             435,590   
Term Loan B4, 3.25%, 1/26/18
     
 
        655             655,428   
Telesat Canada, Term Loan A, 4.28%, 3/24/17
     
CAD
        1,743            1,574,325   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
        2,295            2,299,721   
 
     
 
                      10,604,414   
Construction & Engineering — 0.4%
                                                            
Centaur Acquisition LLC:
                                                            
1st Lien Term Loan, 5.25%, 2/20/19
     
 
        1,277            1,279,089   
2nd Lien Term Loan, 8.75%, 2/15/20
     
 
        710             724,200   
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20
     
 
        473             471,836   
 
     
 
                      2,475,125   
Construction Materials — 0.5%
                                                            
Filtration Group Corp.:
                                                            
1st Lien Term Loan, 4.50%, 11/21/20
     
 
        505             509,000   
2nd Lien Term Loan, 8.25%, 11/21/21
     
 
        605             617,856   
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
        1,878            1,883,427   
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
        379             382,935   
 
     
 
                      3,393,218   

See Notes to Financial Statements.

38 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Consumer Finance — 0.2%
                                                            
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19
     
USD
        1,220         $ 1,234,030     
Containers & Packaging — 0.2%
                                                            
Ardagh Holdings USA, Inc.:
                                                            
Incremental Term Loan, 4.00%, 12/17/19
     
 
        385             386,444   
Term Loan B, 4.25%, 12/17/19
     
 
        490             491,877   
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21
     
 
        345             343,965   
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18
     
 
        452             453,524   
 
     
 
                      1,675,810   
Distributors — 0.4%
                                                            
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
        2,100            2,100,389   
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
        381             379,484   
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17
     
 
        455             455,400   
 
     
 
                      2,935,273   
Diversified Consumer Services — 0.8%
                                                            
Allied Security Holdings, LLC:
                                                            
1st Lien Term Loan, 4.25%, 2/12/21
     
 
        517             516,763   
Delayed Draw Term Loan, 0.50%, 2/12/21
     
 
        184             183,458   
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20
     
 
        777             778,285   
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20
     
 
        551             555,828   
Garda World Securities Corp.:
                                                            
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
        76             76,373   
Term Loan B, 4.00%, 11/06/20
     
 
        298             298,549   
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
        628             611,929   
ServiceMaster Co., Term Loan, 4.25%, 1/31/17
     
 
        1,038            1,037,737   
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
        1,665            1,270,980   
 
     
 
                      5,329,902   
Diversified Financial Services — 1.0%
                                                            
ION Trading Technologies Sarl:
                                                            
1st Lien Term Loan, 4.50%, 5/22/20
     
 
        526             529,295   
2nd Lien Term Loan, 8.25%, 5/21/21
     
 
        310             313,100   
Kasima LLC, Term Loan B, 3.25%, 5/17/21
     
 
        740             739,075   
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
        1,517            1,527,303   
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
        453             455,942   
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
        1,125            1,126,879   
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20
     
 
        1,736            1,733,047   
 
     
 
                      6,424,641   
Diversified Telecommunication Services — 1.9%
                                                            
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
        2,238            2,250,956   
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
        1,733            1,740,147   
Integra Telecom, Inc.:
                                                            
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
        1,270            1,302,068   
Term Loan B, 5.25%, 2/22/19
     
 
        1,166            1,176,683   
Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20
     
 
        4,865            4,877,162   
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
        509             510,750   
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
        993             998,757   
 
     
 
                        12,856,523   
Electric Utilities — 0.3%
                                                            
American Energy — Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
        965             1,008,425   
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
        855             856,736   
 
     
 
                      1,865,161   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Electrical Equipment — 0.9%
                                                            
Southwire Co., Term Loan, 3.25%, 2/11/21
     
USD
        455          $ 454,755     
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17
     
 
        7,640            5,324,545   
 
     
 
                      5,779,300   
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
        844             839,054   
Energy Equipment & Services — 0.4%
                                                            
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
        1,104            1,107,763   
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
        647             648,641   
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21
     
 
        250             250,678   
Unifrax Corp., Term Loan, 4.25%, 11/28/18
     
 
        548             549,179   
 
     
 
                      2,556,261   
Food & Staples Retailing — 0.3%
                                                            
Rite Aid Corp.:
                                                            
2nd Lien Term Loan, 5.75%, 8/21/20
     
 
        240             244,999   
Term Loan 6, 4.00%, 2/21/20
     
 
        258             258,889   
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
        903             906,300   
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19
     
 
        299             299,993   
 
     
 
                      1,710,181   
Food Products — 1.2%
                                                            
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
 
        707             709,349   
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
        653             653,637   
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20
     
 
        645             645,806   
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18
     
 
        260             259,834   
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
        1,065            1,070,591   
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
        1,045            1,060,421   
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20
     
 
        1,191            1,186,165   
Reddy Ice Corp.:
                                                            
1st Lien Term Loan, 6.75% – 7.75%, 5/01/19
     
 
        1,479            1,471,431   
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
        1,380            1,338,600   
 
     
 
                      8,395,834   
Health Care Equipment & Supplies — 1.7%
                                                            
Arysta LifeScience Corp.:
                                                            
1st Lien Term Loan, 4.50%, 5/29/20
     
 
        1,478            1,482,495   
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
        530             537,287   
Biomet, Inc., Term Loan B2, 3.65% – 3.75%, 7/25/17
     
 
        1,239            1,240,447   
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
     
 
        983             982,575   
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
        549             548,400   
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17
     
 
        1,705            1,713,674   
Fresenius SE & Co. KGaA, Incremental Term Loan B, 2.47%, 6/30/19
     
EUR
        610             840,931   
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
USD
        1,317            1,313,771   
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
        636             639,520   
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
        274             275,111   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
     
 
        532             517,689   
Onex Carestream Finance LP:
                                                            
1st Lien Term Loan, 5.00%, 6/07/19
     
 
        834             843,003   
2nd Lien Term Loan, 9.50%, 12/07/19
     
 
        740             754,800   
 
     
 
                        11,689,703   
Health Care Providers & Services — 2.4%
                                                            
American Renal Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/20/19
     
 
        849             848,588   
2nd Lien Term Loan, 8.50%, 2/14/20
     
 
        890             892,225   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 39
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Health Care Providers & Services (concluded)
                                                            
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
USD
        475          $ 476,388     
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19
     
 
        707             710,084   
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
        4,005            4,038,362   
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
        1,220            1,225,733   
DaVita, Inc., Term Loan B, 4.50%, 10/20/16
     
 
        1,940            1,949,099   
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
        903             909,508   
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
        276             276,325   
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
     
 
        1,041            1,069,688   
Ikaria, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 2/12/21
     
 
        540             543,040   
2nd Lien Term Loan, 8.75%, 1/17/22
     
 
        270             273,826   
inVentiv Health, Inc.:
                                                            
Combined Term Loan, 7.50%, 8/04/16
     
 
        360             359,188   
Incremental Term Loan B3, 7.75%, 5/15/18
     
 
        232             230,485   
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21
     
 
        580             585,075   
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18
     
 
        597             596,504   
US Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
        1,150            1,156,703   
 
     
 
                        16,140,821   
Health Care Technology — 0.1%
                                                            
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17
     
 
        640             639,380   
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
        234             234,256   
 
     
 
                      873,636   
Hotels, Restaurants & Leisure — 5.5%
                                                            
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
        673             677,016   
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
        1,284            1,294,673   
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
        7,775            7,890,226   
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
        585             596,700   
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20
     
 
        5,205            5,220,813   
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
        615             620,381   
La Quinta Intermediate Holdings, Term Loan B, 4.00%, 2/19/21
     
 
        5,085            5,095,170   
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20
     
 
        650             649,324   
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18
     
 
        1,375            1,386,454   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
        1,075            1,072,985   
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19
     
 
        580             579,454   
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
        920             921,240   
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
     
 
        723             725,899   
Sabre, Inc.:
                                                            
Incremental Term Loan, 4.50%, 2/19/19
     
 
        399             399,375   
Term Loan B, 4.25%, 2/19/19
     
 
        564             564,419   
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20
     
 
        3,260            3,261,373   
Travelport LLC:
                                                            
2nd Lien PIK Term Loan 2, 4.00%, 12/01/16 (e)
     
 
        1,033            1,060,918   
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
        1,178            1,221,171   
Refinancing Term Loan, 6.25%, 6/26/19
     
 
        1,577            1,616,013   
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18
     
 
        1,419            1,429,025   
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
        666             665,009   
 
     
 
                      36,947,638   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Household Products — 0.4%
                                                            
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
USD
        1,156         $ 1,160,317     
Prestige Brands, Inc., Term Loan, 3.75% – 5.00%, 1/31/19
     
 
        451             452,222   
Spectrum Brands, Inc.:
                                                            
Term Loan A, 3.00%, 9/07/17
     
 
        707             707,765   
Term Loan C, 3.50%, 9/04/19
     
 
        550             549,576   
 
     
 
                      2,869,880   
Independent Power Producers & Energy Traders — 0.6%
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18
     
 
        380             381,430   
Calpine Corp., Term Loan B1, 4.00%, 4/02/18
     
 
        1,054            1,057,993   
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
        1,826            1,828,508   
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20
     
 
        887             889,493   
 
     
 
                      4,157,424   
Industrial Conglomerates — 0.3%
                                                            
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
        1,834            1,805,329   
Insurance — 1.4%
                                                            
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
 
        1,064            1,070,242   
Asurion LLC:
                                                            
2nd Lien Term Loan, 8.50%, 2/19/21
     
 
        895             922,969   
Term Loan B1, 4.50%, 5/24/19
     
 
        1,504            1,506,115   
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18
     
 
        1,312            1,308,706   
Cooper Gay Swett & Crawford Ltd.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/20
     
 
        1,055            1,038,004   
2nd Lien Term Loan, 8.25%, 10/16/20
     
 
        500             481,875   
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19
     
 
        921             916,096   
Hub International Ltd., Term Loan B, 4.75%, 10/02/20
     
 
        778             784,531   
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20
     
 
        303             306,130   
Sedgwick CMS Holdings, Inc.:
                                                            
1st Lien Term Loan, 3.75%, 2/11/21
     
 
        495             492,401   
2nd Lien Term Loan, 6.75%, 12/12/18
     
 
        665             671,291   
 
     
 
                         9,498,360   
Internet Software & Services — 0.8%
                                                            
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21
     
 
        550             552,750   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
     
 
        2,116            2,117,961   
Open Text Corp., Term Loan B, 3.25%, 1/04/21
     
 
        850             849,575   
W3 Co.:
                                                            
1st Lien Term Loan, 5.75%, 3/13/20
     
 
        1,032            1,034,780   
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
        404             408,027   
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17
     
 
        510             516,223   
 
     
 
                      5,479,316   
IT Services — 0.9%
                                                            
Ceridian Corp., Term Loan B, 4.37% – 4.40%, 5/09/17
     
 
        1,115            1,117,700   
First Data Corp.:
                                                            
2018 Term Loan, 4.16%, 9/24/18
     
 
        1,615            1,617,697   
Extended 2018 Term Loan B, 4.16%, 3/23/18
     
 
        2,169            2,171,372   
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18
     
 
        754             657,716   
SunGard Data Systems, Inc.:
                                                            
Term Loan D, 4.50%, 1/31/20
     
 
        386             386,583   
Term Loan E, 4.00%, 3/09/20
     
 
        432             433,486   
 
     
 
                      6,384,554   
Life Sciences Tools & Services — 0.2%
                                                            
Patheon, Inc., Term Loan:
                                                            
7.25%, 12/14/18
     
 
        464             462,733   
4.25%, 1/09/21
     
 
        920             917,129   
 
     
 
                      1,379,862   
Machinery — 2.0%
                                                            
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20
     
 
        795             793,672   

See Notes to Financial Statements.

40 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Machinery (concluded)
                                                            
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18
     
USD
        520          $ 521,569     
Faenza Acquisition GmbH:
                                                            
Term Loan B1, 4.25%, 8/31/20
     
 
        462             463,028   
Term Loan B3, 4.25%, 8/28/20
     
 
        141             140,837   
Gardner Denver, Inc.:
                                                            
4.25%, 7/30/20
     
 
        1,345            1,338,546   
4.75%, 7/30/20
     
EUR
        222             307,200   
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20
     
USD
        1,418            1,417,620   
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
        1,086            1,088,297   
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19
     
 
        1,431            1,437,102   
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
        525             531,905   
Pacific Industrial Services US Finance Co. LLC:
                                                            
1st Lien Term Loan, 5.00%, 10/02/18
     
 
        893             903,922   
2nd Lien Term Loan, 8.75%, 4/02/19
     
 
        730             748,250   
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
        1,323            1,325,680   
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
        582             582,262   
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
        320             320,800   
Terex Corp., Term Loan, 4.00%, 4/28/17
     
EUR
        175             243,606   
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
USD
        998             1,002,843   
 
     
 
                        13,167,139   
Marine — 0.2%
                                                            
HGIM Corp., Term Loan B, 5.50%, 6/18/20
     
 
        1,059            1,070,395   
Media — 5.2%
                                                            
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
        1,170            1,171,328   
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
        465             466,548   
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20
     
 
        1,017            1,022,110   
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
        155             154,588   
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 9.50%, 7/03/14
     
 
        2,005            1,862,350   
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20
     
 
        1,179            1,172,885   
Clear Channel Communications, Inc.:
                                                            
Term Loan B, 3.80%, 1/29/16
     
 
        316             310,556   
Term Loan C, 3.80%, 1/29/16
     
 
        200             194,938   
Term Loan D, 6.90%, 1/30/19
     
 
        4,063            3,986,480   
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
        1,362            1,370,098   
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20
     
 
        635             636,334   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
     
 
        727             727,461   
Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19
     
 
        245             246,819   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
        209             199,018   
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20
     
 
        891             892,751   
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
        695             697,436   
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
        2,514            2,530,563   
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
        395             399,938   
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
        564             564,292   
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
        750             756,098   
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18
     
 
        780             775,125   
NEP/NCP Holdco, Inc.:
                                                            
2nd Lien Term Loan, 9.50%, 7/22/20
     
 
        340             347,650   
Incremental Term Loan, 4.75%, 1/22/20
     
 
        1,663            1,663,200   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Media (concluded)
                                                            
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20
     
USD
        995          $ 967,638     
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
        1,005            1,007,958   
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20
     
 
        988             992,216   
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
        1,175            1,173,895   
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
     
 
        840             812,700   
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
        2,436            2,441,312   
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21
     
EUR
        442             614,211   
Virgin Media Investment Holdings Ltd.:
                                                            
Term Loan B, 3.50%, 6/08/20
     
USD
        410             409,561   
Term Loan C, 4.50%, 6/05/20
     
GBP
        2,340            3,940,275   
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
        734             737,272   
 
     
 
                      35,245,604   
Metals & Mining — 1.7%
                                                            
Ameriforge Group, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 12/19/19
     
 
        941             944,825   
2nd Lien Term Loan, 8.75%, 12/19/20
     
 
        470             480,575   
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
        676             675,592   
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
     
 
        1,345            1,371,734   
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19
     
 
        2,233            2,252,581   
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
        3,851            3,863,565   
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18
     
 
        39             38,324   
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
        1,531            1,569,233   
 
     
 
                        11,196,429   
Multiline Retail — 1.3%
                                                            
99¢ Only Stores, Term Loan, 4.50%, 1/11/19      
 
        785             791,164   
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20
     
 
        695             685,850   
BJ’s Wholesale Club, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/26/19
     
 
        589             592,301   
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
        575             589,916   
HEMA Holding BV:
                                                            
Extended 2nd Lien Term Loan, 5.97%, 1/05/18
     
EUR
        2,600            3,229,903   
Extended Term Loan B, 4.60%, 12/06/17
     
 
        323             437,928   
Extended Term Loan C, 4.60%, 12/06/17
     
 
        295             401,053   
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
USD
        948             961,607   
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/26/20
     
 
        1,651            1,669,270   
 
     
 
                      9,358,992   
Oil, Gas & Consumable Fuels — 2.6%
                                                            
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18
     
 
        585             576,746   
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
     
 
        2,595            2,651,545   
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
        1,053            1,071,470   
EP Energy LLC, Term Loan B3, 3.50%, 5/24/18
     
 
        1,127            1,125,822   
Fieldwood Energy LLC:
                                                            
1st Lien Term Loan, 3.88%, 9/28/18
     
 
        469             469,608   
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
        420             434,440   
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20
     
 
        1,645            1,677,900   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
        1,265            1,284,235   
Offshore Group Investment Ltd.:
                                                            
5.00%, 10/25/17
     
 
        870             873,312   
5.75%, 3/28/19
     
 
        729             738,300   
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18
     
 
        1,000            1,005,915   
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
        900             919,125   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 41
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Oil, Gas & Consumable Fuels (concluded)
                                                            
Power Buyer, LLC:
                                                            
1st Lien Term Loan, 4.25%, 5/06/20
     
USD
        354          $ 352,674     
2nd Lien Term Loan, 8.25%, 11/06/20
     
 
        275             272,250   
Delayed Draw Term Loan, 4.25%, 5/06/20
     
 
        19             19,273   
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20
     
 
        555             558,469   
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20
     
 
        688             686,821   
Tesoro Corp., Term Loan B, 2.40%, 5/30/16
     
 
        1,093            1,095,858   
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
        1,020            1,026,375   
WTG Holdings III Corp.:
                                                            
1st Lien Term Loan, 4.75%, 1/15/21
     
 
        300             300,750   
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
        160             161,901   
 
     
 
                        17,421,167   
Pharmaceuticals — 1.2%
                                                            
Akorn, Inc., Term Loan B, 4.50%, 8/27/20
     
 
        885             890,531   
Amneal Pharmaceuticals LLC, Term Loan, 5.75% – 7.00%, 11/01/19
     
 
        608             611,517   
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
        307             307,188   
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20
     
 
        855             853,222   
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18
     
 
        295             295,422   
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19
     
 
        2,153            2,154,259   
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
        1,399            1,404,451   
Valeant Pharmaceuticals International, Inc.:
                                                            
Series C2 Term Loan B, 3.75%, 12/11/19
     
 
        553             554,383   
Series E Term Loan B, 3.75%, 8/05/20
     
 
        834             838,677   
 
     
 
                      7,909,650   
Professional Services — 0.6%
                                                            
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
        610             611,038   
ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20
     
 
        298             298,523   
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
        1,062            1,080,560   
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20
     
 
        603             607,259   
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
        1,172            1,174,561   
 
     
 
                      3,771,941   
Real Estate Investment Trusts (REITs) — 0.5%
                                                            
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
     
 
        2,723            2,728,464   
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20
     
 
        638             636,196   
 
     
 
                      3,364,660   
Real Estate Management & Development — 0.5%
                                                            
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20
     
 
        1,035            1,044,543   
Realogy Corp.:
                                                            
Extended Letter of Credit, 4.40%, 10/10/16
     
 
        102             101,891   
Extended Term Loan, 4.50%, 3/05/20
     
 
        2,112            2,116,270   
 
     
 
                      3,262,704   
Road & Rail — 0.1%
                                                            
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18
     
 
        629             631,859   
Semiconductors & Semiconductor Equipment — 0.3%
Freescale Semiconductor, Inc.:
                                                            
Term Loan B4, 5.00%, 2/28/20
     
 
        723             725,560   
Term Loan B5, 5.00%, 1/15/21
     
 
        379             383,314   
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
        988             986,537   
 
     
 
                      2,095,411   
                         
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Software — 2.0%
                                                            
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
USD
        845          $ 846,935     
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20
     
 
        224             223,220   
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
        463             450,645   
GCA Services Group, Inc.:
                                                            
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
        560             566,300   
Term Loan B, 4.25% – 5.50%, 11/01/19
     
 
        561             564,289   
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20
     
 
        1,138            1,135,923   
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21
     
 
        630             617,400   
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20
     
 
        235             236,617   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
        1,837            1,868,675   
Mitchell International, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 10/12/20
     
 
        635             636,588   
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
        1,200            1,223,004   
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
        913             914,077   
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21
     
 
        340             342,975   
Sophia LP, Term Loan B, 4.50%, 7/19/18
     
 
        854             859,456   
SS&C Technologies, Inc.:
                                                            
Term Loan B1, 3.25%, 6/07/19
     
 
        950             952,708   
Term Loan B2, 3.25%, 6/07/19
     
 
        98             98,556   
StoneRiver Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 11/29/19
     
 
        265             265,084   
2nd Lien Term Loan, 8.50%, 5/29/20
     
 
        255             256,414   
Websence, Inc.:
                                                            
2nd Lien Term Loan, 8.25%, 12/24/20
     
 
        835             837,088   
Term Loan B, 4.50%, 6/25/20
     
 
        418             421,034   
 
     
 
                        13,316,988   
Specialty Retail — 1.2%
                                                            
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
        1,724            1,732,772   
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17
     
 
        191             192,581   
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
     
 
        945             950,177   
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% – 5.50%, 1/31/20
     
 
        1,131            1,141,350   
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
        523             530,063   
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20
     
 
        471             471,761   
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
        1,427            1,427,442   
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
        898             900,209   
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20
     
 
        110             110,308   
SRAM LLC, Term Loan B, 4.00% – 5.25%, 4/10/20
     
 
        424             423,777   
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
        243             203,267   
 
     
 
                      8,083,707   
Textiles, Apparel & Luxury Goods — 0.2%
                                                            
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
        1,253            1,215,107   
J. Crew Group, Inc., Term Loan B, 4.00%, 2/20/21
     
 
        475             473,219   
 
     
 
                      1,688,326   
Thrifts & Mortgage Finance — 0.1%
                                                            
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
        861             863,453   
Trading Companies & Distributors — 0.0%
                                                            
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19
     
 
        138             140,151   
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19
     
 
        192             192,465   
 
     
 
                      332,616   

See Notes to Financial Statements.

42 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)
     Value
Wireless Telecommunication Services — 0.4%
                                                            
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19
     
USD
        880          $ 880,030     
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
        1,542            1,539,366   
 
     
 
                      2,419,396   
Total Floating Rate Loan Interests — 52.2%
     
 
                       350,904,849   

Foreign Agency Obligations
Iceland Government International Bond, 5.88%, 5/11/22
     
 
        3,030            3,238,312   
Slovenia Government International Bond:
                                                            
4.38%, 4/02/14
     
EUR
        2,550            3,529,340   
4.13%, 2/18/19 (b)
     
USD
        635             652,463   
Total Foreign Agency Obligations — 1.1%
     
 
                      7,420,115   

Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.1%
                                                            
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 3.17%, 3/25/37 (c)
     
 
        43             42,440   
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35
     
 
        5,531            4,802,546   
Countrywide Home Loan Mortgage Pass-Through Trust:
                                                            
Series 2005-17, Class 1A6, 5.50%, 9/25/35
     
 
        1,464            1,463,617   
Series 2006-17, Class A2, 6.00%, 12/25/36
     
 
        3,157            2,863,378   
Series 2007-HY5, Class 3A1, 5.32%, 9/25/37 (c)
     
 
        2,164            2,036,728   
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.71%, 10/25/35 (c)
     
 
        1,936            1,793,801   
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.45%, 2/26/37 (b)(c)
     
 
        875             868,018   
 
     
 
                      13,870,528   
Commercial Mortgage-Backed Securities — 8.3%
                                                            
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.82%, 2/10/51 (c)
     
 
        1,712            1,920,667   
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49
     
 
        34             33,730   
Commercial Mortgage Pass-Through Certificates, Series 2013-LC13, Class D, 5.05%, 8/10/46 (b)(c)
     
 
        3,530            3,312,379   
Commercial Mortgage Trust, Series 2013-LC6:
                                                            
Class B, 3.74%, 1/10/46
     
 
        1,110            1,077,525   
Class D, 4.29%, 1/10/46 (b)(c)
     
 
        1,330            1,185,795   
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39
     
 
        1,850            1,997,464   
Credit Suisse Mortgage Capital Certificates (c):
                                                            
Series 2007-C2, Class A2, 5.45%, 1/15/49
     
 
        5             4,986   
Series 2007-C4, Class A3, 5.76%, 9/15/39
     
 
        513             515,861   
Series 2007-C5, Class AAB, 5.62%, 9/15/40
     
 
        1,402            1,499,631   
Series 2014-SURF, Class E, 3.26%, 2/15/29 (b)
     
 
        1,000            1,000,125   
First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b)(c)
     
 
        459             466,476   
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.82%, 7/10/38 (c)
     
 
        1,610            1,763,916   
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b)
     
 
        1,995            1,906,965   
GS Mortgage Securities Trust, Series 2006-GG6, Class AM, 5.62%, 4/10/38 (c)
     
 
        3,680            3,971,125   
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c)
     
 
        4,162            4,277,620   
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2004-LN2, Class A2, 5.12%, 7/15/41
     
 
        2,011            2,025,336   
Series 2007-CB18, Class A4, 5.44%, 6/12/47
     
 
        2,110            2,324,089   
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (c)
     
 
        2,140            2,391,835   
Series 2012-LC9, Class XA, 1.94%, 12/15/47 (c)
     
 
        14,880            1,541,815   
                         
Non-Agency Mortgage-Backed Securities                 Par
(000)
     Value
Commercial Mortgage-Backed Securities (concluded)
LB-UBS Commercial Mortgage Trust (c):
                                                            
Series 2007-C2, Class AM, 5.49%, 2/15/40
     
USD
        2,500         $    2,664,720     
Series 2007-C6, Class A4, 5.86%, 7/15/40
     
 
        4,715            5,086,978   
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.84%, 6/12/50 (c)
     
 
        1,549            1,661,786     
Talisman Finance PLC, Series 6, Class A, 0.46%, 10/22/16 (c)
     
EUR
        1,827            2,402,930   
Titan Europe PLC, Series 2007-1X, Class A, 0.77%, 1/20/17 (c)
     
GBP
        2,548            3,925,736   
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.93%, 2/15/51 (c)
     
USD
        2,030            2,239,928   
WF-RBS Commercial Mortgage Trust:
                                                            
Series 2012-C8, Class B, 4.31%, 8/15/45
     
 
        1,085            1,105,415   
Series 2012-C8, Class C, 4.88%, 8/15/45 (c)
     
 
        1,395            1,442,897   
Series 2013-C11, Class D, 4.18%, 3/15/45 (b)(c)
     
 
        1,400            1,266,359   
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.78%, 4/24/17 (c)
     
GBP
        681             1,132,741   
 
     
 
                      56,146,830   
Interest Only Commercial Mortgage-Backed Securities — 0.6%
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.66%, 3/15/45 (b)(c)
     
USD
         15,228            1,848,996   
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.25%, 11/15/45 (b)(c)
     
 
        16,725            2,047,705   
 
     
 
                      3,896,701   
Total Non-Agency Mortgage-Backed Securities — 11.0%
                     73,914,059   

US Government Sponsored Agency Securities
  
Collateralized Mortgage Obligations — 1.0%
                                                            
Freddie Mac Mortgage-Backed Securities:
                                                            
Series 3986, Class M, REMIC, 4.50%, 9/15/41
     
 
        2,611            2,813,768   
Series K032, Class A2, 3.31%, 5/25/23 (c)
     
 
        3,500            3,558,636   
 
     
 
                      6,372,404   
Interest Only Collateralized Mortgage Obligations — 0.9%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.07%, 12/25/17 (c)
     
 
        19,938            2,515,002   
Freddie Mac Mortgage-Backed Securities, Class X1 (c):
Series K707, 1.56%, 12/25/18
     
 
        42,927            2,765,202   
Series K710, 1.78%, 5/25/19
     
 
        13,340            1,052,311   
 
     
 
                      6,332,515   
Mortgage-Backed Securities — 4.0%
                                                            
Fannie Mae Mortgage-Backed Securities:
                                                            
3.50%, 8/01/26
     
 
        8,456            8,955,223   
5.00%, 7/01/20–8/01/23
     
 
        6,728            7,215,980   
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25
     
 
        9,957            10,746,478   
 
     
 
                      26,917,681   
Total US Government Sponsored Agency Securities — 5.9%
     39,622,600   

Other Interests (k)
        
Beneficial
Interest
(000)
           
Auto Components — 0.0%
                                                            
Lear Corp. Escrow
     
 
        1,000            8,750   
Construction Materials — 0.0%
                                                            
USI Senior Holdings
     
 
        6                
                         

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 43
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Other Interests (k)          Beneficial
Interest
(000)
     Value
Diversified Financial Services — 0.1%
                                                            
J.G. Wentworth LLC Preferred Equity Interests:
                                                            
(135-day lockup), (Acquired 11/18/13, cost $969,589) (a)(l)
     
USD
        14          $      258,056   
(180-day lockup), (Acquired 11/18/13, cost $969,589) (a)(l)
     
 
        14             258,056   
 
     
 
                      516,112   
Household Durables — 0.0%
                                                            
Berkline Benchcraft Equity LLC
     
 
        3,155            —      
Total Other Interests — 0.1%
     
 
                      524,862   

Preferred Securities
Capital Trusts
     
 
  
Par
(000)
  
 
Chemicals — 0.1%
                                                            
Solvay Finance SA, 4.20% (c)(m)
     
EUR
        260             367,401   
Commercial Banks — 0.5%
                                                            
Wachovia Capital Trust III, 5.57% (c)(d)(m)
     
USD
        3,365            3,255,638   
Diversified Financial Services — 0.5%
                                                            
Bank of America Corp., Series U, 5.20% (c)(d)(m)
     
 
        1,250            1,175,000   
Barclays PLC, 8.00% (c)(m)
     
 
        600             882,012   
Citigroup, Inc., 5.95% (c)(d)(m)
     
 
        1,370            1,352,875   
 
     
 
                      3,409,887   
Insurance — 1.4%
                                                            
AXA SA, 6.46% (b)(c)(d)(m)
     
 
        1,625            1,694,062   
Genworth Holdings, Inc., 6.15%, 11/15/66 (c)(d)
     
 
        1,850            1,702,703   
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (c)
     
 
        2,500            2,918,750   
Swiss Re Capital I LP, 6.85% (b)(c)(d)(m)
     
 
        3,000            3,214,500   
 
     
 
                      9,530,015   
Total Capital Trusts — 2.5%
     
 
                        16,562,941   
Preferred Stocks                     
    
Shares
     Value
Capital Markets — 0.1%
                                                            
SCE Trust III, 5.75% (c)(m)
     
 
        21,200         $      535,936     
Consumer Finance — 0.0%
                                                            
Ally Financial, Inc., Series A, 8.50% (c)(m)
     
 
        8,657            236,769   
Total Preferred Stocks — 0.1%
     
 
                      772,705   

Trust Preferreds — 0.7%
     
  
                             
Diversified Financial Services — 0.7%
                                                            
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
     
 
        166,413            4,501,212     
Total Preferred Securities — 3.3%
     
 
                      21,836,858   

Warrants (n) — 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)
     
 
        3,100            10,964   
Total Long-Term Investments
(Cost — $940,371,245) — 143.3%
     
 
                      962,904,079   

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (o)(p)
     
 
        3,052,131            3,052,131   
Total Short-Term Securities
(Cost — $3,052,131) — 0.5%
     
 
                      3,052,131   

Options Purchased
  
(Cost — $44,978) — 0.0%
     
 
                         
Total Investments (Cost — $943,468,354) — 143.8%
                   965,956,210   
Liabilities in Excess of Other Assets — (43.8)%
     
 
                      (294,170,116 )  
Net Assets — 100.0%
     
 
                   $ 671,786,094   

Notes to Consolidated Schedule of Investments

(a)      
Non-income producing security.
(b)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)      
Variable rate security. Rate shown is as of report date.
(d)      
All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(e)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(f)      
Convertible security.
(g)      
Zero-coupon bond.
(h)      
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(i)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty



   
Value
   
Unrealized
Appreciation

Jefferies Co.
        $ 1,009,400         $ 29,400   

(j)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(l)      
Restricted security as to resale. As of report date, the Fund held 0.1% of its net assets, with a current value of $516,112 in this security.
(m)      
Security is perpetual in nature and has no stated maturity date.
(n)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

See Notes to Financial Statements.

44 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
    
(o)      
Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate



   
Shares
Held at
August 31, 2013

   
Net
Activity

   
Shares
Held at
February 28, 2014

   
Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           1,184,093            1,868,038            3,052,131         $ 1,413   

(p)      
Represents the current yield as of report date.
     
Reverse repurchase agreements outstanding as of February 28, 2014 were as follows:


Counterparty



   
Interest
Rate

   
Trade
Date

   
Maturity
Date

   
Face Value
   
Face Value
Including
Accrued
Interest

UBS Securities LLC
     
0.50%
  
1/30/13
  
Open
     $   1,862,820         $   1,873,040     
UBS Securities LLC
     
0.65%
  
1/31/13
  
Open
        547,200            551,093   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        592,144            595,953   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        292,304            294,184   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        1,000,721            1,007,159   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        633,994            638,073   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        1,673,438            1,684,204   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        507,052            510,314   
Barclays Capital, Inc.
     
0.60%
  
2/07/13
  
Open
        662,469            666,731   
UBS Securities LLC
     
0.25%
  
2/07/13
  
Open
        1,048,688            1,051,499   
UBS Securities LLC
     
0.34%
  
2/07/13
  
Open
        3,334,275            3,346,430   
UBS Securities LLC
     
0.45%
  
2/07/13
  
Open
        866,250            870,430   
UBS Securities LLC
     
0.55%
  
2/07/13
  
Open
        2,196,563            2,209,517   
UBS Securities LLC
     
0.65%
  
2/07/13
  
Open
        356,250            358,733   
UBS Securities LLC
     
0.65%
  
2/07/13
  
Open
        843,275            849,152   
Deutsche Bank Securities, Inc.
     
0.58%
  
2/08/13
  
Open
        1,170,163            1,177,384   
Deutsche Bank Securities, Inc.
     
0.58%
  
2/08/13
  
Open
        483,060            486,064   
Barclays Capital, Inc.
     
0.60%
  
2/15/13
  
Open
        291,043            292,881   
UBS Securities LLC
     
0.65%
  
2/19/13
  
Open
        166,058            167,182   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/20/13
  
Open
        484,000            486,766   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/20/13
  
Open
        217,132            218,373   
Deutsche Bank Securities, Inc.
     
0.58%
  
2/20/13
  
Open
        2,512,000            2,527,096   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/22/13
  
Open
        509,587            512,483   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/22/13
  
Open
        509,760            512,657   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/22/13
  
Open
        848,076            852,896   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/13
  
Open
        1,280,181            1,287,339   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/13
  
Open
        107,112            107,711   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/13
  
Open
        1,901,900            1,912,535   
Credit Suisse Securities (USA) LLC
     
0.40%
  
3/07/13
  
Open
        1,503,125            1,509,104   
UBS Securities LLC
     
0.60%
  
3/12/13
  
Open
        3,040,295            3,058,233   
UBS Securities LLC
     
0.35%
  
3/13/13
  
Open
        1,560,000            1,565,354   
UBS Securities LLC
     
0.55%
  
3/13/13
  
Open
        395,650            397,784   
Deutsche Bank Securities, Inc.
     
0.55%
  
3/14/13
  
Open
        760,000            764,075   
Deutsche Bank Securities, Inc.
     
0.70%
  
3/14/13
  
Open
        1,523,693            1,534,092   
Deutsche Bank Securities, Inc.
     
0.55%
  
3/19/13
  
Open
        972,625            977,781   
Credit Suisse Securities (USA) LLC
     
0.35%
  
3/22/13
  
Open
        1,496,075            1,501,079   
Deutsche Bank Securities, Inc.
     
0.40%
  
3/27/13
  
Open
        3,022,500            3,033,885   
Deutsche Bank Securities, Inc.
     
0.55%
  
3/27/13
  
Open
        1,464,750            1,472,336   
Deutsche Bank Securities, Inc.
     
0.60%
  
3/27/13
  
Open
        1,634,000            1,643,205   
Deutsche Bank Securities, Inc.
     
0.60%
  
3/27/13
  
Open
        919,000            924,177   
Deutsche Bank Securities, Inc.
     
0.60%
  
3/27/13
  
Open
        527,000            529,969   
Deutsche Bank Securities, Inc.
     
0.60%
  
3/27/13
  
Open
        579,000            582,262   
Barclays Capital, Inc.
     
0.40%
  
4/02/13
  
Open
        3,326,900            3,339,173   
Barclays Capital, Inc.
     
0.60%
  
4/02/13
  
Open
         865,247             870,035   
Barclays Capital, Inc.
     
0.60%
  
4/02/13
  
Open
        331,500            333,334   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/02/13
  
Open
        1,250,330            1,256,691   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        243,800            244,585   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        5,701,069            5,719,415   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        1,233,600            1,237,570   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        1,277,250            1,281,360   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        2,861,250            2,870,458   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        3,119,100            3,129,137   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        2,958,750            2,968,271   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        3,213,750            3,224,092   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 45
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
    

Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (continued):


Counterparty



   
Interest
Rate

   
Trade
Date

   
Maturity
Date

   
Face Value
   
Face Value
Including
Accrued
Interest

Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
     $   3,695,000         $   3,706,891   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/03/13
  
Open
        1,482,188            1,490,116   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/03/13
  
Open
        1,624,500            1,633,163   
UBS Securities LLC
     
0.55%
  
4/08/13
  
Open
        2,327,500              2,339,057     
Deutsche Bank Securities, Inc.
     
0.55%
  
4/10/13
  
Open
        846,000            850,201   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/10/13
  
Open
         536,000             538,661   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/10/13
  
Open
        489,000            491,428   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/12/13
  
Open
        2,054,000            2,064,136   
Deutsche Bank Securities, Inc.
     
(0.25)%
  
4/17/13
  
Open
        690,206            688,706   
Barclays Capital, Inc.
     
0.60%
  
5/07/13
  
Open
        225,152            226,270   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/14/13
  
Open
        789,000            792,508   
Credit Suisse Securities (USA) LLC
     
0.75%
  
5/23/13
  
Open
        238,810            240,213   
Credit Suisse Securities (USA) LLC
     
0.40%
  
5/30/13
  
Open
        720,960            723,163   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/30/13
  
Open
        851,000            854,575   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/30/13
  
Open
        1,511,000            1,517,348   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/30/13
  
Open
        2,137,000            2,145,978   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/31/13
  
Open
        586,181            588,635   
UBS Securities LLC
     
0.55%
  
6/03/13
  
Open
        808,520            811,867   
UBS Securities LLC
     
0.55%
  
6/12/13
  
Open
        864,647            868,095   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/13/13
  
Open
        923,000            926,680   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/13/13
  
Open
        1,440,000            1,445,720   
UBS Securities LLC
     
0.65%
  
6/20/13
  
Open
        743,850            747,248   
Barclays Capital, Inc.
     
0.44%
  
6/21/13
  
Open
        1,109,299            1,112,729   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        1,731,221            1,738,434   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        432,962            434,766   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        488,876            490,913   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        979,729            983,811   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        2,180,349            2,189,434   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/24/13
  
Open
        803,000            806,067   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/24/13
  
Open
        1,629,700            1,635,925   
Deutsche Bank Securities, Inc.
     
0.57%
  
6/26/13
  
Open
        504,000            505,971   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/27/13
  
Open
        698,000            700,766   
Deutsche Bank Securities, Inc.
     
0.55%
  
7/18/13
  
Open
        871,000            874,007   
Deutsche Bank Securities, Inc.
     
0.55%
  
7/30/13
  
Open
        1,095,000            1,098,580   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/12/13
  
Open
        2,958,000            2,967,579   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        1,295,000            1,299,131   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        450,000            451,435   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        1,288,000            1,292,109   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        1,009,000            1,012,219   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        137,000            137,437   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        198,000            198,632   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        311,000            311,992   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        3,135,000            3,145,001   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        1,107,000            1,110,531   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        780,000            782,488   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        1,169,000            1,172,729   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        948,000            951,024   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/13/13
  
Open
        356,000            357,136   
Deutsche Bank Securities, Inc.
     
0.58%
  
8/14/13
  
Open
        703,000            705,254   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/11/13
  
Open
        610,000            611,681   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        2,124,000            2,129,681   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        1,480,000            1,483,958   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        1,524,000            1,528,076   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        2,142,000            2,147,729   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        1,309,000            1,312,501   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/16/13
  
Open
        1,523,000            1,527,073   
Deutsche Bank Securities, Inc.
     
0.58%
  
9/17/13
  
Open
        163,000            163,433   
BNP Paribas Securities Corp.
     
0.34%
  
9/18/13
  
Open
        13,065,000            13,085,207   
Credit Suisse Securities (USA) LLC
     
0.75%
  
9/23/13
  
Open
        389,825            391,116   
Deutsche Bank Securities, Inc.
     
0.55%
  
9/26/13
  
Open
        397,000            397,946   
Barclays Capital, Inc.
     
0.60%
  
9/27/13
  
Open
        1,189,125            1,192,197   
Deutsche Bank Securities, Inc.
     
0.60%
  
9/27/13
  
Open
        2,219,000            2,224,732   
Deutsche Bank Securities, Inc.
     
0.60%
  
9/27/13
  
Open
        2,954,000            2,961,631   
Deutsche Bank Securities, Inc.
     
0.60%
  
9/27/13
  
Open
        1,035,000            1,037,674   
Deutsche Bank Securities, Inc.
     
0.60%
  
9/27/13
  
Open
        882,000            884,278   

See Notes to Financial Statements.

46 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
    

Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (continued):


Counterparty



   
Interest
Rate

   
Trade
Date

   
Maturity
Date

   
Face Value
   
Face Value
Including
Accrued
Interest

Deutsche Bank Securities, Inc.
     
0.56%
  
10/11/13
  
Open
     $   1,016,000         $   1,018,228   
Barclays Capital, Inc.
     
0.60%
  
10/15/13
  
Open
        628,340            629,775   
Barclays Capital, Inc.
     
0.60%
  
10/15/13
  
Open
        893,525            895,565   
Barclays Capital, Inc.
     
0.60%
  
10/15/13
  
Open
            919,755               921,855     
Barclays Capital, Inc.
     
0.60%
  
10/15/13
  
Open
        497,887            499,024   
Barclays Capital, Inc.
     
0.60%
  
10/16/13
  
Open
        803,937            805,759   
Deutsche Bank Securities, Inc.
     
0.58%
  
10/16/13
  
Open
        546,562            547,760   
Deutsche Bank Securities, Inc.
     
0.58%
  
10/16/13
  
Open
        1,207,500            1,210,146   
Deutsche Bank Securities, Inc.
     
0.58%
  
10/16/13
  
Open
        934,313            936,360   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        728,012            729,650   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        682,594            684,130   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        875,600            877,570   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        1,215,288            1,218,022   
Deutsche Bank Securities, Inc.
     
0.58%
  
10/17/13
  
Open
        770,000            771,675   
Barclays Capital, Inc.
     
0.60%
  
10/21/13
  
Open
        676,000            677,465   
Deutsche Bank Securities, Inc.
     
0.59%
  
10/21/13
  
Open
        791,000            792,698   
Deutsche Bank Securities, Inc.
     
0.59%
  
10/21/13
  
Open
        389,000            389,835   
Deutsche Bank Securities, Inc.
     
0.59%
  
10/21/13
  
Open
        803,000            804,724   
UBS Securities LLC
     
(0.50)%
  
10/21/13
  
Open
        983,281            981,506   
UBS Securities LLC
     
0.65%
  
10/21/13
  
Open
        1,601,775            1,605,535   
UBS Securities LLC
     
0.65%
  
10/21/13
  
Open
        588,262            589,643   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        845,434            847,266   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        1,023,231            1,025,448   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        755,625            757,262   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        851,217            853,061   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        788,400            790,108   
Deutsche Bank Securities, Inc.
     
0.55%
  
10/22/13
  
Open
        2,441,000            2,445,811   
Deutsche Bank Securities, Inc.
     
0.59%
  
10/25/13
  
Open
        707,445            708,917   
Deutsche Bank Securities, Inc.
     
0.59%
  
10/25/13
  
Open
        835,450            837,189   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        2,067,975            2,071,628   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        1,356,788            1,359,185   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        1,291,249            1,293,530   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        1,283,400            1,285,667   
Deutsche Bank Securities, Inc.
     
0.59%
  
11/15/13
  
Open
        424,000            424,737   
Barclays Capital, Inc.
     
0.55%
  
11/18/13
  
Open
        1,313,488            1,315,555   
Deutsche Bank Securities, Inc.
     
0.58%
  
11/18/13
  
Open
        968,000            969,606   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        1,227,000            1,228,881   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        646,000            646,991   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        1,538,000            1,540,358   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        2,602,000            2,605,990   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        834,000            835,279   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        708,000            709,086   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        772,000            773,184   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        1,230,000            1,231,620   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        723,000            723,952   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        564,000            564,743   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        549,000            549,723   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        727,000            727,957   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        1,323,000            1,324,742   
Deutsche Bank Securities, Inc.
     
0.59%
  
12/16/13
  
Open
        412,000            412,506   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/18/13
  
Open
        996,000            997,155   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        1,030,000            1,031,236   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        865,000            866,038   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        767,000            767,920   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        1,222,000            1,223,466   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        686,000            686,823   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        453,000            453,589   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        570,000            570,741   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        514,000            514,668   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        566,000            566,736   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        474,000            474,616   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        489,000            489,636   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        520,000            520,676   
RBC Capital Markets, LLC
     
0.65%
  
12/18/13
  
Open
        508,000            508,660   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/23/13
  
Open
        1,464,000            1,465,659   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 47
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
    

Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (concluded):


Counterparty



   
Interest
Rate

   
Trade
Date

   
Maturity
Date

   
Face Value
   
Face Value
Including
Accrued
Interest

Deutsche Bank Securities, Inc.
     
(0.63)%
  
12/27/13
  
Open
     $   1,680,000         $   1,678,221   
Deutsche Bank Securities, Inc.
     
(0.10)%
  
12/27/13
  
Open
        1,162,000            1,161,803   
Deutsche Bank Securities, Inc.
     
0.50%
  
12/27/13
  
Open
        1,416,000            1,417,200   
Deutsche Bank Securities, Inc.
     
0.55%
  
12/27/13
  
Open
            973,000                973,907     
Deutsche Bank Securities, Inc.
     
0.55%
  
12/27/13
  
Open
        553,000            553,515   
Deutsche Bank Securities, Inc.
     
0.55%
  
12/27/13
  
Open
        296,000            296,276   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        300,000            300,295   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        1,450,000            1,451,425   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        593,000            593,583   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        945,000            945,929   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        357,000            357,351   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        1,228,000            1,229,207   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        4,600,000            4,604,521   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/27/13
  
Open
        1,898,000            1,899,930   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/27/13
  
Open
        820,000            820,834   
Deutsche Bank Securities, Inc.
     
0.65%
  
12/27/13
  
Open
        557,000            557,613   
Deutsche Bank Securities, Inc.
     
0.65%
  
12/27/13
  
Open
        909,000            910,001   
Deutsche Bank Securities, Inc.
     
0.58%
  
2/03/14
  
Open
        2,254,981            2,255,926   
Deutsche Bank Securities, Inc.
     
0.58%
  
2/03/14
  
Open
        1,253,464            1,253,989   
RBC Capital Markets, LLC
     
0.65%
  
2/04/14
  
Open
        219,760            219,859   
Credit Suisse Securities (USA) LLC
     
0.12%
  
2/18/14
  
3/18/14
        26,130,546            26,131,417   
RBC Capital Markets, LLC
     
0.65%
  
2/18/14
  
Open
        492,000            492,089   
RBC Capital Markets, LLC
     
0.65%
  
2/18/14
  
Open
        334,000            334,060   
RBC Capital Markets, LLC
     
0.65%
  
2/18/14
  
Open
        477,000            477,086   
RBC Capital Markets, LLC
     
0.65%
  
2/18/14
  
Open
        560,000            560,101   
HSBC Securities (USA), Inc.
     
0.55%
  
2/26/14
  
Open
        2,515,741            2,515,856   
HSBC Securities (USA), Inc.
     
0.55%
  
2/26/14
  
Open
        1,111,931            1,111,982   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        3,109,000            3,109,000   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        3,202,000            3,202,000   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        1,929,000            1,929,000   
Barclays Capital, Inc.
     
0.60%
  
2/28/14
  
Open
        935,000            935,000   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        1,894,000            1,894,000   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        474,000            474,000   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        996,000            996,000   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        2,862,000            2,862,000   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        1,073,000            1,073,000   
RBC Capital Markets, LLC
     
0.40%
  
2/28/14
  
Open
        484,000            484,000   
Total
     
 
  
 
  
 
     $ 291,162,130         $ 291,897,510   
 
     
 
  
 
  
 
                               

     
Financial futures contracts outstanding as of February 28, 2014 were as follows:


Contracts
Purchased/
(Sold)

  
Issue
  
Exchange
  
Expiration
 
Notional
Value

 
Unrealized
Appreciation
(Depreciation)

6
 
90-Day Euro-Dollar
  
Chicago Mercantile
  
March 2014
     $ 1,496,475      $      39,209     
(97)
 
10-Year US Treasury Note
  
Chicago Board of Trade
  
June 2014
     $ 12,079,531         (38,828 )  
Total
 
 
  
 
  
 
                $ 381    

     
Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows:

                   
Currency Purchased


Currency Sold
   
Counterparty
   
Settlement
Date

   
Unrealized
Appreciation
(Depreciation)

   
EUR
           1,088,000      
USD
        1,501,016      
State Street Bank and Trust Co.
  
4/22/14
     $ 725    
GBP
           1,152,000      
USD
        1,921,812      
State Street Bank and Trust Co.
  
4/22/14
        6,568   
USD
           1,601,378      
CAD
        1,753,000      
Barclays Bank PLC
  
4/22/14
        20,117   
USD
           32,851,501      
EUR
        24,162,000      
Barclays Bank PLC
  
4/22/14
        (498,732 )  
USD
           395,075      
EUR
        288,000      
BNP Paribas S.A.
  
4/22/14
        (2,445 )  
USD
           839,053      
EUR
        610,000      
BNP Paribas S.A.
  
4/22/14
        (2,915 )  
USD
           888,937      
EUR
        650,000      
Deutsche Bank AG
  
4/22/14
        (8,243 )  
USD
           216,298      
EUR
        159,374      
Goldman Sachs & Co.
  
4/22/14
        (3,682 )  
USD
           466,108      
EUR
        340,000      
Royal Bank of Scotland PLC
  
4/22/14
        (3,186 )  
USD
           422,592      
EUR
        310,000      
State Street Bank and Trust Co.
  
4/22/14
        (5,293 )  
USD
           45,909,756      
GBP
        27,985,000      
Barclays Bank PLC
  
4/22/14
        (935,500 )  
USD
           827,755      
GBP
        500,000      
Citibank N.A.
  
4/22/14
        (9,216 )  
USD
           1,486,091      
GBP
        901,000      
UBS AG
  
4/22/14
        (22,130 )  
Total
                   
 
                
 
  
 
     $   (1,463,932 )  

See Notes to Financial Statements.

48 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
    

     
OTC options purchased as of February 28, 2014 were as follows:


Description



   
Counterparty
   
Put/
Call

   
Strike
Price

   
Expiration
Date

   
Contracts
   
Market
Value

   
Marsico Parent Superholdco LLC
     
Goldman Sachs & Co.
  
Call
  
USD
  
942.86
  
12/14/19
  
46
  
  

     
OTC credit default swaps – buy protection outstanding as of February 28, 2014 were as follows:

Issuer



   
Pay
Fixed
Rate

   
Counterparty

   
Expiration
Date

   
Notional
Amount
(000)

   
Market
Value

   
Premiums
Paid

   
Unrealized
Depreciation

   
Australia & New Zealand Banking Group Ltd.
     
1.00%
  
Deutsche Bank AG
  
9/20/17
  
USD
  
1
  
$ (8)
     $ 11          $        (19 )  
Westpac Banking Corp.
     
1.00%
  
Deutsche Bank AG
  
9/20/17
  
USD
  
1
  
   (8)
        11             (19 )  
Total
     
 
  
 
  
 
  
 
  
 
  
$(16)
     $ 22          $ (38 )  

     
OTC credit default swaps – sold protection outstanding as of February 28, 2014 were as follows:

Issuer



   
Receive
Fixed
Rate
   
Counterparty

   
Expiration
Date
   
Credit
Rating1
   
Notional
Amount
(000)2
   
Market
Value
   
Premiums
Received
   
Unrealized
Appreciation
(Depreciation)
   
Rosneft Oil Co.
     
1.50%
  
HSBC Bank PLC
  
6/12/14
  
BBB
  
USD
  
3,250
     $ (3,828 )        $ (9,472 )        $ 5,644   
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
9/20/15
  
CCC-
  
USD
  
470
        (90,463 )           (83,711 )           (6,752 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
626
        (143,266 )           (141,275 )           (1,991 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Citibank N.A.
  
12/20/15
  
CCC-
  
USD
  
357
        (81,819 )           (72,001 )           (9,818 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
145
        (33,196 )           (28,377 )           (4,819 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Citibank N.A.
  
12/20/15
  
CCC-
  
USD
  
172
        (39,389 )           (31,062 )           (8,327 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
UBS AG
  
12/20/15
  
CCC-
  
USD
  
840
        (192,367 )           (142,569 )           (49,798 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
12/20/15
  
CCC-
  
USD
  
382
        (87,591 )           (42,820 )           (44,771 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
247
        (65,692 )           (47,580 )           (18,112 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
247
        (65,692 )           (47,580 )           (18,112 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
739
        (196,666 )           (135,766 )           (60,900 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
165
        (43,972 )           (28,865 )           (15,107 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
3/20/16
  
CCC-
  
USD
  
75
        (19,858 )           (12,790 )           (7,068 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
3/20/16
  
CCC-
  
USD
  
82
        (21,863 )           (13,552 )           (8,311 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
3/20/16
  
CCC-
  
USD
  
72
        (19,196 )           (10,976 )           (8,220 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Citibank N.A.
  
3/20/16
  
CCC-
  
USD
  
79
        (20,882 )           (12,200 )           (8,682 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
634
        (168,635 )           (89,391 )           (79,244 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Citibank N.A.
  
3/20/16
  
CCC-
  
USD
  
135
        (35,811 )           (19,280 )           (16,531 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
6/20/16
  
CCC-
  
USD
  
499
        (149,076 )           (103,044 )           (46,032 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
6/20/16
  
CCC-
  
USD
  
970
        (289,614 )           (193,871 )           (95,743 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
6/20/16
  
CCC-
  
USD
  
440
        (131,371 )           (69,687 )           (61,684 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
JPMorgan Chase Bank N.A.
  
6/20/16
  
CCC-
  
USD
  
412
        (122,902 )           (68,831 )           (54,071 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Citibank N.A.
  
9/20/16
  
CCC-
  
USD
  
330
        (109,455 )           (94,923 )           (14,532 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
9/20/16
  
CCC-
  
USD
  
1,710
        (567,032 )           (326,389 )           (240,643 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/17
  
CCC-
  
USD
  
453
        (180,210 )           (107,636 )           (72,574 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Barclays Bank PLC
  
3/20/17
  
CCC-
  
USD
  
72
        (28,740 )           (17,989 )           (10,751 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Goldman Sachs Bank USA
  
3/20/17
  
CCC-
  
USD
  
147
        (58,516 )           (37,173 )           (21,343 )  
Caesars Entertainment Operating Co., Inc.
     
5.00%
  
Deutsche Bank AG
  
6/20/17
  
CCC-
  
USD
  
635
        (265,639 )           (162,774 )           (102,865 )  
 
Total
     
 
  
 
  
 
  
 
  
 
  
 
     $ (3,232,741 )        $ (2,151,584 )        $ (1,081,157 )  
1 Using S&P’s rating of the issuer.
2 The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of the agreement.

     
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

     
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
     
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
     
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 49
 
  
Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
    

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:


 


 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
                                   
Investments:
                                   
Long-Term Investments:
                                   
Common Stocks
       $ 65,528      $ 4,215,383      $ 2,713,944      $ 6,994,855  
Asset-Backed Securities 
              33,140,862       6,606,003       39,746,865  
Corporate Bonds 
              413,976,177       7,951,875       421,928,052  
Floating Rate Loan Interests
              317,976,382       32,928,467       350,904,849  
Foreign Agency Obligations
              7,420,115             7,420,115  
Non-Agency Mortgage-Backed Securities
              73,914,059             73,914,059  
US Government Sponsored Agency Securities
              39,622,600             39,622,600  
Other Interests
              516,112       8,750       524,862  
Preferred Securities
        5,273,917       16,562,941             21,836,858  
Warrants
              10,964             10,964  
Short-Term Securities
        3,052,131                   3,052,131  
Unfunded Loan Commitments
              35             35  
Total
       $ 8,391,576      $ 907,355,630      $ 50,209,039      $  965,956,245  
                     











 


 
Level 1
 
Level 2
 
Level 3
 
Total
Derivative Financial Instruments1
                                   
Assets:
                                   
Interest rate contracts
       $  39,209                  $ 39,209  
Foreign currency exchange contracts
             $ 27,410             27,410  
Credit contracts
              5,644             5,644  
Liabilities:
                                   
Interest rate contracts
        (38,828                 (38,828
Foreign currency exchange contracts
              (1,491,342           (1,491,342
Credit contracts
              (1,086,839           (1,086,839
Total
       $ 381      $  (2,545,127          $  (2,544,746
1 Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The carrying amount for certain of the Fund’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


 


 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
                                   
Cash
       $ 1,443,512                  $ 1,443,512  
Cash pledged as collateral for OTC derivatives 
        1,810,000                   1,810,000  
Cash pledged for financial futures contracts
        171,500                   171,500  
Foreign currency at value
        2,348                   2,348  
Liabilities:
                                   
Cash received as collateral for reverse repurchase agreements
             $ (40,000           (40,000
Reverse repurchase agreements
              (291,897,510           (291,897,510
Total
       $ 3,427,360      $ (291,937,510          $ (288,510,150

There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014.

See Notes to Financial Statements.

50 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Schedule of Investments (concluded) BlackRock Limited Duration Income Trust (BLW)
    
 
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


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

Assets:                                                      
Opening Balance, as of August 31, 2013          $ 3,050,139       $ 26,050,547       $ 7,930,102       $ 42,689,763       $ 537,766       $ 80,258,317    
Transfers into Level 31                           12,741,262             12,741,262    
Transfers out of Level 32               (12,461,639 )             (22,630,549 )             (35,092,188 )    
Other                                          
Accrued discounts/premiums               (448,833 )             46,812             (402,021 )    
Net realized gain (loss)               59,461       1,798       83,964             145,223    
Net change in unrealized appreciation/depreciation3,4         (336,195 )       437,476       21,773       79,059       2,508,765       2,710,878    
Purchases                4,041,500             10,956,531             14,998,031    
Sales               (11,072,509 )       (1,798 )       (11,038,375 )       (3,037,781 )       (25,150,463 )    
Closing Balance, as of February 28, 2014         $ 2,713,944       $ 6,606,003       $ 7,951,875       $ 32,928,467       $ 8,750       $ 50,209,039    
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20144         $ (336,195 )       $ 447,162       $ 23,500       $ 142,257       $ 3,750       $ 280,474    
1   As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $12,741,262 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2   As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $35,092,188 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3   Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.
4   Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 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 inputs could result in a significantly lower or higher value of such Level 3 investments.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 51
 
  
Statements of Assets and Liabilities 

February 28, 2014 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
     BlackRock
Limited
Duration
Income Trust
(BLW)1
 
Assets
Investments at value — unaffiliated2
        $   184,240,683         $   816,913,342         $   962,904,079   
Investments at value — affiliated3
           2,835,510            4,239,004            3,052,131   
Cash
           182,484                        1,443,512   
Cash pledged for financial futures contracts
                                   171,500   
Cash pledged as collateral for OTC derivatives
                       1,560,000            1,810,000   
Investments sold receivable
           4,739,726            17,418,298            16,821,065   
Interest receivable
           983,520            4,397,594            10,417,220   
Dividends receivable
                       3,432            11,616   
Foreign currency at value4
           171,631            724,871            2,348   
Swaps receivable
           18,044            92,155            122,774   
Unrealized appreciation on foreign currency exchange contracts
           6,072            58,297            27,410   
Variation margin receivable on financial futures contracts
                                   19,703   
Unrealized appreciation on OTC derivatives
                                   5,644   
Unrealized appreciation on unfunded loan commitments
           19             82             35    
Swap premiums paid
                                   22    
Prepaid expenses
           11,752            30,273            37,437   
Other assets
                                   57,632   
Total assets
           193,189,441            845,437,348            996,904,128   
 
Liabilities
Bank overdraft
                       89,151               
Reverse repurchase agreements
                                   291,897,510   
Bank borrowings payable
           52,000,000            224,000,000               
Cash received as collateral for reverse repurchase agreements
                                   40,000   
Investments purchased payable
           9,219,570            39,850,810            27,500,886   
Swap premiums received
           359,809            1,721,009            2,151,584   
Unrealized depreciation on OTC derivatives
           208,967            950,435            1,086,839   
Investment advisory fees payable
           139,119            461,543            407,229   
Unrealized depreciation on foreign currency exchange contracts
           94,096            275,485            1,491,342   
Income dividends payable
           70,606            114,738            84,359   
Interest expense payable
           34,971            155,948               
Officer’s and Directors’ fees payable
           2,257            9,950            298,159   
Swaps payable
                                   2    
Other accrued expenses payable
           89,086            447,131            160,124   
Total liabilities
           62,218,481            268,076,200            325,118,034   
Net Assets
        $ 130,970,960         $ 577,361,148         $ 671,786,094   
 
Net Assets Consist of
Paid-in capital5,6,7
        $ 128,319,712         $ 660,069,691         $ 703,366,312   
Undistributed (distributions in excess of) net investment income
           582,077            (292,613 )           3,096,871   
Undistributed net realized gain (accumulated net realized loss)
           112,510            (83,531,389 )           (54,685,655 )  
Net unrealized appreciation/depreciation
           1,956,661            1,115,459            20,008,566   
Net Assets
        $ 130,970,960         $ 577,361,148         $ 671,786,094   
Net asset value per share
        $ 14.48         $ 15.51         $ 18.15   
1  Consolidated Statement of Assets and Liabilities
                                                            
2  Investments at cost — unaffiliated
        $ 181,985,573         $ 814,542,745         $ 940,416,223   
3  Investments at cost — affiliated
        $ 2,835,510         $ 4,239,004         $ 3,052,131   
4  Foreign currency at cost
        $ 170,065         $ 718,561         $ 2,323   
5  Par value per share
        $ 0.001         $ 0.10         $ 0.001   
6  Shares outstanding
           9,044,041            37,232,488            37,003,854   
7  Shares authorized
           unlimited             200 million             unlimited    

See Notes to Financial Statements.

52 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Statements of Operations  

Six Months Ended February 28, 2014 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
     BlackRock
Limited
Duration
Income Trust
(BLW)1
 
Investment Income
Interest
        $     4,649,194         $    20,396,281         $    25,968,137   
Dividends — unaffiliated
           103,638            7,873            278,455   
Dividends — affiliated
           112             439             1,413   
Foreign taxes withheld
                       (1,180 )           (932 )  
Total income
           4,752,944            20,403,413            26,247,073   
 
Expenses
Investment advisory
           895,025            2,964,423            2,620,303   
Professional
           57,276            56,461            103,021   
Custodian
           41,362            126,460            95,659   
Accounting services
           16,203            52,711            45,323   
Transfer agent
           10,049            28,284            36,374   
Officer and Directors
           6,236            27,597            51,040   
Printing
           6,028            10,538            10,529   
Registration
           4,145                        5,836   
Miscellaneous
           7,093            48,844            53,633   
Total expenses excluding interest expense
           1,043,417            3,315,318            3,021,718   
Interest expense
           225,145            1,007,094            708,191   
Total expenses
           1,268,562            4,322,412            3,729,909   
Less fees waived by Manager
           (192 )           (628 )           (2,660 )  
Less fees paid indirectly
           (33 )           (288 )           (60 )  
Total expenses after fees waived and paid indirectly
           1,268,337            4,321,496            3,727,189   
Net investment income
           3,484,607            16,081,917            22,519,884   
 
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
                                                            
Investments
           820,002            1,374,278            7,790,503   
Financial futures contracts
                                   (712,868 )  
Foreign currency transactions
           (234,748 )           (728,322 )           (4,225,759 )  
Swaps
           93,540            503,054            693,370   
 
           678,794            1,149,010            3,545,246   
Net change in unrealized appreciation/depreciation on:
                                                            
Investments
           788,623            7,119,318            21,784,062   
Financial futures contracts
                                   (119,889 )  
Foreign currency translations
           (101,175 )           (175,994 )           (785,934 )  
Swaps
           (214,639 )           (1,028,298 )           (1,067,093 )  
Unfunded loan commitments
           (4,683 )           (20,594 )           (8,353 )  
 
           468,126            5,894,432            19,802,793   
Total realized and unrealized gain
           1,146,920            7,043,442            23,348,039   
Net Increase in Net Assets Resulting from Operations
        $ 4,631,527         $ 23,125,359         $ 45,867,923   

1  Consolidated Statement of Operations.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 53
 
  
Statements of Changes in Net Assets   BlackRock Defined Opportunity Credit Trust (BHL)

Increase (Decrease) in Net Assets:
         Six Months Ended
February 28,
2014 (Unaudited)
     Year Ended
August 31,
2013
 
Operations
Net investment income
        $ 3,484,607         $ 7,859,267   
Net realized gain
           678,794            3,251,344   
Net change in unrealized appreciation/depreciation
           468,126            (578,700 )  
Net increase in net assets resulting from operations
           4,631,527            10,531,911   
 
Dividends to Shareholders From
Net investment income
           (4,259,743 )           (7,633,968 )1  
 
Capital Share Transactions
Reinvestment of dividends
                       246,640   
 
Net Assets
Total increase in net assets
           371,784            3,144,583   
Beginning of period
           130,599,176            127,454,593   
End of period
        $    130,970,960         $    130,599,176   
Undistributed net investment income, end of period
        $ 582,077         $ 1,357,213   

1  Determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

54 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Consolidated Statements of Changes in Net Assets   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Increase (Decrease) in Net Assets:
         Six Months Ended
February 28,
2014 (Unaudited)
     Year Ended
August 31,
2013
 
Operations
Net investment income
        $ 16,081,917         $ 35,052,895   
Net realized gain
           1,149,010            14,417,374   
Net change in unrealized appreciation/depreciation
           5,894,432            (1,626,772 )  
Net increase in net assets resulting from operations
           23,125,359            47,843,497   
 
Dividends to Shareholders From
Net investment income
           (17,566,298 )           (34,814,179 )1  
 
Capital Share Transactions
Proceeds issued resulting from reorganization
                       280,530,144   
Reinvestment of dividends
                       1,252,625   
Net increase in net assets derived from capital share transactions
                       281,782,769   
 
Net Assets
Total increase in net assets
           5,559,061            294,812,087   
Beginning of period
           571,802,087            276,990,000   
End of period
        $    577,361,148         $    571,802,087   
Undistributed (distributions in excess of) net investment income, end of period
        $ (292,613 )        $ 1,191,768   

1  Determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 55
 
  
Consolidated Statements of Changes in Net Assets   BlackRock Limited Duration Income Trust (BLW)

Increase (Decrease) in Net Assets:
         Six Months Ended
February 28,
2014 (Unaudited)
     Year Ended
August 31,
2013
 
Operations
Net investment income
        $ 22,519,884         $ 48,146,073   
Net realized gain
           3,545,246            15,966,288   
Net change in unrealized appreciation/depreciation
           19,802,793            (7,037,223 )  
Net increase in net assets resulting from operations
           45,867,923            57,075,138   
 
Dividends to Shareholders From
Net investment income
           (23,201,416 )           (51,220,576 )1  
 
Capital Share Transactions
Reinvestment of dividends
                       873,743   
 
Net Assets
Total increase in net assets
           22,666,507            6,728,305   
Beginning of period
           649,119,587            642,391,282   
End of period
        $    671,786,094         $    649,119,587   
Undistributed net investment income, end of period
        $ 3,096,871         $ 3,778,403   

1Determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

56 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Statements of Cash Flows    

Six Months Ended February 28, 2014 (Unaudited)
         BlackRock
Defined
Opportunity
Credit Trust
(BHL)
     BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)1
     BlackRock
Limited
Duration
Income Trust
(BLW)1
 
Cash Provided by Operating Activities
Net increase in net assets resulting from operations
        $     4,631,527         $    23,125,359         $    45,867,923   
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
                                                            
(Increase) decrease in interest receivable
           67,649            258,625            (846,998 )  
Increase in swap receivable
           (9,637 )           (38,052 )           (34,275 )  
Decrease in cash pledged for centrally cleared swaps
           60,000            260,000               
Increase in cash pledged for financial futures contracts
                                   (5,000 )  
Decrease in cash received as collateral for reverse repurchase agreements
                                   1,050,000   
Increase in cash pledged as collateral for OTC derivatives
                       (600,000 )           (1,120,000 )  
Decrease in other assets
                                   160,335   
Increase in prepaid expenses
           (8,404 )           (27,418 )           (19,021 )  
Increase in variation margin receivable on financial futures contracts
                                   (15,564 )  
Increase in dividends receivable — unaffiliated
                       (3,432 )           (9,946 )  
Decrease in swap premiums paid
                                   4    
Decrease in investment advisory fees payable
           (10,657 )           (33,549 )           (25,734 )  
Increase (decrease) in interest expense payable
           (1,126 )           (6,057 )           282,538   
Decrease in other accrued expenses payable
           (47,251 )           (9,209 )           (53,520 )  
Increase in Officer’s and Directors’ fees payable
           14             256             33,713   
Increase in swap premiums received
           150,846            471,585            80,709   
Decrease in variation margin payable on centrally cleared swaps
           (2 )           (7 )              
Increase in cash received as collateral for reverse repurchase agreements
                                   40,000   
Net realized gain on investments
           (697,187 )           (704,039 )           (5,670,836 )  
Net unrealized gain (loss) on investments, swaps, foreign currency translations and unfunded loan commitments
           (468,126 )           (5,974,793 )           (20,083,017 )  
Amortization of premium and accretion of discount on investments
           (239,804 )           (1,116,829 )           725,781   
Proceeds from sales of long-term investments
           44,400,299            192,914,778            254,156,872   
Purchases of long-term investments
           (45,690,263 )           (200,012,007 )           (266,375,531 )  
Net purchases of short-term securities
           (1,537,241 )           (3,331,361 )           (1,868,038 )  
Cash provided by operating activities
           600,637            5,173,850            6,270,395   
 
Cash Used for Financing Activities
Cash receipts from borrowings
           31,000,000            224,000,000               
Cash payments on borrowings
           (28,000,000 )           (214,000,000 )              
Net borrowing of reverse repurchase agreements
                                   18,267,771   
Cash dividends paid to shareholders
           (4,254,017 )           (17,558,667 )           (23,199,327 )  
Increase (decrease) in bank overdraft
                       89,151            (444,474 )  
Cash used for financing activities
           (1,254,017 )           (7,469,516 )           (5,376,030 )  
 
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations
           1,970            6,330            3,909   
 
Cash and Foreign Currency
Net increase (decrease) in cash and foreign currency
           (651,410 )           (2,289,336 )           898,274   
Cash and foreign currency at beginning of period
           1,005,525            3,014,207            547,586   
Cash and foreign currency at end of period
        $ 354,115         $ 724,871         $ 1,445,860   
 
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest
        $ 226,271         $ 1,013,151         $ 425,653   

1  Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 57
 
  
Financial Highlights   BlackRock Defined Opportunity Credit Trust (BHL)

        
       

Six Months Ended
February 28,
2014
(Unaudited)
 


Year Ended March 31,

   
        2013      2012      2011      2010      2009     
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 14.44         $ 14.12         $ 13.17         $ 13.55         $ 12.53   
 
$
14.31
  
Net investment income1         0.39            0.87             0.85             0.86             0.85             0.87
 
  
Net realized and unrealized gain (loss)
           0.12            0.30            0.90            (0.45 )           0.87            (1.55 )  
Net increase (decrease) from investment operations
           0.51            1.17            1.75            0.41            1.72            (0.68 )  
Dividends and distributions from:
                                                                                                                        
Net investment income
           (0.47 )           (0.85 )2             (0.80 )2           (0.79 )2           (0.70 )2           (1.09 )2  
Net realized gain
                                                                       (0.01 )2    
Total dividends and distributions
           (0.47 )           (0.85 )           (0.80 )           (0.79 )           (0.70 )           (1.10 )  
Net asset value, end of period
        $ 14.48         $ 14.44         $ 14.12         $ 13.17         $ 13.55         $ 12.53   
Market price, end of period
        $ 13.87         $ 13.77         $ 13.94         $ 12.65         $ 12.86         $ 11.03   
 
Total Investment Return3
Based on net asset value
           3.75% 4           8.52%            13.94%            2.93%            14.39%         (2.16)%
Based on market price
           4.22% 4           4.82%            17.12%            4.17%            23.33%         (2.65)%
 
Ratios to Average Net Assets
Total expenses
           1.95% 5           1.92%            1.91%            2.02%            1.91%            2.39%   
Total expenses after fees waived and paid indirectly
           1.95% 5           1.92%            1.91%            2.02%            1.90%            2.39%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.61% 5           1.58% 6           1.61% 6           1.71%            1.65%            1.94%   
Net investment income
           5.37% 5           6.04%            6.24%            6.10%            6.40%            8.11%   
 
Supplemental Data
Net assets, end of period (000)
        $   130,971         $   130,599         $   127,455         $   118,897         $   122,062         $   112,862   
Borrowings outstanding, end of period (000)
        $ 52,000         $ 49,000         $ 55,000         $ 43,000         $ 24,000         $ 27,000   
Average borrowings outstanding, during the period (000)
        $ 49,680         $ 47,384         $ 39,007         $ 36,369         $ 24,633         $ 31,141   
Portfolio turnover
           25%            85%            53%            91%            102%            41%   
Asset coverage, end of period per $1,000
        $ 3,519         $ 3,665         $ 3,317         $ 3,765         $ 6,086         $ 5,180   
1 Based on average shares outstanding.
2 Determined in accordance with federal income tax regulations.
3 Total investment 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 dividends and distributions.
4 Aggregate total investment return.
5 Annualized.
6 For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively.

See Notes to Financial Statements.

58 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Financial Highlights   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
        
       
Six Months Ended
February 28,
2014
(Unaudited)1
 


Year Ended March 31,

   
        20131      20121      2011      2010      2009     
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 15.36         $ 14.98         $ 14.04         $ 14.36         $ 12.93   
 
$
16.12
  
Net investment income2        
0.43
        
  0.99
         
  0.97
         
  0.96
         
  0.91
         
  1.14
  
Net realized and unrealized gain (loss)
           0.19            0.42            0.90            (0.36 )           1.48            (3.04 )  
Net increase (decrease) from investment operations
           0.62            1.41            1.87            0.60            2.39            (1.90 )  
Dividends and distributions from:
                                                                                                                        
Net investment income
           (0.47 )           (1.03 )3             (0.93 )3           (0.86 )3           (0.94 )3           (1.29 )3  
Net realized gain
                                               (0.06 )3             (0.02 )3              
Total dividends and distributions
           (0.47 )           (1.03 )           (0.93 )           (0.92 )           (0.96 )           (1.29 )  
Net asset value, end of period
        $ 15.51         $ 15.36         $ 14.98         $ 14.04         $ 14.36         $ 12.93   
Market price, end of period
        $ 14.70         $ 14.96         $ 15.20         $ 13.33         $ 14.61         $ 12.26   
 
Total Investment Return4
Based on net asset value
           4.27% 5           9.68%            13.91%            4.04%            18.91%         (8.88)%
Based on market price
           1.47% 5           5.28%            21.74%         (2.91)%         27.59%         (3.88)%
 
Ratios to Average Net Assets
Total expenses
           1.52% 6           1.54% 7           1.67% 9           1.60%            1.45%            1.96%   
Total expenses after fees waived and paid indirectly
           1.52% 6           1.52% 7           1.67% 9           1.60%            1.45%            1.96%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.16% 6           1.15% 7,8           1.35% 8,9           1.30%            1.22%            1.31%   
Net investment income
           5.64% 6           6.49%            6.67%            6.44%            6.43%            10.18%   
 
Supplemental Data
Net assets, end of period (000)
        $   577,361         $   571,802         $   276,990         $   259,205         $   264,379         $   237,160   
Borrowings outstanding, end of period (000)
        $ 224,000         $ 214,000         $ 117,000         $ 93,000         $ 53,000         $ 38,000   
Average borrowings outstanding, during the period (000)
        $ 222,227         $ 201,830         $ 88,197         $ 79,195         $ 48,258         $ 50,591   
Portfolio turnover
           25%            88%            53%            91%            96%            58%   
Asset coverage, end of period per $1,000
        $ 3,578         $ 3,672         $ 3,367         $ 3,787         $ 5,988         $ 7,241   
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Determined in accordance with federal income tax regulations.
4 Total investment 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 dividends and distributions.
5 Aggregate total investment return.
6 Annualized.
7 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.
8 For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly, excluding interest expense and borrowing costs was 1.14% and 1.26%, respectively.
9 Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 59
 
  
Financial Highlights   BlackRock Limited Duration Income Trust (BLW)
        
       
Six Months Ended
February 28,
2014
(Unaudited)1
 


Year Ended March 31,

   
        20131      20121      2011      2010      2009     
 
Per Share Operating Performance
Net asset value, beginning of period
        $ 17.54         $ 17.38         $ 16.52         $ 16.79         $ 14.95   
 
$
16.71
  
Net investment income2        
0.61
        
  1.30
         
  1.31
         
  1.34
         
  1.12
         
  1.01
 
  
Net realized and unrealized gain (loss)
           0.63            0.25            0.88            (0.37 )           1.62            (1.61 )  
Net increase (decrease) from investment operations
           1.24            1.55            2.19            0.97            2.74            (0.60 )  
Dividends from net investment income
           (0.63 )           (1.39 )3           (1.33 )3           (1.24 )3           (0.90 )3           (1.16 )3  
Net asset value, end of period
        $ 18.15         $ 17.54         $ 17.38         $ 16.52         $ 16.79         $ 14.95   
Market price, end of period
        $ 17.31         $ 16.89         $ 18.00         $ 16.01         $ 16.76         $ 14.09   
 
Total Investment Return4
Based on net asset value
           7.35% 5           9.13%            13.86%            5.85%            19.00%         (1.57)%
Based on market price
           6.32% 5           1.47%            21.68%            2.77%            26.04%            6.40%   
 
Ratio to Average Net Assets
Total expenses
           1.14% 6           1.12%            1.05%            1.01%            0.82%            0.72%   
Total expenses after fees waived and paid indirectly
           1.14% 6           1.12%            1.05%            1.00%            0.81%            0.71%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.92% 6           0.90%            0.89%            0.87%            0.73%            0.69%   
Net investment income
           6.87% 6           7.34%            7.82%            7.75%            6.90%            7.42%   
 
Supplemental Data
Net assets, end of period (000)
        $   671,786         $   649,120         $   642,391         $   609,818         $   619,381         $   551,505   
Borrowings outstanding, end of period (000)
        $ 291,898         $ 273,347         $ 296,476         $ 244,120         $ 123,233               
Average borrowings outstanding, during the period (000)
        $ 299,713         $ 301,214         $ 242,396         $ 191,303         $ 44,160         $ 11,705   
Portfolio turnover
           28%            71%            54%         106% 7       248% 8       287%9
Asset coverage, end of period $1,000
        $ 3,301         $ 3,375         $ 3,167         $ 3,498         $ 6,026               
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Determined in accordance with federal income tax regulations.
4 Total investment 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 dividends and distributions.
5 Aggregate total investment return.
6 Annualized.
7 Includes mortgage dollar roll and to-be-announced (“TBA”) transactions. Excluding these transactions, the portfolio turnover rate would have been 87%.
8 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%.
9 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.

See Notes to Financial Statements.

60 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (Unaudited)

1. Organization:

BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW”) (collectively, the “Funds” or individually as a “Fund”) are registered under the 1940 Act, as diversified, closed-end management investment companies. BHL and BLW are organized as Delaware statutory trusts. FRA is organized as a Maryland corporation. The Board of Directors and the Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the NAV of their Common Shares on a daily basis.

Reorganization: The Board and shareholders of FRA and the Board and shareholders of each of BlackRock Diversified Strategies Fund, Inc. (“DVF”) and BlackRock Floating Rate Income Strategies Fund II, Inc., (“FRB”) (individually, a “Target Fund” and collectively the “Target Funds”) approved the reorganization of each Target Fund into FRA pursuant to which FRA acquired substantially all of the assets and substantially all of the liabilities of each Target Fund in exchange for an equal aggregate value of newly-issued shares of FRA.

Each shareholder of a Target Fund received shares of FRA in an amount equal to the aggregate net asset value of such shareholder’s Target Fund shares, as determined at the close of business on October 5, 2012, less the costs of the Target Fund’s reorganization. Cash was distributed for any fractional shares.

The reorganizations were accomplished by a tax-free exchange of shares of FRA in the following amounts and at the following conversion ratios:


Target Fund



   
Shares Prior to
Reorganization

   
Conversion
Ratio

   
Shares of
FRA

FRB
           10,585,281            0.91462449            9,681,549   
DVF
           12,405,453            0.72423797            8,984,499   

Each Target Fund’s net assets and composition of net assets on October 5, 2012, the business day immediately prior to the effective date of its reorganization, were as follows:


         Target Funds
   



   
FRB
   
DVF
Net assets
        $ 145,503,247         $ 135,026,897   
Paid-in capital
        $ 199,203,523         $ 228,382,425   
Undistributed (distributions in excess of) net investment income
        $ (164,508 )        $ (88,960 )  
Accumulated net realized loss
        $ (54,909,880 )        $ (89,378,206 )  
Net unrealized appreciation (depreciation)
        $ 1,374,112         $ (3,888,362 )  

For financial reporting purposes, assets received and shares issued by FRA were recorded at fair value. However, the cost basis of the investments received from the Target Funds were carried forward to align ongoing reporting of FRA’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of FRA before the acquisition were $278,016,037. The aggregate net assets of FRA immediately after the acquisition amounted to $558,546,181. Each Target Fund’s fair value and cost of investments prior to the reorganization were as follows:


Target Fund



   
Fair Value of
Investments

   
Cost of
Investments

FRB
        $ 220,588,307         $ 219,010,017   
DVF
        $ 206,051,284         $ 209,710,937   

The purpose of these transactions was to combine three funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effective on October 8, 2012.

Assuming the acquisition had been completed on September 1, 2012 the beginning of the fiscal reporting period of FRA, the pro forma results of operations for the year ended August 31, 2013, are as follows:

•  
  Net investment income: $36,549,895
•  
  Net realized and change in unrealized gain/loss on investments: $15,835,377
•  
  Net increase/decrease in net assets resulting from operations: $52,385,271

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Funds that have been included in FRA’s Statement of Operations since October 8, 2012.

Reorganization costs incurred in connection with the reorganizations were expensed by FRA. BlackRock Advisors, LLC (the “Manager”) reimbursed FRA $100,000, which was shown as fees reimbursed by Manager in the Statements of Operations.

Basis of Consolidation: The accompanying consolidated financial statements include the accounts of FRA Subsidiary, LLC and BLW Subsidiary, LLC (the “Taxable Subsidiaries”), which are wholly owned taxable subsidiaries of the respective Fund. The Subsidiaries enable the Funds to hold investments in J.G. Wentworth LLC Preferred Equity Interests and Stanley Martin, Class B Membership Units, each an operating company, and satisfy regulated investment company 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. 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. Each Fund may invest up to 25% of its total assets in the Taxable Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to the Funds.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 61
 
  
Notes to Financial Statements (continued)  

2. Significant Accounting Policies:

The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds:

Valuation: US 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 at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds for all financial instruments.

The Funds value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. 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. Investments in open-end registered investment companies are valued at NAV each business day.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Funds’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and

62 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (continued)  

losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Fund’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.

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

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

Segregation and Collateralization: In cases where the Funds enter into certain investments (e.g., financial futures contracts, foreign currency exchange contracts and swaps), or certain borrowings (e.g., reverse repurchase agreements and bank borrowings payable) that would be “senior securities” for 1940 Act purposes, the Funds may segregate or designate on their books and records cash or liquid securities having a market value at least equal to the amount of the Funds’ future obligations under such investments or borrowings. Doing so allows the investments 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

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

Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s US federal tax returns remains open for each of the four years ended August 31, 2013. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds’ facts and circumstances and does not believe there are any uncertain tax positions that require recognition of a tax liability.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 63
 
  
Notes to Financial Statements (continued)  

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

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: The Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Funds may have to subsequently reinvest the proceeds at lower interest rates. If the Funds have purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

The Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US 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 Treasury.

Collateralized Debt Obligations: Certain Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches”, which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Funds may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, a Fund may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Funds may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Funds also may invest in stripped mortgage-backed securities that are privately issued.

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

Capital Trusts and Trust Preferred Securities: Certain Funds may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in

64 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (continued)  


subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Certain Funds may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

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

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

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

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of February 28, 2014, the Funds had the following unfunded floating rate loan interests:





   
Borrower

   
Unfunded
Floating Rate
Loan Interest

   
Value of
Underlying
Floating Rate
Loan Interest

   
Unrealized
Appreciation

BHL
     
Power Buyer, LLC
     $ 13,811         $ 13,768         $ 19    
FRA
     
Power Buyer, LLC
     $ 59,638         $ 59,452         $ 82    
BLW
     
Power Buyer, LLC
     $ 25,111         $ 25,032         $ 35    

Forward Commitments and When-Issued Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 65
 
  
Notes to Financial Statements (continued)  


Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Funds are obligated to repurchase under the agreement may decline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by the Funds to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Funds may receive a fee for use of the security by the counterparty, which may result in interest income to the Funds.

Reverse repurchase transactions are entered into by the Funds under Master Repurchase Agreements (“MRA”), which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. With reverse repurchase transactions, typically the Funds and the counterparty are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

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 as of February 28, 2014:


Counterparty



   
Reverse
Repurchase
Agreements

   
Fair Value of
Non-cash
Collateral
Pledged
Including
Accrued
Interest1

   
Cash
Collateral
Pledged

   
Net
Amount

Barclays Capital, Inc.
        $ 47,313,120         $ (47,313,120 )                          
BNP Paribas Securities Corp.
           13,085,207            (13,085,207 )                          
Credit Suisse Securities (USA) LLC
           54,877,871            (54,877,871 )                          
Deutsche Bank Securities, Inc.
           142,085,559            (142,085,559 )                          
HSBC Securities (USA) Inc.
           3,627,838            (3,627,838 )                          
RBC Capital Markets LLC
           6,666,517            (6,666,517 )                          
UBS Securities LLC
           24,241,398            (24,241,398 )                          
Total
        $ 291,897,510         $ (291,897,510 )                          
1 Collateral with a value of $324,783,188 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Fund’s obligation to repurchase the securities.

4. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to certain risks such as credit risk, equity risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Funds purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily

66 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (continued)  


fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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

Foreign Currency Exchange Contracts: The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

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

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: The Funds enter into swap agreements, in which the Funds and the counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Funds for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

•  
  Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign
SEMI-ANNUAL REPORT FEBRUARY 28, 2014 67
 
  
Notes to Financial Statements (continued)  

issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
•  
  Interest rate swaps — The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time.

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


Fair Values of Derivative Financial Instruments as of February 28, 2014

   
  Derivative Assets
 
 
 
BHL
 
FRA
 
BLW

Statements of Assets
and Liabilities Location
 

 
Interest rate contracts Net unrealized appreciation/depreciation1;                 $ 39,209  
Foreign currency exchange contracts Unrealized appreciation on foreign
currency exchange contracts
    $ 6,072       $     58,297       27,410  
Credit contracts Unrealized appreciation on OTC swaps;
Swap premiums paid
                5,666  
Total
      $    6,072       $ 58,297       $     72,285  

    Derivative Liabilities
 
   
 
BHL
 
FRA
 
BLW


Statements of Assets
and Liabilities Location
 

 
Interest rate contracts   Net unrealized appreciation/depreciation1                 $ (38,828 )  
Foreign currency exchange contracts   Unrealized depreciation on foreign
currency exchange contracts
    $ 94,096       $ (275,485 )       (1,491,342 )  
Credit contracts   Unrealized depreciation on OTC swaps;
Swap premiums received
    568,776       (2,671,444 )       (3,238,423 )  
Total
        $  662,872       $ (2,946,929 )       $ (4,768,593 )  
1 Includes cumulative appreciation/depreciation on financial futures contracts, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 28, 2014


 
         Net Realized Gain (Loss) From
   



   
BHL
   
FRA
   
BLW
 
                                                            
Interest rate contracts:
                                                            
Financial futures contracts
                                $ (712,868 )  
Swaps
                                      
Foreign currency exchange contracts:
                                                            
Foreign currency transactions
        $ (245,371 )        $ (758,713 )           (4,331,879 )  
Credit contracts:
                                                            
Swaps
           93,540            503,054            693,370   
Total
        $ (151,831 )        $   (255,659 )        $ (4,351,377 )  
68 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (continued)  


         Net Change in Unrealized
Appreciation/Depreciation on

   



   
BHL
   
FRA
   
BLW
Interest rate contracts:
                                                            
Financial futures contracts
                                $ (119,889 )  
Foreign currency exchange contracts:
                                                            
Foreign currency translations
        $ (101,342 )        $ (174,246 )           (794,807 )  
Credit contracts:
                                                            
Swaps
           (214,639 )           (1,028,298 )           (1,067,093 )  
Total
        $  (315,981 )        $  (1,202,544 )        $  (1,981,789 )  

For the six months ended February 28, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:





   
BHL
   
FRA
   
BLW
Financial future contracts:
                                                            
Average number of contracts purchased
                                   9    
Average number of contracts sold
                                   210    
Average notional value of contracts purchased
                                $ 2,244,544   
Average notional value of contracts sold
                                $ 25,724,164   
Foreign currency exchange contracts:
                                                            
Average number of contracts-US dollars purchased
           4             5             8    
Average number of contracts-US dollars sold
           1             2             2    
Average US dollar amounts purchased
        $ 5,382,315         $ 19,021,557         $ 87,954,777   
Average US dollar amounts sold
        $ 193,609         $ 779,568         $ 6,248,088   
Options:
                                                            
Average number of option contracts purchased
                       44             46    
Average notional value of option contracts purchased
                    $ 4,148,584         $ 4,337,156   
Credit default swaps:
                                                            
Average number of contracts-buy protection
                                   2    
Average number of contracts-sell protection
           10             12             28    
Average notional value-buy protection
                                $ 1,000   
Average notional value-sell protection
        $ 1,779,719         $ 9,089,236         $ 12,759,253   

Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform.

With exchange-traded purchased options and futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 69
 
  
Notes to Financial Statements (continued)  

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $500,000) before a transfer is required, which is determined at the close of business of the Funds and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

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.

At February 28, 2014, the Funds’ derivative assets and liabilities (by type) are as follows:


BHL



   
Assets
   
Liabilities
Derivative Financial Instruments:
                                  
Foreign currency exchange contracts
        $ 6,072         $ 94,096   
OTC swaps1
                       568,776   
Total derivative assets and liabilities in the Statement of Assets and Liabilities
           6,072            662,872   
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
                          
Total derivative assets and liabilities subject to an MNA
        $   6,072         $   662,872   

FRA



   
Assets
   
Liabilities
Derivative Financial Instruments:
                                  
Foreign currency exchange contracts
        $ 58,297         $ 275,485   
OTC swaps1
                       2,671,444   
Total derivative assets and liabilities in the Statement of Assets and Liabilities
           58,297            2,946,929   
Derivatives not subject to an MNA or similar agreement
                          
Total derivative assets and liabilities subject to an MNA
        $  58,297         $ 2,946,929   

BLW



   
Assets
   
Liabilities
Derivative Financial Instruments:
                                  
Financial futures contracts
        $ 19,703               
Foreign currency exchange contracts
           27,410         $ 1,491,342   
OTC swaps1
           5,666            3,238,423   
Total derivative assets and liabilities in the Statement of Assets and Liabilities
           52,779            4,729,765   
Derivatives not subject to an MNA or similar agreement
           (19,703 )              
Total derivative assets and liabilities subject to an MNA
        $ 33,076         $ 4,729,765   
1 Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Funds as of February 28, 2014:


BHL


Counterparty



   
Derivative Assets
Subject to an MNA
by Counterparty

   
Derivatives
Available for
Offset

   
Non-cash
Collateral
Received

   
Cash
Collateral
Received

   
Net Amount
of Derivative
Assets2

Citibank N.A.
        $   6,072                                             $   6,072   

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset

   
Non-cash
Collateral
Pledged

   
Cash
Collateral
Pledged

   
Net Amount
of Derivative
Liabilities3

Deutsche Bank AG
        $ 222,494                                             $ 222,494   
Goldman Sachs Bank USA
           314,072                                                314,072   
JPMorgan Chase Bank N.A.
           83,101                                                83,101   
Royal Bank of Scotland PLC
           43,205                                                43,205   
Total
        $ 662,872                                             $ 662,872   
2 Net amount represents the net amount receivable from the counterparty in the event of default.
3 Net amount represents the net amount payable due to the counterparty in the event of default.
70 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (continued)  

FRA


Counterparty



   
Derivative Assets
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset1

   
Non-cash
Collateral
Received

   
Cash
Collateral
Received

   
Net Amount
of Derivative
Assets

Barclays Bank PLC
     
$31,839
  
$(31,839)
  
  
  
Deutsche Bank AG
     
  26,458
  
  (26,458)
  
  
  
Total
     
$58,297
  
$(58,297)
  
  
  

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset1

   
Non-cash
Collateral
Pledged2

   
Cash
Collateral
Pledged2

   
Net Amount
of Derivative
Liabilities3

Barclays Bank PLC
     
$   966,276
  
$(31,839)
  
  
$(934,437)
  
BNP Paribas S.A.
     
       12,476
  
  
  
  
$  12,476
Deutsche Bank AG
     
     513,301
  
(26,458)
  
  
(486,843)
  
Goldman Sachs International
     
     926,239
  
  
$(926,239)
  
  
Goldman Sachs Bank USA
     
         2,577
  
  
  
  
2,577
JPMorgan Chase Bank N.A.
     
     450,886
  
  
  
  
450,886
Royal Bank of Scotland PLC
     
       75,174
  
  
  
  
75,174
Total
     
$2,946,929
  
$(58,297)
  
$(926,239)
  
$(1,421,280)
  
$541,113

BLW


Counterparty



   
Derivative Assets
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset1

   
Non-cash
Collateral
Received

   
Cash
Collateral
Received

   
Net Amount
of Derivative
Assets4

Barclays Bank PLC
     
$20,117
  
$(20,117)
  
  
  
Deutsche Bank AG
     
         22
  
          (22)
  
  
  
HSBC Bank PLC
     
    5,644
  
    (5,644)
  
  
  
State Street Bank and Trust Co.
     
    7,293
  
    (5,293)
  
  
  
$2,000
Total
     
$33,076
  
$(31,076)
  
  
  
$2,000

Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset1

   
Non-cash
Collateral
Pledged2

   
Cash
Collateral
Pledged2

   
Net Amount
of Derivative
Liabilities3

Barclays Bank PLC
     
$1,723,860
  
$(20,117)
  
  
$   (420,000)
  
$1,283,743
BNP Paribas S.A.
     
          5,360
  
  
  
  
5,360
Citibank N.A.
     
     296,572
  
  
  
  
296,572
Deutsche Bank AG
     
     273,920
  
(22)
  
  
(273,898)
  
Goldman Sachs & Co.
     
         3,682
  
  
  
  
3,682
Goldman Sachs Bank USA
     
  1,872,696
  
  
$(1,237,500)
  
(635,196)
  
HSBC Bank PLC
     
         9,472
  
(5,644)
  
  
  
3,828
JPMorgan Chase Bank N.A.
     
     321,227
  
  
  
  
321,227
Royal Bank of Scotland PLC
     
         3,186
  
  
  
  
3,186
State Street Bank and Trust Co.
     
         5,293
  
(5,293)
  
  
  
UBS AG
     
     214,497
  
  
  
  
214,497
Total
     
$4,729,765
  
$(31,076)
  
$(1,237,500)
  
$(1,329,094)
  
$2,132,095
1 The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA.
2 Excess of the collateral pledged to the individual counterparty may not be shown for financial reporting purposes.
3 Net amount represents the net amount payable due to the counterparty in the event of default.
4 Net amount represents the net amount receivable from the counterparty in the event of default.
SEMI-ANNUAL REPORT FEBRUARY 28, 2014 71
 
  
Notes to Financial Statements (continued)  

5. Investment Advisory Agreement and Other Transactions with Affiliates:

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

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


BHL
           1.00 %  
FRA.
           0.75 %  
BLW
           0.55 %  

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

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

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.

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.

The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common directors. For the six months ended February 28, 2014, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:





   
Purchases
   
Sales
BLW
                    $ 7,253,816   

6. Purchases and Sales:

Purchases and sales of investments including paydowns and excluding short-term securities for the six months ended February 28, 2014, were as follows:





   
Purchases
   
Sales
BHL
        $ 47,010,052         $ 46,830,847   
FRA
        $ 205,908,691         $ 200,771,102   
BLW
        $ 275,043,119         $ 267,435,141   

7. Income Tax Information:

As of August 31, 2013, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires August 31,



   
BHL
   
FRA
   
BLW
2014
                    $ 2,237,399               
2015
                       1,444,704               
2016
                       20,623,334         $ 11,256,103   
2017
                       30,228,590            9,996,868   
2018
        $ 572,418            27,716,009            37,509,275   
2019
                       2,206,081               
No expiration date1
                       286,162               
Total
        $ 572,418         $ 84,742,279         $ 58,762,246   
1 Must be utilized prior to losses subject to expiration.

As of February 28, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:





   
BHL
   
FRA
   
BLW
Tax cost
        $ 185,275,365         $ 820,962,050         $ 945,359,014   
Gross unrealized appreciation
        $ 2,741,544         $ 15,640,005         $ 39,715,183   
Gross unrealized depreciation
           (940,716 )           (15,449,709 )           (19,117,987 )  
Net unrealized appreciation
        $ 1,800,828         $ 190,296         $ 20,597,196   

8. Borrowings:

BHL and FRA were party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. The Funds have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:





   
Commitment
Amounts

BHL
        $ 64,000,000   
FRA
        $ 280,000,000   

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

72 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Notes to Financial Statements (concluded)  

In addition, the Funds pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Funds meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 28, 2014 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the six months ended February 28, 2014, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:





   
Daily Weighted
Average
Interest Rate

BHL
           0.91 %  
FRA
           0.91 %  

For the six months ended February 28, 2014, the daily weighted average interest rate for BLW with borrowings from reverse repurchase agreements was 0.48%.

9. Concentration, Market and Credit Risk:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in Statements of Assets and Liabilities, less any collateral held by the Funds.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed income markets. See the Schedules of Investments for these securities and/or derivatives. Changes in market interest rates or economic conditions, including the Federal Reserve’s decision in December 2013 to taper its quantitative easing policy, 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.

The Funds invest a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

10. Capital Share Transactions:

BHL and BLW are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares without approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:





   
Six Months
Ended
February 28,
2014

   
Year Ended
August 31,
2013

BHL
                       16,935   
FRA
                       18,747,801 1  
BLW
                       49,145   
1 Includes 18,666,048 shares issued from the reorganization.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following item was noted:

Each Fund paid a net investment income dividend in the following amounts per share on March 31, 2014 to Common Shareholders of record on March 14, 2014:





   
Common Dividend
Per Share

BHL
        $ 0.0605   
FRA
        $ 0.0700   
BLW
        $ 0.0995   

Additionally, the Funds declared a net investment income dividend on April 1, 2014 payable to Common Shareholders of record on April 15, 2014 for the same amounts noted above.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 73
 
  
Officers and Directors 

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board,
        Chairperson of the Audit Committee and Director
Paul L. Audet, Director
Michael J. Castellano, Director and Member of the
        Audit Committee
Frank J. Fabozzi, Director and Member of the
        Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Brendan Kyne, Vice President
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and
        Anti-Money Laundering Officer
Janey Ahn, Secretary

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor
BlackRock Financial Management, Inc.
New York, NY 10055

Custodian and Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110

Transfer Agent
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021

Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036

Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809

 


74 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Additional Information 

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 dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of dividend 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. Dividend 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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 75
 
  
Additional Information (continued) 

General Information

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

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Funds’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

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

Householding

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

Availability of Quarterly Schedule of Investments

The Funds files their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

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 (1) without charge, upon request, 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 periodically 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.

76 SEMI-ANNUAL REPORT FEBRUARY 28, 2014
 
  
Additional Information (concluded) 

Shelf Offering Program

From time-to-time, each Fund may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Fund may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Fund to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. On March 14, 2014, each of BLW and FRA filed a registration statement with the SEC to issue additional Common Shares through Shelf Offerings, which is not yet effective. BLW and FRA may not sell any Common Shares in a Shelf Offering until the registration statements filed with the SEC are effective. This report is not an offer to sell BLW or FRA Common Shares and is not a solicitation of an offer to buy BLW or FRA Common Shares in any jurisdiction where the offer or sale is not permitted. Investors should consider BLW and FRA’s investment objectives, risks, charges and expenses carefully before investing. The preliminary prospectus contain more complete information about BLW and FRA Shelf Offerings and should be read carefully before investing. The information in the preliminary prospectuses for BLW and FRA is not complete and may be amended or changed. A copy of the final prospectus for BLW and FRA can be obtained from BlackRock at http://www.blackrock.com, when available.

BlackRock Privacy Principles

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

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

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

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

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

SEMI-ANNUAL REPORT FEBRUARY 28, 2014 77
 
  

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This report is transmitted to shareholders only. 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 Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.


 
                    

CEFT-BK3-2/14-SAR
          
 
   
 
  

Item 2 –  Code of Ethics – Not Applicable to this semi-annual report

Item 3 –  Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 –  Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 –  Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6 –  Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

Item 8 –  Portfolio Managers of Closed-End Management Investment Companies

(a)Not Applicable to this semi-annual report
(b)As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

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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: May 1, 2014

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Limited Duration Income Trust

 

Date: May 1, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Limited Duration Income Trust

 

Date: May 1, 2014

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