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: 08/31/2014

 

Item 1 – Report to Stockholders

 
 

AUGUST 31, 2014

ANNUAL REPORT  

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    
Shareholder Letter
           3    
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
           50    
Statements of Operations
           51    
Statements of Changes in Net Assets
           52    
Statements of Cash Flows
           55    
Financial Highlights
           56    
Notes to Financial Statements
           59    
Report of Independent Registered Public Accounting Firm
           75    
Important Tax Information
           75    
Disclosure of Investment Advisory Agreements
           76    
Automatic Dividend Reinvestment Plans
           80    
Officers and Directors
           81    
Additional Information
           84    
2 ANNUAL REPORT AUGUST 31, 2014
 
  
Shareholder Letter 

 

Dear Shareholder,

The latter part of 2013 was a strong period for most risk assets such as equities and high yield bonds, despite the mixed tone of economic and financial news and uncertainty as to when and by how much the U.S. Federal Reserve would begin to gradually reduce (or “taper”) its asset purchase programs. Stock markets rallied in September when the Fed defied investors’ expectations with its decision to delay tapering. The momentum was disrupted temporarily, however, when the U.S. debt ceiling debate led to a partial government shutdown, roiling financial markets globally until a compromise was struck in mid-October. The remainder of 2013 was generally positive for developed market stocks, while fixed income and emerging market investments struggled as Fed tapering became increasingly imminent. When the central bank ultimately announced its tapering plans in mid-December, equity investors reacted positively, as this action signaled the Fed’s perception of real improvement in the economy.

Most asset classes moved higher in 2014 despite the pull back in Fed stimulus. The year got off to a rocky start, however, as a number of developing economies showed signs of stress while facing the onset of diminishing global liquidity. These risks, combined with disappointing U.S. economic data, caused equities to decline in January while bond markets found renewed strength from investors seeking relatively safer assets. Although these headwinds persisted, equities were back on the rise in February as investors were relieved by a one-year extension of the U.S. debt ceiling and market-friendly comments from the Fed’s new Chairwoman, Janet Yellen. While it was clear that U.S. economic data had softened, investors were assuaged by increasing evidence that the trend was temporary and weather-related, and continued to take on risk with the expectation that growth would pick up later in the year.

In the months that followed, interest rates trended lower and bond prices climbed higher in the modest growth environment. Financial markets exhibited a remarkably low level of volatility despite rising geopolitical risks and mixed global economic news. Tensions in Russia and Ukraine and signs of decelerating growth in China caused some turbulence, but markets were resilient as investors focused on signs of improvement in the U.S. recovery, stronger corporate earnings and increased merger-and-acquisition activity. Importantly, investors were comforted by reassurance from the Fed that no changes to short-term interest rates were on the horizon.

In the ongoing low-rate environment, investors looked to equities as a source of yield, pushing major indices to record levels. As stock prices continued to move higher, investors soon became wary of stretched valuations and a new theme emerged. Stocks that had experienced significant price appreciation in 2013, particularly growth and momentum names, broadly declined as investors fled to stocks with cheaper valuations. This rotation resulted in the strongest performers of 2013 struggling most in 2014, and vice versa. Especially hard hit were U.S. small cap and European stocks, where earnings growth had not kept pace with recent market gains. In contrast, emerging market stocks benefited from the trend after having suffered heavy selling pressure earlier in the year.

However, asset prices tend to be more vulnerable to bad news when investors believe valuations are high. Consequently, markets came under pressure in July as geopolitical turmoil intensified in Gaza, Iraq and Ukraine and financial troubles boiled over in Argentina and Portugal. Investors regained confidence in August and, although volatility ticked up, markets rebounded as low rates and an improving U.S. economy trumped full valuations and lingering geopolitical risks. Concurrently, a slowdown in Europe’s recovery fueled hopes for further monetary accommodation from the European Central Bank, driving global equities higher. Additionally, lower yields on European sovereign bonds made U.S. Treasuries more appealing by comparison, contributing to the persistence of low rates in the United States.

Despite a host of challenges, most asset classes generated solid returns for the six- and 12-month periods ended August 31, 2014, with equities generally outperforming fixed income. Emerging market equities delivered impressive gains. Developed markets also performed well, although the expensive U.S. small cap stocks lagged in 2014. Most fixed income assets produced positive results even as the Fed reduced its open-market purchases. Tax-exempt municipal bonds benefited from a favorable supply-and-demand 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 blackrock.com for further insight about investing in today’s world.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC



 
 
Asset prices pushed higher over the period despite modest global growth, geopolitical risks and a shift toward tighter U.S. monetary policy.

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of August 31, 2014

         6-month      12-month
U.S. large cap equities (S&P 500® Index)
           8.84 %           25.25 %  
U.S. small cap equities (Russell 2000® Index)
           (0.06 )           17.68   
International equities (MSCI Europe, Australasia, Far East Index)
           1.24            16.44   
Emerging market equities (MSCI Emerging Markets Index)
           14.52            19.98   
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury
Bill Index)
           0.02            0.05   
U.S. Treasury securities (BofA Merrill Lynch
10-Year U.S. Treasury Index)
           4.35            7.07   
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)
           2.74            5.66   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           4.21            10.55   
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)
           2.89            10.57   

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 REPORT3
 
Fund Summary as of August 31, 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 12-month period ended August 31, 2014, the Fund returned 6.75% based on market price and 5.98% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% 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?

•    Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period.
•    The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period.

Describe recent portfolio activity.

•    During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. 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. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value.

Describe portfolio positioning at period end.

•    At period end, the Fund held 95% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans.


  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
4 ANNUAL REPORT AUGUST 31, 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 August 31, 2014 ($13.84)1
     
5.25%
Current Monthly Distribution per Common Share2
     
$0.0605
Current Annualized Distribution per Common Share2
     
$0.7260
Economic Leverage as of August 31, 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 October 1, 2014, was decreased to $0.0583 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




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 13.84         $ 13.77            0.51 %        $ 14.20         $ 13.48   
Net Asset Value
        $ 14.41         $ 14.44            (0.21 )%        $ 14.56         $ 14.32   

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Floating Rate Loan Interests
           95 %           94 %  
Corporate Bonds
           2             3    
Asset-Backed Securities
           2             2    
Common Stocks
           1             1    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
BBB/Baa
           6 %           7 %  
BB/Ba
           43             40    
B
           44             43    
CCC/Caa
           4             4    
N/R
           3             6    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.


ANNUAL REPORT AUGUST 31, 2014 5
 
  
Fund Summary as of August 31, 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 12-month period ended August 31, 2014, the Fund returned 1.33% based on market price and 6.45% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% 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?

•    Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period.
•    The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period.

Describe recent portfolio activity.

•    During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. 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. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value.

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 maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans.


  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
6 ANNUAL REPORT AUGUST 31, 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 August 31, 2014 ($14.26)1
     
5.89%
Current Monthly Distribution per Common Share2
     
$0.07
Current Annualized Distribution per Common Share2
     
$0.84
Economic Leverage as of August 31, 20143
     
29%
1 Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.
2 The monthly distribution per common share, declared on October 1, 2014, was decreased to $0.0674 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




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 14.26         $ 14.96            (4.68 )%        $ 15.02         $ 14.11   
Net Asset Value
        $ 15.38         $ 15.36            0.13 %        $ 15.54         $ 15.26   

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Floating Rate Loan Interests
           94 %           92 %  
Corporate Bonds
           3             4    
Asset-Backed Securities
           2             3    
Common Stocks
           1             1    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
BBB/Baa
           6 %           7 %  
BB/Ba
           43             39    
B
           43             44    
CCC/Caa
           4             4    
N/R
           4             6    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.


ANNUAL REPORT AUGUST 31, 2014 7
 
  
Fund Summary as of August 31, 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 12-month period ended August 31, 2014, the Fund returned 6.89% based on market price and 10.77% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 15.47% based on market price and 14.60% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•    In a generally positive environment for fixed income markets, high yield credit and bank loans performed well. In particular, the strong macroeconomic backdrop and market fundamentals that gave rise to net negative supply supported further spread tightening, particularly in asset-backed securities (“ABS”). The largest contributors to the Fund’s performance were its positions in high yield, bank loans and investment grade industrials. Exposure to non-US dollar positions also had a positive impact on performance, as did commercial mortgage-backed securities (“CMBS”), non-agency adjustable-rate mortgages and collateralized mortgage obligations (“CMOs”). In addition, the Fund’s ABS and equity positions enhanced results.
•    Based on the view that short-term rates would remain low, the Fund maintained a high level of leverage to augment income generation throughout the period.
•    Conversely, the principal detractor from the Fund’s performance over the past 12 months was the Fund’s derivatives exposure to manage duration.

Describe recent portfolio activity.

•    The Fund’s allocations remained consistent throughout the 12-month period, with its largest position in high yield, followed by allocations to bank loans and investment grade corporate credit and securitized credits, including CMBS and ABS.

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 and ABS, as well as agency and non-agency residential mortgage-backed securities.


  
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
8 ANNUAL REPORT AUGUST 31, 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 August 31, 2014 ($16.81)1
     
7.10%
Current Monthly Distribution per Common Share2
     
$0.0995
Current Annualized Distribution per Common Share2
     
$1.1940
Economic Leverage as of August 31, 20143
     
31%
1 Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 16.81         $ 16.89            (0.47 )%        $ 17.62         $ 16.15   
Net Asset Value
        $ 18.09         $ 17.54            3.14 %        $ 18.31         $ 17.54   
 
     

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Corporate Bonds
           42 %           44 %  
Floating Rate Loan Interests
           32             36    
Preferred Securities
           8             1    
Non-Agency Mortgage-Backed Securities
           7             8    
Asset-Backed Securities
           5             6    
U.S. Government Sponsored Agency Securities
           4             4    
Common Stocks
           1             1    
Foreign Agency Obligations
           1             -    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
AAA/Aaa6
           6 %           4 %  
AA/Aa
           2             2    
A
           3             5    
BBB/Baa
           15             13    
BB/Ba
           32             27    
B
           31             32    
CCC/Caa
           7             7    
D
                       1    
N/R
           4             9    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.
6 The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.


ANNUAL REPORT AUGUST 31, 2014 9
 
  
The Benefits and Risks of Leveraging  BlackRock Limited Duration Income Trust

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders 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.

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



Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, forward 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 ANNUAL REPORT AUGUST 31, 2014
 
  
Schedule of Investments August 31, 2014 BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Common Stocks (a)            
Shares
  Value
Diversified Consumer Services — 0.2%
Cengage Thomson Learning
     
 
    8,922      $  282,533  
Software — 0.4%
HMH Holdings/EduMedia
     
 
    24,355       467,616  
Total Common Stocks — 0.6%
     
 
            750,149  

Asset-Backed Securities (b)(c)
  
    Par
(000)
      
ALM Loan Funding, Series 2013-7RA, Class C, 3.68%, 4/24/24
     
USD
    500       477,941  
ALM XIV Ltd., Series 2014-14A:
                           
Class B, 3.18%, 7/28/26
     
 
    563       553,845  
Class C, 3.68%, 7/28/26
     
 
    713       676,305  
Atlas Senior Loan Fund Ltd., 3.94%, 10/15/26 (d)
     
 
    250       237,200  
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24
     
 
    250       238,982  
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.73%, 1/20/25
     
 
    250       250,833  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23
     
 
    215       213,336  
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25
     
 
    250       236,452  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.43%, 10/25/25
     
 
    250       233,424  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.04%, 8/12/26
     
 
    250       245,275  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23
     
 
    350       350,483  
Total Asset-Backed Securities — 2.8%
     
 
            3,714,076  

Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)
     
 
    250       258,750  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16
     
 
    46       51,702  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    590       600,325  
 
     
 
            910,777  
Auto Components — 0.2%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
                           
3.50%, 3/15/17
     
 
    164       165,025  
4.88%, 3/15/19
     
 
    105       107,887  
 
     
 
            272,912  
Chemicals — 0.1%
INEOS Finance PLC, 8.38%, 2/15/19 (c)
     
 
    110       119,350  
Commercial Services & Supplies — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (b)
     
 
    68       67,660  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)
     
 
    250       255,594  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    80       84,200  
 
     
 
            407,454  
Corporate Bonds           Par
(000)
  Value
Communications Equipment — 0.4%
Avaya, Inc., 7.00%, 4/01/19 (c)
     
USD
    101      $  100,495  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    380       409,925  
 
     
 
            510,420  
Diversified Financial Services — 0.3%
Ally Financial, Inc., 2.91%, 7/18/16 (b)
     
 
    275       280,363  
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
    120       124,650  
 
     
 
            405,013  
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc. (c):
                           
3.82%, 1/15/18 (b)
     
 
    228        229,140  
6.13%, 1/15/21
     
 
    127       133,985  
 
     
 
            363,125  
Hotels, Restaurants & Leisure — 0.4%
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20
     
 
    642       514,166  
Independent Power and Renewable Electricity Producers — 0.1%
             
Calpine Corp., 6.00%, 1/15/22 (c)
     
 
    80       86,200  
Media — 0.2%
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)
     
 
    96       98,640  
Numericable Group SA, 6.00%, 5/15/22 (c)
     
 
    200       206,000  
 
     
 
            304,640  
Oil, Gas & Consumable Fuels — 0.1%
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    145       152,975  
Road & Rail — 0.2%
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)
     
 
    196       206,780  
Wireless Telecommunication Services — 0.0%
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    50       51,813  
Total Corporate Bonds — 3.3%
    4,305,625  

Floating Rate Loan Interests (b)
Aerospace & Defense — 1.7%
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    509       506,274  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    275       269,500  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    222       220,120  
Term Loan D, 3.75%, 6/04/21
     
 
    200       198,584  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,087       1,082,295  
 
     
 
            2,276,773  
Air Freight & Logistics — 0.5%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    166       160,225  
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21
     
 
    175       170,543  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    30       29,404  
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    241       235,233  
 
     
 
            595,405  


 

Portfolio Abbreviations

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

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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 — 0.8%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
USD
    324      $  320,573  
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    178       173,753  
1.56%, 9/10/18
     
 
    245       233,803  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    257       254,826  
 
     
 
            982,955  
Auto Components — 4.5%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    293       294,212  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16
     
 
    57       57,434  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/28/17
     
 
    625       624,485  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    238       228,990  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    358       358,200  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    328        324,741  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    2,010       1,994,202  
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    1,150       1,153,232  
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18
     
 
    481       478,508  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    338       337,433  
 
     
 
            5,851,437  
Automobiles — 0.3%
Chrysler Group LLC:
                           
2018 Term Loan B, 3.25%, 12/31/18
     
 
    190       187,582  
Term Loan B, 3.50%, 5/24/17
     
 
    199       199,201  
 
     
 
            386,783  
Banks — 0.3%
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    259       258,268  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    70       71,043  
 
     
 
            329,311  
Building Products — 3.1%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    373       370,594  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    974       973,623  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    319       315,210  
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
 
    394       389,336  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    480       477,998  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    224       220,299  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    402       399,688  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    109       107,991  
Term Loan B, 4.00%, 10/31/19
     
 
    788       777,496  
 
     
 
            4,032,235  
Capital Markets — 0.5%
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    212       210,417  
Term Loan B, 6.75%, 4/30/18
     
 
    301       297,706  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    195       194,263  
 
     
 
            702,386  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Chemicals — 5.0%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
USD
    254      $  253,873  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    132       131,722  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    473       469,535  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
    27       26,758  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    324       323,809  
Chromaflo Technologies Corp.:
                           
1st Lien Term Loan, 4.50%, 12/02/19
     
 
    259       257,730  
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
    110       109,450  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    476       475,788  
INEOS US Finance LLC:
                           
3 Year Term Loan, 2.20%, 5/04/15
     
 
    88       87,737  
6 Year Term Loan, 3.75%, 5/04/18
     
 
    194       192,691  
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20
     
 
    461       459,337  
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21
     
 
    500       499,375  
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15
     
 
    100        99,875  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    581       578,082  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    315        315,526  
Term Loan B2, 4.25%, 1/15/20
     
 
    581       578,435  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    156       155,887  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/02/21
     
 
    355       352,561  
2nd Lien Term Loan, 7.75%, 7/02/22
     
 
    390       386,490  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    134       131,979  
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20
     
 
    406       404,954  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    222       222,330  
 
     
 
            6,513,924  
Commercial Services & Supplies — 5.2%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    736       724,912  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    14       13,753  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    9       9,301  
Term Loan E, 3.25%, 9/07/19
     
 
    664       656,611  
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
    279       278,443  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    868       866,878  
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
    67       67,454  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    675       677,956  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    325       326,219  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    309       306,782  
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20
     
 
    550       550,687  
Livingston International, Inc.:
                           
1st Lien Term Loan, 5.00%, 4/16/19
     
 
    307       305,175  
2nd Lien Term Loan, 9.00%, 4/20/20
     
 
    200       198,362  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    924       915,709  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    225       225,000  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    598       591,691  
 
     
 
            6,714,933  


See Notes to Financial Statements.

12 ANNUAL REPORT AUGUST 31, 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
Communications Equipment — 2.7%
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
USD
    190      $  188,147  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    1,325       1,340,741  
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    184       183,615  
2nd Lien Term Loan, 7.50%, 1/23/22
     
 
    85       85,510  
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17
     
 
    345       333,911  
CommScope, Inc., Term Loan B3, 2.66% - 2.73%, 1/21/17
     
 
    157       157,576  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
 
    1,235       1,229,305  
 
     
 
            3,518,805  
Construction & Engineering — 0.4%
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
 
    300       293,633  
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/15/20
     
 
    280       283,500  
 
     
 
            577,133  
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    219        219,009  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,604       1,595,200  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    149       148,875  
 
     
 
            1,963,084  
Containers & Packaging — 1.1%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    209       208,254  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    629       620,016  
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20
     
 
    345       346,439  
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21
     
 
    25       24,836  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    170       169,787  
Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19
     
 
    111       110,609  
 
     
 
            1,479,941  
Distributors — 1.5%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    1,141       1,129,722  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    329       329,289  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    231       228,871  
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17
     
 
    276       274,251  
 
     
 
            1,962,133  
Diversified Consumer Services — 2.5%
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
 
    655       649,212  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    91       89,963  
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20
     
 
    635       630,960  
Fitness International LLC, Term Loan B, 5.50%, 7/01/20
     
 
    250       248,958  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    68       67,945  
Term Loan B, 4.00%, 11/06/20
     
 
    268       265,602  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    248       240,527  
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21
  610       604,968  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    627       492,601  
 
     
 
            3,290,736  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Diversified Financial Services — 1.3%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 4.50%, 3/31/21
     
USD
    335      $  333,466  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    745       743,366  
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
    86       86,388  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    592       591,101  
 
     
 
            1,754,321  
Diversified Telecommunication Services — 4.2%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    689       689,270  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    521       522,979  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/22/20
     
 
    255       258,825  
Term Loan B, 5.25%, 2/22/19
     
 
    459       459,045  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    220       218,946  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    2,160       2,149,200  
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
    446        441,520  
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
    728       727,534  
 
     
 
            5,467,319  
Electric Utilities — 1.1%
American Energy—Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    400       399,879  
American Energy—Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    51       53,229  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    231       247,609  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    51       53,237  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    325       325,325  
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
    293       294,575  
 
     
 
            1,373,854  
Electrical Equipment — 1.5%
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    264       262,553  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    581       584,740  
Extended Term Loan, 4.65%, 10/10/17 (a)(e)
     
 
    1,505       1,163,787  
 
     
 
            2,011,080  
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    653       644,353  
Energy Equipment & Services — 0.5%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    257       256,919  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    358       356,802  
 
     
 
            613,721  
Food & Staples Retailing — 1.7%
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15
     
GBP
    672       1,113,533  
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
USD
    335       333,010  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    235       237,545  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    510       506,112  
 
     
 
            2,190,200  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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 — 3.6%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
USD
    199      $  199,753  
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
    258       257,297  
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25% - 5.50%, 2/18/21
     
 
    393       388,521  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    682       677,215  
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18
     
 
    598       595,514  
GFA Brands, Inc., Term Loan B, 4.50%, 7/09/20
     
 
    109       109,036  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    74       74,023  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    470       470,296  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    374       374,628  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.25%, 4/29/20
     
 
    124       122,489  
Term Loan G, 3.25%, 4/29/20
     
 
    605       597,539  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75% - 7.75%, 5/01/19
     
 
    563       537,546  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    270       237,600  
 
     
 
            4,641,457  
Health Care Equipment & Supplies — 6.8%
Arysta LifeScience Corp.:
                           
1st Lien Term Loan, 4.50%, 5/29/20
     
 
    931        928,468  
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
    380       383,089  
Biomet, Inc., Term Loan B2, 3.66% - 3.73%, 7/25/17
  707       704,907  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    467       461,270  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    975       973,735  
Fresenius SE & Co. KGaA:
                           
Incremental Term Loan B, 2.46%, 6/30/19
     
EUR
    119       156,658  
Term Loan B, 2.23%, 8/07/19
     
USD
    615       614,581  
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
    760       755,518  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    95       95,083  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    802       801,896  
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
    119       118,569  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    509       504,274  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    575       575,541  
National Vision, Inc.:
                           
1st Lien Term Loan, 4.00%, 3/12/21
     
 
    638       626,252  
2nd Lien Term Loan, 6.75%, 3/07/22
     
 
    120       118,000  
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19
     
 
    135       135,982  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    920       919,614  
 
     
 
            8,873,437  
Health Care Providers & Services — 7.4%
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    335       326,625  
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19
     
 
    652       646,588  
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
 
    300       299,625  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    243       242,871  
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19
     
 
    394       393,123  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    1,955       1,959,183  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    540       537,865  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Health Care Providers & Services (concluded)
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
USD
    2,215      $  2,207,934  
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
    238       239,391  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    424       423,052  
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17
     
 
    269       272,554  
HCA, Inc., Extended Term Loan B4, 2.98%, 5/01/18
     
 
    233       232,510  
Ikaria, Inc.:
                           
1st Lien Term Loan, 5.00%, 2/12/21
     
 
    255       255,390  
2nd Lien Term Loan, 8.75%, 2/14/22
     
 
    70       70,788  
inVentiv Health, Inc., Incremental Term Loan B3, 7.75% - 8.50%, 5/15/18
     
 
    218       216,405  
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21
     
 
    524       520,206  
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21
     
 
    190       189,229  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20
     
 
    226       225,888  
Surgical Care Affiliates, Inc., Class C, Incremental Term Loan, 4.00%, 6/29/18
     
 
    421       419,172  
 
     
 
            9,678,399  
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    758        747,867  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    438       434,316  
 
     
 
            1,182,183  
Hotels, Restaurants & Leisure — 12.0%
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
    321       320,894  
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21
     
 
    479       475,008  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    261       258,670  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
    699       699,620  
Caesars Entertainment Operating Co., Inc.:
                           
Extended Term Loan B6, 6.95%, 3/01/17
     
 
    393       368,531  
Term Loan B7, 9.75%, 3/01/17
     
 
    341       329,683  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
    1,006       987,498  
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21
     
 
    385       384,037  
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20
     
 
    190       189,478  
Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21
     
 
    550       552,750  
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19
     
 
    100       100,875  
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
    330       330,825  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    1,883       1,870,811  
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
    368       369,991  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    2,477       2,472,768  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    597       595,257  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    786       780,272  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    410       408,158  
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19
     
 
    407       404,890  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    295       294,923  
Sabre, Inc.:
                           
Incremental Term Loan, 4.00%, 2/19/19
     
 
    114       113,888  
Term Loan B, 4.00%, 2/19/19
     
 
    315       313,624  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    1,148       1,142,922  


See Notes to Financial Statements.

14 ANNUAL REPORT AUGUST 31, 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
Hotels, Restaurants & Leisure (concluded)
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
USD
    765      $  768,190  
Travelport LLC:
                           
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
    250       254,251  
Refinancing Term Loan, 6.25%, 6/26/19
     
 
    210       213,624  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    265       265,220  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    368       367,264  
 
     
 
            15,633,922  
Household Products — 1.1%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    634       631,383  
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19
     
 
    301       300,568  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/07/17
     
 
    204       203,430  
Term Loan C, 3.50%, 9/04/19
     
 
    341       338,678  
 
     
 
            1,474,059  
Independent Power and Renewable Electricity Producers — 0.4%
             
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
 
    211       210,410  
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
    309       309,366  
 
     
 
            519,776  
Industrial Conglomerates — 0.8%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    1,039       1,016,731  
Insurance — 2.4%
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
 
    414       411,394  
Asurion LLC:
                           
2nd Lien Term Loan, 8.50%, 3/03/21
     
 
    155       159,805  
Term Loan B1, 5.00%, 5/24/19
     
 
    455       456,523  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    267       265,418  
Term Loan B2, 3.75%, 9/20/18
     
 
    518       513,429  
Cooper Gay Swett & Crawford Ltd.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    416       386,694  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    200       180,000  
Sedgwick, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    459       451,013  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    260       258,700  
 
     
 
            3,082,976  
Internet Software & Services — 1.5%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21
     
 
    420       415,572  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    575       573,131  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    450       451,125  
W3 Co.:
                           
1st Lien Term Loan, 5.75%, 3/13/20
     
 
    405       401,839  
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
    155       151,520  
 
     
 
            1,993,187  
IT Services — 3.9%
First Data Corp.:
                           
2018 Extended Term Loan, 3.66%, 3/23/18
     
 
    2,845       2,812,510  
2018 Term Loan, 3.66%, 9/24/18
     
 
    295       292,327  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    430       428,115  
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18
     
 
    245       229,928  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    349       345,742  
Floating Rate Loan Interests (b)           Par
(000)
  Value
IT Services (concluded)
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.91%, 2/28/17
     
USD
    350      $  349,562  
Term Loan E, 4.00%, 3/08/20
     
 
    126       126,132  
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21
     
 
    460       459,655  
 
     
 
            5,043,971  
Leisure Products — 0.4%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    364       361,915  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    204       204,797  
 
     
 
            566,712  
Machinery — 3.8%
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    131       131,727  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    357       357,135  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/31/20
     
 
    271       269,862  
Term Loan B3, 4.25%, 8/28/20
     
 
    81       81,238  
Gardner Denver, Inc., Term Loan:
                           
4.25%, 7/30/20
     
 
    885       883,290  
4.75%, 7/30/20
     
EUR
    126       165,958  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
USD
    326       322,131  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    393       389,322  
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19
     
 
    561       557,621  
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
    206       207,375  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    567        563,079  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    657       654,320  
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
    155       154,678  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    262       262,288  
 
     
 
            5,000,024  
Media — 14.9%
Acosta, Inc., Term Loan B, 4.25%, 3/02/18
     
 
    45       44,886  
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
    589       588,795  
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
    255       254,362  
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
    170       168,810  
Cengage Learning Acquisitions, Inc.:
                           
0.00%, 7/03/15 (a)(e)
     
 
    591        
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    1,372       1,379,847  
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    460       452,487  
Term Loan G, 4.25%, 7/24/21
     
 
    935       940,264  
Clear Channel Communications, Inc.:
                           
Term Loan B, 3.81%, 1/29/16
     
 
    292       290,083  
Term Loan D, 6.91%, 1/30/19
     
 
    1,564       1,539,858  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    550       548,117  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
    45       42,387  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    285       283,504  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    456       455,628  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    367       365,508  
IMG Worldwide Holdings LLC:
                           
1st Lien Term Loan, 5.25%, 5/06/21
     
 
    515       509,531  
2nd Lien Term Loan, 8.25%, 5/01/22
     
 
    205       200,900  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    983       977,444  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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)
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22
     
USD
    350      $  349,783  
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
    150       150,626  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    114       113,510  
MCC Iowa LLC:
                           
Term Loan I, 2.63%, 6/30/17
     
 
    250       248,750  
Term Loan J, 3.75%, 6/30/21
     
 
    125       124,323  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    390       390,601  
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18
     
 
    254       249,911  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/13/21
     
 
    310       306,900  
Mediacom LLC, Term Loan E, 3.13%, 10/23/17
     
 
    480       477,600  
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20
     
 
    527       522,688  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    509       510,268  
Term Loan B2, 4.50%, 5/21/20
     
 
    440       441,451  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    385       382,443  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    710       702,680  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    370       364,300  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    844       842,658  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    522       518,499  
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21
     
EUR
    281        369,992  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    780       769,127  
Term Loan E, 4.25%, 6/30/23
     
GBP
    650       1,076,983  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    510       510,668  
Ziggo BV:
                           
Term Loan B1A, 3.25%, 1/15/22
     
 
    425       416,644  
Term Loan B2A, 1.25% - 3.25%, 1/15/22
     
 
    264       258,462  
Term Loan B3, 0.50%, 1/15/22
     
 
    207       202,792  
 
     
 
            19,344,070  
Metals & Mining — 1.8%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    100       101,625  
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
    366       365,281  
FMG Resources Property Ltd., Term Loan B, 3.75%, 6/30/19
     
 
    543       540,420  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    784       781,326  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    599       607,892  
 
     
 
            2,396,544  
Multiline Retail — 2.0%
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    451       450,043  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    538       535,043  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    200       201,900  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    430       433,054  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    984       975,523  
 
     
 
            2,595,563  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Oil, Gas & Consumable Fuels — 3.3%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
USD
    428      $  416,149  
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21
     
 
    675       676,971  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    440       435,965  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    313       311,524  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    135       137,926  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    199       199,224  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    45       44,643  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    325       331,500  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    360       367,200  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    105       102,375  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    250       249,895  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    270       271,520  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21
     
 
    215       215,806  
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
    333       332,492  
WTG Holdings III Corp.:
                           
1st Lien Term Loan, 4.75%, 1/15/21
     
 
    134       133,821  
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
    30       29,950  
 
     
 
            4,256,961  
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B2, 4.50%, 4/28/21
     
 
    100        100,500  
Pharmaceuticals — 6.5%
Akorn, Inc.:
                           
Incremental Term Loan, 4.50%, 4/16/21
     
 
    160       160,200  
Term Loan B, 4.50%, 4/16/21
     
 
    410       410,513  
Amneal Pharmaceuticals LLC, Term Loan, 4.75% - 6.00%, 11/01/19
     
 
    278       277,728  
Catalent Pharma Solutions, Inc., Term Loan B, 4.50%, 5/20/21
     
 
    815       815,513  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    212       210,252  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21
     
 
    359       356,633  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21
     
 
    1,247       1,237,374  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    365       362,036  
Mallinckrodt International Finance SA:
                           
Term Loan, 3.50%, 7/17/21
     
 
    330       328,941  
Term Loan B, 3.50%, 3/19/21
     
 
    529       526,164  
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    848       840,964  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    986       985,515  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    577       571,789  
Valeant Pharmaceuticals International, Inc., Term Loan B:
                           
Series C2, 3.75%, 12/11/19
     
 
    524       523,026  
Series D2, 3.75%, 2/13/19
     
 
    568       565,743  
Series E, 3.75%, 8/05/20
     
 
    326       325,079  
 
     
 
            8,497,470  


See Notes to Financial Statements.

16 ANNUAL REPORT AUGUST 31, 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
Professional Services — 2.9%
Advantage Sales & Marketing, Inc.:
                           
1st Lien Term Loan, 4.25%, 7/23/21
     
USD
    455      $  450,108  
2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    360       360,076  
Delayed Draw Term Loan, 0.50%, 7/23/21
     
 
    15       15,004  
Ceridian LLC:
                           
Term Loan B1, 4.16%, 5/09/17
     
 
    651       650,332  
Term Loan B2, 4.50%, 9/14/20
     
 
    515       514,152  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    720       715,697  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    275       274,142  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    425       433,117  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    393       390,992  
 
     
 
            3,803,620  
Real Estate Management & Development — 1.3%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    523       522,043  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    41       40,298  
Term Loan B, 3.75%, 3/05/20
     
 
    1,188       1,182,195  
 
     
 
            1,744,536  
Road & Rail — 0.8%
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18
     
 
    330       323,812  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    464       458,814  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    225       222,188  
 
     
 
            1,004,814  
Semiconductors & Semiconductor Equipment — 1.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    1,070       1,068,299  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    532       529,614  
Term Loan B5, 5.00%, 1/15/21
     
 
    164       164,275  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    328       324,413  
 
     
 
            2,086,601  
Software — 4.1%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
    538       535,906  
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    243       238,305  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    176       176,294  
Term Loan B, 4.25% - 5.50%, 11/01/19
     
 
    406       403,930  
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
 
    197       194,534  
Term Loan B5, 3.75%, 6/03/20
     
 
    985       976,397  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    203       190,117  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    115       114,856  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    409       419,459  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    508       506,663  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    350       352,408  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21
     
 
    265       259,037  
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
    216       211,921  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    665       661,976  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    115       114,281  
 
     
 
            5,356,084  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Specialty Retail — 4.5%
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
USD
    521      $  519,599  
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20
     
 
    245       243,759  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    330       325,498  
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
 
    77       61,357  
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
    452       451,741  
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
    369       360,034  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    551       547,392  
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
 
    665       660,844  
Term Loan B, 3.75%, 1/28/20
     
 
    518       511,576  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    948       939,479  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    775       772,974  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    393       391,246  
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
    37       31,232  
 
     
 
            5,816,731  
Textiles, Apparel & Luxury Goods — 2.1%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    499       497,503  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    530       522,192  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    469       459,350  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    505       497,900  
Nine West Holdings, Inc.:
                           
Guarantee Term Loan, 6.25%, 1/08/20
     
 
    185       184,075  
Term Loan B, 4.75%, 10/08/19
     
 
    215       215,269  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    347       348,234  
 
     
 
            2,724,523  
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
    443       443,436  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    604       600,379  
Total Floating Rate Loan Interests — 134.1%
174,711,488  

Non-Agency Mortgage Backed Securities — 0.2%
Commercial Mortgage-Backed Securities — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)
     
 
    304       311,025  

Investment Companies
     
 
    Shares          
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust
     
 
    12       179  
Eaton Vance Senior Income Trust
     
 
    3,347       22,325  
Total Investment Companies — 0.0%
     
 
            22,504  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 17
 
  
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

 
Warrants (f)
       
   
Shares
  Value
Software — 0.0%
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
     
 
    691      $  3,214  
Total Long-Term Investments
(Cost — $183,616,880) — 141.0%
  183,818,081  
 
Short-Term Securities
       
   
Shares
  Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (g)(h)
     
 
    2,958,501      $  2,958,501  
Total Short-Term Securities
(Cost — $2,958,501) — 2.3%
  2,958,501  
Total Investments (Cost — $186,575,381) — 143.3%
  186,776,582  
Liabilities in Excess of Other Assets — (43.3)%
      (56,425,771
Net Assets — 100.0%
     
 
           $ 130,350,811  


Notes to Schedule of Investments

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


Counterparty         Value     Unrealized
Appreciation
Deutsche Bank Securities, Inc.
        $ 237,200               

(e)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(f)      
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.
(g)      
Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 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
August 31, 2014
    Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           1,298,269            1,660,232            2,958,501         $ 199    

(h)      
Represents the current yield as of report date.
     
Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:


Currency Purchased   Currency Sold     Counterparty     Settlement
Date
    Unrealized
Appreciation
USD
     658,896   
EUR
   487,000   
Citibank N.A.
  
10/21/14
     $ 18,814     
USD
     2,098,271   
GBP
   1,228,000   
Bank of America N.A.
  
10/21/14
        60,399   
Total
         
 
        
 
  
 
     $ 79,213   

     
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)

       
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.

See Notes to Financial Statements.

18 ANNUAL REPORT AUGUST 31, 2014
 
  
Schedule of Investments (concluded)   BlackRock Defined Opportunity Credit Trust (BHL)
    
       
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2014:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Investments:
                                                                            
Long-Term Investments:
                                                                            
Common Stocks
    $ 467,616         $ 282,533                     $ 750,149   
Asset-Backed Securities
                   2,792,496         $ 921,580            3,714,076   
Corporate Bonds
                   4,305,625                        4,305,625   
Floating Rate Loan Interests
                   161,112,379            13,599,109            174,711,488   
Non-Agency Mortgage-Backed Securities
                   311,025                        311,025   
Investment Companies
       22,504                                    22,504   
Warrants
                   3,214                        3,214   
Short-Term Securities
       2,958,501                                    2,958,501   
Liabilities:
                                                                            
Unfunded Floating Rate Loan Interests
                   (6,142 )           (85 )           (6,227 )  
Total
    $ 3,448,621         $ 168,801,130         $ 14,520,604         $ 186,770,355   

    Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                                                            
Assets:
                                                                            
Foreign currency exchange contracts
                $      79,213                     $      79,213   
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

       
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Cash
    $ 103,115                                 $ 103,115   
Cash pledged as collateral for OTC derivatives
       400,000                                    400,000   
Foreign currency at value
       8,309                                    8,309   
Liabilities:
                                                                            
Bank borrowings payable
                $ (55,000,000 )                       (55,000,000 )  
Total
    $   511,424         $  (55,000,000 )                    $  (54,488,576 )  

       
There were no transfers between Level 1 and 2 during the year ended August 31, 2014.
       
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


    Asset-Backed
Securities
    Floating Rate
Loan Interests
    Unfunded
Floating Rate
Loan Interests
(Liabilities)
    Total
Assets:
                                                                            
Opening Balance, as of August 31, 2013
    $ 4,422,403         $ 21,940,408                     $ 26,362,811   
Transfers into Level 32
                   3,987,570                        3,987,570   
Transfers out of Level 33
       (2,313,207 )           (5,463,652 )                       (7,776,859 )  
Accrued discounts/premiums
       5,033            64,461                        69,494   
Net realized gain
       115,902            205,915                        321,817   
Net change in unrealized appreciation/depreciation4,5
       (120,391 )           (101,369 )        $ (85 )           (221,845 )  
Purchases
       922,435            6,650,836                        7,573,271   
Sales
       (2,110,595 )           (13,685,060 )                       (15,795,655 )  
Closing Balance, as of August 31, 2014
    $ 921,580         $ 13,599,109         $ (85 )        $ 14,520,604   
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20145
    $ (1,143 )        $ (40,697 )        $ (85 )        $ (41,925 )  
2   As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 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 $3,987,570 transferred from Level 2 to Level 3 in the disclosure hierarchy.
3 As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 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 $7,776,859 transferred from Level 3 to Level 2 in the disclosure hierarchy.
4 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.
5 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at August 31, 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.

ANNUAL REPORT AUGUST 31, 2014 19
 
  
Consolidated Schedule of Investments
August 31, 2014
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Common Stocks (a)        
Shares
  Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc.
     
 
    23,849      $  23,133  
Diversified Consumer Services — 0.2%
Cengage Thomson Learning
     
 
    37,579       1,190,014  
Diversified Financial Services — 0.2%
Kcad Holdings I Ltd.
     
 
    217,833,983       1,487,806  
Electrical Equipment — 0.0%
Medis Technologies Ltd.
     
 
    260,833       3  
Paper & Forest Products — 0.4%
Ainsworth Lumber Co. Ltd.
     
 
    393,892       981,741  
Ainsworth Lumber Co. Ltd. (b)
     
 
    346,000       862,375  
 
     
 
            1,844,116  
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.
     
 
    1,860       71,089  
Software — 0.4%
HMH Holdings/EduMedia
     
 
    116,627       2,239,238  
Total Common Stocks — 1.2%
  6,855,399  

Asset-Backed Securities (b)(c)
 
    Par
(000)
     
ALM Loan Funding:
                           
Series 2013-7RA, Class C, 3.68%, 4/24/24
     
USD
    1,075       1,027,573  
Series 2013-7RA, Class D, 5.23%, 4/24/24
     
 
    900       836,231  
Series 2013-8A, Class B, 2.98%, 1/20/26
     
 
    1,150       1,130,001  
ALM XIV Ltd., Series 2014-14A:
                           
Class B, 3.18%, 7/28/26
     
 
    563       553,845  
Class C, 3.68%, 7/28/26
     
 
    713       676,305  
Atlas Senior Loan Fund Ltd., 3.94%, 10/15/26 (d)
     
 
    860       815,968  
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24
     
 
    1,100       1,051,523  
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.73%, 7/15/24
     
 
    650       611,924  
Carlyle Global Market Strategies CLO Ltd.:
                           
Series 2012-4A, Class D, 4.73%, 1/20/25
     
 
    700       702,332  
Series 2013-1A, Class C, 4.23%, 2/14/25
     
 
    250       245,189  
Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25
     
 
    500       472,956  
CIFC Funding Ltd., Series 2014-3A, Class C1, 2.95%, 7/22/26
     
 
    250       242,449  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23
     
 
    950       942,650  
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.73%, 10/23/25
     
 
    370       352,920  
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25
     
 
    750       709,356  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.43%, 10/25/25
     
 
    1,000       933,696  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.04%, 8/12/26
     
 
    250       245,275  
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23
     
 
    500       501,371  
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26
     
 
    250       235,108  
Regatta Funding LP, Series 2013-2A, Class C, 4.23%, 1/15/25
     
 
    500       486,500  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23
     
 
    1,500       1,502,070  
Voya CLO Ltd., Series 2014-3A, Class C, 3.83%, 7/25/26
     
 
    250       237,600  
Total Asset-Backed Securities — 2.5%
     
 
            14,512,842  
Corporate Bonds           Par
(000)
  Value
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)
     
USD
    1,140      $  1,179,900  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16
     
 
    183       206,809  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    2,605       2,650,587  
 
     
 
            4,037,296  
Auto Components — 0.2%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
                           
3.50%, 3/15/17
     
 
    717       721,481  
4.88%, 3/15/19
     
 
    460       472,650  
 
     
 
            1,194,131  
Capital Markets — 0.2%
Blackstone CQP Holdco LP, 9.30%, 3/18/19
     
 
    822       838,055  
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f)
     
 
    129       278,559  
 
     
 
            1,116,614  
Chemicals — 0.6%
GEO Specialty Chemicals, Inc., 7.50%, 12/17/16 (b)
     
 
    1,559       3,928,902  
Commercial Services & Supplies — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (c)
     
 
    295       293,525  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
     
 
    1,012       1,035,969  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    350       368,375  
 
     
 
            1,697,869  
Communications Equipment — 0.4%
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
    390       388,050  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    1,470       1,585,762  
 
     
 
            1,973,812  
Construction & Engineering — 0.1%
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)
     
 
    335       352,588  
Diversified Financial Services — 0.4%
Ally Financial, Inc.:
                           
2.91%, 7/18/16 (c)
     
 
    1,375       1,401,814  
7.50%, 9/15/20
     
 
    160       191,400  
8.00%, 11/01/31
     
 
    685       885,544  
 
     
 
            2,478,758  
Hotels, Restaurants & Leisure — 0.5%
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20
     
 
    2,530       2,026,166  
Travelport LLC/Travelport Holdings, Inc., 6.36%, 3/01/16 (b)(c)
     
 
    676       675,960  
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(g)
     
 
    120        
 
     
 
            2,702,126  
Independent Power and Renewable Electricity Producers — 0.1%
Calpine Corp., 6.00%, 1/15/22 (b)
     
 
    349       376,048  
Media — 0.2%
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
    514       528,135  
Numericable Group SA, 6.00%, 5/15/22 (b)
     
 
    842       867,260  
 
     
 
            1,395,395  
Oil, Gas & Consumable Fuels — 0.1%
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    635       669,925  
Road & Rail — 0.2%
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)
     
 
    884       932,620  
Wireless Telecommunication Services — 0.0%
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    225       233,156  
Total Corporate Bonds — 4.0%
  23,089,240  


See Notes to Financial Statements.

20 ANNUAL REPORT AUGUST 31, 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
Aerospace & Defense — 1.7%
                           
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
USD
    2,212      $  2,202,046  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    1,175       1,151,500  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    887       880,481  
Term Loan D, 3.75%, 6/04/21
     
 
    825       819,159  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    4,778       4,756,141  
 
     
 
            9,809,327  
Air Freight & Logistics — 0.5%
                           
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    738       712,044  
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21
     
 
    776       757,901  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    134       130,673  
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    1,071       1,045,381  
 
     
 
            2,645,999  
Airlines — 0.8%
                           
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
 
    1,429       1,414,987  
Northwest Airlines, Inc., Term Loan:
                           
2.18%, 3/10/17
     
 
    783       761,143  
1.56%, 9/10/18
     
 
    1,077       1,026,733  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    1,139       1,127,115  
 
     
 
            4,329,978  
Auto Components — 4.5%
                           
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    1,286       1,291,264  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16
     
 
    244       244,096  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/28/17
     
 
    2,788       2,786,165  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    1,079       1,040,500  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    1,587       1,587,025  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    1,551       1,534,403  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    8,820       8,750,675  
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    5,015       5,029,092  
GPX International Tire Corp., Term Loan (a)(g):
                           
PIK, 13.00%, 12/31/49 (h)
     
 
    18        
12.25%, 12/31/49
     
 
    1,097        
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18
     
 
    2,089       2,078,369  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    1,448       1,446,139  
 
     
 
            25,787,728  
Automobiles — 0.3%
                           
Chrysler Group LLC, Term Loan B:
                           
2018, 3.25%, 12/31/18
     
 
    823       814,502  
3.50%, 5/24/17
     
 
    873       871,503  
 
     
 
            1,686,005  
Banks — 0.3%
                           
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    1,159       1,157,239  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    308       314,619  
 
     
 
            1,471,858  
Building Products — 3.1%
                           
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    1,625       1,613,708  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    4,282       4,281,989  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    1,411       1,393,819  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Building Products (concluded)
                           
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
USD
    1,751      $  1,729,833  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    2,090       2,081,285  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    1,017       998,688  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    1,763       1,751,744  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    502       495,777  
Term Loan B, 4.00%, 10/31/19
     
 
    3,403       3,357,813  
 
     
 
            17,704,656  
Capital Markets — 0.6%
                           
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    1,010       1,001,309  
Term Loan B, 6.75%, 4/30/18
     
 
    1,366       1,352,238  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    870       865,691  
 
     
 
            3,219,238  
Chemicals — 4.9%
                           
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
 
    1,105       1,103,369  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    573       572,485  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    2,088       2,074,290  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
    117       116,413  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    1,264       1,263,104  
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19
     
 
    1,144       1,139,959  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    2,059       2,060,106  
INEOS US Finance LLC:
                           
3 Year Term Loan, 2.20%, 5/04/15
     
 
    380       380,194  
6 Year Term Loan, 3.75%, 5/04/18
     
 
    861       854,755  
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20
     
 
    2,014       2,005,224  
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21
     
 
    2,250       2,247,187  
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15
     
 
    450       449,437  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    2,454       2,442,451  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    1,365       1,367,280  
Term Loan B2, 4.25%, 1/15/20
     
 
    2,531       2,521,384  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    681       682,006  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/02/21
     
 
    1,545       1,534,386  
2nd Lien Term Loan, 7.75%, 7/02/22
     
 
    1,725       1,709,475  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    584       576,799  
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20
     
 
    1,756       1,752,905  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    984       984,553  
 
     
 
            27,837,762  
Commercial Services & Supplies — 4.9%
                           
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    3,234       3,184,871  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    46       45,783  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    32       31,958  
Term Loan E, 3.25%, 9/07/19
     
 
    2,928       2,897,874  
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
    1,158       1,153,552  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 21
 
  
Consolidated Schedule of Investments (continued)  BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)           Par
(000)
  Value
Commercial Services & Supplies (concluded)
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
USD
    3,809      $  3,804,848  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    3,000       3,013,140  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    1,500       1,505,625  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    1,355       1,345,881  
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20
     
 
    2,400       2,403,000  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/16/19
     
 
    1,346       1,338,833  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    4,052       4,017,324  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    950       950,000  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    2,606       2,576,857  
 
     
 
            28,269,546  
Communications Equipment — 3.1%
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    835       826,859  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    5,815       5,884,082  
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    801       798,972  
2nd Lien Term Loan, 7.50%, 1/23/22
     
 
    380       382,280  
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17
     
 
    1,515       1,467,479  
CommScope, Inc., Term Loan B3, 2.66% - 2.73%, 1/21/17
     
 
    693       695,216  
Telesat Canada, Term Loan A, 4.37%, 3/24/17
     
CAD
    2,250       2,048,653  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
    5,461       5,437,506  
 
     
 
            17,541,047  
Construction & Engineering — 0.2%
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
 
    1,421       1,392,124  
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    965       965,633  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    7,189       7,149,787  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    660       660,012  
 
     
 
            8,775,432  
Containers & Packaging — 1.1%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    923       917,308  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    2,748       2,709,687  
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20
     
 
    1,510       1,516,297  
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21
     
 
    150       149,016  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    775       774,031  
Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19
     
 
    507       504,475  
 
     
 
            6,570,814  
Distributors — 1.5%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    4,997       4,946,216  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    1,452       1,451,867  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    1,015       1,003,136  
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17
     
 
    1,192       1,185,156  
 
     
 
            8,586,375  
Diversified Consumer Services — 2.5%
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
 
    2,883       2,859,454  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    417       413,829  
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20
     
 
    2,783       2,763,508  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Diversified Consumer Services (concluded)
Fitness International LLC, Term Loan B, 5.50%, 7/01/20
     
USD
    1,105      $  1,100,392  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    299       296,783  
Term Loan B, 4.00%, 11/06/20
     
 
    1,169       1,160,151  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    1,072       1,039,079  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    2,680       2,657,890  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    2,805       2,203,131  
 
     
 
            14,494,217  
Diversified Financial Services — 1.3%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 4.50%, 3/31/21
     
 
    1,495       1,488,153  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    3,261       3,252,263  
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
    389       388,745  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    2,582       2,577,997  
 
     
 
            7,707,158  
Diversified Telecommunication Services — 4.3%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    3,033       3,032,312  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    2,717       2,728,368  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/22/20
     
 
    1,125       1,141,875  
Term Loan B, 5.25%, 2/22/19
     
 
    2,015       2,013,875  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    1,085       1,079,803  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    9,510       9,462,450  
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
    1,939       1,919,653  
U.S. Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
    3,058       3,055,641  
 
     
 
            24,433,977  
Electric Utilities — 1.1%
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    1,754       1,755,768  
American Energy — Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    218       228,887  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    1,020       1,091,733  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    218       228,919  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    1,425       1,426,425  
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
    1,285       1,291,219  
 
     
 
            6,022,951  
Electrical Equipment — 1.5%
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    1,177       1,169,105  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    2,557       2,571,720  
Extended Term Loan, 4.65%, 10/10/17 (a)(g)
     
 
    6,610       5,111,381  
 
     
 
            8,852,206  
Electronic Equipment, Instruments & Components — 0.5%
     
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    2,860       2,821,475  
Energy Equipment & Services — 0.6%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    1,822       1,818,193  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    1,577       1,571,527  
 
     
 
            3,389,720  


See Notes to Financial Statements.

22 ANNUAL REPORT AUGUST 31, 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
Food & Staples Retailing — 1.5%
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15
     
GBP
    2,428      $  4,021,091  
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
USD
    1,475        1,466,239  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    1,040       1,051,263  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    2,226       2,209,371  
 
     
 
            8,747,964  
Food Products — 3.5%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
 
    879       882,216  
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
    1,126       1,123,198  
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25% - 5.50%, 2/18/21
     
 
    1,731       1,711,459  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    3,001       2,980,752  
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18
     
 
    2,624       2,613,371  
GFA Brands, Inc., Term Loan B, 4.50%, 7/09/20
     
 
    490       490,663  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    312       310,896  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    2,160       2,161,361  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    1,459       1,462,763  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.25%, 4/29/20
     
 
    531       524,255  
Term Loan G, 3.25%, 4/29/20
     
 
    2,638       2,603,563  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75% - 7.75%, 5/01/19
     
 
    2,464       2,352,941  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    1,195       1,051,600  
 
     
 
            20,269,038  
Health Care Equipment & Supplies — 6.8%
Arysta LifeScience Corp.:
                           
1st Lien Term Loan, 4.50%, 5/29/20
     
 
    4,069       4,059,579  
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
    1,675       1,688,618  
Biomet, Inc., Term Loan B2, 3.66% - 3.73%, 7/25/17
     
 
    3,100       3,093,242  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    2,049       2,025,620  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    4,271       4,264,653  
Fresenius SE & Co. KGaA:
                           
Incremental Term Loan B, 2.46%, 6/30/19
     
EUR
    527       691,907  
Term Loan B, 2.23%, 8/07/19
     
USD
    2,690       2,686,313  
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
    3,303       3,281,633  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    432       432,335  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    3,536       3,533,201  
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
    526       523,680  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    2,199       2,180,242  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    2,625       2,627,467  
National Vision, Inc.:
                           
1st Lien Term Loan, 4.00%, 3/12/21
     
 
    2,754       2,705,049  
2nd Lien Term Loan, 6.75%, 3/07/22
     
 
    530       521,165  
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19
     
 
    640       647,341  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    4,010       4,008,316  
 
     
 
            38,970,361  
Health Care Providers & Services — 7.6%
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    1,470       1,433,250  
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19
     
 
    2,854       2,831,272  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Health Care Providers & Services (concluded)
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
USD
    1,305      $  1,303,369  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    1,063        1,063,131  
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19
     
 
    1,726       1,721,778  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    8,622       8,639,349  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    2,339       2,330,750  
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
 
    9,715       9,684,009  
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
    1,037       1,042,348  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    1,912       1,906,961  
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17
     
 
    1,209       1,227,575  
HCA, Inc.:
                           
Extended Term Loan B4, 2.98%, 5/01/18
     
 
    1,130       1,126,496  
Term Loan B5, 2.91%, 3/31/17
     
 
    821       819,796  
Ikaria, Inc.:
                           
1st Lien Term Loan, 5.00%, 2/12/21
     
 
    1,147       1,149,253  
2nd Lien Term Loan, 8.75%, 2/14/22
     
 
    315       318,544  
inVentiv Health, Inc., Incremental Term Loan B3, 7.75% - 8.50%, 5/15/18
     
 
    1,099       1,092,090  
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21
     
 
    2,310       2,294,186  
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21
     
 
    818       816,674  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20
     
 
    990       988,794  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    1,846       1,839,426  
 
     
 
            43,629,051  
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    3,362       3,316,200  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    1,918       1,901,707  
 
     
 
            5,217,907  
Hotels, Restaurants & Leisure — 11.8%
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
    1,409       1,406,708  
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21
     
 
    2,105       2,088,056  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    1,154       1,144,856  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
    3,056       3,059,673  
Caesars Entertainment Operating Co., Inc.:
                           
Extended Term Loan B6, 6.95%, 3/01/17
     
 
    1,534       1,436,916  
Term Loan B7, 9.75%, 3/01/17
     
 
    1,347       1,301,028  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
    3,928       3,854,611  
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21
     
 
    1,700       1,695,750  
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20
     
 
    825       822,731  
Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21
     
 
    2,350       2,361,750  
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19
     
 
    440       443,850  
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
    1,435       1,438,588  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    8,275       8,220,386  
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
    1,612       1,619,960  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    10,836       10,817,761  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    2,488       2,480,236  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    3,465       3,440,273  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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
Hotels, Restaurants & Leisure (concluded)
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
USD
    1,795      $  1,785,690  
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19
     
 
    1,767       1,757,817  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    1,285       1,284,666  
Sabre, Inc.:
                           
Incremental Term Loan, 4.00%, 2/19/19
     
 
    506       505,066  
Term Loan B, 4.00%, 2/19/19
     
 
    1,389       1,381,906  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    5,049       5,028,855  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
 
    3,345       3,358,949  
Travelport LLC:
                           
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
    1,057       1,076,210  
Refinancing Term Loan, 6.25%, 6/26/19
     
 
    1,080       1,095,813  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    1,135       1,135,942  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    1,635       1,630,012  
 
     
 
            67,674,059  
Household Products — 1.1%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    2,755       2,742,244  
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19
     
 
    1,313       1,313,352  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/07/17
     
 
    902       900,284  
Term Loan C, 3.50%, 9/04/19
     
 
    1,465       1,456,602  
 
     
 
            6,412,482  
Independent Power and Renewable Electricity Producers — 0.4%
             
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
 
    916       915,037  
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
    1,414       1,415,890  
 
     
 
            2,330,927  
Industrial Conglomerates — 0.8%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    4,524       4,425,008  
Insurance — 2.4%
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
 
    1,792       1,781,094  
Asurion LLC:
                           
2nd Lien Term Loan, 8.50%, 3/03/21
     
 
    675       695,925  
Term Loan B1, 5.00%, 5/24/19
     
 
    2,760       2,766,953  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    1,170       1,165,250  
Term Loan B2, 3.75%, 9/20/18
     
 
    2,261       2,241,670  
Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.00%, 4/16/20
     
 
    1,827       1,698,691  
Sedgwick, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    2,025       1,990,339  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    1,155       1,149,225  
 
     
 
            13,489,147  
Internet Software & Services — 1.4%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21
     
 
    1,856       1,837,017  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    2,550       2,541,712  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    2,000       2,005,000  
W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20
     
 
    1,773       1,759,268  
 
     
 
            8,142,997  
IT Services — 3.8%
First Data Corp.:
                           
2018 Extended Term Loan, 3.66%, 3/23/18
     
 
    12,519       12,378,640  
2018 Term Loan, 3.66%, 9/24/18
     
 
    1,150       1,139,581  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    1,856       1,848,306  
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18
     
 
    1,015       952,136  
Floating Rate Loan Interests (c)           Par
(000)
  Value
IT Services (concluded)
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
USD
    1,596      $  1,580,535  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.91%, 2/28/17
     
 
    1,515       1,513,106  
Term Loan E, 4.00%, 3/08/20
     
 
    567       565,421  
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21
     
 
    2,025       2,023,481  
 
     
 
            22,001,206  
Leisure Products — 0.4%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    1,616       1,608,510  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    879       882,523  
 
     
 
            2,491,033  
Machinery — 3.9%
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    573       576,307  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    1,579       1,578,777  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/31/20
     
 
    1,177       1,174,076  
Term Loan B3, 4.25%, 8/28/20
     
 
    354       353,437  
Gardner Denver, Inc., Term Loan:
                           
4.25%, 7/30/20
     
 
    3,883       3,875,594  
4.75%, 7/30/20
     
EUR
    545       717,932  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
USD
    1,445       1,428,284  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    1,965       1,946,611  
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19
     
 
    2,428       2,411,467  
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
    904       911,871  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    2,415       2,398,601  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    2,902       2,888,886  
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
    688       688,564  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    1,155       1,155,575  
 
     
 
            22,105,982  
Media — 14.5%
Acosta, Inc., Term Loan B, 4.25%, 3/02/18
     
 
    194       194,506  
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
    2,576       2,575,447  
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
    1,125       1,122,187  
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
    750       744,750  
Cengage Learning Acquisitions, Inc., 1st Lien Term Loan:
                           
0.00%, 7/03/15 (a)(g)
     
 
    781        
0.00%, 7/03/15 (a)(g)
     
 
    1,708        
7.00%, 3/31/20
     
 
    6,035       6,071,326  
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    2,015       1,980,240  
Term Loan G, 4.25%, 7/24/21
     
 
    4,100       4,123,083  
Clear Channel Communications, Inc.:
                           
Term Loan B, 3.81%, 1/29/16
     
 
    1,455       1,270,569  
Term Loan D, 6.91%, 1/30/19
     
 
    6,875       6,768,851  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    2,374       2,366,263  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
    195       184,097  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    1,240       1,233,490  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    1,991       1,990,865  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    1,468       1,462,030  
IMG Worldwide Holdings LLC:
                           
1st Lien Term Loan, 5.25%, 5/06/21
     
 
    2,300       2,275,574  
2nd Lien Term Loan, 8.25%, 5/01/22
     
 
    915       896,700  


See Notes to Financial Statements.

24 ANNUAL REPORT AUGUST 31, 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
Media (concluded)
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
USD
    4,313      $  4,289,301  
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22
     
 
    1,490       1,489,076  
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
    645       647,690  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    496       493,521  
MCC Iowa LLC:
                           
Term Loan I, 2.63%, 6/30/17
     
 
    1,080       1,074,600  
Term Loan J, 3.75%, 6/30/21
     
 
    525       522,154  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    1,712       1,715,855  
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18
     
 
    1,117       1,097,649  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/13/21
     
 
    1,360       1,346,400  
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20
     
 
    2,290       2,271,182  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    2,236       2,242,760  
Term Loan B2, 4.50%, 5/21/20
     
 
    1,934       1,940,292  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    1,695       1,682,751  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    3,050       3,018,554  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    1,871       1,840,931  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    3,700       3,692,945  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    2,282       2,266,534  
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21
     
EUR
    1,272       1,675,795  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    3,415       3,367,395  
Term Loan E, 4.25%, 6/30/23
     
GBP
    2,840       4,705,587  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    2,220       2,224,352  
Ziggo BV:
                           
Term Loan B1A, 3.25%, 1/15/22
     
 
    1,879       1,842,173  
Term Loan B2A, 3.25%, 1/15/22
     
 
    1,166       1,142,792  
Term Loan B3, 0.50%, 1/15/22
     
 
    918       899,896  
 
     
 
            82,750,163  
Metals & Mining — 1.8%
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
    1,619       1,616,979  
FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19
     
 
    2,397       2,386,732  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    3,401       3,389,754  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    2,598       2,637,316  
 
     
 
            10,030,781  
Multiline Retail — 2.0%
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    1,969       1,964,771  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    2,355       2,341,536  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    870       878,265  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    1,882       1,895,194  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    4,297       4,261,672  
 
     
 
            11,341,438  
Oil, Gas & Consumable Fuels — 3.2%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
 
    1,877       1,824,247  
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21
     
 
    2,910       2,918,497  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    1,920       1,902,394  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Oil, Gas & Consumable Fuels (concluded)
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
USD
    1,360      $  1,354,877  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    590       602,785  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    885       887,307  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    185       184,102  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    1,435       1,463,700  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    1,560       1,591,200  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    470       458,250  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    1,125       1,124,527  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    1,175       1,181,615  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21
     
 
    950       953,563  
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
    1,463       1,458,993  
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21
     
 
    602       599,718  
 
     
 
            18,505,775  
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B2, 4.50%, 4/28/21
     
 
    450       452,250  
Pharmaceuticals — 6.6%
Akorn, Inc.:
                           
Incremental Term Loan, 4.50%, 4/16/21
     
 
    700       700,875  
Term Loan B, 4.50%, 4/16/21
     
 
    1,790       1,792,238  
Amneal Pharmaceuticals LLC, Term Loan, 4.75% - 6.00%, 11/01/19
     
 
    1,226       1,224,978  
Catalent Pharma Solutions, Inc.:
                           
Term Loan, 6.50%, 12/29/17
     
 
    292       293,277  
Term Loan B, 4.50%, 5/20/21
     
 
    3,550       3,552,236  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    916       909,464  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21
     
 
    1,576       1,565,223  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21
     
 
    5,481       5,439,495  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    1,595       1,582,049  
Mallinckrodt International Finance SA, Term Loan:
                           
3.50%, 7/17/21
     
 
    1,440       1,435,378  
B, 3.50%, 3/19/21
     
 
    2,319       2,308,171  
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    3,732       3,699,541  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    4,334       4,330,786  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    2,647       2,623,501  
Valeant Pharmaceuticals International, Inc.:
                           
Series C2 Term Loan B, 3.75%, 12/11/19
     
 
    2,303       2,296,210  
Series D2 Term Loan B, 3.75%, 2/13/19
     
 
    2,533       2,525,026  
Series E Term Loan B, 3.75%, 8/05/20
     
 
    1,436       1,431,213  
 
     
 
            37,709,661  
Professional Services — 2.9%
Advantage Sales & Marketing, Inc.:
                           
1st Lien Term Loan, 4.25%, 7/23/21
     
 
    1,969       1,948,874  
2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    1,580       1,580,332  
Delayed Draw Term Loan, 4.25%, 7/23/21
     
 
    66       64,962  
Ceridian LLC:
                           
Term Loan B1, 4.16%, 5/09/17
     
 
    2,821       2,816,632  
Term Loan B2, 4.50%, 9/14/20
     
 
    2,230       2,227,684  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    3,241       3,220,638  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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
Professional Services (concluded)
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
USD
    1,175      $  1,171,334  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    1,837       1,873,485  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    1,642       1,634,136  
 
     
 
            16,538,077  
Real Estate Management & Development — 1.3%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    2,296       2,292,450  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    115       114,742  
Term Loan B, 3.75%, 3/05/20
     
 
    5,212       5,185,491  
 
     
 
            7,592,683  
Road & Rail — 0.8%
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18
     
 
    1,455       1,427,719  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    2,035       2,012,862  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    975       962,812  
 
     
 
            4,403,393  
Semiconductors & Semiconductor Equipment — 1.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    4,695       4,687,535  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    2,344       2,334,375  
Term Loan B5, 5.00%, 1/15/21
     
 
    710       711,859  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    1,419       1,405,792  
 
     
 
            9,139,561  
Software — 4.0%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
    2,357       2,349,372  
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    1,059       1,040,762  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    780       781,303  
Term Loan B, 4.25% - 5.50%, 11/01/19
     
 
    1,773       1,762,606  
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
 
    851       841,359  
Term Loan B5, 3.75%, 6/03/20
     
 
    4,008       3,972,948  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    891       832,892  
Kronos Worldwide, Inc., 2014 8Term Loan, 4.75%, 2/18/20
     
 
    509       509,361  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    1,787       1,831,296  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    2,195       2,190,518  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    1,600       1,611,008  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21
     
 
    1,160       1,133,900  
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
    925       910,068  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    2,912       2,897,917  
 
     
 
            22,665,310  
Specialty Retail — 4.5%
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    2,273       2,265,792  
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20
     
 
    1,053       1,048,077  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    1,454       1,435,150  
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
 
    161       127,366  
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
    1,970       1,968,999  
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
    1,733       1,690,688  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    2,377       2,360,816  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Specialty Retail (concluded)
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
USD
    2,920      $  2,901,750  
Term Loan B, 3.75%, 1/28/20
     
 
    2,253       2,226,495  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    4,158       4,118,111  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    3,370       3,359,181  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    1,706       1,697,022  
Toys ‘R’ Us-Delaware, Inc.:
                           
Incremental Term Loan B2, 5.25%, 5/25/18
     
 
    785       659,560  
Term Loan B3, 5.25%, 5/25/18
     
 
    163       136,615  
 
     
 
            25,995,622  
Textiles, Apparel & Luxury Goods — 2.1%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    2,145       2,139,263  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    2,298       2,263,945  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    2,060       2,018,208  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    2,225       2,193,716  
Nine West Holdings, Inc.:
                           
Guarantee Term Loan, 6.25%, 1/08/20
     
 
    810       805,950  
Term Loan B, 4.75%, 10/08/19
     
 
    950       951,188  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    1,526       1,533,825  
 
     
 
            11,906,095  
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
    1,931       1,931,411  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    2,663       2,647,574  
Total Floating Rate Loan Interests — 133.3%
  762,866,549  

Non-Agency Mortgage-Backed Securities
     
 
               
Commercial Mortgage-Backed Securities — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)
     
 
    1,336       1,366,874  

Investment Companies
     
  
    Shares           
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust
     
 
    54       806  
Eaton Vance Senior Income Trust
     
 
    13,945       93,013  
Total Investment Companies — 0.0%
     
 
            93,819  

Other Interests (i)
       
Beneficial
Interest
(000)
        
Auto Components — 0.0%
Intermet Liquidating Trust, Class A
     
USD
    256       3  
Diversified Financial Services — 0.1%
J.G. Wentworth LLC Preferred Equity (Acquired 11/18/13, cost $1,177,928) (a)(j)(k)
     
 
    17       231,434  
Household Durables — 0.3%
Stanley Martin, Class B Membership Units (k)
     
 
    1       1,858,750  
Total Other Interests — 0.4%
2,090,187  


See Notes to Financial Statements.

26 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)  BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Preferred Securities        
Shares
  Value
Preferred Stock — 0.0%
     
 
               
Diversified Financial Services — 0.0%
Ally Financial, Inc., Series A, 8.50% (c)(l)
     
 
    4,976      $  135,695  

Trust Preferreds — 0.3%
     
 
               
Diversified Financial Services — 0.3%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
     
 
    71,644       1,918,919  
Total Preferred Securities — 0.3%
  2,054,614  

Warrants (m)
     
 
               
Chemicals — 0.0%
GEO Specialty Chemicals, Inc., (Expires 3/31/15)
     
 
    143,928       138,171  
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       11,191  
Total Warrants — 0.0%
     
 
            149,362  
Total Long-Term Investments
(Cost — $817,221,311) — 142.0%
  813,078,886  
Short-Term Securities            
Shares
  Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (n)(o)
     
 
    3,456,864      $ 3,456,864  
Total Short-Term Securities
(Cost — $3,456,864) — 0.6%
  3,456,864  

Options Purchased
     
 
               
(Cost — $43,022) — 0.0%
     
 
             
Total Investments (Cost — $820,721,197) — 142.6%
      816,535,750  
Liabilities in Excess of Other Assets — (42.6)%
      (244,072,329
Net Assets — 100.0%
     
 
           $ 572,463,421  


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)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty         Value     Unrealized
Appreciation
Deutsche Bank Securities, Inc.
        $ 815,968               

(e)      
Zero-coupon bond.
(f)      
Convertible security.
(g)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)      
Restricted security as to resale. As of report date, the Fund held restricted securities with a current value of $231,434 and an original cost of $1,177,928 which was less than 0.05% of its net assets.
(k)      
Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(l)      
Security is perpetual in nature and has no stated maturity date.
(m)      
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.
(n)      
Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 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
August 31, 2014
    Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           907,643            2,549,221            3,456,864         $ 677    

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

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 27
 
  
Consolidated Schedule of Investments (continued)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
         
     
Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:


Currency Purchased   Currency Sold   Counterparty     Settlement
Date
    Unrealized
Appreciation
USD
     2,851,888   
CAD
     3,072,000   
UBS AG
  
10/21/14
     $ 29,736     
USD
     2,488,112   
EUR
     1,839,000   
Citibank N.A.
  
10/21/14
        71,044   
USD
     7,842,887   
GBP
     4,590,000   
Bank of America N.A.
  
10/21/14
        225,759   
Total
          
 
          
 
  
 
     $ 326,539   

     
OTC options purchased as of August 31, 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
  

     
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 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 derivatives 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)

       
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 derivatives 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 derivatives financial instruments, please refer to Note 2 of the Notes to Financial Statements.
       
The following tables summarize the Fund’s investments and derivatives financial instruments categorized in the disclosure hierarchy as of August 31, 2014:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Investments:
                                                                            
Long-Term Investments:
                                                                            
Common Stocks
    $ 3,292,068         $ 2,052,389         $ 1,510,942         $ 6,855,399   
Asset-Backed Securities
                   13,353,662            1,159,180            14,512,842   
Corporate Bonds
                   18,322,283            4,766,957            23,089,240   
Floating Rate Loan Interests
                   704,178,051            58,688,498            762,866,549   
Non-Agency Mortgage-Backed Securities
                   1,366,874                        1,366,874   
Investment Companies
       93,819                                    93,819   
Other Interests
       231,434                        1,858,753            2,090,187   
Preferred Securities
       2,054,614                                    2,054,614   
Warrants
                   11,191            138,171            149,362   
Short-Term Securities
       3,456,864                                    3,456,864   
Liabilities:
                                                                            
Unfunded Floating Rate Loan Interests
                   (27,119 )           (374 )           (27,493 )  
Total
    $   9,128,799         $ 739,257,331         $ 68,122,127         $ 816,508,257   

    Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                                                            
Assets:
                                                                            
Foreign currency exchange contracts
                $     326,539                       $     326,539     
Total
                $ 326,539                     $ 326,539   
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

28 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (concluded)   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 

       
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Cash
    $ 280,710                                 $ 280,710   
Foreign currency at value
       26,789                                    26,789   
Liabilities:
                                                                            
Bank borrowings payable
                $ (235,000,000 )                       (235,000,000 )  
Total
    $     307,499         $ (235,000,000 )                    $ (234,692,501 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.

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


        Common
Stocks
  Asset-Backed
Securities
  Corporate
Bonds
  Floating
Rate Loan
Interests
  Other
Interests
  Unfunded
Floating Rate
Loan Interests
(Liabilities)
  Warrants   Total
Assets:
                                                                   
Opening Balance, as of August 31, 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
         —        —        —       17,936,055              —        —       17,936,055  
Transfers out of Level 32
         —       (10,743,038      —       (23,415,465      —              —       (34,158,503
Accrued discounts/premiums
         —       23,566       86,305       204,952        —              —       314,823  
Net realized gain (loss)
         —       575,570       (1,224,001     326,795        —              —       (321,636
Net change in unrealized appreciation/ depreciation3,4
        391,799       (562,157     1,840,655       (485,928     3,538,800      $ (374     24,468       4,747,263  
Purchases
         —       1,158,935       825,762       28,630,114        —              —       30,614,811  
Sales
         —       (10,374,829     (949,298     (51,484,308     (3,831,027            —       (66,639,462
Closing Balance, as of August 31, 2014
       $ 1,510,942      $ 1,159,180      $ 4,766,957      $ 58,688,498      $ 1,858,753      $ (374    $ 138,171      $ 68,122,127  
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20144
       $ 391,798      $ (117    $ 603,310      $ (134,297    $ 492,693      $ (374    $ 24,468      $ 1,377,481  
1 As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 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 $17,936,055 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 August 31, 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 $34,158,503 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 August 31, 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 (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2014. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $58,988,343. 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
        $ 1,510,939      
Market Comparable Companies
  
Last 12 Months EBITDA Multiple6
  
6.50x
 
                   
 
  
Illiquidity Discount7
  
17.50%
 
                   
 
  
Offshore Last 12 Months EBITDA Multiple6
  
6.19x
 
                   
 
  
Offshore Current Fiscal Year EBITDA Mulitple6
  
7.25x
 
                   
 
  
Onshore Last 12 Months EBITDA Mulitple6
  
5.18x
 
                   
 
  
Onshore Current Fiscal Year EBITDA Multiple6
  
4.75x
 
                   
 
  
Discontinued Operations Expected Sale Proceeds6
  
$1508
Corporate Bonds
           3,928,902      
Market Comparable Companies
  
Last 12 Months EBITDA Multiple6
  
6.50x
 
                   
 
  
Illiquidity Discount7
  
17.50%
Floating Rate Loan Interests
           1,697,022      
Market Comparable Yield Analysis
  
Yield7
  
8.25%
Other Interests5
           1,858,750      
Market Comparable Companies
  
Tangible Book Value Multiple6
  
1.35x
Warrants
           138,171      
Market Comparable Companies
  
Last 12 Months EBITDA Multiple6
  
6.50x
 
                   
 
  
Illiquidity Discount7
  
17.50%
Total
        $ 9,133,784                                                             
5 For the year ended August 31, 2014, the valuation technique for an investment classified as other interests changed to a market approach. The investment was previously valued utilizing an income approach. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
6 Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.
7 Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.
8 Amount is stated in millions.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 29
 
  
Consolidated Schedule of Investments August 31, 2014 BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

 
Common Stocks
          Shares   Value
Auto Components — 0.0%
Lear Corp.
     
 
    807      $  81,612  
Chemicals — 0.0%
LyondellBasell Industries NV, Class A
     
 
    37       4,231  
Construction & Engineering — 0.0%
USI United Subcontractors
     
 
    6,454       122,626  
Diversified Consumer Services — 0.2%
Cengage Thomson Learning (a)
     
 
    38,155       1,208,254  
Diversified Financial Services — 0.4%
Kcad Holdings I Ltd. (a)
     
 
    384,412,912       2,625,540  
Household Durables — 0.0%
Berkline Benchcraft Equity LLC (a)
     
 
    3,155        
Software — 0.4%
HMH Holdings/EduMedia (a)
     
 
    128,441       2,466,067  
Total Common Stocks — 1.0%
        6,508,330  

 
Asset-Backed Securities
          Par
(000)
   
Asset-Backed Securities — 6.9%
ACAS CLO Ltd. (b)(c):
                           
Series 2013-1A, Class D, 3.83%, 4/20/25
     
USD
    750        721,875  
Series 2014-1A, Class C, 3.15%, 7/18/26
     
 
    1,500       1,459,318  
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.88%, 4/15/24 (b)(c)
     
 
    1,750       1,681,871  
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.42%, 5/10/32 (b)(c)
     
 
    594       581,911  
ALM Loan Funding, Series 2013-7RA (b)(c):
                           
Class C, 3.68%, 4/24/24
     
 
    1,210       1,156,617  
Class D, 5.23%, 4/24/24
     
 
    1,040       966,312  
ALM XIV Ltd., Series 2014-14A, Class C, 3.68%, 7/28/26 (b)(c)
     
 
    3,140       2,980,488  
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20
     
 
    3,750       3,752,925  
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 (b)(c)
     
 
    1,100       1,051,523  
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.58%, 10/22/25 (b)(c)
     
 
    500       464,488  
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.73%, 7/15/24 (b)(c)
     
 
    750       706,066  
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.23%, 2/14/25 (b)(c)
     
 
    250       245,189  
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19
     
 
    2,530       2,560,798  
Cent CLO, Series 2014-21A, Class C, 3.73%, 7/27/26 (b)(c)
     
 
    1,000       947,580  
Central Park CLO Ltd., Series 2011-1A, Class D, 3.43%, 7/23/22 (b)(c)
     
 
    500       492,902  
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.14%, 10/17/26 (b)(c)(d)
     
 
    2,850       2,750,250  
CIFC Funding Ltd., Series 2014-3A, Class D, 3.55%, 7/22/26 (b)(c)
     
 
    420       392,812  
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.32%, 10/25/47 (b)
     
 
    1,114       1,101,451  
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c)
     
 
    2,549       2,456,036  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23 (b)(c)
     
 
    1,090       1,081,567  
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.28%, 7/17/23 (b)(c)
     
 
    5,000       4,965,875  
GSAA Trust, Series 2007-3, Class 1A2, 0.33%, 3/25/47 (b)
     
 
    2,736       1,500,117  
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.73%, 4/15/25 (b)(c)
     
 
    1,000       942,366  
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.73%, 7/15/26 (b)(c)
     
 
    1,165       1,096,658  
 
Asset-Backed Securities           Par
(000)
  Value
Asset-Backed Securities (concluded)
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.48%, 1/20/25 (b)(c)
     
USD
    700      $  699,978  
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.73%, 10/23/25 (b)(c)
     
 
    420       400,612  
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.58%, 7/17/25 (b)(c)
     
 
    2,000       1,885,838  
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c)
     
 
    500       501,371  
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c)
     
 
    780       733,535  
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c)(d)
     
 
    2,500       2,435,250  
Regatta Funding LP, Series 2013-2A, Class C, 4.23%, 1/15/25 (b)(c)
     
 
    500       486,500  
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22
     
 
    3,000       3,116,616  
 
     
 
            46,316,695  
Interest Only Asset-Backed Securities — 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c)
     
 
    7,331       531,478  
Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 4/15/29
     
 
    8,622       592,773  
 
     
 
            1,124,251  
Total Asset-Backed Securities — 7.1%
  47,440,946  

Corporate Bonds
Aerospace — 0.0%
Telefonica SA, Series TIT, 6.00%, 7/24/17 (e)
     
EUR
    200       268,650  
Aerospace & Defense — 0.7%
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f)
     
USD
    928       918,720  
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21
     
 
    570       619,875  
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)
     
 
    339       369,510  
Transdigm, Inc. (c):
                           
6.00%, 7/15/22 (f)
     
 
    1,795       1,826,413  
6.50%, 7/15/24
     
 
    835       855,875  
 
     
 
            4,590,393  
Airlines — 3.0%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c)
     
 
    651       677,398  
American Airlines Pass-Through Trust, Series 2013-2 (f):
                           
Class A, 4.95%, 7/15/24
     
 
    3,647       3,929,157  
Class B, 5.60%, 1/15/22
     
 
    708       734,972  
Class C, 6.00%, 1/15/17 (c)
     
 
    2,600       2,691,000  
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f)
     
 
    2,090       2,215,400  
Continental Airlines, Inc., 6.75%, 9/15/15 (c)(f)
     
 
    1,350       1,352,160  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
 
    217       245,069  
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24
     
 
    2,300       2,300,000  
US Airways Pass-Through Trust, Class C:
                           
Series 2011-1, 10.88%, 10/22/14
     
 
    615       624,067  
Series 2012-1, 9.13%, 10/01/15 (f)
     
 
    1,754       1,850,027  
Virgin Australia Trust, Series 2013-1 (c):
                           
Class A, 5.00%, 4/23/25
     
 
    744       787,193  
Class B, 6.00%, 4/23/22 (f)
     
 
    1,553       1,626,295  
Class C, 7.13%, 10/23/18 (f)
     
 
    1,121       1,170,966  
 
     
 
            20,203,704  
Auto Components — 1.1%
Affinia Group, Inc., 7.75%, 5/01/21 (f)
     
 
    1,095       1,127,850  
Autodis SA, 6.50%, 2/01/19
     
EUR
    100       137,394  
Brighthouse Group PLC, 7.88%, 5/15/18
     
GBP
    100       174,731  


See Notes to Financial Statements.

30 ANNUAL REPORT AUGUST 31, 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)
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f)
     
USD
    2,058      $  2,114,595  
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20
     
GBP
    554       1,020,893  
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c)
     
USD
    207       220,972  
Rhino Bondco SpA, 7.25%, 11/15/20
     
EUR
    110       153,640  
Schaeffler Holding Finance BV:
                           
2.75%, 5/15/19
     
 
    405       533,561  
6.88% (6.88% Cash or 7.63% PIK), 8/15/18 (c)(f)(g)
     
USD
    1,085       1,143,319  
6.88%, 8/15/18 (g)
     
EUR
    375       519,339  
Titan International, Inc., 6.88%, 10/01/20
     
USD
    555       557,775  
 
     
 
            7,704,069  
Auto Parts — 0.0%
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20
     
 
    223       245,858  
Automobiles — 0.9%
Chrysler Group LLC/CG Co-Issuer, Inc. (f):
                           
8.00%, 6/15/19
     
 
    1,087       1,169,232  
8.25%, 6/15/21
     
 
    1,165       1,301,887  
Ford Motor Co., 4.25%, 11/15/16 (e)
     
 
    434       878,308  
General Motors Co., 3.50%, 10/02/18 (f)
     
 
    2,478       2,530,657  
 
     
 
            5,880,084  
Banks — 0.9%
Banco Espirito Santo SA:
                           
4.75%, 1/15/18
     
EUR
    100       131,841  
4.00%, 1/21/19
     
 
    100       129,255  
CIT Group, Inc. (f):
                           
5.00%, 5/15/17
     
USD
    890       940,063  
5.50%, 2/15/19 (c)
     
 
    1,370       1,477,887  
HSBC Holdings PLC, 6.25%, 3/19/18
     
EUR
    1,000       1,541,171  
Nordea Bank AB, 4.50%, 3/26/20
     
 
    1,020       1,539,333  
 
     
 
            5,759,550  
Beverages — 0.1%
Constellation Brands, Inc., 7.25%, 5/15/17
     
USD
    82       92,143  
Crown European Holdings SA, 4.00%, 7/15/22
     
EUR
    260       353,755  
 
     
 
            445,898  
Building Products — 1.0%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c)
     
USD
    190       193,325  
BMBG Bond Finance SCA, 5.20%, 10/15/20 (b)
     
EUR
    200       266,364  
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f)
     
USD
    890       930,050  
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f)
     
 
    770       825,825  
Cemex Finance LLC, 6.00%, 4/01/24 (c)(f)
     
 
    1,045       1,086,800  
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f)
     
 
    1,030       1,081,500  
Ply Gem Industries, Inc., 6.50%, 2/01/22 (c)
     
 
    745       737,550  
USG Corp., 9.75%, 1/15/18 (f)
     
 
    1,390       1,636,725  
 
     
 
            6,758,139  
Cable Television Services — 0.1%
SBA Communications Corp., 4.88%, 7/15/22 (c)
     
 
    710       699,350  
Capital Markets — 1.0%
American Capital Ltd., 6.50%, 9/15/18 (c)(f)
     
 
    975       1,023,750  
Blackstone CQP Holdco LP, 9.30%, 3/18/19
     
 
    953       972,188  
E*Trade Financial Corp., 0.00%, 8/31/19 (c)(e)(h)
     
 
    249       537,684  
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (f)
     
 
    3,285       3,347,037  
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f)
     
 
    1,050       1,105,306  
 
     
 
            6,985,965  
 
Corporate Bonds           Par
(000)
  Value
Chemicals — 0.8%
Ashland, Inc., 3.88%, 4/15/18 (f)
     
USD
    675      $  691,031  
Chemtura Corp., 5.75%, 7/15/21
     
 
    200       208,000  
Huntsman International LLC:
                           
8.63%, 3/15/21
     
 
    655       718,862  
5.13%, 4/15/21
     
EUR
    331       456,446  
INEOS Group Holdings SA:
                           
6.13%, 8/15/18 (c)
     
USD
    680       702,100  
6.50%, 8/15/18
     
EUR
    122       166,948  
LSB Industries, Inc., 7.75%, 8/01/19
     
USD
    301       328,843  
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (f)
     
 
    1,193       1,240,720  
U.S. Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV:
                           
5.75%, 2/01/21
     
EUR
    200       278,557  
7.38%, 5/01/21 (c)
     
USD
    398       433,820  
 
     
 
            5,225,327  
Commercial Services & Supplies — 1.4%
AA Bond Co., Ltd., 9.50%, 7/31/43
     
GBP
    306       563,760  
ADS Waste Holdings, Inc., 8.25%, 10/01/20
     
USD
    292       310,980  
ARAMARK Corp., 5.75%, 3/15/20 (f)
     
 
    712       745,820  
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f)
     
 
    1,000       1,047,678  
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (g)
     
EUR
    100       142,202  
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)(f)
     
USD
    617       641,680  
Covanta Holding Corp., 6.38%, 10/01/22
     
 
    100       107,250  
Mobile Mini, Inc., 7.88%, 12/01/20
     
 
    915       988,200  
Modular Space Corp., 10.25%, 1/31/19 (c)(f)
     
 
    1,253       1,299,987  
United Rentals North America, Inc. (f):
                           
5.75%, 7/15/18
     
 
    494       519,935  
7.63%, 4/15/22
     
 
    1,518       1,703,955  
5.75%, 11/15/24
     
 
    1,039       1,088,353  
 
     
 
            9,159,800  
Communications Equipment — 2.1%
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)
     
 
    6,670       6,736,700  
Alcatel-Lucent USA, Inc. (c)(f):
                           
4.63%, 7/01/17
     
 
    800       812,000  
6.75%, 11/15/20
     
 
    2,150       2,273,625  
Avaya, Inc., 7.00%, 4/01/19 (c)
     
 
    437       434,815  
CommScope, Inc. (c):
                           
5.00%, 6/15/21
     
 
    215       218,225  
5.50%, 6/15/24
     
 
    221       224,868  
Zayo Group LLC/Zayo Capital, Inc. (f):
                           
8.13%, 1/01/20
     
 
    1,800       1,941,750  
10.13%, 7/01/20
     
 
    1,460       1,660,750  
 
     
 
            14,302,733  
Construction & Engineering — 0.3%
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)
     
 
    165       174,488  
Novafives SAS:
                           
4.21%, 6/30/20 (b)
     
EUR
    100       131,986  
4.50%, 6/30/21
     
 
    100       133,300  
Officine MaccaFerri SpA, 5.75%, 6/01/21
     
 
    150       200,147  
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f)
     
USD
    1,138       1,197,745  
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23
     
 
    320       316,800  
 
     
 
            2,154,466  
Construction Materials — 1.3%
HD Supply, Inc. (f):
                           
8.13%, 4/15/19
     
 
    4,285       4,670,650  
11.00%, 4/15/20
     
 
    770       891,275  
7.50%, 7/15/20
     
 
    2,696       2,898,200  
 
     
 
            8,460,125  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 31
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds           Par
(000)
  Value
Consumer Finance — 0.7%
Ford Motor Credit Co. LLC (f):
                           
3.88%, 1/15/15
     
USD
    2,475      $  2,505,940  
7.00%, 4/15/15
     
 
    400       415,880  
Hyundai Capital America, 3.75%, 4/06/16 (c)(f)
     
 
    1,285       1,338,041  
IVS F. SpA, 7.13%, 4/01/20
     
EUR
    235       330,417  
Springleaf Finance Corp.:
                           
7.75%, 10/01/21
     
 
    52       59,020  
8.25%, 10/01/23
     
 
    94       108,805  
 
     
 
            4,758,103  
Containers & Packaging — 0.4%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
                           
6.00%, 6/30/21 (c)
     
 
    380       376,200  
4.25%, 1/15/22
     
EUR
    320       415,208  
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f)
     
USD
    1,560       1,583,400  
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f)
     
 
    144       153,720  
SGD Group SAS, 5.63%, 5/15/19
     
EUR
    100       133,384  
 
     
 
            2,661,912  
Distributors — 0.1%
VWR Funding, Inc., 7.25%, 9/15/17 (f)
     
USD
    874       922,070  
Diversified Consumer Services — 0.3%
APX Group, Inc.:
                           
6.38%, 12/01/19
     
 
    76       77,140  
8.75%, 12/01/20
     
 
    357       355,215  
Garda World Security Corp., 7.25%, 11/15/21 (c)
     
 
    275       281,531  
Laureate Education, Inc., 9.25%, 9/01/19 (c)(f)
     
 
    1,020       1,045,500  
 
     
 
            1,759,386  
Diversified Financial Services — 2.6%
Aircastle Ltd., 6.25%, 12/01/19 (f)
     
 
    367       397,278  
Ally Financial, Inc. (f):
                           
8.30%, 2/12/15
     
 
    2,460       2,533,800  
8.00%, 11/01/31
     
 
    3,146       4,065,952  
Carlson Travel Holdings, Inc., 7.50%, 8/15/19 (c)(g)
     
 
    204       209,610  
CE Energy AS, 7.00%, 2/01/21
     
EUR
    150       204,730  
Co-Operative Group Holdings, 6.88%, 7/08/20 (i)
     
GBP
    190       336,720  
General Motors Financial Co., Inc., 2.63%, 7/10/17 (f)
     
USD
    2,760       2,772,508  
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):
                           
7.38%, 4/01/20 (f)
     
 
    585       611,325  
6.88%, 4/15/22
     
 
    456       457,140  
Leucadia National Corp., 8.13%, 9/15/15 (f)
     
 
    1,870       1,993,887  
Reynolds Group Issuer, Inc.:
                           
7.13%, 4/15/19 (f)
     
 
    1,294       1,344,143  
9.00%, 4/15/19
     
 
    790       829,500  
9.88%, 8/15/19
     
 
    307       340,386  
5.75%, 10/15/20 (f)
     
 
    800       836,000  
6.88%, 2/15/21
     
 
    210       224,963  
 
     
 
            17,157,942  
Diversified Telecommunication Services — 3.7%
CenturyLink, Inc.:
                           
6.45%, 6/15/21
     
 
    155       169,725  
Series V, 5.63%, 4/01/20 (f)
     
 
    751       794,182  
Level 3 Communications, Inc., 8.88%, 6/01/19 (f)
     
 
    735       793,800  
Level 3 Financing, Inc.:
                           
3.82%, 1/15/18 (b)(c)
     
 
    411       413,055  
8.13%, 7/01/19 (f)
     
 
    3,083       3,337,347  
7.00%, 6/01/20
     
 
    495       533,363  
6.13%, 1/15/21 (c)(f)
     
 
    1,682       1,774,510  
Telecom Italia SpA:
                           
6.13%, 11/15/16 (e)
     
EUR
    300       468,883  
6.38%, 6/24/19
     
GBP
    200       360,677  
4.88%, 9/25/20
     
EUR
    220       317,192  
4.50%, 1/25/21
     
 
    270       382,321  
5.88%, 5/19/23
     
GBP
    450       785,808  
Corporate Bonds           Par
(000)
  Value
Diversified Telecommunication Services (concluded)
Telenet Finance V Luxembourg SCA:
                           
6.25%, 8/15/22
     
EUR
    271      $  386,347  
6.75%, 8/15/24
     
 
    397       583,447  
Verizon Communications, Inc., 3.65%, 9/14/18 (f)
     
USD
    13,000       13,865,969  
Windstream Corp.:
                           
7.75%, 10/15/20
     
 
    41       44,178  
6.38%, 8/01/23
     
 
    5       5,013  
 
     
 
            25,015,817  
Electric Utilities — 0.3%
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)
     
 
    728       733,460  
Homer City Generation LP (g):
                           
8.14% (8.14% Cash or 8.64% PIK), 10/01/19
     
 
    345       369,150  
8.73% (8.73% Cash or 9.23% PIK), 10/01/26
     
 
    599       634,940  
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
     
 
    403       434,350  
 
     
 
            2,171,900  
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 4/15/23
     
EUR
    140       191,771  
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20
     
 
    106       154,599  
 
     
 
            346,370  
Energy Equipment & Services — 0.7%
Calfrac Holdings LP, 7.50%, 12/01/20 (c)(f)
     
 
    503       534,437  
CGG SA, 7.75%, 5/15/17
     
 
    111       112,388  
MEG Energy Corp. (c)(f):
                           
6.50%, 3/15/21
     
 
    244       257,420  
7.00%, 3/31/24
     
 
    864       939,600  
Peabody Energy Corp. (f):
                           
6.00%, 11/15/18
     
 
    1,004       1,034,120  
6.25%, 11/15/21
     
 
    583       580,814  
Precision Drilling Corp., 5.25%, 11/15/24 (c)
     
 
    522       522,000  
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (c)(f)
     
 
    535       561,750  
Transocean, Inc., 6.00%, 3/15/18 (f)
     
 
    230       255,941  
 
     
 
            4,798,470  
Food & Staples Retailing — 0.6%
Brakes Capital, 7.13%, 12/15/18
     
GBP
    1,255       2,109,741  
Premier Foods Finance PLC, 5.56%, 3/15/20 (b)
     
 
    115       186,144  
R&R Ice Cream PLC:
                           
9.25%, 5/15/18
     
EUR
    314       421,451  
4.75%, 5/15/20
     
 
    150       197,092  
5.50%, 5/15/20
     
GBP
    105       171,712  
Rite Aid Corp., 9.25%, 3/15/20 (f)
     
USD
    1,095       1,226,400  
 
     
 
            4,312,540  
Food Products — 0.3%
Boparan Finance PLC:
                           
5.25%, 7/15/19
     
GBP
    100       158,991  
4.38%, 7/15/21
     
EUR
    105       132,455  
5.50%, 7/15/21
     
GBP
    115       181,152  
Findus Bondco SA:
                           
9.13%, 7/01/18
     
EUR
    187       266,594  
9.50%, 7/01/18
     
GBP
    100       179,296  
Smithfield Foods, Inc.:
                           
5.88%, 8/01/21 (c)
     
USD
    193       206,510  
6.63%, 8/15/22
     
 
    783       861,300  
Univeg Holding BV, 7.88%, 11/15/20
     
EUR
    135       175,609  
 
     
 
            2,161,907  
Gas Utilities — 0.2%
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (f)
     
USD
    1,515       1,581,281  


See Notes to Financial Statements.

32 ANNUAL REPORT AUGUST 31, 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 Equipment & Supplies — 0.3%
3AB Optique Developpement SAS, 5.63%, 4/15/19
     
EUR
    170      $  215,553  
Biomet, Inc., 6.50%, 10/01/20 (f)
     
USD
    418       445,693  
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f)
     
 
    413       438,813  
IDH Finance PLC, 6.00%, 12/01/18
     
GBP
    113       195,101  
Teleflex, Inc., 6.88%, 6/01/19 (f)
     
USD
    675       713,812  
 
     
 
            2,008,972  
Health Care Providers & Services — 2.1%
Acadia Healthcare Co., Inc., 5.13%, 7/01/22 (c)
     
 
    240       242,400  
Amsurg Corp., 5.63%, 7/15/22 (c)
     
 
    1,016       1,038,860  
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f)
     
 
    995       1,052,212  
CHS/Community Health Systems, Inc. (f):
                           
5.13%, 8/15/18
     
 
    490       509,600  
6.88%, 2/01/22 (c)
     
 
    1,604       1,704,250  
Crown Newco 3 PLC, 7.00%, 2/15/18
     
GBP
    335       579,509  
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f)
     
USD
    1,093       1,108,712  
HCA Holdings, Inc., 7.75%, 5/15/21
     
 
    285       310,650  
HCA, Inc.:
                           
3.75%, 3/15/19 (f)
     
 
    786       791,895  
6.50%, 2/15/20
     
 
    160       179,000  
5.88%, 3/15/22
     
 
    82       89,175  
4.75%, 5/01/23
     
 
    108       108,945  
5.00%, 3/15/24
     
 
    335       341,281  
Hologic, Inc., 6.25%, 8/01/20 (f)
     
 
    1,289       1,359,895  
Kindred Healthcare, Inc., 6.38%, 4/15/22 (c)
     
 
    186       187,860  
Tenet Healthcare Corp.:
                           
6.25%, 11/01/18
     
 
    264       287,760  
5.00%, 3/01/19 (c)
     
 
    911       922,388  
4.75%, 6/01/20
     
 
    520       529,100  
6.00%, 10/01/20
     
 
    811       879,935  
8.13%, 4/01/22 (f)
     
 
    898       1,033,822  
Voyage Care Bondco PLC, 6.50%, 8/01/18
     
GBP
    355       607,034  
 
     
 
            13,864,283  
Home Building — 0.1%
Weyerhaeuser Real Estate Co. (c):
                           
4.38%, 6/15/19
     
USD
    500       500,000  
5.88%, 6/15/24
     
 
    340       346,800  
 
     
 
            846,800  
Hotels, Restaurants & Leisure — 4.9%
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 (f)
     
 
    5,255       4,207,956  
CDW LLC/CDW Finance Corp., 6.00%, 8/15/22
     
 
    280       295,050  
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18
     
EUR
    540       734,367  
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (e)
     
GBP
    100       168,920  
Enterprise Inns PLC, 6.50%, 12/06/18
     
 
    926       1,641,682  
Gamenet SpA, 7.25%, 8/01/18
     
EUR
    100       135,350  
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18
     
USD
    357       370,388  
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c)
     
 
    485       497,125  
Intralot Finance Luxembourg SA, 9.75%, 8/15/18
     
EUR
    480       714,263  
MCE Finance Ltd., 5.00%, 2/15/21 (c)(f)
     
USD
    941       936,295  
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f)
     
 
    576       583,200  
Snai SpA, 7.63%, 6/15/18
     
EUR
    205       290,235  
Spirit Issuer PLC (b):
                           
Series A1, 1.10%, 12/28/28
     
GBP
    550       780,970  
Series A2, 3.25%, 12/28/31
     
 
    1,800       2,808,975  
Series A5, 5.47%, 12/28/34
     
 
    4,500       7,283,911  
Series A6, 2.35%, 12/28/36
     
 
    2,670       4,244,217  
Station Casinos LLC, 7.50%, 3/01/21 (f)
     
USD
    2,245       2,424,600  
Corporate Bonds           Par
(000)
  Value
Hotels, Restaurants & Leisure (concluded)
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (c)
     
USD
    78      $  77,628  
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
    1,288       2,250,533  
Series A4, 5.66%, 6/30/27
     
 
    791       1,323,695  
Vougeot Bidco PLC, 7.88%, 7/15/20
     
 
    218       378,213  
Wynn Macau Ltd., 5.25%, 10/15/21 (c)(f)
     
USD
    428       435,490  
 
     
 
            32,583,063  
Household Durables — 1.3%
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c)
     
 
    510       503,625  
Beazer Homes USA, Inc.:
                           
6.63%, 4/15/18
     
 
    910       962,325  
5.75%, 6/15/19
     
 
    523       519,078  
Berkline/Benchcraft LLC, 1.00%, 11/03/14 (a)(j)
     
 
    200        
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (c)(f)
     
 
    925       981,656  
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)
     
 
    259       268,389  
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f)
     
 
    2,130       2,289,750  
KB Home, 7.25%, 6/15/18 (f)
     
 
    880       968,000  
Spie BondCo 3 SCA, 11.00%, 8/15/19
     
EUR
    248       363,353  
Standard Pacific Corp., 8.38%, 1/15/21 (f)
     
USD
    1,000       1,175,000  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c)
     
 
    597       602,970  
 
     
 
            8,634,146  
Household Products — 0.2%
Ontex IV SA, 9.00%, 4/15/19
     
EUR
    353       497,790  
Spectrum Brands, Inc.:
                           
6.38%, 11/15/20
     
USD
    250       268,750  
6.63%, 11/15/22
     
 
    285       308,513  
 
     
 
            1,075,053  
Independent Power and Renewable Electricity Producers — 0.9%
             
The AES Corp., 7.75%, 10/15/15 (f)
     
 
    534       567,375  
Baytex Energy Corp. (c):
                           
5.13%, 6/01/21
     
 
    170       170,212  
5.63%, 6/01/24
     
 
    61       61,000  
Calpine Corp.:
                           
6.00%, 1/15/22 (c)
     
 
    143       154,083  
5.38%, 1/15/23
     
 
    1,099       1,109,990  
5.88%, 1/15/24 (c)
     
 
    438       468,660  
5.75%, 1/15/25
     
 
    1,162       1,173,620  
NRG Energy, Inc.:
                           
7.63%, 1/15/18 (f)
     
 
    913       1,028,038  
6.25%, 5/01/24 (c)
     
 
    536       553,420  
NRG REMA LLC:
                           
Series B, 9.24%, 7/02/17
     
 
    63       67,548  
Series C, 9.68%, 7/02/26 (f)
     
 
    589       642,010  
 
     
 
            5,995,956  
Insurance — 1.6%
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f)
     
 
    3,000       3,342,546  
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f)
     
 
    304       325,280  
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f)
     
 
    750       861,186  
Galaxy Bidco Ltd., 6.38%, 11/15/20
     
GBP
    100       165,808  
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c)
     
USD
    255       268,388  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)
     
 
    595       635,162  
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)
     
EUR
    400       637,358  
Pension Insurance Corp. PLC, 6.50%, 7/03/24
     
GBP
    125       213,844  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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
Insurance (concluded)
Prudential Holdings LLC, 8.70%, 12/18/23 (c)(f)
     
USD
    2,871      $  3,658,321  
TMF Group Holding BV, 9.88%, 12/01/19
     
EUR
    310       441,010  
 
     
 
            10,548,903  
Internet Software & Services — 0.3%
Cerved Group SpA:
                           
6.38%, 1/15/20
     
 
    100       140,264  
8.00%, 1/15/21
     
 
    100       145,323  
IAC/InterActiveCorp, 4.88%, 11/30/18 (f)
     
USD
    695       721,063  
Interactive Data Corp., 5.88%, 4/15/19 (c)
     
 
    741       738,221  
 
     
 
            1,744,871  
IT Services — 2.1%
Ceridian Corp., 8.88%, 7/15/19 (c)(f)
     
 
    1,395       1,562,400  
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)
     
 
    1,004       1,147,070  
Ceridian LLC/Comdata, Inc., 8.13%, 11/15/17 (c)
     
 
    655       663,843  
Epicor Software Corp., 8.63%, 5/01/19 (f)
     
 
    1,260       1,351,350  
First Data Corp.:
                           
7.38%, 6/15/19 (c)(f)
     
 
    1,775       1,894,812  
6.75%, 11/01/20 (c)(f)
     
 
    813       880,072  
11.75%, 8/15/21
     
 
    713       843,123  
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f)
     
 
    1,040       1,089,400  
The Western Union Co., 2.88%, 12/10/17 (f)
     
 
    4,000       4,136,072  
WEX, Inc., 4.75%, 2/01/23 (c)(f)
     
 
    550       528,000  
 
     
 
            14,096,142  
Machinery — 0.1%
Amsted Industries, Inc., 5.00%, 3/15/22 (c)
     
 
    298       300,235  
Galapagos Holding SA, 7.00%, 6/15/22
     
EUR
    100       128,527  
Galapagos SA, 5.38%, 6/15/21
     
 
    100       132,709  
 
     
 
            561,471  
Media — 5.1%
Adria Bidco BV, 7.88%, 11/15/20
     
 
    140       196,692  
Altice Financing SA, 6.50%, 1/15/22 (c)
     
USD
    850       894,625  
Altice SA:
                           
7.25%, 5/15/22
     
EUR
    400       557,288  
7.75%, 5/15/22 (c)(f)
     
USD
    1,050       1,115,625  
AMC Networks, Inc., 7.75%, 7/15/21 (f)
     
 
    865       954,744  
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (c):
                           
5.25%, 2/15/22
     
 
    105       107,363  
5.63%, 2/15/24
     
 
    165       169,950  
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j)
     
 
    509        
Clear Channel Communications, Inc.:
                           
9.00%, 12/15/19
     
 
    345       357,075  
9.00%, 3/01/21
     
 
    966       1,002,225  
Clear Channel Worldwide Holdings, Inc.:
                           
7.63%, 3/15/20
     
 
    677       724,390  
6.50%, 11/15/22 (f)
     
 
    965       1,027,725  
6.50%, 11/15/22
     
 
    213       227,910  
Columbus International, Inc., 7.38%, 3/30/21 (c)(f)
     
 
    1,375       1,497,031  
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (f)
     
 
    3,000       3,099,441  
DISH DBS Corp. (f):
                           
7.13%, 2/01/16
     
 
    200       213,500  
4.25%, 4/01/18
     
 
    1,330       1,361,587  
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c)
     
 
    305       323,300  
Gannett Co., Inc.:
                           
5.13%, 10/15/19 (c)
     
 
    197       201,925  
5.13%, 7/15/20
     
 
    218       222,905  
6.38%, 10/15/23 (c)
     
 
    304       323,000  
Gray Television, Inc., 7.50%, 10/01/20 (f)
     
 
    428       451,540  
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f)
     
 
    825       827,062  
Intelsat Jackson Holdings SA:
                           
7.25%, 10/15/20 (f)
     
 
    1,660       1,776,200  
5.50%, 8/01/23
     
 
    515       513,069  
Intelsat Luxembourg SA, 6.75%, 6/01/18
     
 
    800       838,000  
Corporate Bonds           Par
(000)
  Value
Media (concluded)
Level 3 Escrow II, Inc., 5.38%, 8/15/22 (c)
     
USD
    1,055      $  1,060,275  
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c)
     
 
    185       199,338  
The McClatchy Co., 9.00%, 12/15/22
     
 
    330       371,250  
MDC Partners, Inc., 6.75%, 4/01/20 (c)
     
 
    733       765,985  
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)
     
 
    245       252,963  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)
     
 
    345       354,488  
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)
     
 
    330       333,300  
Numericable Group SA:
                           
4.88%, 5/15/19 (c)(f)
     
 
    1,770       1,792,125  
5.38%, 5/15/22
     
EUR
    110       153,192  
6.00%, 5/15/22 (c)(f)
     
USD
    1,530       1,575,900  
5.63%, 5/15/24
     
EUR
    260       361,704  
6.25%, 5/15/24 (c)(f)
     
USD
    510       525,937  
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)
     
 
    580       619,150  
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c)
     
 
    386       385,035  
Sirius XM Holdings, Inc., 5.75%, 8/01/21 (c)(f)
     
 
    424       440,960  
Sterling Entertainment Corp., 10.00%, 12/15/19
     
 
    1,175       1,198,500  
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)
     
 
    789       858,037  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50%, 3/15/19
     
 
    1,440       1,522,800  
Virgin Media Secured Finance PLC, 6.00%, 4/15/21
     
GBP
    1,274       2,212,852  
VTR Finance BV, 6.88%, 1/15/24 (c)
     
USD
    512       549,120  
 
     
 
            34,517,083  
Metals & Mining — 1.6%
ArcelorMittal (f):
                           
4.25%, 8/05/15
     
 
    738       753,683  
6.13%, 6/01/18
     
 
    612       666,315  
Constellium NV:
                           
4.63%, 5/15/21
     
EUR
    195       266,469  
5.75%, 5/15/24 (c)
     
USD
    358       372,320  
Eco-Bat Finance PLC, 7.75%, 2/15/17
     
EUR
    495       666,665  
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f)
     
USD
    695       781,006  
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f)
     
 
    510       569,288  
Novelis, Inc., 8.75%, 12/15/20 (f)
     
 
    2,375       2,627,344  
Peabody Energy Corp., 6.50%, 9/15/20
     
 
    408       410,550  
Perstorp Holding AB, 8.75%, 5/15/17 (c)
     
 
    290       309,575  
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17
     
 
    160       170,400  
Steel Dynamics, Inc., 6.38%, 8/15/22 (f)
     
 
    555       593,850  
ThyssenKrupp AG, 3.13%, 10/25/19
     
EUR
    400       549,751  
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f)
     
USD
    2,156       2,328,480  
 
     
 
            11,065,696  
Multiline Retail — 0.3%
Debenhams PLC, 5.25%, 7/15/21
     
GBP
    225       369,799  
Dufry Finance SCA, 4.50%, 7/15/22
     
EUR
    135       185,087  
Hema Bondco I BV, 6.25%, 6/15/19
     
 
    205       271,887  
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f)
     
USD
    856       923,410  
 
     
 
            1,750,183  
Oil, Gas & Consumable Fuels — 4.5%
Access Midstream Partners LP/ACMP Finance Corp.:
                           
4.88%, 5/15/23
     
 
    455       478,887  
4.88%, 3/15/24
     
 
    209       219,764  
American Energy-Permian Basin LLC/AEPB Finance Corp. (c):
                           
7.13%, 11/01/20
     
 
    338       327,860  
7.38%, 11/01/21
     
 
    289       281,775  
Antero Resources Finance Corp., 5.38%, 11/01/21 (f)
     
 
    774       797,220  


See Notes to Financial Statements.

34 ANNUAL REPORT AUGUST 31, 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)
Athlon Holdings LP/Athlon Finance Corp.:
7.38%, 4/15/21
     
USD
    254      $  275,590  
6.00%, 5/01/22 (c)
     
 
    230       236,900  
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
     
 
    95       99,750  
Chaparral Energy, Inc., 7.63%, 11/15/22
     
 
    305       327,494  
Cimarex Energy Co., 4.38%, 6/01/24
     
 
    206       214,498  
Concho Resources, Inc., 5.50%, 4/01/23 (f)
     
 
    1,365       1,457,137  
CONSOL Energy, Inc., 5.88%, 4/15/22 (c)(f)
     
 
    1,653       1,727,385  
El Paso LLC:
                           
7.80%, 8/01/31
     
 
    116       143,840  
7.75%, 1/15/32
     
 
    556       696,390  
Energy Transfer Equity LP, 5.88%, 1/15/24 (f)
     
 
    875       924,219  
Energy XXI Gulf Coast, Inc., 6.88%, 3/15/24 (c)
     
 
    278       282,865  
EnQuest PLC, 7.00%, 4/15/22 (c)
     
 
    428       430,140  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f)
     
 
    450       474,750  
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f)
     
 
    520       518,700  
Kinder Morgan Energy Partners LP, 4.15%, 2/01/24
     
 
    640       650,506  
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f)
     
 
    1,285       1,431,169  
Kinder Morgan, Inc. (c):
                           
5.00%, 2/15/21
     
 
    302       323,140  
5.63%, 11/15/23
     
 
    306       337,365  
Laredo Petroleum, Inc., 7.38%, 5/01/22
     
 
    515       563,925  
Lightstream Resources Ltd., 8.63%, 2/01/20 (c)
     
 
    379       392,265  
Linn Energy LLC/Linn Energy Finance Corp.:
                           
8.63%, 4/15/20 (f)
     
 
    1,083       1,156,102  
7.75%, 2/01/21
     
 
    215       228,975  
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
     
 
    344       356,900  
NGPL PipeCo LLC, 9.63%, 6/01/19 (c)
     
 
    353       385,653  
Oasis Petroleum, Inc.:
                           
7.25%, 2/01/19
     
 
    380       399,000  
6.50%, 11/01/21
     
 
    410       437,675  
Petrobras Global Finance BV, 3.00%, 1/15/19 (f)
     
 
    768       756,764  
Range Resources Corp.:
                           
6.75%, 8/01/20 (f)
     
 
    815       872,050  
5.75%, 6/01/21
     
 
    161       171,868  
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (c)
     
 
    143       153,725  
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 (c)
     
 
    376       383,520  
Rosetta Resources, Inc., 5.63%, 5/01/21
     
 
    379       388,001  
Sabine Pass Liquefaction LLC (f):
                           
5.63%, 4/15/23
     
 
    754       784,160  
5.75%, 5/15/24 (c)
     
 
    456       474,240  
Sabine Pass LNG LP, 7.50%, 11/30/16 (f)
     
 
    3,110       3,378,237  
Sanchez Energy Corp., 6.13%, 1/15/23 (c)
     
 
    681       704,835  
SandRidge Energy, Inc.:
                           
8.75%, 1/15/20
     
 
    79       82,950  
7.50%, 3/15/21
     
 
    225       236,250  
7.50%, 2/15/23 (f)
     
 
    921       957,840  
Seventy Seven Energy, Inc., 6.50%, 7/15/22 (c)
     
 
    258       265,740  
SM Energy Co., 6.63%, 2/15/19
     
 
    60       62,700  
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f)
     
 
    935       946,687  
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21
     
 
    636       699,600  
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (f)
     
 
    176       184,360  
Ultra Petroleum Corp., 5.75%, 12/15/18 (c)
     
 
    425       438,813  
Whiting Petroleum Corp., 5.00%, 3/15/19 (f)
     
 
    1,426       1,504,430  
 
     
 
            30,024,609  
Paper & Forest Products — 0.0%
NewPage Corp., 11.38%, 12/31/14 (a)(j)
     
 
    3,177        
Pfleiderer GmbH, 7.88%, 8/01/19
     
EUR
    100       130,410  
 
     
 
            130,410  
Corporate Bonds           Par
(000)
  Value
Pharmaceuticals — 1.1%
Capsugel SA, 7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (c)(g)
     
USD
    156      $  159,510  
Endo Finance LLC/Endo Finco, Inc. (c):
                           
7.25%, 1/15/22
     
 
    121       131,134  
5.38%, 1/15/23
     
 
    230       229,425  
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)
     
 
    759       779,873  
Jaguar Holding Co. I, 9.38%, 10/15/17 (c)(g)
     
 
    268       275,705  
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)
     
 
    830       847,638  
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (c)
     
 
    140       151,900  
Valeant Pharmaceuticals International, Inc. (c):
                           
6.75%, 8/15/18 (f)
     
 
    2,214       2,368,980  
6.88%, 12/01/18 (f)
     
 
    1,210       1,259,912  
6.38%, 10/15/20 (f)
     
 
    613       641,351  
7.50%, 7/15/21
     
 
    335       365,150  
5.63%, 12/01/21
     
 
    520       528,450  
 
     
 
            7,739,028  
Professional Services — 0.1%
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f)
     
 
    540       580,500  
Real Estate Investment Trusts (REITs) — 0.5%
Felcor Lodging LP, 6.75%, 6/01/19 (f)
     
 
    820       865,100  
iStar Financial, Inc.:
                           
4.00%, 11/01/17
     
 
    435       432,825  
5.00%, 7/01/19
     
 
    305       305,000  
Rayonier AM Products, Inc., 5.50%, 6/01/24 (c)
     
 
    64       62,720  
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f)
     
 
    1,300       1,432,891  
 
     
 
            3,098,536  
Real Estate Management & Development — 0.9%
Realogy Corp. (c):
                           
7.63%, 1/15/20 (f)
     
 
    1,837       2,002,330  
9.00%, 1/15/20
     
 
    301       336,368  
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)
     
 
    759       759,000  
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)
     
 
    220       228,800  
RPG Byty Sro, 6.75%, 5/01/20
     
EUR
    220       297,741  
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f)
     
USD
    2,110       2,278,800  
 
     
 
            5,903,039  
Road & Rail — 1.1%
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f)
     
 
    3,400       3,463,305  
EC Finance PLC, 5.13%, 7/15/21
     
EUR
    180       240,562  
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f)
     
USD
    1,170       1,234,350  
The Hertz Corp.:
                           
7.50%, 10/15/18
     
 
    540       563,625  
6.75%, 4/15/19
     
 
    405       424,744  
5.88%, 10/15/20
     
 
    435       447,506  
7.38%, 1/15/21 (f)
     
 
    675       722,250  
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)
     
 
    319       326,178  
 
     
 
            7,422,520  
Semiconductors & Semiconductor Equipment — 0.4%
             
Micron Technology, Inc., 5.50%, 2/01/25 (c)
     
 
    840       850,500  
NXP BV/NXP Funding LLC (c)(f):
                           
3.75%, 6/01/18
     
 
    950       954,750  
5.75%, 2/15/21
     
 
    560       588,000  
 
     
 
            2,393,250  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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
Software — 0.7%
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% (7.13% Cash or 7.88% PIK), 5/01/21 (c)(g)
     
USD
    744      $  757,020  
Infor US, Inc., 9.38%, 4/01/19 (f)
     
 
    2,000       2,200,000  
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f)
     
 
    1,715       1,723,575  
 
     
 
            4,680,595  
Specialty Retail — 0.4%
Magnolia BC SA, 9.00%, 8/01/20
     
EUR
    274       362,744  
New Look Bondco I PLC, 8.75%, 5/14/18
     
GBP
    100       175,976  
Party City Holdings, Inc., 8.88%, 8/01/20
     
USD
    374       412,335  
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75% (8.75% Cash or 9.50% PIK), 8/15/19 (c)(g)
     
 
    252       258,930  
QVC, Inc., 7.50%, 10/01/19 (c)(f)
     
 
    410       427,983  
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f)
     
 
    508       535,940  
THOM Europe SAS, 7.38%, 7/15/19
     
EUR
    230       295,409  
Twin Set-Simona Barbieri SpA, 6.08%, 7/15/19 (b)
     
 
    212       268,139  
 
     
 
            2,737,456  
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22
     
USD
    380       413,250  
Springs Industries, Inc., 6.25%, 6/01/21
     
 
    645       648,225  
The William Carter Co., 5.25%, 8/15/21
     
 
    346       361,570  
 
     
 
            1,423,045  
Trading Companies & Distributors — 0.2%
Ashtead Capital, Inc., 6.50%, 7/15/22 (c)(f)
     
 
    1,054       1,146,225  
Transportation Infrastructure — 1.9%
Aguila 3 SA, 7.88%, 1/31/18 (c)
     
 
    848       881,920  
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f)
     
 
    917       930,306  
JCH Parent, Inc., 10.50% (10.25% Cash or 11.25% PIK), 3/15/19 (c)(g)
     
 
    878       873,610  
Penske Truck Leasing Co. LP/PTL Finance Corp. (c)(f):
                           
3.13%, 5/11/15
     
 
    3,372       3,428,086  
3.38%, 3/15/18
     
 
    6,155       6,458,565  
 
     
 
            12,572,487  
Wireless Telecommunication Services — 2.0%
Digicel Ltd., 6.00%, 4/15/21 (c)(f)
     
 
    2,073       2,135,190  
The Geo Group, Inc., 5.88%, 1/15/22
     
 
    340       347,650  
Phones4u Finance PLC, 9.50%, 4/01/18
     
GBP
    207       351,383  
Sprint Communications, Inc. (c)(f):
                           
9.00%, 11/15/18
     
USD
    2,020       2,401,275  
7.00%, 3/01/20
     
 
    1,141       1,272,215  
Sprint Corp. (c):
                           
7.88%, 9/15/23
     
 
    1,215       1,303,087  
7.13%, 6/15/24
     
 
    515       525,300  
T-Mobile USA, Inc.:
                           
6.63%, 4/28/21 (f)
     
 
    1,380       1,452,450  
6.13%, 1/15/22
     
 
    75       77,719  
6.73%, 4/28/22 (f)
     
 
    1,455       1,535,025  
6.50%, 1/15/24
     
 
    535       556,400  
Wind Acquisition Finance SA:
                           
4.00%, 7/15/20
     
EUR
    695       917,761  
4.20%, 7/15/20 (b)
     
 
    320       422,041  
 
     
 
            13,297,496  
Total Corporate Bonds — 59.6%
  398,933,627  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Aerospace & Defense — 0.8%
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
USD
    1,284      $  1,277,973  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    1,375       1,347,500  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    650       645,686  
Term Loan D, 3.75%, 6/04/21
     
 
    300       297,876  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,576       1,568,832  
 
     
 
            5,137,867  
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic Line of Credit, 6.50%, 3/19/21
     
 
    678       654,402  
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21
     
 
    713       696,546  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    123       120,094  
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    984       960,754  
 
     
 
            2,431,796  
Airlines — 0.1%
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    451       438,922  
1.56%, 9/10/18
     
 
    621       592,016  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    7       6,732  
 
     
 
            1,037,670  
Auto Components — 1.7%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    741       743,702  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/28/17
     
 
    961       960,747  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    1,250       1,205,212  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    856       855,700  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    3,340       3,313,748  
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    2,985       2,993,388  
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18
     
 
    1,248       1,242,188  
 
     
 
            11,314,685  
Banks — 0.1%
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    418       417,202  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    353       360,290  
 
     
 
            777,492  
Beverages — 0.0%
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j)
     
 
    1,000        
Building Products — 1.0%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    863       857,103  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    1,639       1,638,972  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    943       930,854  
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15
     
 
    375       374,531  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    1,147       1,125,972  
United Subcontractors, Inc., Term Loan, 4.24%, 6/30/15
     
 
    172       162,963  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    766       755,937  
Term Loan B, 4.00%, 10/31/19
     
 
    808       796,934  
 
     
 
            6,643,266  


See Notes to Financial Statements.

36 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Capital Markets — 0.2%
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
USD
    633      $  627,070  
Term Loan B, 6.75%, 4/30/18
     
 
    524       518,584  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    576       572,709  
 
     
 
            1,718,363  
Chemicals — 1.5%
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    769       769,573  
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
    662       657,124  
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20
     
 
    663       660,262  
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21
     
 
    1,325       1,323,344  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    1,258       1,251,851  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    705       706,177  
Term Loan B2, 4.25%, 1/15/20
     
 
    675       672,369  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    773       774,564  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/02/21
     
 
    520       516,428  
2nd Lien Term Loan, 7.75%, 7/02/22
     
 
    1,050       1,040,550  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    658       650,121  
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20
     
 
    932       929,665  
 
     
 
            9,952,028  
Commercial Services & Supplies — 1.6%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    1,012       996,745  
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
    1,193       1,188,910  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    1,567       1,565,087  
Catalent Pharma Solutions, Inc.:
                           
Term Loan, 6.50%, 12/29/17
     
 
    216       217,025  
Term Loan B, 4.50%, 5/20/21
     
 
    625       625,394  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    1,175       1,180,146  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    1,000       1,003,750  
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20
     
 
    1,875       1,877,344  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/16/19
     
 
    338       336,200  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    1,778       1,762,816  
 
     
 
            10,753,417  
Communications Equipment — 1.6%
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    975       965,494  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    3,960       4,007,045  
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    328       327,529  
2nd Lien Term Loan, 7.50%, 1/23/22
     
 
    265       266,590  
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17
     
 
    760       736,612  
CommScope, Inc., Term Loan B3, 2.66%, 1/21/17
     
 
    434       435,847  
Telesat Canada, Term Loan A, 4.37%, 3/24/17
     
CAD
    1,652       1,503,711  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
USD
    2,752       2,740,595  
 
     
 
            10,983,423  
Construction & Engineering — 0.1%
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/15/20
     
 
    710       718,875  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Construction Materials — 0.4%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
USD
    502      $  502,726  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,869       1,858,338  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    377       377,150  
 
     
 
            2,738,214  
Containers & Packaging — 0.2%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    384       381,799  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    996       981,820  
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21
     
 
    50       49,672  
 
     
 
            1,413,291  
Distributors — 0.4%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    2,089       2,067,882  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    200       199,500  
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17
     
 
    453       450,555  
 
     
 
            2,717,937  
Diversified Consumer Services — 0.7%
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21
     
 
    516       511,858  
Fitness International LLC, Term Loan B, 5.50%, 7/01/20
     
 
    600       597,498  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    76       75,358  
Term Loan B, 4.00%, 11/06/20
     
 
    297       294,580  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    625       606,129  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    1,090       1,081,007  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    1,656       1,301,234  
 
     
 
            4,467,664  
Diversified Financial Services — 0.4%
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    1,509       1,505,417  
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
    447       446,337  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    1,119       1,117,629  
 
     
 
            3,069,383  
Diversified Telecommunication Services — 1.6%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    2,227       2,226,207  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    1,724       1,731,749  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/22/20
     
 
    1,270       1,289,050  
Term Loan B, 5.25%, 2/22/19
     
 
    1,160       1,159,953  
Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20
     
 
    3,365       3,348,175  
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
    988       987,169  
 
     
 
            10,742,303  
Electric Utilities — 0.4%
American Energy—Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    571       571,255  
American Energy—Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    489       513,665  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    489       513,737  
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
    836       839,538  
 
     
 
            2,438,195  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 37
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Electrical Equipment — 1.0%
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
USD
    866      $  871,433  
Extended Term Loan, 4.65%, 10/10/17 (a)(j)
     
 
    7,640       5,907,859  
 
     
 
            6,779,292  
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    839       828,138  
Energy Equipment & Services — 0.2%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    1,099       1,096,845  
Food & Staples Retailing — 0.3%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
 
    630       626,258  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    240       242,599  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    902       895,428  
 
     
 
            1,764,285  
Food Products — 1.3%
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25%, 2/18/21
     
 
    642       634,420  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    1,502       1,492,128  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
    1,053       1,048,302  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    675       675,425  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    1,040       1,042,099  
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20
     
 
    1,038       1,024,353  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75%, 5/01/19
     
 
    1,471       1,405,163  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    1,380       1,214,400  
 
     
 
            8,536,290  
Health Care Equipment & Supplies — 2.0%
Arysta LifeScience Corp.:
                           
1st Lien Term Loan, 4.50%, 5/29/20
     
 
    1,470       1,466,782  
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
    530       534,309  
Biomet, Inc., Term Loan B2, 3.73%, 7/25/17
     
 
    1,157       1,154,749  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    543       536,800  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    1,697       1,693,943  
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
    1,308       1,300,105  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    633       632,649  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    1,825       1,826,716  
National Vision, Inc.:
                           
1st Lien Term Loan, 4.00%, 3/12/21
     
 
    1,252       1,229,370  
2nd Lien Term Loan, 6.75%, 3/07/22
     
 
    340       334,332  
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19
     
 
    406       410,724  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    2,175       2,174,087  
 
     
 
            13,294,566  
Health Care Providers & Services — 2.5%
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    1,360       1,326,000  
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19
     
 
    844       837,626  
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
 
    460       459,425  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    440       439,916  
Care UK Health & Social Care PLC, 5.56%, 7/15/19
     
GBP
    191       309,162  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
USD
    3,985       3,993,144  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    1,169       1,165,375  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Health Care Providers & Services (concluded)
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
USD
    2,845      $  2,835,924  
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
    898       902,704  
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17
     
 
    1,014       1,028,714  
Ikaria, Inc.:
                           
1st Lien Term Loan, 5.00%, 2/12/21
     
 
    510       510,779  
2nd Lien Term Loan, 8.75%, 2/14/22
     
 
    270       273,038  
inVentiv Health, Inc., Incremental Term Loan B3, 7.75%, 5/15/18
     
 
    231       229,682  
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21
     
 
    778       772,929  
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21
     
 
    579       577,647  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.25%, 7/09/20
     
 
    405       404,894  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    594       591,773  
 
     
 
            16,658,732  
Health Care Technology — 0.1%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    628       619,941  
Hotels, Restaurants & Leisure — 4.6%
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
    505       503,728  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
    1,239       1,240,660  
Caesars Entertainment Operating Co., Inc.:
                           
Extended Term Loan B6, 6.95%, 3/01/17
     
 
    981       919,319  
Term Loan B7, 9.75%, 3/01/17
     
 
    1,821       1,758,498  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
    1,989       1,952,297  
Caesars Growth Properties Holdings LLC, Term Loan, 6.25%, 5/08/21
     
 
    2,350       2,294,610  
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21
     
 
    790       788,025  
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20
     
 
    290       289,202  
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21
     
 
    1,825       1,834,125  
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19
     
 
    340       342,975  
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
    585       586,462  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    1,818       1,806,234  
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
    612       614,985  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    4,891       4,883,117  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    647       644,861  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    1,070       1,062,249  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    730       726,050  
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19
     
 
    720       715,965  
Sabre, Inc.:
                           
Incremental Term Loan, 4.00%, 2/19/19
     
 
    397       396,131  
Term Loan B, 4.00%, 2/19/19
     
 
    561       558,643  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    2,342       2,331,996  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 4.00%, 9/02/21
     
 
    1,200       1,205,004  
Travelport LLC/Travelport Holdings, Inc.:
                           
2nd Lien PIK Term Loan 2, 4.00%, 12/01/16
     
 
    1,055       1,055,361  
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
    1,178       1,200,207  
Refinancing Term Loan, 6.25%, 6/26/19
     
 
    1,236       1,254,053  
 
     
 
            30,964,757  
Household Products — 0.2%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    1,150       1,144,402  


See Notes to Financial Statements.

38 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Independent Power and Renewable Electricity Producers — 0.4%
         
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
USD
    1,048      $  1,047,155  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    830       830,830  
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
    994       995,227  
 
     
 
            2,873,212  
Industrial Conglomerates — 0.3%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    2,349       2,297,406  
Insurance — 1.0%
Asurion LLC:
                           
2nd Lien Term Loan, 8.50%, 3/03/21
     
 
    445       458,795  
Term Loan B1, 5.00%, 5/24/19
     
 
    1,496       1,499,980  
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18
     
 
    1,308       1,297,326  
Cooper Gay Swett & Crawford Ltd.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    1,049       975,942  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    500       450,000  
Sedgwick, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    1,102       1,083,411  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    665       661,675  
 
     
 
            6,427,129  
Internet Software & Services — 0.5%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21
     
 
    1,169       1,156,990  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    805       802,384  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    1,450       1,453,625  
 
     
 
            3,412,999  
IT Services — 2.1%
Ceridian LLC:
                           
Term Loan B1, 4.16%, 5/09/17
     
 
    988       986,806  
Term Loan B2, 4.50%, 9/14/20
     
 
    551       550,539  
First Data Corp.:
                           
2018 Extended Term Loan, 3.66%, 3/23/18
     
 
    7,249       7,167,649  
2018 Term Loan, 3.66%, 9/24/18
     
 
    1,640       1,625,142  
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18
     
 
    754       707,469  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    798       790,267  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.91%, 2/28/17
     
 
    705       704,119  
Term Loan E, 4.00%, 3/08/20
     
 
    379       378,397  
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21
     
 
    950       949,287  
 
     
 
            13,859,675  
Leisure Products — 0.1%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    422       420,406  
Machinery — 1.0%
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18
     
 
    1,063       1,063,401  
Gardner Denver, Inc.:
                           
4.25%, 7/30/20
     
 
    838       836,518  
4.75%, 7/30/20
     
EUR
    221       291,368  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
USD
    1,081       1,070,636  
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
    525       529,494  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    1,316       1,307,084  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    571       568,579  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    908       908,178  
 
     
 
            6,575,258  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Media — 4.8%
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
USD
    1,090      $  1,089,147  
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
    465       463,837  
Cengage Learning Acquisitions, Inc., 1st Lien Term Loan:
                           
0.00%, 7/03/15 (a)(j)
     
 
    2,005        
7.00%, 3/31/20
     
 
    2,434       2,448,601  
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    1,173       1,153,113  
Term Loan G, 3.50%, 7/24/21
     
 
    1,435       1,443,079  
Clear Channel Communications, Inc.:
                           
Term Loan B, 3.81%, 1/29/16
     
 
    316       314,122  
Term Loan D, 6.91%, 1/30/19
     
 
    4,063       4,000,009  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    1,341       1,336,872  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
    208       196,269  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    886       886,050  
IMG Worldwide Holdings LLC:
                           
1st Lien Term Loan, 5.25%, 5/06/21
     
 
    995       984,433  
2nd Lien Term Loan, 8.25%, 5/01/22
     
 
    1,065       1,043,700  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    2,514       2,500,321  
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
    395       396,647  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    696       697,502  
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18
     
 
    778       764,434  
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20
     
 
    1,659       1,645,222  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    1,106       1,109,278  
Term Loan B2, 4.50%, 5/21/20
     
 
    957       959,677  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    997       989,572  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    1,083       1,081,317  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    2,423       2,406,786  
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21
     
EUR
    442       582,097  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    410       404,285  
Term Loan E, 4.25%, 6/30/23
     
GBP
    790       1,308,948  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    730       731,630  
Ziggo BV:
                           
Term Loan B1A, 2.50%, 1/15/22
     
 
    489       479,000  
Term Loan B2A, 2.50%, 1/15/22
     
 
    333       326,723  
Term Loan B3, 2.75%, 1/15/22
     
 
    548       537,342  
 
     
 
            32,280,013  
Metals & Mining — 0.8%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    255       259,144  
FMG Resources (August 2006) Property Ltd., Term Loan B, 3.75%, 6/30/19
     
 
    1,391       1,384,662  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    2,001       1,994,615  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    1,511       1,533,758  
 
     
 
            5,172,179  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 39
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Multiline Retail — 0.5%
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
USD
    586      $  582,728  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    575       580,462  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    948       954,582  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    1,643       1,629,024  
 
     
 
            3,746,796  
Oil, Gas & Consumable Fuels — 1.7%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
 
    1,499       1,456,888  
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21
     
 
    1,005       1,007,935  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    1,127       1,116,335  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    466       464,629  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    420       429,101  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    899       900,956  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    187       186,168  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    1,645       1,677,900  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    900       918,000  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    275       268,125  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    450       449,811  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    460       462,590  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21
     
 
    370       371,387  
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
    1,015       1,012,363  
WTG Holdings III Corp.:
                           
1st Lien Term Loan, 4.75%, 1/15/21
     
 
    299       297,381  
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
    160       159,733  
 
     
 
            11,179,302  
Pharmaceuticals — 1.4%
Akorn, Inc.:
                           
Incremental Term Loan, 3.50%, 4/16/21
     
 
    410       410,513  
Term Loan B, 4.50%, 4/16/21
     
 
    885       886,106  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21
     
 
    853       847,003  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21
     
 
    2,100       2,083,737  
Mallinckrodt International Finance SA, Term Loan B, 3.50%, 3/19/21
     
 
    793       789,246  
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    1,649       1,634,154  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    1,392       1,390,774  
Valeant Pharmaceuticals International, Inc.:
                           
Series C2, Term Loan B, 3.75%, 12/11/19
     
 
    478       476,251  
Series E, Term Loan B, 3.75%, 8/05/20
     
 
    721       717,950  
 
     
 
            9,235,734  
Professional Services — 0.7%
Advantage Sales & Marketing, Inc.:
                           
1st Lien Term Loan, 4.25%, 7/23/21
     
 
    469       464,474  
2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    605       605,127  
Delayed Draw Term Loan, 3.25%, 7/23/21
     
 
    16       15,482  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    610       606,461  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Professional Services (concluded)
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
USD
    850      $  847,348  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    1,057       1,077,757  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    1,166       1,160,480  
 
     
 
            4,777,129  
Real Estate Management & Development — 0.5%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    941       939,677  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    47       47,149  
Term Loan B, 3.75%, 3/05/20
     
 
    2,101       2,090,457  
 
     
 
            3,077,283  
Road & Rail — 0.2%
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    1,012       1,001,498  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    675       666,562  
 
     
 
            1,668,060  
Semiconductors & Semiconductor Equipment — 0.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    2,680       2,675,739  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    720       716,744  
Term Loan B5, 5.00%, 1/15/21
     
 
    377       378,330  
 
     
 
            3,770,813  
Software — 1.7%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
    811       808,643  
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    460       452,294  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    560       560,935  
Term Loan B, 4.25%, 11/01/19
     
 
    551       547,779  
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20
     
 
    1,111       1,101,067  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    610       570,350  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    234       234,706  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    1,837       1,882,449  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    632       630,511  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    1,200       1,208,256  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21
     
 
    1,020       997,050  
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
    909       893,389  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    850       845,411  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    560       556,500  
 
     
 
            11,289,340  
Specialty Retail — 0.9%
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    1,456       1,451,643  
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
 
    1,200       1,192,500  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    2,437       2,414,154  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    893       890,068  
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
    242       202,995  
 
     
 
            6,151,360  


See Notes to Financial Statements.

40 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)  BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Textiles, Apparel & Luxury Goods — 0.5%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
USD
    1,246      $  1,227,618  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    638       625,498  
Nine West Holdings, Inc.:
                           
Guarantee Term Loan, 6.25%, 1/08/20
     
 
    555       552,225  
Term Loan B, 4.75%, 10/08/19
     
 
    440       440,550  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    714       717,734  
 
     
 
            3,563,625  
Thrifts & Mortgage Finance — 0.1%
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
    857       857,310  
Wireless Telecommunication Services — 0.2%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    1,535       1,525,554  
Total Floating Rate Loan Interests — 45.5%
  304,903,700  

Foreign Agency Obligations
Cyprus Government International Bond, 4.63%, 2/03/20
     
EUR
    1,000       1,307,380  
Iceland Government International Bond:
                           
4.88%, 6/16/16
     
USD
    580       605,546  
5.88%, 5/11/22
     
 
    3,030       3,448,155  
Total Foreign Agency Obligations — 0.8%
  5,361,081  

Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.5%
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35
     
 
    5,164       4,835,563  
Countrywide Home Loan Mortgage Pass-Through Trust:
             
Series 2005-17, Class 1A6, 5.50%, 9/25/35
     
 
    1,284       1,251,798  
Series 2006-17, Class A2, 6.00%, 12/25/36
     
 
    2,798       2,587,868  
Series 2007-HY5, Class 3A1, 5.05%, 9/25/37 (b)
     
 
    1,855       1,731,011  
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.57%, 10/25/35 (b)
     
 
    1,847       1,665,446  
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)
     
 
    4,162       4,258,180  
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.46%, 2/26/37 (b)(c)
     
 
    664       660,411  
 
     
 
            16,990,277  
Commercial Mortgage-Backed Securities — 7.7%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.95%, 2/10/51 (b)
     
 
    1,687       1,861,842  
Commercial Mortgage Pass-Through Certificates (b)(c):
             
Series 2013-LC13, Class D, 5.22%, 8/10/46
     
 
    3,530       3,462,471  
Series 2014-KYO, Class F, 3.66%, 6/11/27
     
 
    1,855       1,845,078  
Commercial Mortgage Trust, Series 2013-LC6:
                           
Class B, 3.74%, 1/10/46
     
 
    1,110       1,117,904  
Class D, 4.43%, 1/10/46 (b)(c)
     
 
    1,330       1,254,836  
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39
     
 
    1,850       1,989,170  
Credit Suisse Mortgage Capital Certificates (b):
                           
Series 2007-C2, Class A2, 5.45%, 1/15/49
     
 
    5       4,974  
Series 2007-C5, Class AAB, 5.62%, 9/15/40
     
 
    1,160       1,229,154  
Series 2014-SURF, Class E, 3.26%, 2/15/29 (c)
     
 
    1,000       1,002,559  
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.01%, 7/10/38 (b)
     
 
    1,610       1,729,322  
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c)
     
 
    1,995       1,995,375  
Non-Agency Mortgage-Backed Securities           Par
(000)
  Value
Commercial Mortgage-Backed Securities (concluded)
GS Mortgage Securities Trust (b):
                           
Series 2006-GG6, Class AM, 5.62%, 4/10/38
     
USD
    3,680      $  3,878,683  
Series 2014-GSFL, Class D, 4.06%, 7/15/31 (c)
     
 
    1,140       1,138,873  
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.25%, 11/15/45 (b)(c)
     
 
    1,400       1,390,179  
JPMorgan Chase Commercial Mortgage Securities Corp.:
                           
Series 2004-LN2, Class A2, 5.12%, 7/15/41
     
 
    297       298,293  
Series 2007-CB18, Class A4, 5.44%, 6/12/47
     
 
    2,075       2,243,747  
Series 2007-CB19, Class A4, 5.89%, 2/12/49 (b)
     
 
    2,140       2,337,760  
Series 2012-LC9, Class XA, 2.08%, 12/15/47 (b)
     
 
    14,813       1,466,400  
LB-UBS Commercial Mortgage Trust (b):
                           
Series 2007-C2, Class AM, 5.49%, 2/15/40
     
 
    2,500       2,666,797  
Series 2007-C6, Class A4, 5.86%, 7/15/40
     
 
    4,469       4,752,872  
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.01%, 6/12/50 (b)
     
 
    1,501       1,613,697  
Talisman Finance PLC, Series 6, Class A, 0.38%, 10/22/16 (b)
     
EUR
    1,619       2,064,047  
Titan Europe PLC, Series 2007-1X, Class A, 0.81%, 1/20/17 (b)
     
GBP
    2,548       4,018,889  
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.14%, 2/15/51 (b)
     
USD
    2,030       2,201,632  
WF-RBS Commercial Mortgage Trust:
                           
Series 2012-C8, Class B, 4.31%, 8/15/45
     
 
    1,085       1,141,373  
Series 2012-C8, Class C, 5.04%, 8/15/45 (b)
     
 
    1,395       1,494,124  
Series 2014-C20, Class XA, 1.41%, 5/15/47 (b)
     
 
    14,954       1,181,732  
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.81%, 4/24/17 (b)
     
GBP
    46       75,828  
 
     
 
            51,457,611  
Interest Only Commercial Mortgage-Backed Securities — 0.3%
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.39%, 11/15/45 (b)(c)
     
USD
    16,543       1,943,274  
Total Non-Agency Mortgage-Backed Securities — 10.5%
  70,391,162  

U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 1.0%
Freddie Mac Mortgage-Backed Securities:
                           
Series 3986, Class M, REMIC, 4.50%, 9/15/41
     
 
    2,411       2,629,557  
Series K032, Class A2, 3.31%, 5/25/23 (b)
     
 
    3,500       3,655,516  
 
     
 
            6,285,073  
Interest Only Collateralized Mortgage Obligations — 0.8%
     
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.23%, 12/25/17 (b)
     
 
    19,723       2,122,936  
Freddie Mac Mortgage-Backed Securities, Class X1 (b):
             
Series K707, 1.69%, 12/25/18
     
 
    42,627       2,470,667  
Series K710, 1.91%, 5/25/19
     
 
    13,258       943,567  
 
     
 
            5,537,170  
Mortgage-Backed Securities — 3.5%
Fannie Mae Mortgage-Backed Securities (f):
                           
3.50%, 8/01/26
     
 
    7,542       7,986,635  
5.00%, 7/01/20–8/01/23
     
 
    5,598       5,981,355  
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 (f)
     
 
    8,905       9,575,323  
 
     
 
            23,543,313  
Total U.S. Government Sponsored Agency Securities — 5.3%
  35,365,556  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 41
 
  
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
Auto Components — 0.0%
Lear Corp. Escrow
     
USD
    1,000      $  8,750  
Construction Materials — 0.0%
USI Senior Holdings
     
 
    6        
Diversified Financial Services — 0.0%
J.G. Wentworth LLC Preferred Equity Interests (Acquired 11/18/13, cost $969,589) (a)(l)(m)
     
 
    14       191,652  
Total Other Interests — 0.0%
  200,402  

Preferred Securities
Capital Trusts
     
 
    Par
(000
       
Banks — 0.5%
Wachovia Capital Trust III, 5.57% (b)(f)(n)
     
 
    3,365       3,297,700  
Capital Markets — 0.5%
Credit Suisse Group AG, 6.25% (b)(c)(f)(n)
     
 
    1,445       1,437,775  
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(n)
     
 
    1,920       1,982,085  
 
     
 
            3,419,860  
Diversified Financial Services — 4.4%
Bank of America Corp. (b)(f)(n):
                           
Series U, 5.20%
     
 
    1,250       1,204,688  
Series V, 5.13%
     
 
    3,470       3,434,190  
Barclays PLC, 8.00% (b)(n)
     
 
    600       851,529  
Citigroup, Inc. (b)(f)(n):
                           
5.90%
     
 
    5,000       5,015,650  
5.95%
     
 
    1,370       1,381,987  
JPMorgan Chase & Co. (b)(f)(n):
                           
Series U, 6.13%
     
 
    6,690       6,840,525  
Series V, 5.00%
     
 
    3,000       2,974,968  
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)
     
 
    1,450       1,653,000  
Morgan Stanley, Series H, 5.45% (b)(f)(n)
     
 
    1,426       1,450,955  
Societe Generale SA, 6.00% (b)(c)(f)(n)
     
 
    4,825       4,607,875  
 
     
 
            29,415,367  
Insurance — 3.5%
The Allstate Corp., 6.13%, 5/15/67 (b)(f)
     
 
    3,000       3,195,000  
AXA SA, 6.46% (b)(c)(f)(n)
     
 
    1,625       1,724,531  
Genworth Holdings, Inc., 6.15%, 11/15/66 (b)(f)
     
 
    1,850       1,628,000  
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f)
     
 
    2,500       2,943,750  
Liberty Mutual Group, Inc. (c)(f):
                           
7.00%, 3/07/67 (b)
     
 
    1,575       1,673,438  
7.80%, 3/07/87
     
 
    1,500       1,770,000  
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f)
     
 
    3,250       3,485,625  
Swiss Re Capital I LP, 6.85% (b)(c)(f)(n)
     
 
    3,000       3,157,500  
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f)
     
 
    3,500       3,561,250  
 
     
 
            23,139,094  
Total Capital Trusts — 8.9%
    59,272,021  
 
 
Preferred Stocks
          Shares   Value
Capital Markets — 0.8%
The Goldman Sachs Group, Inc., Series J, 5.50% (b)
     
 
    202,526      $  4,957,837  
SCE Trust III, 5.75% (b)
     
 
    21,200       563,496  
 
     
 
            5,521,333  
Consumer Finance — 0.0%
Ally Financial, Inc., Series A, 8.50% (b)
     
 
    8,657       236,076  
Diversified Financial Services — 0.5%
Morgan Stanley, 6.88% (b)
     
 
    120,000       3,241,200  
Total Preferred Stocks — 1.3%
  8,998,609  

Trust Preferreds — 0.5%
Diversified Financial Services — 0.5%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
     
 
    124,413       3,332,288  
Total Preferred Securities — 10.7%
  71,602,918  

Warrants (o) — 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       14,419  
Total Long-Term Investments
(Cost — $927,830,032) — 140.5%
  940,722,141  

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (p)(q)
     
 
    7,390,390       7,390,390  
Total Short-Term Securities
(Cost — $7,390,390) — 1.1%
    7,390,390  
Options Purchased
(Cost — $246,671) — 0.0%
    2,762  
Total Investments Before Options Written
(Cost — $935,467,093) — 141.6%
        948,115,293  
Options Written
(Premiums Received — $187,000) — (0.0)%
  (175,052
Total Investments, Net of Options Written — 141.6%
  947,940,241  
Liabilities in Excess of Other Assets — (41.6)%
    (278,557,844
Net Assets — 100.0%
       $ 669,382,397  


Notes to Consolidated Schedule of Investments

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


Counterparty         Value     Unrealized
Appreciation
Bank of America N.A.
        $ 2,435,250               
Morgan Stanley & Co. LLC
        $ 2,750,250               

See Notes to Financial Statements.

42 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 

(e)      
Convertible security.
(f)      
All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h)      
Zero-coupon bond.
(i)      
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(j)      
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 restricted securities with a current value of $191,652 and an original cost of $969,589 which was less than 0.05% of its net assets.
(m)      
Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(n)      
Security is perpetual in nature and has no stated maturity date.
(o)      
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.
(p)      
Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 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
August 31, 2014
    Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           1,184,093            6,206,297            7,390,390         $ 2,538   

(q)      
Represents the current yield as of the report date.
     
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows:


Counterparty         Interest
Rate
    Trade
Date
    Maturity
Date1
    Face
Value
    Face Value
Including
Accrued
Interest
Credit Suisse Securities (USA) LLC
     
0.40%
  
3/07/13
  
Open
     $   1,503,125         $   1,512,177     
Credit Suisse Securities (USA) LLC
     
0.35%
  
3/22/13
  
Open
        1,496,075            1,503,755   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        243,800            245,021   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        5,701,069            5,729,614   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        1,233,600            1,239,777   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        1,277,250            1,283,645   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        2,861,250            2,875,576   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        3,119,100            3,134,717   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        3,213,750            3,229,841   
Credit Suisse Securities (USA) LLC
     
0.35%
  
4/03/13
  
Open
        3,695,000            3,713,501   
Credit Suisse Securities (USA) LLC
     
0.40%
  
5/30/13
  
Open
        720,960            724,637   
Barclays Capital, Inc.
     
0.44%
  
6/21/13
  
Open
        1,109,299            1,115,223   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        1,731,221            1,743,744   
Barclays Capital, Inc.
     
0.60%
  
6/24/13
  
Open
        488,876            492,412   
BNP Paribas Securities Corp.
     
0.34%
  
9/18/13
  
Open
        13,065,000            13,107,940   
Barclays Capital, Inc.
     
0.60%
  
9/27/13
  
Open
        1,189,125            1,195,844   
Barclays Capital, Inc.
     
0.60%
  
10/15/13
  
Open
        893,525            898,305   
Barclays Capital, Inc.
     
0.60%
  
10/16/13
  
Open
        803,937            808,225   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        728,012            731,883   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        682,594            686,223   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        875,600            880,255   
Barclays Capital, Inc.
     
0.60%
  
10/17/13
  
Open
        1,215,287            1,221,749   
Barclays Capital, Inc.
     
0.60%
  
10/21/13
  
Open
        676,000            679,538   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        845,434            849,858   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        1,023,231            1,028,586   
Barclays Capital, Inc.
     
0.60%
  
10/22/13
  
Open
        788,400            792,526   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        2,067,975            2,077,970   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        1,356,788            1,363,345   
Barclays Capital, Inc.
     
0.60%
  
11/15/13
  
Open
        1,283,400            1,289,603   
Barclays Capital, Inc.
     
0.55%
  
11/18/13
  
Open
        1,313,488            1,319,247   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        1,227,000            1,232,644   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        1,538,000            1,545,075   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        2,602,000            2,613,969   
Deutsche Bank Securities, Inc.
     
0.60%
  
11/27/13
  
Open
        834,000            837,836   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        723,000            726,169   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        564,000            566,472   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        549,000            551,406   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        727,000            730,187   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/12/13
  
Open
        1,323,000            1,328,799   
Deutsche Bank Securities, Inc.
     
0.59%
  
12/16/13
  
Open
        412,000            413,749   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/18/13
  
Open
        996,000            1,000,108   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 43
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 

       
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (continued):


Counterparty         Interest
Rate
    Trade
Date
    Maturity
Date1
    Face
Value
    Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
     $   1,030,000         $   1,034,395     
Deutsche Bank Securities, Inc.
     
0.60%
  
12/18/13
  
Open
        1,222,000            1,227,214   
Deutsche Bank Securities, Inc.
     
0.50%
  
12/27/13
  
Open
        1,416,000            1,420,818   
Deutsche Bank Securities, Inc.
     
0.55%
  
12/27/13
  
Open
        973,000            976,642   
Deutsche Bank Securities, Inc.
     
0.55%
  
12/27/13
  
Open
        296,000            297,108   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        1,450,000            1,455,723   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        593,000            595,341   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        945,000            948,730   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        357,000            358,409   
Deutsche Bank Securities, Inc.
     
0.58%
  
12/27/13
  
Open
        1,228,000            1,232,847   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/27/13
  
Open
        1,898,000            1,905,750   
Deutsche Bank Securities, Inc.
     
0.60%
  
12/27/13
  
Open
        820,000            823,348   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        3,109,000            3,114,592   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        3,202,000            3,207,759   
Barclays Capital, Inc.
     
0.35%
  
2/28/14
  
Open
        1,929,000            1,932,470   
Barclays Capital, Inc.
     
0.60%
  
2/28/14
  
Open
        935,000            937,883   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        474,000            475,340   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        2,862,000            2,870,089   
Deutsche Bank Securities, Inc.
     
0.55%
  
2/28/14
  
Open
        1,073,000            1,076,033   
Deutsche Bank Securities, Inc.
     
0.55%
  
3/10/14
  
Open
        349,000            349,933   
HSBC Securities (USA), Inc.
     
0.38%
  
3/10/14
  
Open
        6,339,571            6,351,282   
Barclays Capital, Inc.
     
0.60%
  
3/11/14
  
Open
        629,879            631,706   
Deutsche Bank Securities, Inc.
     
0.60%
  
3/20/14
  
Open
        686,000            687,887   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        500,000            501,047   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        1,500,000            1,503,140   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        1,000,000            1,002,093   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        800,000            801,674   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        2,100,000            2,104,395   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        500,000            501,047   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        500,000            501,047   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        1,300,000            1,302,721   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        900,000            901,884   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        2,000,000            2,004,186   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        1,200,000            1,202,512   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        500,000            501,047   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        600,000            601,256   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/16/14
  
Open
        100,000            100,209   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/16/14
  
Open
        500,000            501,104   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/16/14
  
Open
        1,600,000            1,603,532   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/16/14
  
Open
        2,400,000            2,405,297   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/16/14
  
Open
        1,500,000            1,503,311   
Deutsche Bank Securities, Inc.
     
0.60%
  
4/16/14
  
Open
        500,000            501,142   
Barclays Capital, Inc.
     
0.60%
  
4/17/14
  
Open
        611,000            612,354   
Barclays Capital, Inc.
     
0.60%
  
4/17/14
  
Open
        1,633,000            1,636,620   
Barclays Capital, Inc.
     
0.60%
  
4/17/14
  
Open
        278,000            278,616   
Barclays Capital, Inc.
     
0.60%
  
4/17/14
  
Open
        960,000            962,128   
Barclays Capital, Inc.
     
0.60%
  
4/17/14
  
Open
        502,000            503,113   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        899,000            900,817   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        593,000            594,199   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        768,000            769,553   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        2,075,000            2,079,195   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        848,000            849,714   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        945,000            946,910   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        1,498,000            1,501,028   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        1,014,000            1,016,050   
Deutsche Bank Securities, Inc.
     
0.55%
  
4/21/14
  
Open
        1,539,000            1,542,111   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        1,244,000            1,246,652   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        142,000            142,303   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        705,000            706,503   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        467,000            467,996   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        1,180,000            1,182,516   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        200,000            200,426   
Deutsche Bank Securities, Inc.
     
0.58%
  
4/21/14
  
Open
        3,194,000            3,200,809   
HSBC Securities (USA), Inc.
     
0.55%
  
5/09/14
  
Open
        1,125,643            1,127,621   
Deutsche Bank Securities, Inc.
     
0.55%
  
5/13/14
  
Open
        412,000            412,692   

See Notes to Financial Statements.

44 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 

       
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (continued):


Counterparty         Interest
Rate
    Trade
Date
    Maturity
Date1
    Face
Value
    Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
     
0.55%
  
5/13/14
  
Open
     $   2,377,000         $   2,380,995     
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        580,000            581,028   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        2,227,000            2,230,947   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        1,460,000            1,462,587   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        2,194,000            2,197,888   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        1,370,000            1,372,428   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        166,000            166,294   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        1,573,000            1,575,788   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        804,000            805,425   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        973,000            974,724   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        1,178,000            1,180,088   
Deutsche Bank Securities, Inc.
     
0.58%
  
5/13/14
  
Open
        627,000            628,111   
Deutsche Bank Securities, Inc.
     
0.59%
  
5/13/14
  
Open
        392,000            392,707   
Deutsche Bank Securities, Inc.
     
0.59%
  
5/13/14
  
Open
        810,000            811,460   
Deutsche Bank Securities, Inc.
     
0.59%
  
5/13/14
  
Open
        827,000            828,491   
Deutsche Bank Securities, Inc.
     
0.59%
  
5/13/14
  
Open
        841,000            842,516   
Deutsche Bank Securities, Inc.
     
0.60%
  
5/13/14
  
Open
        933,000            934,711   
Deutsche Bank Securities, Inc.
     
0.60%
  
5/13/14
  
Open
        1,049,000            1,050,923   
UBS Securities LLC
     
(0.50)%
  
5/13/14
  
Open
        980,000            978,503   
UBS Securities LLC
     
0.34%
  
5/13/14
  
Open
        3,277,000            3,280,404   
UBS Securities LLC
     
0.35%
  
5/13/14
  
Open
        1,693,000            1,694,811   
UBS Securities LLC
     
0.45%
  
5/13/14
  
Open
        811,000            812,115   
UBS Securities LLC
     
0.55%
  
5/13/14
  
Open
        2,171,000            2,174,648   
UBS Securities LLC
     
0.55%
  
5/13/14
  
Open
        2,326,000            2,329,909   
UBS Securities LLC
     
0.55%
  
5/13/14
  
Open
        371,000            371,623   
UBS Securities LLC
     
0.55%
  
5/13/14
  
Open
        788,000            789,324   
UBS Securities LLC
     
0.60%
  
5/13/14
  
Open
        2,880,000            2,885,280   
Barclays Capital, Inc.
     
0.40%
  
5/14/14
  
Open
        3,311,000            3,315,010   
Barclays Capital, Inc.
     
0.60%
  
5/14/14
  
Open
        317,000            317,326   
Deutsche Bank Securities, Inc.
     
0.40%
  
5/23/14
  
Open
        3,352,000            3,355,762   
Deutsche Bank Securities, Inc.
     
0.60%
  
5/27/14
  
Open
        700,000            701,132   
Barclays Capital, Inc.
     
0.60%
  
5/28/14
  
Open
        2,594,000            2,598,150   
Barclays Capital, Inc.
     
0.60%
  
5/28/14
  
Open
        1,699,000            1,701,718   
Barclays Capital, Inc.
     
0.60%
  
5/28/14
  
Open
        1,244,000            1,245,990   
RBC Capital Markets LLC
     
0.65%
  
5/30/14
  
Open
        362,520            363,135   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/02/14
  
Open
        1,985,000            1,987,760   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/05/14
  
Open
        553,000            553,784   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/05/14
  
Open
        659,000            659,934   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/05/14
  
Open
        748,000            749,061   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/05/14
  
Open
        1,319,000            1,320,870   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/09/14
  
Open
        1,643,000            1,645,109   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/09/14
  
Open
        1,773,000            1,775,275   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/09/14
  
Open
        487,000            487,625   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/09/14
  
Open
        1,451,000            1,452,862   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/09/14
  
Open
        978,000            979,255   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        984,000            985,300   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,502,000            1,503,984   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        985,000            986,301   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        3,193,000            3,197,218   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,305,000            1,306,724   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,341,000            1,342,772   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,106,000            1,107,461   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,610,000            1,612,127   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,033,000            1,034,365   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,195,000            1,196,579   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,569,000            1,571,073   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,017,000            1,018,344   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,089,000            1,090,439   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,648,000            1,650,177   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,146,000            1,147,514   
Deutsche Bank Securities, Inc.
     
0.58%
  
6/11/14
  
Open
        1,561,000            1,563,062   
RBC Capital Markets LLC
     
0.65%
  
6/11/14
  
Open
        644,520            645,463   
Barclays Capital, Inc.
     
(1.75)%
  
6/25/14
  
Open
        518,870            517,155   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/25/14
  
Open
        433,200            433,650   
Deutsche Bank Securities, Inc.
     
0.55%
  
6/27/14
  
Open
        754,000            754,760   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 45
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 

       
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded):


Counterparty         Interest
Rate
    Trade
Date
    Maturity
Date1
    Face
Value
    Face Value
Including
Accrued
Interest
Barclays Capital, Inc.
     
0.60%
  
7/02/14
  
Open
     $   3,045,000         $   3,048,096     
Barclays Capital, Inc.
     
0.60%
  
7/02/14
  
Open
        1,288,000            1,289,309   
Barclays Capital, Inc.
     
0.60%
  
7/02/14
  
Open
        4,544,000            4,548,620   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/07/14
  
Open
        776,728            777,429   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/09/14
  
Open
        2,689,875            2,692,215   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/09/14
  
Open
        843,000            843,733   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/09/14
  
Open
        992,307            993,170   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/10/14
  
Open
        1,292,544            1,293,627   
Deutsche Bank Securities, Inc.
     
0.59%
  
7/11/14
  
Open
        468,000            468,399   
Deutsche Bank Securities, Inc.
     
0.59%
  
7/11/14
  
Open
        892,925            893,686   
UBS Securities LLC
     
0.65%
  
7/11/14
  
Open
        411,750            412,114   
Barclays Capital, Inc.
     
0.60%
  
7/15/14
  
Open
        1,208,000            1,208,966   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/21/14
  
Open
        1,129,950            1,130,715   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/21/14
  
Open
        4,113,313            4,116,096   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/21/14
  
Open
        1,196,615            1,197,425   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/21/14
  
Open
        1,561,875            1,562,932   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/22/14
  
Open
        783,929            784,447   
HSBC Securities (USA), Inc.
     
0.55%
  
7/23/14
  
Open
        2,410,417            2,411,890   
Deutsche Bank Securities, Inc.
     
0.60%
  
7/28/14
  
Open
        2,298,000            2,299,341   
Deutsche Bank Securities, Inc.
     
0.60%
  
7/29/14
  
Open
        1,106,954            1,107,581   
Deutsche Bank Securities, Inc.
     
0.58%
  
7/30/14
  
Open
        3,006,000            3,007,598   
Deutsche Bank Securities, Inc.
     
0.59%
  
7/30/14
  
Open
        672,000            672,363   
BNP Paribas Securities Corp.
     
0.59%
  
8/12/14
  
Open
        643,000            643,211   
BNP Paribas Securities Corp.
     
0.59%
  
8/12/14
  
Open
        855,000            855,280   
Citigroup Global Markets, Inc.
     
0.16%
  
8/18/14
  
9/16/14
        22,830,000            22,831,421   
Barclays Capital, Inc.
     
0.60%
  
8/25/14
  
Open
        494,000            494,033   
Deutsche Bank Securities, Inc.
     
0.59%
  
8/28/14
  
Open
        843,000            843,055   
 
     
 
  
 
  
 
                                     
Total
     
 
  
 
  
 
     $ 293,230,556         $ 293,889,726   
1 Certain agreements have no stated maturity and can be terminated by either party at any time.

     
Financial futures contracts outstanding as of August 31, 2014 were as follows:


Contracts
Sold
        Issue     Exchange     Expiration     Notional
Value
    Unrealized
Depreciation
(261)
     
5-Year U.S. Treasury Note
  
Chicago Board of Trade
  
December 2014
        USD             31,016,180         $ (38,884 )  
(153)
     
10-Year U.S. Treasury Note
  
Chicago Board of Trade
  
December 2014
        USD             19,244,531            (4,922 )  
(94)
     
Long U.S. Treasury Bond
  
Chicago Board of Trade
  
December 2014
        USD             13,168,813            (49,756 )  
 
     
 
  
 
  
 
                                             
Total
     
 
  
 
  
 
                                 $ (93,562 )  

     
Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:


Currency Purchased   Currency Sold   Counterparty   Settlement
Date
  Unrealized
Appreciation
(Depreciation)
EUR
     257,000   
USD
   344,120   
State Street Bank and Trust Co.
  
10/21/14
     $ (6,335 )  
GBP
     400,000   
USD
   671,028   
State Street Bank and Trust Co.
  
10/21/14
        (7,226 )  
USD
     1,520,636   
CAD
   1,638,000   
UBS AG
  
10/21/14
        15,856   
USD
     266,479   
EUR
   197,000   
Barclays Bank PLC
  
10/21/14
        7,554   
USD
     41,665   
EUR
   31,000   
BNP Paribas S.A.
  
10/21/14
        920    
USD
     6,746   
EUR
   5,000   
Citibank N.A.
  
10/21/14
        174    
USD
     29,438,872   
EUR
   21,762,000   
JPMorgan Chase Bank N.A.
  
10/21/14
        836,242   
USD
     42,197,808   
GBP
   24,696,000   
Bank of America N.A.
  
10/21/14
        1,214,671   
 
         
 
        
 
  
 
                 
Total
         
 
        
 
  
 
     $ 2,061,856   

     
OTC options purchased as of August 31, 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
  

See Notes to Financial Statements.

46 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 

     
OTC interest rate swaptions purchased as of August 31, 2014 were as follows:


Description         Counterparty     Put/
Call
    Exercise
Rate
    Pay/Receive
Exercise Rate
    Floating
Rate Index
    Expiration
Date
    Notional
Amount
(000)
    Market
Value
10-Year Interest Rate Swap
     
Credit Suisse International
  
Call
  
2.40%
  
Receive
  
3-month LIBOR
  
9/02/14
  
USD
        18,700         $ 2,762   
10-Year Interest Rate Swap
     
Credit Suisse International
  
Put
  
3.45%
  
Pay
  
3-month LIBOR
  
9/02/14
  
USD
        112,200               
 
     
 
  
 
  
 
  
 
  
 
  
 
  
 
                               
Total
     
 
  
 
  
 
  
 
  
 
  
 
  
 
                   $ 2,762   

     
OTC interest rate swaptions written as of August 31, 2014 were as follows:


Description         Counterparty     Put/
Call
    Exercise
Rate
    Pay/Receive
Exercise Rate
    Floating
Rate Index
    Expiration
Date
    Notional
Amount
(000)
    Market
Value
10-Year Interest Rate Swap
     
Credit Suisse International
  
Call
  
2.60%
  
Pay
  
3-month LIBOR
  
9/02/14
  
USD
        18,700         $ (175,052 )  
10-Year Interest Rate Swap
     
Credit Suisse International
  
Put
  
3.10%
  
Receive
  
3-month LIBOR
  
9/02/14
  
USD
        18,700               
 
     
 
  
 
  
 
  
 
  
 
  
 
  
 
                               
Total
     
 
  
 
  
 
  
 
  
 
  
 
  
 
                   $ (175,052 )  

     
OTC credit default swaps — buy protection outstanding as of August 31, 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   $(12)     $ 9       $ (21 )  
Westpac Banking Corp.   1.00%   Deutsche Bank AG   9/20/17   USD   1   (12)     10       (22 )  
Total
                      $(24)     $ 19       $ (43 )  

     
OTC interest rate swaps outstanding as of August 31, 2014 were as follows:


Fixed
 Rate
  Floating
Rate
  Counterparty   Expiration
Date
  Notional
Amount
(000)
  Market
Value
  Premiums
Received
  Unrealized
Depreciation
11.15%1   1-Day OIS   Deutsche Bank AG   1/04/16   BRL   56,933     $(22,965)     $ (872 )       $ (22,093 )  
1 Fund pays the floating rate and receives the fixed rate.

     
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 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 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.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 47
 
  
Consolidated Schedule of Investments (continued)   BlackRock Limited Duration Income Trust (BLW)
 
       
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2014:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Investments:
                                                                            
Long-Term Investments:
                                                                            
Common Stocks
    $ 2,551,910         $ 1,208,254         $ 2,748,166         $ 6,508,330   
Asset-Backed Securities
                   33,022,541            14,418,405            47,440,946   
Corporate Bonds
                   390,026,239            8,907,388            398,933,627   
Floating Rate Loan Interests
                   271,706,309            33,197,391            304,903,700   
Foreign Agency Obligations
                   5,361,081                        5,361,081   
Non-Agency Mortgage-Backed Securities
                   70,391,162                        70,391,162   
U.S. Government Sponsored Agency Securities
                   35,365,556                        35,365,556   
Other Interests
       191,652                        8,750            200,402   
Preferred Securities
       12,330,897            59,272,021                        71,602,918   
Warrants
                   14,419                        14,419   
Short-Term Securities
       7,390,390                                    7,390,390   
Option Purchased:
                                                                            
Interest rate contracts
                   2,762                        2,762   
Liabilities:
                                                                            
Unfunded Floating Rate Loan Interests
                   (2,345 )           (175 )           (2,520 )  
Total
    $   22,464,849         $  866,367,999         $   59,279,925         $  948,112,773   

    Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                                                            
Assets:
                                                                            
Foreign currency exchange contracts
                $ 2,075,417                     $ 2,075,417   
Liabilities:
                                                                            
Credit contracts
                   (43 )                       (43 )  
Foreign currency exchange contracts
                   (13,561 )                       (13,561 )  
Interest rate contracts
    $     (93,562 )           (197,145 )                         (290,707 )  
Total
    $ (93,562 )        $    1,864,668                     $    1,771,106   
1 Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.

       
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


    Level 1   Level 2   Level 3   Total
Assets:
                                                                            
Cash
    $ 144,995                                 $ 144,995   
Cash pledged as collateral for OTC derivatives
       90,000                                    90,000   
Cash pledged as collateral for reverse repurchase agreements
       8,000                                    8,000   
Cash pledged for financial futures contracts
       655,500                                    655,500   
Foreign currency at value
       1,365,114                                    1,365,114   
Liabilities:
                                                                            
Cash received for reverse repurchase agreements
                $ (502,000 )                       (502,000 )  
Reverse repurchase agreements
                   (293,889,726 )                       (293,889,726 )  
Total
    $    2,263,609         $ (294,391,726 )                    $ (292,128,117 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.

See Notes to Financial Statements.

48 ANNUAL REPORT AUGUST 31, 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
    Unfunded
Floating Rate
Loan Interests
(Liabilities)
    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
                                               11,515,493                                    11,515,493   
Transfers out of Level 32
                       (11,045,689 )                       (7,974,147 )                                   (19,019,836 )  
Accrued discounts/premiums
                       (1,070,633 )           (162 )           125,940                                    (944,855 )  
Net realized gain
                       143,052            1,798            300,100                                    444,950   
Net change in unrealized appreciation/depreciation3,4
           (301,973 )           994,556            19,523            (329,985 )           2,508,765         $ (175 )           2,890,711   
Purchases
                       12,821,462            957,925            16,027,358                                    29,806,745   
Sales
                       (13,474,890 )           (1,798 )           (29,157,131 )           (3,037,781 )                       (45,671,600 )  
Closing Balance, as of August 31, 2014
        $ 2,748,166         $ 14,418,405         $ 8,907,388         $ 33,197,391         $ 8,750         $ (175 )        $ 59,279,925   
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20144
        $ 800,426         $ 1,004,471         $ 21,250         $ (181,906 )        $ 3,750         $ (175 )        $ 1,647,816   
1 As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 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 $11,515,493 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 August 31, 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 $19,019,836 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 Statement of Operations.
4 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at August 31, 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.

ANNUAL REPORT AUGUST 31, 2014 49
 
  
Statements of Assets and Liabilities 
                 
August 31, 2014
         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
        $ 183,818,081         $ 813,078,886         $ 940,724,903   
Investments at value — affiliated3
           2,958,501            3,456,864            7,390,390   
Cash
           103,115            280,710            144,995   
Cash pledged as collateral for OTC derivatives
           400,000                        90,000   
Cash pledged for financial futures contracts
                                   655,500   
Cash pledged as collateral for reverse repurchase agreements
                                   8,000   
Investments sold receivable
           1,253,625            3,878,942            14,071,086   
Interest receivable
           1,024,933            4,416,975            9,830,889   
Unrealized appreciation on forward foreign currency exchange contracts
           79,213            326,539            2,075,417   
Foreign currency at value4
           8,309            26,789            1,365,114   
Swaps receivable
                                   581,992   
Variation margin receivable on financial futures contracts
                                   27,271   
Dividends receivable
                                   1,696   
Principal paydowns receivable
                                   219    
Swap premiums paid
                                   19    
Deferred offering costs
                       68,634            73,890   
Prepaid expenses
           4,123            9,383            10,970   
Other assets
                       38,072            265,932   
Total assets
           189,649,900            825,581,794            977,318,283   
 
Liabilities
Reverse repurchase agreements
                                   293,889,726   
Bank borrowings payable
           55,000,000            235,000,000               
Investments purchased payable
           3,896,704            16,841,567            11,530,473   
Investment advisory fees payable
           153,128            507,130            450,114   
Income dividends payable
           72,153            121,913            91,406   
Interest expense payable
           39,177            175,044               
Unrealized depreciation on unfunded floating rate loan interests
           6,227            27,493            2,520   
Officer’s and Directors’ fees payable
           2,521            11,126            335,602   
Options written at value5
                                   175,052   
Swaps payable
                                   563,947   
Cash received as collateral for reverse repurchase agreements
                                   502,000   
Unrealized depreciation on OTC derivatives
                                   22,136   
Unrealized depreciation on forward foreign currency exchange contracts
                                   13,561   
Variation margin payable on financial futures contracts
                                   8,156   
Swap premiums received
                                   872    
Offering costs payable
                       85,136            87,615   
Other accrued expenses payable
           129,179            348,964            262,706   
Total liabilities
           59,299,089            253,118,373            307,935,886   
Net Assets
        $ 130,350,811         $ 572,463,421         $ 669,382,397   
 
Net Assets Consist of
Paid-in capital6,7,8
        $ 128,319,712         $ 660,033,945         $ 703,327,827   
Undistributed net investment income
           466,939            (680,740 )           553,777   
Undistributed net realized gain (accumulated net realized loss)
           1,290,059            (82,882,076 )           (49,298,832 )  
Net unrealized appreciation/depreciation
           274,101            (4,007,708 )           14,799,625   
Net Assets
        $ 130,350,811         $ 572,463,421         $ 669,382,397   
Net asset value per share
        $ 14.41         $ 15.38         $ 18.09   
1  Consolidated Statement of Assets and Liabilities.
                                                            
2  Investments at cost — unaffiliated
        $   183,616,880         $   817,264,333         $   928,076,703   
3  Investments at cost — affiliated
        $ 2,958,501         $ 3,456,864         $ 7,390,390   
4  Foreign currency at cost
        $ 8,395         $ 27,113         $ 1,381,613   
5  Premiums received
                                $ 187,000   
6  Par value per share
        $ 0.001         $ 0.100         $ 0.001   
7  Shares outstanding
           9,044,041            37,232,488            37,003,854   
8  Shares authorized
           unlimited             200 million             unlimited    

See Notes to Financial Statements.

50 ANNUAL REPORT AUGUST 31, 2014
 
  
Statements of Operations  
                 
Year Ended August 31, 2014
         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
        $ 9,365,568         $ 40,992,000         $ 53,823,335   
Dividends — unaffiliated
           104,306            16,174            422,173   
Dividends — affiliated
           199             677             2,538   
Foreign taxes withheld
                       (1,570 )              
Total income
           9,470,073            41,007,281            54,248,046   
 
Expenses
Investment advisory
           1,778,964            5,893,034            5,269,157   
Professional
           105,408            105,897            225,378   
Custodian
           83,766            243,446            202,146   
Accounting services
           32,487            105,222            91,744   
Transfer agent
           22,705            64,012            80,545   
Printing
           15,247            27,052            24,520   
Officer and Directors
           12,657            55,853            106,213   
Registration
           8,936            5,972            12,378   
Offering
                       35,746            38,485   
Miscellaneous
           27,852            58,139            115,534   
Total expenses excluding interest expense and income tax
           2,088,022            6,594,373            6,166,100   
Interest expense
           428,915            1,916,702            1,419,902   
Income tax
                       10,078               
Total expenses
           2,516,937            8,521,153            7,586,002   
Less fees waived by Manager
           (386 )           (1,253 )           (5,339 )  
Less fees paid indirectly
           (36 )           (317 )           (60 )  
Total expenses after fees waived and paid indirectly
           2,516,515            8,519,583            7,580,603   
Net investment income
           6,953,558            32,487,698            46,667,443   
 
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
                                                            
Investments
           2,102,360            3,543,152            15,733,912   
Financial futures contracts
                                   (2,449,414 )  
Foreign currency transactions
           (311,361 )           (1,101,777 )           (6,067,164 )  
Swaps
           (235,758 )           (1,835,061 )           (2,923,102 )  
 
           1,555,241            606,314            4,294,232   
Net change in unrealized appreciation/depreciation on:
                                                            
Investments
           (1,265,286 )           522,652            12,152,705   
Financial futures contracts
                                   (213,832 )  
Foreign currency translations
           67,453            374,645            2,661,973   
Options written
                                   11,948   
Swaps
           (5,672 )           (77,863 )           (8,034 )  
Unfunded floating rate loan interests
           (10,929 )           (48,169 )           (10,908 )  
 
           (1,214,434 )           771,265            14,593,852   
Net realized and unrealized gain
           340,807            1,377,579            18,888,084   
Net Increase in Net Assets Resulting from Operations
        $     7,294,365         $    33,865,277         $    65,555,527   
1 Consolidated Statement of Operations.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 51
 
  
Statements of Changes in Net Assets   BlackRock Defined Opportunity Credit Trust (BHL)
           
         Year Ended August 31,
   
Increase (Decrease) in Net Assets:
         2014      2013
Operations
Net investment income
        $ 6,953,558         $ 7,859,267   
Net realized gain
           1,555,241            3,251,344   
Net change in unrealized appreciation/depreciation
           (1,214,434 )           (578,700 )  
Net increase in net assets resulting from operations
           7,294,365            10,531,911   
 
Dividends to Shareholders From1
Net investment income
           (7,542,730 )           (7,633,968 )  
 
Capital Share Transactions
Reinvestment of dividends
                       246,640   
 
Net Assets
Total increase (decrease) in net assets
           (248,365 )           3,144,583   
Beginning of year
           130,599,176            127,454,593   
End of year
        $   130,350,811         $   130,599,176   
Undistributed net investment income, end of year
        $ 466,939         $ 1,357,213   
1 Dividends for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

52 ANNUAL REPORT AUGUST 31, 2014
 
  
Consolidated Statements of Changes in Net Assets   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
           
         Year Ended August 31,
   
Increase (Decrease) in Net Assets:
         2014      2013
Operations
Net investment income
        $ 32,487,698         $ 35,052,895   
Net realized gain
           606,314            14,417,374   
Net change in unrealized appreciation/depreciation
           771,265            (1,626,772 )  
Net increase in net assets resulting from operations
           33,865,277            47,843,497   
 
Dividends to Shareholders From1
Net investment income
           (33,203,943 )           (34,814,179 )  
 
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
           661,334            294,812,087   
Beginning of year
           571,802,087            276,990,000   
End of year
        $   572,463,421         $   571,802,087   
Undistributed net investment income (loss), end of year
        $ (680,740 )        $ 1,191,768   
1 Dividends for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 53
 
  
Consolidated Statements of Changes in Net Assets   BlackRock Limited Duration Income Trust (BLW)
           
         Year Ended August 31,
   
Increase (Decrease) in Net Assets:
         2014      2013
Operations
Net investment income
        $ 46,667,443         $ 48,146,073   
Net realized gain
           4,294,232            15,966,288   
Net change in unrealized appreciation/depreciation
           14,593,852            (7,037,223 )  
Net increase in net assets resulting from operations
           65,555,527            57,075,138   
 
Dividends to Shareholders From1
Net investment income
           (45,292,717 )           (51,220,576 )  
 
Capital Share Transactions
Reinvestment of dividends
                       873,743   
 
Net Assets
Total increase in net assets
           20,262,810            6,728,305   
Beginning of year
           649,119,587            642,391,282   
End of year
        $   669,382,397         $   649,119,587   
Undistributed net investment income, end of year
        $ 553,777         $ 3,778,403   
1 Dividends for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

54 ANNUAL REPORT AUGUST 31, 2014
 
  
Statements of Cash Flows    
                 
Year Ended August 31, 2014
         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
        $ 7,294,365         $ 33,865,277         $ 65,555,527   
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
                                                            
(Increase) decrease in interest receivable
           26,236            239,244            (260,667 )  
(Increase) decrease in swaps receivable
           8,407            54,103            (493,493 )  
Decrease in cash pledged for centrally cleared swaps
           60,000            260,000               
Increase in cash pledged for financial futures contracts
                                   (489,000 )  
Decrease in cash pledged as collateral for reverse repurchase agreements
                                   1,042,000   
(Increase) decrease in cash pledged as collateral for OTC derivatives
           (400,000 )           960,000            600,000   
Increase in other assets
                       (38,072 )           (47,965 )  
(Increase) decrease in prepaid expenses
           (775 )           (6,528 )           7,446   
Increase in variation margin receivable on financial futures contracts
                                   (23,132 )  
Increase in dividends receivable
                                   (26 )  
Decrease in swap premiums paid
                                   7    
Increase in investment advisory fees payable
           3,352            12,038            17,151   
Increase in interest expense payable
           3,080            13,039            206,329   
Increase (decrease) in other accrued expenses payable
           (7,158 )           (107,376 )           49,062   
Increase in swaps payable
                                   563,945   
Increase in variation margin payable on financial futures contracts
                                   8,156   
Increase in Officer’s and Directors’ fees payable
           278             1,432            71,156   
Decrease in swap premiums received
           (208,963 )           (1,249,424 )           (2,070,003 )  
Decrease in variation margin payable on centrally cleared swaps
           (2 )           (7 )              
Increase in cash received as collateral for reverse repurchase agreements
                                   502,000   
Net realized gain on investments
           (1,934,632 )           (2,621,021 )           (11,832,955 )  
Net unrealized (gain) loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests
           1,214,434            (822,545 )           (14,759,719 )  
Amortization of premium and accretion of discount on investments
           (402,368 )           (2,029,741 )           1,207,053   
Premiums received from options written
                                   187,000   
Proceeds from sales of long-term investments
           109,567,484            473,101,887            548,002,956   
Purchases of long-term investments
           (112,922,468 )           (489,616,854 )           (555,483,260 )  
Net proceeds from purchases of short-term securities
           (1,660,232 )           (2,549,221 )           (6,206,297 )  
Net cash provided by operating activities
           641,038            9,466,231            26,353,271   
 
Cash Used for Financing Activities
Proceeds from bank borrowings
           79,000,000            328,000,000               
Payments on bank borrowings
           (73,000,000 )           (307,000,000 )              
Net borrowing of reverse repurchase agreements
                                   20,336,197   
Payments for offering costs
                       (19,244 )           (24,760 )  
Amortization of deferred offering costs
                       35,746            38,485   
Cash dividends paid to shareholders
           (7,535,457 )           (33,189,137 )           (45,283,581 )  
Decrease in bank overdraft
                                   (444,474 )  
Net cash used for financing activities
           (1,535,457 )           (12,172,635 )           (25,378,133 )  
 
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations
        $ 318          $ (304 )        $ (12,615 )  
 
Cash and Foreign Currency
Net increase in cash and foreign currency
           (894,101 )           (2,706,708 )           962,523   
Cash and foreign currency at beginning of period
           1,005,525            3,014,207            547,586   
Cash and foreign currency at end of period
        $ 111,424         $ 307,499         $ 1,510,109   
 
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest
        $ 425,835         $ 1,903,663         $ 1,213,573   
1 Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 55
 
  
Financial Highlights   BlackRock Defined Opportunity Credit Trust (BHL)
           
         Year Ended August 31,
   
         2014      2013      2012      2011      2010
Per Share Operating Performance
Net asset value, beginning of year
        $ 14.44         $ 14.12         $ 13.17         $ 13.55         $ 12.53   
Net investment income1
           0.77            0.87            0.85            0.86            0.85   
Net realized and unrealized gain (loss)
           0.03            0.30            0.90            (0.45 )           0.87   
Net increase from investment operations
           0.80            1.17            1.75            0.41            1.72   
Dividends from net investment income2
           (0.83 )           (0.85 )           (0.80 )           (0.79 )           (0.70 )  
Net asset value, end of year
        $ 14.41         $ 14.44         $ 14.12         $ 13.17         $ 13.55   
Market price, end of year
        $ 13.84         $ 13.77         $ 13.94         $ 12.65         $ 12.86   
 
Total Return3
Based on net asset value
           5.98%            8.52%            13.94%            2.93%            14.39%   
Based on market price
           6.75%            4.82%            17.12%            4.17%            23.33%   
 
Ratio to Average Net Assets
Total expenses
           1.92%            1.92%            1.91%            2.02%            1.91%   
Total expenses after fees waived and paid indirectly
           1.92%            1.92%            1.91%            2.02%            1.90%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.60%            1.58% 4           1.61% 4           1.71%            1.65%   
Net investment income
           5.31%            6.04%            6.24%            6.10%            6.40%   
 
Supplemental Data
Net assets, end of year (000)
        $   130,351         $   130,599         $   127,455         $   118,897         $   122,062   
Borrowings outstanding, end of year (000)
        $ 55,000         $ 49,000         $ 55,000         $ 43,000         $ 24,000   
Average borrowings outstanding, during the year (000)
        $ 47,110         $ 47,384         $ 39,007         $ 36,369         $ 24,633   
Portfolio turnover rate
           59%            85%            53%            91%            102%   
Asset coverage, end of year per $1,000
        $ 3,370         $ 3,665         $ 3,317         $ 3,765         $ 6,086   
1 Based on average shares outstanding.
2 Dividends for annual periods determined in accordance with federal income tax regulations.
3 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.
4 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.

56 ANNUAL REPORT AUGUST 31, 2014
 
  
Financial Highlights   BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
           
         Year Ended August 31,
   
         20141      20131      20121      2011      2010
Per Share Operating Performance
Net asset value, beginning of year
        $ 15.36         $ 14.98         $ 14.04         $ 14.36         $ 12.93   
Net investment income2
           0.87            0.99            0.97            0.96            0.91   
Net realized and unrealized gain (loss)
           0.04            0.42            0.90            (0.36 )           1.48   
Net increase from investment operations
           0.91            1.41            1.87            0.60            2.39   
Dividends and distributions from:3
                                                                                                    
Net investment income
           (0.89 )           (1.03 )           (0.93 )           (0.86 )           (0.94 )  
Net realized gain
                                               (0.06 )           (0.02 )  
Total dividends and distributions
           (0.89 )           (1.03 )           (0.93 )           (0.92 )           (0.96 )  
Net asset value, end of year
        $ 15.38         $ 15.36         $ 14.98         $ 14.04         $ 14.36   
Market price, end of year
        $ 14.26         $ 14.96         $ 15.20         $ 13.33         $ 14.61   
 
Total Return4  
Based on net asset value
           6.45%            9.68%            13.91%            4.04%            18.91%   
Based on market price
           1.33%            5.28%            21.74%            (2.91)%             27.59%   
 
Ratio to Average Net Assets
Total expenses
           1.48%            1.54% 5           1.67% 6           1.60%            1.45%   
Total expenses after fees waived and paid indirectly
           1.48%            1.52% 5           1.67% 6           1.60%            1.45%   
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax
           1.15%            1.15% 5,7           1.35% 6,7           1.30%            1.22%   
Net investment income
           5.65%            6.49%            6.67%            6.44%            6.43%   
 
Supplemental Data
Net assets, end of year (000)
        $   572,463         $   571,802         $   276,990         $   259,205         $   264,379   
Borrowings outstanding, end of year (000)
        $ 235,000         $ 214,000         $ 117,000         $ 93,000         $ 53,000   
Average borrowings outstanding, during the year (000)
        $ 210,521         $ 201,830         $ 88,197         $ 79,195         $ 48,258   
Portfolio turnover rate
           58%            88%            53%            91%            96%   
Asset coverage, end of year per $1,000
        $ 3,436         $ 3,672         $ 3,367         $ 3,787         $ 5,988   
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Dividends and distributions for annual periods determined in accordance with federal income tax regulations.
4 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.
5 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.
6 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.
7 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.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 57
 
  
Financial Highlights   BlackRock Limited Duration Income Trust (BLW)
           
         Year Ended August 31,
   
          20141       20131       20121       2011       2010  
Per Share Operating Performance
Net asset value, beginning of year
        $ 17.54         $ 17.38         $ 16.52         $ 16.79         $ 14.95   
Net investment income2
           1.26            1.30            1.31            1.34            1.12   
Net realized and unrealized gain (loss)
           0.51            0.25            0.88            (0.37 )           1.62   
Net increase from investment operations
           1.77            1.55            2.19            0.97            2.74   
Dividends from net investment income3
           (1.22 )           (1.39 )           (1.33 )           (1.24 )           (0.90 )  
Net asset value, end of year
        $ 18.09         $ 17.54         $ 17.38         $ 16.52         $ 16.79   
Market price, end of year
        $ 16.81         $ 16.89         $ 18.00         $ 16.01         $ 16.76   
 
Total Return4
Based on net asset value
           10.77%            9.13%            13.86%            5.85%            19.00%   
Based on market price
           6.89%            1.47%            21.68%            2.77%            26.04%   
 
Ratio to Average Net Assets
Total expenses
           1.14%            1.12%            1.05%            1.01%            0.82%   
Total expenses after fees waived and paid indirectly
           1.14%            1.12%            1.05%            1.00%            0.81%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.92%            0.90%            0.89%            0.87%            0.73%   
Net investment income
           7.00%            7.34%            7.82%            7.75%            6.90%   
 
Supplemental Data
Net assets, end of year (000)
        $   669,382         $   649,120         $   642,391         $   609,818         $   619,381   
Borrowings outstanding, end of year (000)
        $ 293,890         $ 273,347         $ 296,476         $ 244,120         $ 123,233   
Average borrowings outstanding, during the year (000)
        $ 291,249         $ 301,214         $ 242,396         $ 191,303         $ 44,160   
Portfolio turnover rate
           57%            71%            54%            106% 5           248% 6  
Asset coverage, end of year per $1,000
        $ 3,278         $ 3,375         $ 3,167         $ 3,498         $ 6,026   
1 Consolidated Financial Highlights.
2 Based on average shares outstanding.
3 Dividends for annual periods determined in accordance with federal income tax regulations.
4 Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.
5 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 87%.
6 Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 113%.

See Notes to Financial Statements.

58 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements  

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 Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganizations: 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 reorganizations 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 Common Shareholder of a Target Fund received shares of FRA in an amount equal to the aggregate net asset value of such Common 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 Common 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 valuation date of the 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 the 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.

ANNUAL REPORT AUGUST 31, 2014 59
 
  
Notes to Financial Statements (continued)  

Reorganization costs incurred in connection with the reorganization 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 of FRA and BLW 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 Taxable Subsidiaries enable the Funds to hold investments in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiaries are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for the Funds. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for the Funds. The Funds may invest up to 25% of its total assets in the Taxable Subsidiaries. The net assets of the Taxable Subsidiaries at August 31, 2014 were $2,285,549 and $272,159 or 0.4% and 0.0% of FRA’s and BLW’s consolidated net assets, respectively. 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.

2. Significant Accounting Policies:

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

Valuation: U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds for all financial instruments.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

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

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 (long positions) or ask (short positions) price.

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

60 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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 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, or its delegate, using a pricing service and/or policies approved by the Board.

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

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

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Fund’s future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Fund is 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.

ANNUAL REPORT AUGUST 31, 2014 61
 
  
Notes to Financial Statements (continued)  

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 U.S. GAAP.

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

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

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

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

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

3. Securities and Other Investments:

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

The Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the U.S. government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the 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 that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

62 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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

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

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

Capital Trusts and Trust Preferred Securities: Certain Funds may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

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

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

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

ANNUAL REPORT AUGUST 31, 2014 63
 
  
Notes to Financial Statements (continued)  

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 August 31, 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
Depreciation

BHL
     
Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan
     $ 233,913         $ 232,014         $ (2,298 )  
 
     
Allied Security Holdings LLC, 2nd Lien Delayed Draw Term Loan
     $ 34,243         $ 33,943         $ (362 )  
 
     
Polymer Group, Inc., Delayed Draw Term Loan
     $ 33,987         $ 33,902         $ (85 )  
 
     
Ziggo BV, Term Loan B2A
     $ 12,047         $ 11,810         $ (163 )  
 
     
Ziggo BV, Term Loan B3
     $ 246,556         $ 241,709         $ (3,319 )  
FRA
     
Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan
     $ 1,030,266         $ 1,021,900         $ (10,128 )  
 
     
Allied Security Holdings LLC, 2nd Lien Delayed Draw Term Loan
     $ 157,518         $ 156,140         $ (1,666 )  
 
     
Polymer Group, Inc., Delayed Draw Term Loan
     $ 149,697         $ 149,323         $ (374 )  
 
     
Ziggo BV, Term Loan B2A
     $ 53,089         $ 52,045         $ (716 )  
 
     
Ziggo BV, Term Loan B3
     $ 1,086,547         $ 1,065,186         $ (14,609 )  
BLW
     
Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan
     $ 183,551         $ 182,060         $ (2,345 )  
 
     
Polymer Group, Inc., Delayed Draw Term Loan
     $ 70,049         $ 69,874         $ (175 )  

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

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

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

64 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

For the year ended August 31, 2014, the daily weighted average interest rate for BLW from reverse repurchase agreements was 0.49%.

Reverse repurchase transaction 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 counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

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 August 31, 2014:


Counterparty



   
Reverse
Repurchase
Agreements

   
Fair Value of
Non-cash Collateral
Pledged Including
Accrued Interest1

   
Cash
Collateral
Pledged/Received1

   
Net
Amount

Barclays Capital, Inc.
        $ 53,276,150         $ (53,276,150 )                          
BNP Paribas Securities Corp.
           14,606,431            (14,606,431 )                          
Citigroup Global Markets, Inc.
           22,831,421            (22,831,421 )                          
Credit Suisse Securities (USA) LLC
           25,192,261            (25,192,261 )                          
Deutsche Bank Securities, Inc.
           151,355,341            (151,355,341 )                          
HSBC Securities (USA), Inc.
           9,890,793            (9,890,793 )                          
RBC Capital Markets LLC
           1,008,598            (1,008,598 )                          
UBS Securities LLC
           15,728,731            (15,728,731 )                          
Total
        $ 293,889,726         $ (293,889,726 )                          
1 Net collateral with a value of $325,193,863 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

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

4. Derivative Financial Instruments:

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

Financial Futures Contracts: The Funds 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). Financial futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

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

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

Forward Foreign Currency Exchange Contracts: The Funds enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date.

ANNUAL REPORT AUGUST 31, 2014 65
 
  
Notes to Financial Statements (continued)  


Forward 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 forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

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

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

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

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

Transactions in options written for the year ended August 31, 2014 were as follow:



         BLW
         Calls
   

   
Puts



   
Contracts
   
Notional
(000)1

   
Premium
Received

        Contracts
   
Notional
(000)1

   
Premium
Received

Outstanding options, beginning of year
                                                                                        
Options written
                    $ 18,700         $ 93,500                                   $ 18,700         $ 93,500   
Options exercised
                                                                                        
Options expired
                                                                                        
Options closed
                                                                                        
Outstanding options, end of year
                    $ 18,700         $ 93,500                                   $ 18,700         $ 93,500   

1 Amount shown is in the currency in which the transaction was denominated.

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

66 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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

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

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

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

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

Fair Values of Derivative Financial Instruments as of August 31, 2014
      Value
      BHL   FRA  BLW
   Statements of Assets
and Liabilities Location
   Derivative Assets    Derivative Liabilities    Derivative Assets    Derivative Liabilities    Derivative Assets    Derivative Liabilities 
Interest rate contracts  Net unrealized appreciation/depreciation1; Unrealized depreciation
on OTC swaps;
Swap premiums received; Investments at value — unaffiliated2; Options
written at value
                  $2,762   $291,579 
Foreign currency exchange contracts  Unrealized appreciation/depreciation on forward foreign currency
exchange contracts
  $79,213       $326,539        2,075,417    13,561 
Credit contracts  Unrealized appreciation
on OTC swaps;
Swap premiums paid
                   19    43 
Total     $79,213       $326,539        $2,078,198   $305,183 
1 Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
2 Includes options purchased at value as reported in the schedules of Investments.
ANNUAL REPORT AUGUST 31, 2014 67
 
  
Notes to Financial Statements (continued)  


The Effect of Derivative Financial Instruments in the Statements of Operations
Year Ended August 31, 2014

                       
         Net Realized Gain (Loss) From
       Net Change in Unrealized Appreciation/
Depreciation on

                                 



   
BHL
   
FRA
   
BLW
   
BHL
   
FRA
   
BLW
Interest rate contracts:
                                                                                      
Financial futures contracts
                                $ (2,449,414 )                                $ (213,832 )  
Swaps
                                   226,821                                    (22,093 )  
Options1
                                                                       (186,984 )  
Foreign currency exchange contracts:
                                                                                                                        
Foreign currency transactions/translations
        $ (359,592 )        $ (1,197,962 )           (6,154,412 )        $ 65,895         $ 369,481            2,730,982   
Credit contracts:
                                                                                                                        
Swaps
           (235,758 )           (1,835,061 )           (3,149,923 )           (5,672 )           (77,863 )           14,059   
 
                                                                                      
Total
        $ (595,350 )        $ (3,033,023 )        $ (11,526,928 )        $ 60,223         $ 291,618         $ 2,322,132   

1 Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the year ended August 31, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:





   
BHL
   
FRA
   
BLW
Financial future contracts:
                                                            
Average number of contracts purchased
                                   60    
Average number of contracts sold
                                   326    
Average notional value of contracts purchased
                                $ 13,209,381   
Average notional value of contracts sold
                                $ 40,255,529   
Forward foreign currency exchange contracts:
                                                            
Average number of contracts-USD purchased
           3             4             8    
Average number of contracts-USD sold
           1             1             2    
Average U.S. dollar amounts purchased
        $ 4,671,630         $ 17,112,925         $ 83,495,526   
Average U.S. dollar amounts sold
        $ 107,641         $ 414,983         $ 5,084,047   
Options:
                                                            
Average number of option contracts purchased
                       44             46    
Average notional amount of option contracts purchased
                    $ 41,486         $ 43,372   
Average number of swaption contracts purchased
                                   1    
Average number of swaption contracts written
                                   1    
Average notional amount of swaption contracts purchased
                                $ 65,450,000   
Average notional amount of swaption contracts written
                                $ 18,700,000   
Credit default swaps:
                                                            
Average number of contracts-buy protection
                                   2    
Average number of contracts-sell protection
           6             9             21    
Average notional amount-buy protection
                                $ 1,000   
Average notional amount-sell protection
        $ 1,333,588         $ 6,816,927         $ 9,163,190   
Interest rate swaps:
                                                            
Average number of contracts-receives fixed rate
                                   1    
Average notional amount-receives fixed rate
                                $ 6,358,441   

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, 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.

68 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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 its counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

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

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $500,000) before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, the Funds bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, the Funds bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

As of August 31, 2014, the Funds’ derivative assets and liabilities (by type) are as follows:


BHL



   
Assets
   
Liabilities
Derivative Financial Instruments:
        
Forward foreign currency exchange contracts
        $ 79,213               
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
                          
Total derivative assets and liabilities subject to an MNA
        $    79,213               

FRA



   
Assets
   
Liabilities
Derivative Financial Instruments:
        
Forward foreign currency exchange contracts
        $ 326,539               
Derivatives not subject to an MNA or similar agreement
                          
Total derivative assets and liabilities subject to an MNA
        $   326,539               

BLW



   
Assets
   
Liabilities
Derivative Financial Instruments:
        
Financial futures contracts
        $ 27,271         $ 8,156   
Forward foreign currency exchange contracts
           2,075,417            13,561   
Options1
           2,762            175,052   
Swaps—OTC2
           19             23,008   
Total derivative assets and liabilities in the Statement of Assets and Liabilities
        $ 2,105,469            219,777   
Derivatives not subject to an MNA or similar agreement
           (27,271 )           (8,156 )  
Total derivative assets and liabilities subject to an MNA
        $ 2,078,198         $ 211,621   

1 Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedules of Investments.
2 Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.
ANNUAL REPORT AUGUST 31, 2014 69
 
  
Notes to Financial Statements (continued)  

The following table presents 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 August 31, 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
Assets1

Bank of America N.A.
        $ 60,399                                             $  60,399   
Citibank N.A.
           18,814                                                18,814   
Total
        $    79,213                                             $    79,213   

FRA



   

   

   

   

   

Counterparty



   
Derivative Assets
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset

   
Non-cash
Collateral
Received

   
Cash
Collateral
Received

   
Net Amount
of Derivative
Assets1

Bank of America N.A.
        $ 225,759                                             $ 225,759   
Citibank N.A.
           71,044                                                71,044   
UBS AG
           29,736                                                29,736   
Total
        $   326,539                                             $   326,539   

BLW



   

   

   

   

   

Counterparty



   
Derivative Assets
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset2

   
Non-cash
Collateral
Received

   
Cash
Collateral
Received

   
Net Amount
of Derivative
Assets1

Bank of America N.A.
        $ 1,214,671                                             $ 1,214,671   
Barclays Bank PLC
           7,554                                                7,554   
BNP Paribas S.A.
           920                                                 920    
Citibank N.A.
           174                                                 174    
Credit Suisse International
           2,762         $ (2,762 )                                      
Deutsche Bank AG
           19             (19 )                                      
JPMorgan Chase Bank N.A.
           836,242                                                836,242   
UBS AG
           15,856                                                15,856   
Total
        $ 2,078,198         $ (2,781 )                                $ 2,075,417   
 
                                                                        
Counterparty



   
Derivative Liabilities
Subject to an MNA
by Counterparty

   
Derivatives
Available
for Offset2

   
Non-cash
Collateral
Pledged

   
Cash
Collateral
Pledged3

   
Net Amount
of Derivative
Liabilities4

Credit Suisse International
        $ 175,052         $ (2,762 )                                $ 172,290   
Deutsche Bank AG
           23,008            (19 )                    $ (22,989 )              
State Street Bank and Trust Co.
           13,561                                                13,561   
Total
        $   211,621         $ (2,781 )                    $ (22,989 )        $   185,851   

1 Net amount represents the net amount receivable from the counterparty in the event of default.
2 The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA.
3 Excess of the collateral pledged to the individual counterparty is not shown for financial reporting purposes.
4 Net amount represents the net amount payable due to the counterparty in the event of default.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

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

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


BHL
     
1.00%
FRA
     
0.75%
BLW
     
0.55%
70 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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

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

Prior to July 1, 2014, BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, served as a sub-advisor to each Fund pursuant to sub-advisory agreements with the Manager, and received for its services a monthly fee from the Manager at an annual rate equal to a percentage of the investment advisory fees paid by each Fund to the Manager under the Investment Advisory Agreements. Effective July 1, 2014, the sub-advisory agreements between the Manager and BFM, with respect to each Fund, expired.

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 due solely to having a common investment advisor, common officers, or common trustees. For the year ended August 31, 2014, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:





   
BHL
   
FRA
   
BLW
Purchases
        $ 462,075         $ 2,040,625               
Sales
                                $ 7,169,073   

6. Purchases and Sales:

Purchases and sales of investments, including paydowns and excluding short-term securities, for the year ended August 31, 2014, were as follows:





   
BHL
   
FRA
   
BLW
Purchases
        $ 108,919,391         $ 472,504,295         $ 547,978,742   
Sales
        $ 108,511,931         $ 467,418,855         $ 558,531,465   

7. Income Tax Information:

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

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

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

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of August 31, 2014, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions and non-deductible expenses were reclassified to the following accounts:





   
BHL
   
FRA
   
BLW
Paid-in capital
                    $ (35,746 )        $ (38,485 )  
Undistributed net investment income
        $ (301,102 )        $ (1,156,263 )        $ (4,599,352 )  
Undistributed net realized gain (accumulated net realized loss)
        $ 301,102         $ 1,192,009         $ 4,637,837   
ANNUAL REPORT AUGUST 31, 2014 71
 
  
Notes to Financial Statements (continued)  

The tax character of distributions paid during the fiscal years ended August 31, 2014 and August 31, 2013 were as follows:





   

   
BHL
   
FRA
   
BLW
Ordinary income
           8/31/14         $ 7,542,730         $ 33,203,943         $ 45,292,717   
 
           8/31/13            7,633,968            34,814,179            51,220,576   
Total
           8/31/14         $ 7,542,730         $ 33,203,943         $ 45,292,717   
 
           8/31/13         $ 7,633,968         $ 34,814,179         $ 51,220,576   

As of August 31, 2014, the tax components of accumulated net earnings (losses) were as follows:





   
BHL
   
FRA
   
BLW
Undistributed ordinary income
        $ 998,736         $ 1,902,969         $ 4,821,267   
Undistributed long-term capital gains
           1,286,571                           
Capital loss carryforwards
                       (80,943,972 )           (47,790,149 )  
Net unrealized gains (losses)1
           (254,208 )           (8,529,521 )           9,023,452   
Total
        $ 2,031,099         $ (87,570,524 )        $ (33,945,430 )  

1 The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization and accretion methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the accounting for swap agreements, dividends recognized for tax purposes, the deferral of compensation to Directors and investments in wholly owned subsidiaries.

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


Expires August 31,



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

During the year ended August 31, 2014, the Funds utilized the following amounts of their respective capital loss carryforward:





   
BHL
   
FRA
   
BLW
 
        $ 572,418         $ 3,798,307         $ 10,972,097   

As of August 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:





   
BHL
   
FRA
   
BLW
 
                                            
Tax cost
        $ 187,024,477         $ 823,020,859         $ 938,952,218   
Gross unrealized appreciation
        $ 1,164,357         $ 9,303,132         $ 28,610,126   
Gross unrealized depreciation
           (1,412,252 )           (15,788,241 )           (19,447,051 )  
Net unrealized appreciation (depreciation)
        $ (247,895 )        $ (6,485,109 )        $ 9,163,075   

8. Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. As of August 31, 2014, the Funds have not received any notice to terminate. The Funds have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:





   
Commitment
Amounts

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

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

72 ANNUAL REPORT AUGUST 31, 2014
 
  
Notes to Financial Statements (continued)  

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 August 31, 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 year ended August 31, 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%

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 the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

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





   
Year Ended
August 31,
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.
ANNUAL REPORT AUGUST 31, 2014 73
 
  
Notes to Financial Statements (concluded)  

During the current reporting period, FRA and BLW each filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing them to issue an additional 3,050,000 and 3,750,000 Common Shares, respectively, through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, FRA and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA and BLW’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

11. Subsequent Events:

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

Each Fund paid a net investment income dividend in the following amounts per share on September 30, 2014 to Common Shareholders of record on September 15, 2014:





   
Common Dividend
Per Share

BHL
     
$0.0605
FRA
     
$0.0700
BLW
     
$0.0995

Additionally, the Funds declared a net investment income dividend on October 1, 2014 payable to Common Shareholders of record on October 15, 2014 as follows:





   
Common Dividend
Per Share

BHL
     
$0.0583
FRA
     
$0.0674
BLW
     
$0.0995
74 ANNUAL REPORT AUGUST 31, 2014
 
  
Report of Independent Registered Public Accounting Firm 

To the Shareholders and Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. and to the Shareholders and Board of Trustees of BlackRock Defined Opportunity Credit Trust and BlackRock Limited Duration Income Trust:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Defined Opportunity Credit Trust (the “Fund”) as of August 31, 2014, and its related statements of operations and cash flows for the year then ended, its statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of BlackRock Floating Rate Income Strategies Fund, Inc., and BlackRock Limited Duration Income Trust, (collectively with the Fund mentioned above, the “Funds”), as of August 31, 2014, and their related consolidated statements of operations and consolidated cash flows for the year then ended, their consolidated statements of changes in net assets for each of the two years in the period then ended, and their consolidated financial highlights for the years ended August 31, 2014, August 31, 2013, and August 31, 2012, and financial highlights for each of the other periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2014, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Defined Opportunity Credit Trust as of August 31, 2014, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the periods presented, and the consolidated financial positions of BlackRock Floating Rate Income Strategies Fund, Inc., and BlackRock Limited Duration Income Trust, as of August 31, 2014, the consolidated results of their operations and their consolidated cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and their consolidated financial highlights for the years ended August 31, 2014, August 31, 2013, and August 31, 2012, and financial highlights for each of the other periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
October 24, 2014

Important Tax Information (Unaudited) 

The following information is provided with respect to the ordinary income distributions paid by the Funds during the fiscal year ended August 31, 2014.



 
           BHL             FRA             BLW    
Qualified Dividend Income for Individuals1
                                                            
September 2013-August 2014
           2.14 %                       3.26 %  
Dividends Qualifying for the Dividends Received Deduction for Corporations1
                                            
September 2013-August 2014
           2.14 %                       2.73 %  
Interest-Related Dividends for Non-U.S. Residents2
                                                            
September 2013-December 2013
           88.60 %           88.31 %           79.98 %  
January 2014-August 2014
           79.71 %           80.40 %           79.73 %  
1 The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.
2 Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.
ANNUAL REPORT AUGUST 31, 2014 75
 
  
Disclosure of Investment Advisory Agreements 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” and together with BHL and FRA, each a “Fund,” and, collectively, the “Funds”) met in person on May 9, 2014 (the “May Meeting”) and June 5-6, 2014 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. At the June Meeting, it was noted that the sub-advisory agreement among the Manager, BlackRock Financial Management, Inc. and each Fund would expire effective July 1, 2014. It was also noted that the non-renewal of each Fund’s sub-advisory agreement would not result in any change in the nature or quality of services provided to such Fund, or in the portfolio management team that serves such Fund. The Manager is referred to herein as “BlackRock.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Advisory Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Advisory Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Advisory Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including, as applicable, investment management, administrative, and shareholder services; oversight of fund service providers; marketing services; risk oversight; compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Advisory Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objective, policies and restrictions, and meeting new regulatory requirements; (e) the Funds’ compliance with their Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as: BlackRock’s profitability; investment performance; subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties); investment professional investment in funds they manage; and management fee levels and breakpoints. The Boards further discussed with BlackRock: BlackRock’s management structure; portfolio turnover; BlackRock’s portfolio manager compensation and performance accountability; marketing support for the Funds; services provided to the Funds by BlackRock affiliates; and BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Advisory Agreements

The Approval Process: Prior to the May Meeting, the Boards requested and received materials specifically relating to the Advisory Agreements. The Boards are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the May Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper1 and, with respect to BHL and FRA, a customized

1 Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.
76 ANNUAL REPORT AUGUST 31, 2014
 
  
Disclosure of Investment Advisory Agreements (continued) 

peer group selected by BlackRock, as well as the investment performance of BLW as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Advisory Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the May Meeting, the Boards reviewed materials relating to their consideration of the Advisory Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. In approving the continuation of the Advisory Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, each Board compared its Fund’s performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to the Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, periodic shareholder reports, and with respect to FRA and BLW, registration statements in connection with each Fund’s equity shelf program, and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger or consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the May Meeting, the Boards worked with their independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in that Fund’s applicable Lipper category, and with respect to BHL and FRA, the customized peer group selected by BlackRock, and with respect to BLW, the investment performance of BLW as compared with its custom benchmark.

ANNUAL REPORT AUGUST 31, 2014 77
 
  
Disclosure of Investment Advisory Agreements (continued) 


The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of BHL noted that for each of the one-, three- and five-year periods reported, BHL ranked in the fourth quartile against its Customized Lipper Peer Group. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for BHL.

The Board of FRA noted that for the one-, three- and five-year periods reported, FRA ranked in the second, third and fourth quartiles, respectively, against its Customized Lipper Peer Group. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for FRA. The Board of FRA also noted the Fund’s improved performance during the one-year period.

The Board of each of BHL and FRA and BlackRock reviewed and discussed the reasons for its respective Fund’s underperformance during the applicable periods. The Board of each of BHL and FRA was informed that, among other things, the two factors with the greatest impact on performance relative to each Fund’s peers during these periods were each Fund’s leverage utilization and higher quality investment style. Each of BHL and FRA obtains leverage through a contractual bank line, which limits its ability to obtain leverage beyond 33% of Fund assets. This generally causes each Fund to lag during favorable market periods. The investment style of each Fund tends to be higher quality in terms of the average borrower, the structure, terms and conditions of the loans, and the liquidity of the deals the team invests in. Over time, each Fund’s management believes this will lead to better risk-adjusted returns, but in strong risk periods when markets and/or lower-quality loan instruments are rising, it can exaggerate the degree of underperformance.

BlackRock and the Board of each of BHL and FRA also discussed BlackRock’s strategy for improving its respective Fund’s performance and BlackRock’s commitment to providing the resources necessary to assist the Fund’s portfolio managers in seeking to improve the Fund’s performance.

The Board of BLW noted that for each of the one-, three- and five-year periods reported, BLW’s performance exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: The Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of other funds in its Lipper category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2013 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Advisory Agreements and to continue to provide the high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similar investment objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.

The Board of BHL noted that BHL’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the third quartile, relative to the Expense Peers. The Board of BHL determined that BHL’s total expense ratio was appropriate in light of the median total expense ratio paid by the Fund’s Expense Peers.

The Board of each of FRA and BLW noted that its respective Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Fund’s Expense Peers.

78 ANNUAL REPORT AUGUST 31, 2014
 
  
Disclosure of Investment Advisory Agreements (concluded) 

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of each of FRA and BLW noted that although its respective Fund may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of the Fund’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that it had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Advisory Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that their Fund’s fees and expenses are too high or if they are dissatisfied with the performance of their Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction rate preferred securities; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. Based upon their evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Advisory Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Advisory Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

ANNUAL REPORT AUGUST 31, 2014 79
 
  
Automatic Dividend Reinvestment Plans 

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.



80 ANNUAL REPORT AUGUST 31, 2014
 
  
Officers and Directors  
Name, Address1
and Year of Birth
    Position(s)
Held with
Funds
    Length
of Time
Served as
a Director3
    Principal Occupation(s) During Past Five Years     Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
    Public
Directorships
Independent Directors2
Richard E. Cavanagh
1946
 
Chairman of
the Board
and Director
  
Since
2007
  
Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.
  
82 RICs consisting of
82 Portfolios
  
None
 
Karen P. Robards
1950
 
Vice Chairperson of the Board, Chairperson of the Audit Committee
and Director
  
Since
2007
  
Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.
  
82 RICs consisting of
82 Portfolios
  
AtriCure, Inc.
(medical devices); Greenhill & Co., Inc.
 
Michael J. Castellano
1946
 
Director and Member of the Audit Committee
  
Since
2011
  
Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012.
  
82 RICs consisting of
82 Portfolios
  
None
 
Frank J. Fabozzi4
1948
 
Director and Member of the Audit Committee
  
Since
2007
  
Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.
  
115 RICs consisting of
237 Portfolios
  
None
 
Kathleen F. Feldstein
1941
 
Director
  
Since
2007
  
President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.
  
82 RICs consisting of
82 Portfolios
  
The McClatchy Company (publishing)
 
James T. Flynn
1939
 
Director and Member of the Audit Committee
  
Since
2007
  
Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.
  
82 RICs consisting of
82 Portfolios
  
None
 
Jerrold B. Harris
1942
 
Director
  
Since
2007
  
Trustee, Ursinus College since 2000; Director, Ducks Unlimited, Inc. (conservations) since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.
  
82 RICs consisting of
82 Portfolios
  
BlackRock Kelso Capital Corp. (business development company)
 
R. Glenn Hubbard
1958
 
Director
  
Since
2007
  
Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.
  
82 RICs consisting of
82 Portfolios
  
ADP (data and information services); Metropolitan Life Insurance Company (insurance)

ANNUAL REPORT AUGUST 31, 2014 81
 
  
Officers and Directors (continued)  
Name, Address1
and Year of Birth
        Position(s)
Held with
Funds
    Length
of Time
Served as
a Director3
    Principal Occupation(s) During Past Five Years     Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
    Public
Directorships
Independent Directors2 (concluded)
 
W. Carl Kester
1951
     
Director and Member of the Audit Committee
  
Since
2007
  
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.
  
82 RICs consisting of
82 Portfolios
  
None
 
        
1  The address of each Director is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.
 
        
2  Independent Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding good cause thereof. In 2013, the Board of Directors unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year which the Board believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31 of the year in which he turns 75. Mr. Flynn turns 75 in 2014.
 
        
3  Date shown is the earliest date a person has served for the Funds covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Directors as joining the Funds’ board in 2007, those Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.
 
        
4  Dr. Fabozzi is also a board member of the BlackRock Equity-Liquidity Complex.
                             
Interested Directors5
 
Paul L. Audet
1953
     
Director
  
Since
2011
  
Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.
  
144 RICs consisting of
330 Portfolios
  
None
 
Henry Gabbay
1947
     
Director
  
Since
2007
  
Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.
  
144 RICs consisting of
330 Portfolios
  
None
 
  
5  Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Funds based on his position with BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Funds based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. Interested Directors of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding a good cause thereof.
82 ANNUAL REPORT AUGUST 31, 2014
 
  
Officers and Directors (concluded)  

Name, Address1
and Year of Birth
         Position(s)
Held with
Funds
     Length of
Time Served
     Principal Occupation(s) During Past Five Years
Officers2
 
John M. Perlowski
1964
     
President and Chief Executive Officer
  
Since
2011
  
Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
 
Brendan Kyne
1977
     
Vice
President
  
Since
2009
  
Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Americas Product Development for BlackRock since 2013, Head of Product Development and Management for BlackRock’s U.S. Retail Group from 2009 to 2013 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.
 
Robert W. Crothers
1981
     
Vice
President
  
Since
2012
  
Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010.
 
Neal Andrews
1966
     
Chief
Financial
Officer
  
Since
2007
  
Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
 
Jay Fife
1970
     
Treasurer
  
Since
2007
  
Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
 
Charles Park
1967
     
Chief Compliance Officer and Anti-Money Laundering Officer
  
Since
2014
  
Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
 
Janey Ahn
1975
     
Secretary
  
Since
2012
  
Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009. Assistant Secretary of the Funds from 2008 to 2012.
 
        
1  The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.
 
        
2  Officers of the Funds serve at the pleasure of the Boards.
Effective June 6, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Funds and Charles Park became Chief Compliance Officer and Anti-Money Laundering Officer of the Funds.
     


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

Transfer Agent
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021
  
Independent Registered
Public Accounting Firm

Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036
  
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
ANNUAL REPORT AUGUST 31, 2014 83
 
  
Additional Information  

Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2014 for shareholders of record on June 3, 2014 to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Approved the Class I Directors as follows:


         Paul L. Audet
    Michael J. Castellano
    R. Glenn Hubbard
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
BHL
           7,416,467            142,354            0             7,402,377            156,444            0             7,415,524            143,297            0    
BLW
           28,167,427            322,726            0             28,175,187            314,966            0             28,141,719            348,434            0    











         W. Carl Kester
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
BHL
           7,415,524            143,297            0                                                                                                                          
BLW
           28,170,791            319,362            0                                                                                                                          

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.

Approved the Directors as follows:


         Paul L. Audet
    Michael J. Castellano
    Richard E. Cavanagh
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
FRA
           27,450,782            701,572            0             27,447,363            704,991            0             27,444,576            707,778            0    


         Frank J. Fabozzi
    Kathleen F. Feldstein
    James T. Flynn
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
FRA
           27,441,098            711,256            0             27,425,007            727,347            0             27,429,118            723,236            0    


         Henry Gabbay
    Jerrold B. Harris
    R. Glenn Hubbard
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
FRA
           27,443,465            708,889            0             27,432,760            719,594            0             27,436,136            716,218            0    
                                                                             

         W. Carl Kester
    Karen P. Robards
   



   
Votes For
   
Votes
Withheld

   
Abstain
   
Votes For
   
Votes
Withheld

   
Abstain
FRA
           27,435,400            716,954            0             27,442,063            710,291            0    
84 ANNUAL REPORT AUGUST 31, 2014
 
  
Additional Information (continued)  

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC

the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.     



Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the 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.



ANNUAL REPORT AUGUST 31, 2014 85
 
  
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 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’ web-sites 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.



86 ANNUAL REPORT AUGUST 31, 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 May 2, 2014, BLW and FRA each filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectuses of BLW and FRA are not offers to sell BLW or FRA Common Shares or solicitations of an offer to buy BLW or FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of BLW and FRA contain important information about such Funds, including their investment objectives, risks, charges and expenses. Investors of BLW and FRA are urged to read the prospectuses of BLW and FRA carefully and in their entirety before investing. Copies of the final prospectuses for BLW and FRA can be obtained from BlackRock at http://www.blackrock.com.    



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.



ANNUAL REPORT AUGUST 31, 2014 87
 
  

This report is intended for existing shareholders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.


 
                    

CEFT-BK3-8/14-AR
          
 
   
 
  

Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2
 

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“ ”) in each of the last two fiscal years for the services rendered to the Fund:

  (a) Audit Fees (b) Audit-Related Fees1 (c) Tax Fees2 (d) All Other Fees3
Entity Name Current Fiscal Year End Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End
BlackRock Limited Duration Income Trust $66,613 $65,038 $0 $0 $25,350 $25,350 $0 $0

 

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

  Current Fiscal Year End Previous Fiscal Year End
(b) Audit-Related Fees1 $0 $0
(c) Tax Fees2 $0 $0
(d) All Other Fees3 $2,555,000 $2,865,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g.,

3
 

 

unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:
  Entity Name Current Fiscal Year End Previous Fiscal Year End
  BlackRock Limited Duration Income Trust $25,350 $25,350

 

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,555,000 and $2,865,000, respectively, were billed by D&T to the Investment Adviser.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 – Audit Committee of Listed Registrants

(a)The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

 

(b)Not Applicable

Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

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(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2014.

(a)(1)The registrant is managed by a team of investment professionals comprised of Leland Hart, Managing Director at BlackRock, James E. Keenan, Managing Director of BlackRock, C. Adrian Marshall, Director of BlackRock, and Tom Musmanno, Managing Director at BlackRock. Each of the foregoing investment professionals is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Hart, Keenan, Marshall and Musmanno have been members of the registrant’s portfolio management team since 2009, 2007, 2009 and 2012, respectively.
  Portfolio Manager Biography
  Leland Hart Managing Director of BlackRock since 2009; Partner of R3 Capital Partners ("R3") in 2009; Managing Director of R3 from 2008 to 2009; Managing Director of Lehman Brothers from 2006 to 2008; Executive Director of Lehman Brothers from 2003 to 2006.
  James E. Keenan Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005.
  C. Adrian Marshall Director of BlackRock since 2007; Vice President of BlackRock from 2004 to 2007.
  Thomas Musmanno Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.

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(a)(2)As of August 31, 2014:
 

(ii) Number of Other Accounts Managed

and Assets by Account Type

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Leland Hart 6 21 13 0 4 0
  $4.54 Billion $1.25 Billion $1.91 Billion $0 $5.75 Million $0
James E. Keenan 14 26 17 0 3 4
  $22.52 Billion $9.92 Billion $6.06 Billion $0 $27.56 Million $586.9 Million
C. Adrian Marshall 6 21 13 0 4 0
  $4.54 Billion $1.25 Billion $1.91 Billion $0 $5.75 Million $0
Thomas Musmanno 12 14 169 0 2 0
  $7.78 Billion $4.68 Billion $48.63 Billion $0 $1.97 Billion $0
(iv)Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.  In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund.  BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities.  Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.  Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.  It should also be noted that Messrs. Hart, Keenan and Marshall may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs.

 

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Hart, Keenan and Marshall may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

 

(a)(3)As of August 31, 2014:

Portfolio Manager Compensation Overview

 

The discussion below describes the portfolio managers’ compensation as of August 31, 2014.

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

 

Discretionary Incentive Compensation

 

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock.  In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured.  Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks.  Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

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  Portfolio Manager Benchmark
  James E. Keenan

A combination of market-based indices (e.g., The Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

 

  Tom Musmanno

A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.

 

 

Leland Hart

C. Adrian Marshall

A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.

 

 

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

 

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance.  Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Hart, Keenan, Marshall and Musmanno have unvested long-term incentive awards.

 

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

 

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50%

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of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($260,000 for 2014).  The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.  The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date.  Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date.  All of the eligible portfolio managers are eligible to participate in these plans.

 

 

(a)(4)Beneficial Ownership of Securities – As of August 31, 2014.
Portfolio Manager Dollar Range of Equity Securities of the Fund Beneficially Owned
Leland Hart None
James E. Keenan None
C. Adrian Marshall None
Tom Musmanno None

 

(b) Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

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.

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Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2
(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

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

 

BlackRock Limited Duration Income Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Limited Duration Income Trust

 

Date: November 3, 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: November 3, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Limited Duration Income Trust

 

Date: November 3, 2014

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