BLACKROCK CREDIT ALLOCATION INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21972

Name of Fund:  BlackRock Credit Allocation Income Trust (BTZ)

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Credit

                Allocation 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: 10/31/2017

Date of reporting period: 10/31/2017


Item 1 – Report to Stockholders


OCTOBER 31, 2017

 

ANNUAL REPORT

  LOGO

 

BlackRock Credit Allocation Income Trust (BTZ)

BlackRock Floating Rate Income Trust (BGT)

BlackRock Multi-Sector Income Trust (BIT)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

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

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

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries throughout the world experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times and setting expectations for additional interest rate increases. The Fed also began reducing the vast balance sheet reserves that had accumulated in the wake of the financial crisis. In October 2017, the Fed reduced its $4.5 trillion balance sheet by only $10 billion, while setting expectations for additional modest reductions and rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) both continued to expand their balance sheets despite nascent signs of sustained economic growth. The Eurozone and Japan are both approaching the limits of central banks’ ownership share of debt issued by their respective governments, which is a structural pressure point that limits their capacity to deliver additional monetary stimulus. In October 2017, the ECB announced plans to cut the amount of its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus until the inflation rate rises to its target of 2.0%.

Emerging market growth also stabilized, as accelerating growth in China, the second largest economy in the world and the most influential of all developing economies, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment flows.

While escalating tensions between the United States and North Korea and our nation’s divided politics are significant concerns, benign credit conditions, modest inflation, solid corporate earnings, and the positive outlook for growth in the world’s largest economies have kept markets relatively tranquil.

High valuations across most assets have laid the groundwork for muted returns going forward. At current valuation levels, potential equity gains will likely be closely tied to the pace of earnings growth, which has remained solid thus far in 2017, particularly in emerging markets. In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

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

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

  9.10%   23.63%

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

  8.01   27.85

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

  10.74   23.44

Emerging market equities
(MSCI Emerging Markets Index)

  16.14   26.45

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

  0.49   0.72

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

  0.15   (2.98)

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

  1.58   0.90

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

  2.22   1.80

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

  3.44   8.92
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

Annual Report:

  

Trust Summaries

     4  

The Benefits and Risks of Leveraging

     13  

Derivative Financial Instruments

     13  

Financial Statements:

  

Schedules of Investments

     14  

Statements of Assets and Liabilities

     83  

Statements of Operations

     85  

Statements of Changes in Net Assets

     86  

Statements of Cash Flows

     88  

Financial Highlights

     90  

Notes to Financial Statements

     93  

Report of Independent Registered Public Accounting Firm

     106  

Important Tax Information

     106  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

     107  

Automatic Dividend Reinvestment Plan

     111  

Trustee and Officer Information

     112  

Additional Information

     115  

Glossary of Terms Used in this Report

     118  

 

 

 

 

     3  


Trust Summary  as of October 31, 2017    BlackRock Credit Allocation Income Trust

 

Investment Objective

BlackRock Credit Allocation Income Trust’s (BTZ) (the “Trust”) investment objective is to provide current income, current gains and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as “junk” bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BTZ

Initial Offering Date

  December 27, 2006

Current Distribution Rate on Closing Market Price as of October 31, 2017 ($13.36)(a)

  6.02%

Current Monthly Distribution per Common Share(b)

  $0.067

Current Annualized Distribution per Common Share(b)

  $0.804

Economic Leverage as of October 31, 2017(c)

  23%

 

  (a)  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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.  
  (b)  The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.  
  (c) Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

    

10/31/17

    

10/31/16

     Change      High      Low  

Market Price

  $ 13.36      $ 12.87        3.81    $ 13.66      $ 12.06  

Net Asset Value

    14.88        14.61        1.85        14.93        14.14  

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

 

LOGO

 

 

4    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2017 (continued)    BlackRock Credit Allocation Income Trust

 

Performance and Portfolio Management Commentary

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

 

    Average Annual Total Returns  
     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

    8.53      6.13      6.65

Trust at Market Price(a)(b)

    10.62        6.78        6.00  

Reference Benchmark(c)

    5.48        4.62        4.58  

Bloomberg Barclays U.S. Credit Index(d)

    3.18        3.62        3.07  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(e)

    8.92        5.58        6.27  

Bloomberg Barclays USD Capital Securities Index(f)

    6.25        5.57        5.81  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (b)  The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Credit Index (50.36%), the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (29.93%), and the Bloomberg Barclays USD Capital Securities Index (19.71%).  
  (d)  This unmanaged index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets.  
  (e)  An unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.  
  (f)  This unmanaged index tracks fixed-rate, investment grade capital securities denominated in USD.  

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

 

  Positive contributors to performance during the period included the Trust’s exposure to capital securities (dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuer’s capital structure). In terms of industries, holdings within midstream energy generated positive performance as companies there are benefiting from improved balance sheet fundamentals and a more favorable regulatory environment. Additionally, utilities and U.S. banks added to performance. Exposure to high yield bonds also contributed positively to performance on an absolute basis. Finally, positioning with respect to duration (and corresponding interest rate sensitivity) and yield curve positioning helped generate positive performance as well.

 

  There were no detractors from the Trust’s performance on an absolute basis.

Describe recent portfolio activity.

 

  The Trust tactically shortened duration early in the period in preparation for rates moving higher as a result of the reflationary environment and anticipated pro-growth policy initiatives. The Trust has had a preference for high quality assets given the compression in spreads seen during the reporting period, which has resulted in an environment with little dispersion in terms of opportunities to generate performance. The Trust maintained significant positions in banking, midstream energy, wirelines, and electric utilities throughout the period. The allocation to media names was reduced as industry disruption and merger and acquisition activity led to increased volatility in the sector.

Describe portfolio positioning at period end.

 

  Despite somewhat rich valuations, the Trust was positioned with a constructive view on credit, on the basis that an extended credit cycle is supported by improved growth and the Fed’s effective telegraphing of its plans for tightening policy. The Trust ended the period with a significant allocation to the banking sector with a focus on capital securities down in the capital structure. The Trust also held select midstream energy names on the view that the energy industry is stabilizing.

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.

 

 

TRUST SUMMARY      5  


Trust Summary  as of October 31, 2017 (continued)    BlackRock Credit Allocation Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

    

10/31/17

    10/31/16  

Corporate Bonds

    73     71

Preferred Securities

    19       17  

Asset-Backed Securities

    3       4  

Foreign Agency Obligations

    2       1  

U.S. Treasury Obligations

    1       6  

Municipal Bonds

    1       1  

Other

    1 (a)      (b) 

 

  (a)  Includes a less than 1% holding in each of the following investment types: Short-Term Securities, U.S. Government Sponsored Agency Securities and Options Purchased.  
  (b)  Includes a less than 1% holding in each of the following investment types: Short-Term Securities, U.S. Government Sponsored Agency Securities, Options Purchased, Options Written and Common Stocks.  

CREDIT QUALITY ALLOCATION (c)(d)

 

    

10/31/17

   

10/31/16

 

AAA/Aaa(e)

    2     7

AA/Aa

    3       3  

A

    16       17  

BBB/Baa

    51       47  

BB/Ba

    19       16  

B

    8       8  

CCC/Caa

    1       1  

CC/Ca

    (f)       

N/R

          1  

 

  (c) 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.  
  (d) Excludes Short-Term Securities, Options Purchased and Options Written.  
  (e) The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.  
  (f)  Represents less than 1% of total investments.  
 

 

 

6    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2017    BlackRock Floating Rate Income Trust

 

Investment Objective

BlackRock Floating Rate Income Trust’s (BGT) (the “Trust”) primary investment objective is to provide a high level of current income. The Trust’s secondary investment objective is to seek the preservation of capital to the extent consistent with its primary objective of high current income. The Trust seeks to achieve its investment objectives by investing primarily, under normal conditions, at least 80% of its assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial portion of its assets in global floating and variable rate securities including senior secured floating rate loans made to corporate and other business entities. Under normal market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on NYSE

  BGT

Initial Offering Date

  August 30, 2004

Current Distribution Rate on Closing Market Price as of October 31, 2017 ($14.31)(a)

  4.89%

Current Monthly Distribution per Common Share(b)

  $0.0583

Current Annualized Distribution per Common Share(b)

  $0.6996

Economic Leverage as of October 31, 2017(c)

  30%

 

  (a)  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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.  
  (b)  The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.  
  (c)  Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

    

10/31/17

    

10/31/16

     Change      High      Low  

Market Price

  $ 14.31      $ 13.58        5.38    $ 14.79      $ 13.23  

Net Asset Value

    14.49        14.41        0.56        14.59        14.30  

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

 

LOGO

 

 

TRUST SUMMARY      7  


Trust Summary  as of October 31, 2017 (continued)    BlackRock Floating Rate Income Trust

 

Performance and Portfolio Management Commentary

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

 

    Average Annual Total Returns  
     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

    6.13      5.63      6.16

Trust at Market Price(a)(b)

    11.21        8.77        5.11  

S&P/LSTA Leveraged Loan Index(c)

    5.06        3.99        4.15  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (b)  The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  This unmanaged market value-weighted index (the “Reference Benchmark”) is designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.  

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

 

  The broad floating rate loan interest (“bank loan”) market provided a positive return for the 12-month period. Among the most notable drivers of positive returns in the Trust were allocations to the technology, health care and consumer cyclical sectors. The Trust’s B-rated, BB-rated, and CCC-rated positions positively contributed to performance. The Trust’s tactical allocations to high yield bonds, equities and collateralized loan obligations also benefited performance, as these segments outperformed bank loans over the 12-month period.

 

  The Trust’s exposure to retailers and supermarkets was the leading detractor from performance, as secular changes in consumer spending behavior, shifting fashion trends, excess capacity, and uncertainty around fiscal reform all weighed on the segments. In terms of credit quality, the Trust’s lack of holdings in CC-rated, D-rated, and C-rated names detracted from performance.

Describe recent portfolio activity.

 

  The Trust maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality, while gradually adding market risk as the 12-month period progressed. The majority of the Trust was invested in B-rated bank loans, followed by BB-rated names. Over the course of the period, the Trust increased its B-rated allocation while reducing positions in BB-rated names. On a sector basis, the Trust reduced its broad consumer cyclical allocation, trimming retailers specifically as the sector faces fundamental challenges. By contrast, the Trust increased its energy exposure, particularly within the higher-quality independent energy sector. Finally, with the bank loan market increasingly trading above par value, the Trust added to its high yield bond position based on relative valuation.

Describe portfolio positioning at period end.

 

  At period end, the Trust held the majority of its portfolio in rated bank loans, with a meaningful position in high yield corporate bonds as well. The Trust maintained its highest concentration in B-rated loans of select issuers, while limiting exposure to both higher quality loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and greater downside risk should credit sentiment weaken. From a sector perspective, the Trust’s largest overweight positions were within the cable & satellite, wireless, and gaming sectors. By contrast, the Trust was underweight in retail and leisure, where fundamentals have continued to deteriorate. Within energy, the Trust was focused on higher-quality issuers within the independent energy segment. The Trust remained focused on industries and companies with stable business profiles and consistent cash flows, avoiding areas of the market with secular concerns and/or deteriorating fundamental trends. Top issuer positions included Altice (wireless), Centurylink (wirelines) and Liberty Global (cable & satellite).

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    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2017 (continued)    BlackRock Floating Rate Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     10/31/17    

10/31/16

 

Floating Rate Loan Interests

    93     92

Corporate Bonds

    5       4  

Asset-Backed Securities

    1       2  

Short-Term Securities

    (a)      2  

Other

    1 (b)      (c) 

 

  (a)  Represents less than 1% of total investments.  
  (b)  Includes a less than 1% holding in each of the following investment types: Common Stocks, Other Interests, Rights, Warrants, Short-Term Securities and Options Purchased.  
  (c)  Includes a less than 1% holding in each of the following investment types: Non-Agency Mortgage — Backed Securities, Other Interests, Investment Companies, Warrants, Common Stocks and Options Purchased.  

CREDIT QUALITY ALLOCATION (d)(e)

 

     10/31/17    

10/31/16

 

A

    1     (a) 

BBB/Baa

    8       8

BB/Ba

    42       43  

B

    42       41  

CCC/Caa

    3       3  

N/R

    4       5  

 

  (d)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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.  
  (e)  Excludes Short-Term Securities and Options Purchased.  
 

 

 

TRUST SUMMARY      9  


Trust Summary  as of October 31, 2017    BlackRock Multi-Sector Income Trust

 

Investment Objective

BlackRock Multi-Sector Income Trust’s (BIT) (the “Trust”) primary investment objective is to seek high current income, with a secondary objective of capital appreciation. The Trust seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in loan and debt instruments and other investments with similar economic characteristics. The Trust may invest directly in such securities or synthetically through the use of derivatives. Additionally, as part of the Trust’s investments in loans, the Trust may make loans directly to borrowers either as sole lender or by acting as a member of a syndicate of original lenders.

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

Trust Information

 

Symbol on NYSE

  BIT

Initial Offering Date

  February 27, 2013

Current Distribution Rate on Closing Market Price as of October 31, 2017 ($18.55)(a)

  7.55%

Current Monthly Distribution per Common Share(b)

  $0.1167

Current Annualized Distribution per Common Share(b)

  $1.4004

Economic Leverage as of October 31, 2017(c)

  38%

 

  (a)  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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.  
  (b)  The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.  
  (c)  Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

    

10/31/17

    

10/31/16

     Change      High      Low  

Market Price

  $ 18.55      $ 16.76        10.68    $ 18.77      $ 15.53  

Net Asset Value

    20.07        18.91        6.13        20.09        18.28  

Market Price and Net Asset Value History Since Inception

 

LOGO

 

(a)  Commencement of operations.

 

 

10    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2017 (continued)    BlackRock Multi-Sector Income Trust

 

Performance and Portfolio Management Commentary

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

 

     Average Annual Total Returns  
      1 Year      3 Years      Since
Inception
 (a)
 

Trust at NAV(b)(c)

     17.34      10.38      10.41

Trust at Market Price(b)(c)

     22.36        11.61        7.51  

Lipper General Bond Funds at NAV(d)

     11.20        6.38        6.46 (e) 

Lipper General Bond Funds at Market Price(d)

     14.75        8.52        6.01 (e) 

 

  (a) The Trust commenced operations on February 27, 2013.  
  (b)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (c)  The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (d)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper. Historical performance shown is calculated based on the composition of the Lipper General Bond Fund category at the time of preparation of this report to shareholders.  
  (e) The Lipper category average return for the since inception period is from the close of February 28, 2013. Therefore, the category average is using 1 less day of performance (February 28, 2013) compared to the Trust (February 27, 2013).  

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

Past performance is not indicative of future results.

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

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

What factors influenced performance?

 

  The Trust’s positions in non-agency mortgage-backed securities (“MBS”), high yield corporate bonds, senior loans, commercial mortgage backed securities (“CMBS”) and capital securities were the largest positive contributors to return for the 12-month period. The Trust’s allocation to asset-backed securities (“ABS”), investment grade corporate debt and emerging market debt also supported absolute returns.

 

  The Trust’s stance with respect to duration (sensitivity to interest rate movements) and yield curve positioning detracted from performance during the period.

Describe recent portfolio activity.

 

  The Trust’s spread sector exposure was rotated out of ABS and investment grade corporate bonds and into non-agency MBS, capital securities and emerging market sovereign names. The Trust’s duration exposure increased over the period from 3.4 years to 3.9 years. The spread sector rotations over the period were based on the view that the upturn in global economic growth, low volatility and generally robust U.S. economic data are supportive of risk assets.

Describe portfolio positioning at period end.

 

  At period end, the Trust maintained a diversified exposure within non-government spread sectors, including non-agency MBS, high yield corporates, capital securities, ABS, collateralized loan obligations, CMBS, emerging market debt and senior loans. The Trust also held marginal exposure to government-related sectors such as foreign agency obligations.

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.

 

 

TRUST SUMMARY      11  


Trust Summary  as of October 31, 2017 (continued)    BlackRock Multi-Sector Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

    

10/31/17

   

10/31/16

 

Corporate Bonds

    42     41

Asset-Backed Securities

    17       19  

Non-Agency Mortgage-Backed Securities

    13       18  

Preferred Securities

    11       12  

Foreign Agency Obligations

    6       4  

Floating Rate Loan Interests

    9       5  

U.S. Government Sponsored Agency Securities

    2        

Short-Term Securities

    (a)      1  

Other

    (b)      (c) 

 

  (a)  Represents less than 1% of total investments.  
  (b)  Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, and Short-Term Securities.  
  (c)  Includes a less than 1% holding in each of the following investment types: Common Stocks, U.S. Treasury Obligations, Options Purchased and Options Written.  

CREDIT QUALITY ALLOCATION (d)(e)

 

    

10/31/17

   

10/31/16

 

AAA/Aaa(f)

    (a)      (a) 

AA/Aa

    1     2

A

    5       8  

BBB/Baa

    16       18  

BB/Ba

    29       22  

B

    18       20  

CCC/Caa

    16       16  

CC/Ca

    (a)      5  

C

    4       1  

N/R

    11       8  

 

  (d)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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.  
  (e)  Excludes Short-Term Securities, Options Purchased and Options Written.  
  (f)  The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.  
 

 

 

12    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


The Benefits and Risks of Leveraging

 

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ 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 Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

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

Each Trust 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 Trust is permitted to issue debt up to 33 13% of its total managed assets. BIT is permitted to use economic leverage (which includes leverage attributable to reverse repurchase agreements) of up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust 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 Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the reverse repurchase agreement (including accrued interest), then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. BIT may use economic leverage up to 100% of its net assets (50% of its total managed assets). The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      13  


Schedule of Investments

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

     
Asset-Backed Securities — 4.5%  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.45%), 4.83%, 7/28/26(a)(b)

    USD       4,500     $ 4,522,862  

ALM XVII Ltd., Series 2015-17A, Class B1, (3 mo. LIBOR US + 3.40%), 4.76%, 1/15/28(a)(b)

      1,400       1,425,101  

AMMC CLO Ltd., Series 2015-17A, Class C, (3 mo. LIBOR US + 3.25%), 4.57%, 11/15/27(a)(b)

      1,000       1,000,360  

Anchorage Capital CLO Ltd.(b):

     

Series 2013-1A, Class BR, 3.51%, 10/13/30(c)(d)

      1,000       1,000,000  

Series 2014-3A, Class C, (3 mo. LIBOR US + 3.50%), 4.88%, 4/28/26(a)

      1,000       1,001,046  

Series 2015-7A, Class CR, 3.06%, 10/15/27(c)

      1,000       1,001,300  

Series 2015-7A, Class DR, 4.06%, 10/15/27(c)

      1,000       1,006,138  

Apidos CLO XVIII, Series 2014-18A, Class CR, (3 mo. LIBOR US + 3.25%), 4.61%, 7/22/26(a)(b)

      1,300       1,314,973  

Ares CLO Ltd., 1.00%, 10/15/30(b)(c)

      2,750       2,750,000  

Atlas Senior Loan Fund II Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 3.90%), 5.28%, 1/30/24(a)(b)

      750       753,738  

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, (3 mo. LIBOR US + 3.60%), 4.96%, 10/15/26(a)(b)

      2,500       2,505,282  

Atrium X, Series 10A, Class DR, (3 mo. LIBOR US + 3.00%), 4.36%, 7/16/25(a)(b)

      1,500       1,500,724  

Benefit Street Partners CLO XII Ltd., Series 2017-12A(b)(c):

     

Class B, 3.35%, 10/15/30

      1,000       1,005,895  

Class C, 4.40%, 10/15/30

      2,000       2,017,587  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 4.66%, 11/23/25(a)(b)

      1,000       1,001,691  

Carlyle Global Market Strategies CLO Ltd.(a)(b):

     

Series 2013-3A, Class C, (3 mo. LIBOR US + 3.40%), 4.76%, 7/15/25

      1,000       1,000,221  

Series 2016-1A, Class C, (3 mo. LIBOR US + 4.90%), 6.26%, 4/20/27

      1,000       1,014,421  

Series 2016-3A, Class C, (3 mo. LIBOR US + 4.00%), 5.36%, 10/20/29

      1,000       1,016,158  

CIFC Funding Ltd., Series 2013-2A(b)(c):

     

Class A3LR, 3.95%, 10/18/30

      1,000       1,003,179  

Class B1LR, 4.60%, 10/18/30

      1,000       1,011,570  

Elevation CLO Ltd., Series 2017-7A, Class C, 1.00%, 7/15/30(b)(c)

      1,500       1,500,000  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, (3 mo. LIBOR US + 3.50%), 4.88%, 10/29/26(a)(b)

      1,000       1,001,790  

Highbridge Loan Management Ltd.(a)(b):

     

Series 4A-2014, Class B, (3 mo. LIBOR US + 3.00%), 4.38%, 7/28/25

      750       750,772  

Series 6A-2015, Class C, (3 mo. LIBOR US + 3.07%), 4.38%, 5/05/27

      1,500       1,501,337  

Series 8A-2016, Class D, (3 mo. LIBOR US + 4.85%), 6.21%, 4/20/27

      500       508,842  

LCM XVIII LP, Series 18A, Class C1, (3 mo. LIBOR US + 3.15%), 4.51%, 4/20/27(a)(b)

      1,000       1,000,214  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 4.96%, 10/20/26(a)(b)

      1,000       1,000,403  

Madison Park Funding XIII Ltd., Series 2014-13A, Class CR, (3 mo. LIBOR US + 2.15%), 3.51%, 1/19/25(a)(b)

      1,000       1,002,862  

Madison Park Funding XIV Ltd., Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.25%), 4.61%, 7/20/26(a)(b)

      2,000       2,001,186  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 3.57%, 1/27/26(a)(b)

    USD       2,000     $ 2,003,422  

Mill Creek II CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 4.85%), 6.21%, 4/20/28(a)(b)

      1,000       1,012,958  

MP CLO III Ltd., Series 2013-1A, Class CR, 3.36%, 10/20/30(b)(c)(d)

      1,000       1,000,000  

Neuberger Berman CLO XV, Series 2013-15A, Class CR, 3.41%, 10/15/29(b)(c)

      1,000       1,006,659  

Neuberger Berman Loan Advisers CLO 26, Series 2017-26A(b)(c)(d):

     

Class A, 1.00%, 10/18/30

      2,000       2,000,000  

Class B, 1.00%, 10/18/30

      1,000       1,000,000  

Class C, 1.00%, 10/18/30

      1,500       1,500,000  

Oak Hill Credit Partners XII Ltd., Series 2015-12A, Class C2, (3 mo. LIBOR US + 3.25%), 4.61%, 1/23/27(a)(b)

      1,600       1,607,144  

OCP CLO Ltd., Series 2015-8A, Class CR, 4.18%, 4/17/27(b)(c)(d)

      1,000       1,000,000  

Octagon Investment Partners Ltd.(b):

     

Series 2016-1A, Class D, (3 mo. LIBOR US + 4.95%), 6.31%, 4/15/27(a)

      500       506,267  

Series 2017-1A, Class C, 1.00%, 1/20/31(c)

      1,000       1,000,000  

OHA Credit Partners XIV Ltd., Series 2017-14A, Class C, 1.00%, 1/21/30(b)(c)

      1,250       1,250,000  

OZLM Funding IV Ltd., 3.56%, 10/22/30(b)(c)

      1,000       1,000,306  

OZLM XIX Ltd., Series 2017-19A, Class C, 1.00%, 11/22/30(b)(c)

      1,000       1,000,000  

Recette CLO Ltd., Series 2015-1A(b)(c):

     

Class CR, 3.06%, 10/20/27

      1,500       1,500,289  

Class DR, 4.11%, 10/20/27

      1,000       1,000,099  

Regatta IV Funding Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.37%, 7/25/26(a)(b)

      1,500       1,500,746  

Regatta V Funding Ltd., Series 2014-1A(a)(b):

     

Class BR, (3 mo. LIBOR US + 2.30%), 3.67%, 10/25/26

      1,000       1,002,130  

Class C, (3 mo. LIBOR US + 3.45%), 4.82%, 10/25/26

      1,000       1,000,632  

Symphony CLO Ltd., Series 2016-17A, Class D, (3 mo. LIBOR US + 4.80%), 6.16%, 4/15/28(a)(b)

      1,000       1,015,766  

Symphony CLO XV Ltd., Series 2014-15A(a)(b):

     

Class CR, (3 mo. LIBOR US + 2.20%), 3.55%, 10/17/26

      2,500       2,519,694  

Class DR, (3 mo. LIBOR US + 3.35%), 4.70%, 10/17/26

      1,000       1,006,772  

Voya CLO Ltd., Series 2013-2A, Class C, (3 mo. LIBOR US + 3.50%), 4.87%, 4/25/25(a)(b)

      1,000       1,004,053  

Webster Park CLO Ltd., Series 2015-1A, Class B1, (3 mo. LIBOR US + 3.10%), 4.41%, 1/20/27(a)(b)

      4,000       4,004,562  
   

 

 

 

Total Asset-Backed Securities — 4.5%

 

    71,561,151  
   

 

 

 

Corporate Bonds

 

Aerospace & Defense — 0.9%  

Arconic, Inc.:

     

5.13%, 10/01/24

      2,871       3,081,249  

6.75%, 1/15/28

      178       210,040  

Bombardier, Inc.(b):

     

8.75%, 12/01/21

      116       129,050  

6.13%, 1/15/23

      100       99,875  

7.50%, 3/15/25

      1,840       1,899,800  
 

 

 

14    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Aerospace & Defense (continued)  

Huntington Ingalls Industries, Inc., 5.00%, 12/15/21(b)

    USD       536     $ 550,740  

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

      1,475       1,543,219  

Mexico City Airport Trust, 4.25%, 10/31/26(b)

      1,350       1,371,600  

TransDigm, Inc.:

     

6.00%, 7/15/22

      4,360       4,523,500  

6.50%, 7/15/24

      1,560       1,610,700  
   

 

 

 
        15,019,773  
Air Freight & Logistics — 0.1%  

XPO Logistics, Inc.(b):

     

6.50%, 6/15/22

      1,565       1,641,841  

6.13%, 9/01/23

      352       370,480  
   

 

 

 
        2,012,321  
Airlines — 0.8%  

American Airlines Group, Inc., 4.63%, 3/01/20(b)

      692       714,490  

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18

      2,040       2,069,988  

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24

      2,885       3,231,252  

Turkish Airlines Pass-Through Trust, Series 2015-1 Class A, 4.20%, 9/15/28(b)

      2,593       2,524,618  

United Airlines Pass-Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23

      3,234       3,375,453  

Virgin Australia Trust, Series 2013-1, Class B,
6.00%, 4/23/22(b)

      639       651,541  
   

 

 

 
        12,567,342  
Auto Components — 0.9%  

Allison Transmission, Inc., 5.00%, 10/01/24(b)

      68       70,890  

General Motors Financial Co., Inc., 4.35%, 1/17/27

      4,710       4,844,911  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

      535       548,375  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

4.88%, 3/15/19

      3,950       3,969,750  

6.00%, 8/01/20

      3,108       3,205,125  

Tesla, Inc., 5.30%, 8/15/25(b)

      1,116       1,076,940  
     

 

 

 
        13,715,991  
Automobiles — 0.5%  

Ford Motor Co., 7.45%, 7/16/31

      3,660       4,753,987  

General Motors Co.:

     

4.88%, 10/02/23

      1,875       2,044,387  

6.25%, 10/02/43

      940       1,085,010  
   

 

 

 
        7,883,384  
Banks — 4.2%  

Barclays PLC, 4.84%, 5/09/28

      4,975       5,189,752  

CIT Group, Inc.:

     

5.50%, 2/15/19(b)

      3,967       4,150,474  

5.00%, 8/01/23

      660       713,922  

City National Corp., 5.25%, 9/15/20

      2,900       3,142,869  

Cooperatieve Rabobank UA, 3.95%, 11/09/22(e)

      3,775       3,981,907  

Credit Suisse Group AG, 6.50%, 8/08/23(b)

      6,000       6,795,000  

Discover Bank/Greenwood, 8.70%, 11/18/19

      748       832,163  

Fifth Third Bancorp, (3 mo. LIBOR US + 3.03%), 5.10%(f)(g)

      5,000       5,112,500  

HSBC Finance Corp., 6.68%, 1/15/21(e)

      5,150       5,792,021  

Intesa Sanpaolo SpA, 5.71%, 1/15/26(b)

      5,840       6,207,367  

Royal Bank of Scotland Group PLC, 6.00%, 12/19/23

      10,080       11,230,977  

SunTrust Banks, Inc.,
(3 mo. LIBOR US + 3.10%), 5.05%(f)(g)

      5,270       5,421,513  

Wells Fargo & Co.(e):

     

4.13%, 8/15/23

      4,000       4,226,127  

5.61%, 1/15/44

      4,119       4,986,505  
   

 

 

 
        67,783,097  
Security   Par
(000)
    Value  
Beverages — 0.5%  

Anheuser-Busch InBev Finance, Inc.,
4.90%, 2/01/46(e)

    USD       6,170     $ 6,938,843  

Molson Coors Brewing Co., 4.20%, 7/15/46

      1,665       1,640,974  
   

 

 

 
        8,579,817  
Biotechnology — 0.5%  

Amgen, Inc., 4.66%, 6/15/51(e)

      6,709       7,255,786  
   

 

 

 
Building Products — 0.4%  

American Builders & Contractors Supply Co., Inc.,
5.75%, 12/15/23(b)

      424       450,500  

Beacon Escrow Corp., 4.88%, 11/01/25(b)

      1,999       2,023,388  

Building Materials Corp. of America,
6.00%, 10/15/25(b)

      1,832       1,980,850  

Masonite International Corp., 5.63%, 3/15/23(b)

      610       639,737  

Standard Industries, Inc.(b):

     

5.13%, 2/15/21

      420       433,125  

5.50%, 2/15/23

      745       785,975  

USG Corp., 4.88%, 6/01/27(b)

      445       461,688  
   

 

 

 
        6,775,263  
Capital Markets — 2.5%  

Goldman Sachs Group, Inc.:

     

7.50%, 2/15/19(e)

      5,165       5,520,200  

5.25%, 7/27/21

      1,175       1,287,261  

5.75%, 1/24/22(e)

      5,500       6,157,223  

6.25%, 2/01/41(e)

      15,000       19,849,982  

Morgan Stanley, 5.63%, 9/23/19(e)

      6,770       7,199,071  
   

 

 

 
        40,013,737  
Chemicals — 1.1%  

Axalta Coating Systems LLC, 4.88%, 8/15/24(b)

      715       747,175  

Basell Finance Co. BV, 8.10%, 3/15/27(b)(e)

      6,000       8,030,614  

Chemours Co., 5.38%, 5/15/27

      317       338,398  

Huntsman International LLC:

     

4.88%, 11/15/20

      72       75,600  

5.13%, 11/15/22

      2,495       2,682,125  

NOVA Chemicals Corp.(b):

     

4.88%, 6/01/24

      956       973,925  

5.25%, 6/01/27

      1,317       1,343,340  

Platform Specialty Products Corp.(b):

     

10.38%, 5/01/21

      165       179,025  

6.50%, 2/01/22

      1,372       1,421,735  

PQ Corp., 6.75%, 11/15/22(b)

      935       1,009,800  
   

 

 

 
        16,801,737  
Commercial Services & Supplies — 2.8%  

Aviation Capital Group Corp.(b):

     

7.13%, 10/15/20

      31,000       35,036,946  

6.75%, 4/06/21

      7,850       8,860,570  

CD&R Waterworks Merger Sub LLC,
6.13%, 8/15/25(b)

      437       442,462  

KAR Auction Services, Inc., 5.13%, 6/01/25(b)

      859       889,065  
   

 

 

 
        45,229,043  
Communications Equipment — 0.2%  

CommScope Technologies Finance LLC, 6.00%, 6/15/25(b)

      467       493,269  

CommScope Technologies LLC, 5.00%, 3/15/27(b)

      659       641,701  

CommScope, Inc., 5.50%, 6/15/24(b)

      254       264,478  

Zayo Group LLC/Zayo Capital, Inc.:

     

6.38%, 5/15/25

      1,418       1,526,278  

5.75%, 1/15/27(b)

      593       624,874  
   

 

 

 
        3,550,600  
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Construction & Engineering — 0.3%  

BlueLine Rental Finance Corp., 9.25%, 3/15/24(b)

    USD       2,288     $ 2,482,480  

Brand Energy & Infrastructure Services, Inc., 8.50%, 7/15/25(b)

      2,160       2,284,200  
   

 

 

 
        4,766,680  
Construction Materials — 0.2%  

HD Supply, Inc., 5.75%, 4/15/24(b)

      1,701       1,834,954  

PulteGroup, Inc., 5.50%, 3/01/26

      926       1,015,127  
   

 

 

 
        2,850,081  
Consumer Discretionary — 0.1%  

Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25(b)

      475       491,625  

Viking Cruises Ltd., 5.88%, 9/15/27(b)

      1,092       1,100,190  
   

 

 

 
        1,591,815  
Consumer Finance — 0.9%  

Ally Financial, Inc.:

     

5.13%, 9/30/24

      590       646,050  

8.00%, 11/01/31

      3,832       5,067,820  

Capital One Bank USA NA, 3.38%, 2/15/23(e)

      2,000       2,033,433  

Discover Financial Services, 3.85%, 11/21/22

      3,252       3,354,945  

IHS Markit Ltd., 4.75%, 2/15/25(b)

      452       477,990  

Navient Corp.:

     

6.63%, 7/26/21

      461       493,846  

7.25%, 9/25/23

      996       1,078,793  

Total System Services, Inc., 3.80%, 4/01/21

      1,630       1,687,106  
   

 

 

 
        14,839,983  
Containers & Packaging — 1.3%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(b):

     

4.63%, 5/15/23

      760       780,900  

6.00%, 2/15/25

      811       860,674  

Ball Corp., 4.38%, 12/15/20

      681       715,050  

International Paper Co., 7.30%, 11/15/39(e)

      10,000       13,937,649  

Multi-Color Corp., 4.88%, 11/01/25(b)

      333       336,330  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC:

     

5.75%, 10/15/20

      2,866       2,916,184  

6.88%, 2/15/21

      68       69,841  

7.00%, 7/15/24(b)

      1,247       1,331,172  

Sealed Air Corp., 6.88%, 7/15/33(b)

      182       211,575  
   

 

 

 
        21,159,375  
Diversified Consumer Services — 0.4%  

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

      2,005       2,221,941  

Service Corp. International, 4.50%, 11/15/20

      4,382       4,425,820  
   

 

 

 
        6,647,761  
Diversified Financial Services — 5.7%  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust:

     

4.63%, 10/30/20

      961       1,020,810  

3.50%, 5/26/22

      5,000       5,137,622  

4.63%, 7/01/22

      518       556,001  

Air Lease Corp., 3.75%, 2/01/22

      5,000       5,222,734  

Aircastle Ltd., 6.25%, 12/01/19

      3,937       4,212,590  

Banco Santander SA, 3.13%, 2/23/23

      2,200       2,207,875  

Bank of America Corp.:

     

5.00%, 5/13/21(e)

      17,100       18,567,565  

4.45%, 3/03/26

      1,765       1,876,601  

Citigroup, Inc., 6.68%, 9/13/43(e)

      4,125       5,652,705  

Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/26(e)

      5,000       5,368,183  

Ford Motor Credit Co. LLC, 5.88%, 8/02/21

      9,420       10,501,095  
Security   Par
(000)
    Value  
Diversified Financial Services (continued)  

General Motors Financial Co., Inc.:

     

6.75%, 6/01/18

    USD       1,700     $ 1,747,983  

4.38%, 9/25/21

      2,260       2,399,797  

4.25%, 5/15/23

      1,681       1,770,394  

ING Bank NV, 5.00%, 6/09/21(b)(e)

      8,000       8,697,218  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20(b)

      1,705       1,760,413  

Leucadia National Corp., 5.50%, 10/18/23

      4,000       4,257,275  

Resparcs Funding LP I, 8.00%(b)(g)(h)

      4,000       1,640,000  

Royal Bank of Scotland Group PLC:

     

6.10%, 6/10/23

      2,500       2,783,855  

5.13%, 5/28/24

      5,250       5,617,586  
   

 

 

 
        90,998,302  
Diversified Telecommunication Services — 6.4%  

AT&T, Inc.:

     

5.00%, 3/01/21(e)

      8,575       9,310,821  

6.30%, 1/15/38(e)

      12,000       13,991,830  

5.15%, 3/15/42

      250       250,564  

4.35%, 6/15/45

      367       327,729  

5.15%, 2/14/50

      3,000       2,957,337  

CenturyLink, Inc., Series S, 6.45%, 6/15/21

      1,660       1,751,483  

Frontier Communications Corp.:

     

6.25%, 9/15/21

      359       294,380  

7.63%, 4/15/24

      1,309       1,001,385  

6.88%, 1/15/25

      3,964       2,946,996  

Level 3 Financing, Inc.:

     

5.38%, 8/15/22

      2,095       2,158,437  

5.13%, 5/01/23

      1,183       1,211,096  

5.38%, 1/15/24

      754       783,217  

5.38%, 5/01/25

      2,003       2,093,135  

Telecom Italia SpA, 5.30%, 5/30/24(b)

      720       775,800  

Telefonica Emisiones SAU:

     

3.19%, 4/27/18

      6,550       6,595,353  

5.21%, 3/08/47

      6,000       6,606,624  

Verizon Communications, Inc.(e):

     

5.15%, 9/15/23

      8,775       9,834,972  

6.40%, 9/15/33

      9,475       11,594,008  

6.55%, 9/15/43

      13,225       16,555,972  

5.01%, 4/15/49

      10,578       10,797,959  
   

 

 

 
        101,839,098  
Electric Utilities — 4.8%  

CMS Energy Corp., 5.05%, 3/15/22

      9,900       10,872,858  

Duke Energy Corp., 3.55%, 9/15/21

      3,650       3,798,708  

Emera, Inc., Series 16-A, (3 mo. LIBOR US + 5.44%), 6.75%, 6/15/76(f)

      7,500       8,588,250  

Great Plains Energy, Inc., 5.29%, 6/15/22(i)

      5,550       6,081,999  

Midland Cogeneration Venture LP, 5.25%, 3/15/25(b)

      3,744       3,764,348  

NextEra Energy Capital Holdings, Inc., 4.80%, 12/01/77(c)

      5,000       5,000,000  

NextEra Energy Operating Partners LP, 4.25%, 9/15/24(b)

      568       573,680  

NiSource Finance Corp., 6.80%, 1/15/19

      472       498,398  

Oncor Electric Delivery Co. LLC (e):

     

4.10%, 6/01/22

      4,150       4,413,624  

5.30%, 6/01/42

      2,750       3,376,241  

Progress Energy, Inc., 7.00%, 10/30/31(e)

      12,000       16,050,881  

Puget Energy, Inc.:

     

6.00%, 9/01/21

      275       308,156  

5.63%, 7/15/22

      5,550       6,205,417  

Southern Co., 4.40%, 7/01/46

      7,500       7,892,334  
   

 

 

 
        77,424,894  
 

 

 

16    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Electronic Equipment, Instruments & Components — 0.4%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 9/01/23

    USD       306     $ 319,388  

5.50%, 12/01/24

      2,458       2,722,235  

Jabil Circuit, Inc., 8.25%, 3/15/18

      2,600       2,657,200  

Sanmina Corp., 4.38%, 6/01/19(b)

      1,415       1,453,318  
   

 

 

 
        7,152,141  
Energy Equipment & Services — 0.6%  

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

      473       480,284  

GrafTech International Ltd., 6.38%, 11/15/20

      890       875,538  

Halliburton Co., 5.00%, 11/15/45

      6,615       7,400,685  

Noble Holding International Ltd.:

     

4.63%, 3/01/21

      34       31,450  

7.70%, 4/01/25

      364       316,680  

Transocean, Inc., 6.00%, 3/15/18

      156       158,090  
   

 

 

 
        9,262,727  
Food & Staples Retailing — 1.4%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

     

6.63%, 6/15/24

      775       728,500  

5.75%, 3/15/25

      1,120       985,600  

CVS Health Corp.:

     

4.75%, 12/01/22

      289       314,767  

5.00%, 12/01/24

      183       200,518  

5.13%, 7/20/45

      3,879       4,334,510  

Dollar Tree, Inc.:

     

5.25%, 3/01/20

      105       107,428  

5.75%, 3/01/23

      3,938       4,129,977  

H.J. Heinz Finance Co., 7.13%, 8/01/39(b)

      4,415       5,864,105  

Wal-Mart Stores, Inc., 5.25%, 9/01/35(e)

      5,150       6,399,608  
   

 

 

 
        23,065,013  
Food Products — 0.9%  

Aramark Services, Inc., 5.13%, 1/15/24

      1,550       1,639,125  

JBS USA LLC/JBS USA Finance, Inc.,
5.75%, 6/15/25(b)

      1,590       1,542,300  

Kraft Foods, Inc., 6.13%, 8/23/18

      4,840       4,994,472  

Kraft Heinz Foods Co., 4.38%, 6/01/46

      2,475       2,416,807  

Pilgrim’s Pride Corp.(b):

     

5.75%, 3/15/25

      624       660,660  

5.88%, 9/30/27

      491       510,640  

Post Holdings, Inc., 5.00%, 8/15/26(b)

      1,349       1,355,745  

TreeHouse Foods, Inc., 6.00%, 2/15/24(b)

      431       461,170  
   

 

 

 
        13,580,919  
Health Care Equipment & Supplies — 1.1%  

Avantor, Inc., 6.00%, 10/01/24(b)

      6,794       6,929,880  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21(b)

      2,065       1,972,075  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):

     

4.88%, 4/15/20

      517       516,354  

5.75%, 8/01/22

      2,165       2,118,994  

5.63%, 10/15/23

      381       355,759  

5.50%, 4/15/25

      125       112,187  

Medtronic, Inc., 4.63%, 3/15/45(e)

      4,565       5,171,933  
   

 

 

 
        17,177,182  
Health Care Providers & Services — 3.6%  

Acadia Healthcare Co., Inc., 5.13%, 7/01/22

      191       194,820  

Amsurg Corp., 5.63%, 7/15/22

      1,313       1,335,977  

Centene Corp.:

     

5.63%, 2/15/21

      875       907,813  

6.13%, 2/15/24

      1,370       1,472,750  
Security   Par
(000)
    Value  
Health Care Providers & Services (continued)  

CHS/Community Health Systems, Inc., 6.25%, 3/31/23

    USD       697     $ 670,863  

DaVita, Inc., 5.13%, 7/15/24

      761       762,903  

HCA, Inc.:

     

3.75%, 3/15/19

      4,364       4,429,460  

6.50%, 2/15/20

      10,421       11,228,627  

7.50%, 2/15/22

      2,214       2,512,890  

5.88%, 3/15/22

      340       372,300  

4.75%, 5/01/23

      236       246,915  

5.00%, 3/15/24

      735       774,506  

5.88%, 2/15/26

      1,297       1,363,471  

5.50%, 6/15/47

      2,570       2,614,975  

HealthSouth Corp., 5.75%, 11/01/24

      637       652,129  

Hologic, Inc., 5.25%, 7/15/22(b)

      742       774,463  

MEDNAX, Inc., 5.25%, 12/01/23(b)

      587       610,480  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24(b)

      829       892,211  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23(b)

      607       637,350  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20

      5,095       5,349,750  

7.50%, 1/01/22(b)

      394       414,685  

8.13%, 4/01/22

      1,907       1,916,535  

6.75%, 6/15/23

      1,758       1,650,322  

4.63%, 7/15/24(b)

      513       504,664  

THC Escrow Corp. III, 5.13%, 5/01/25(b)

      435       423,581  

UnitedHealth Group, Inc., 6.88%, 2/15/38(e)

      10,000       14,371,860  
   

 

 

 
        57,086,300  
Hotels, Restaurants & Leisure — 0.8%  

CRC Escrow Issuer LLC/CRC Finco, Inc.,
5.25%, 10/15/25(b)

      1,665       1,675,906  

ESH Hospitality, Inc., 5.25%, 5/01/25(b)

      910       940,712  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(b):

     

5.00%, 6/01/24

      600       633,000  

5.25%, 6/01/26

      650       690,723  

4.75%, 6/01/27

      817       838,446  

MGM Resorts International:

     

6.75%, 10/01/20

      214       235,400  

6.63%, 12/15/21

      1,410       1,575,675  

New Red Finance, Inc.(b):

     

4.25%, 5/15/24

      1,577       1,588,354  

5.00%, 10/15/25

      1,620       1,650,375  

Sabre GLBL, Inc.(b):

     

5.38%, 4/15/23

      594       623,011  

5.25%, 11/15/23

      294       307,965  

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

      735       777,263  

Station Casinos LLC, 5.00%, 10/01/25(b)

      1,200       1,201,500  
   

 

 

 
        12,738,330  
Household Durables — 1.0%  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22(b)

      1,647       1,719,056  

CalAtlantic Group, Inc., 8.38%, 1/15/21

      3,015       3,508,706  

Lennar Corp.:

     

4.75%, 11/15/22

      1,805       1,906,531  

4.88%, 12/15/23

      466       492,795  

Newell Brands, Inc.:

     

3.85%, 4/01/23

      5,085       5,334,837  

4.20%, 4/01/26

      955       1,006,418  

TRI Pointe Group, Inc.:

     

4.38%, 6/15/19

      920       944,150  

5.88%, 6/15/24

      625       676,563  
   

 

 

 
        15,589,056  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Household Products — 0.2%  

Spectrum Brands, Inc.:

     

6.63%, 11/15/22

    USD       1,110     $ 1,153,823  

6.13%, 12/15/24

      231       246,662  

5.75%, 7/15/25

      1,002       1,064,304  
   

 

 

 
        2,464,789  
Independent Power and Renewable Electricity Producers — 0.7%  

Calpine Corp.:

     

6.00%, 1/15/22(b)

      1,858       1,918,385  

5.88%, 1/15/24(b)

      823       851,805  

5.75%, 1/15/25

      1,064       1,010,800  

5.25%, 6/01/26(b)

      616       616,770  

Dynegy, Inc., 6.75%, 11/01/19

      1,471       1,524,324  

NRG Energy, Inc., 6.63%, 1/15/27

      2,746       2,924,490  

QEP Resources, Inc., 5.38%, 10/01/22

      1,927       1,912,547  
   

 

 

 
        10,759,121  
Industrial Conglomerates — 0.0%  

Vertiv Group Corp., 9.25%, 10/15/24(b)

      623       682,185  
   

 

 

 
Insurance — 3.0%  

American International Group, Inc., 6.40%, 12/15/20(e)

      8,710       9,778,723  

Aon Corp., 5.00%, 9/30/20(e)

      7,700       8,284,209  

Aon PLC, 4.25%, 12/12/42(e)

      6,500       6,585,706  

Forethought Financial Group, Inc., 8.63%, 4/15/21(b)

      3,400       3,874,537  

Nationwide Building Society, 4.13%, 10/18/32(b)(c)

      2,520       2,519,639  

Northwestern Mutual Life Insurance Co., 6.06%, 3/30/40(b)(e)

      12,000       15,718,881  

Radian Group, Inc.:

     

5.25%, 6/15/20

      271       289,293  

4.50%, 10/01/24

      774       793,350  
   

 

 

 
        47,844,338  
Internet Software & Services — 0.5%  

Equinix, Inc., 5.88%, 1/15/26

      1,061       1,149,859  

Netflix, Inc.:

     

5.50%, 2/15/22

      563       603,114  

4.38%, 11/15/26(b)

      668       655,058  

4.88%, 4/15/28(b)

      1,172       1,164,909  

Priceline Group, Inc., 3.55%, 3/15/28

      3,375       3,402,044  

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

      347       362,615  
   

 

 

 
        7,337,599  
IT Services — 0.7%  

Ceridian HCM Holding, Inc., 11.00%, 3/15/21(b)

      1,755       1,853,719  

Fidelity National Information Services, Inc., 5.00%, 10/15/25

      538       599,122  

First Data Corp.(b):

     

5.38%, 8/15/23

      1,509       1,571,246  

7.00%, 12/01/23

      4,908       5,251,658  

5.75%, 1/15/24

      720       753,300  

Gartner, Inc., 5.13%, 4/01/25(b)

      483       510,773  

WEX, Inc., 4.75%, 2/01/23(b)

      760       779,000  
   

 

 

 
        11,318,818  
Life Sciences Tools & Services — 0.8%  

Life Technologies Corp., 6.00%, 3/01/20(e)

      12,000       13,019,453  
   

 

 

 
Media — 7.9%  

21st Century Fox America, Inc., 6.15%, 3/01/37(e)

      9,575       11,995,256  

A&E Television Networks LLC, 3.11%, 8/22/19(d)

      5,000       5,007,000  

Altice Financing SA, 7.50%, 5/15/26(b)

      2,172       2,381,055  

Altice Luxembourg SA(b):

     

7.75%, 5/15/22

      2,362       2,500,768  

7.63%, 2/15/25

      1,752       1,900,920  
Security   Par
(000)
    Value  
Media (continued)  

Altice US Finance I Corp.(b):

     

5.38%, 7/15/23

    USD       2,919     $ 3,043,057  

5.50%, 5/15/26

      1,211       1,259,440  

AMC Networks, Inc.:

     

4.75%, 12/15/22

      685       702,981  

5.00%, 4/01/24

      432       440,100  

4.75%, 8/01/25

      546       545,318  

CCO Holdings LLC/CCO Holdings Capital Corp.(b):

     

4.00%, 3/01/23

      938       951,488  

5.13%, 5/01/27

      3,124       3,155,240  

5.00%, 2/01/28

      1,394       1,383,545  

Charter Communications Operating LLC/Charter Communications Operating Capital:

     

6.38%, 10/23/35

      479       552,037  

6.48%, 10/23/45

      9,584       10,973,933  

5.38%, 5/01/47(b)

      1,500       1,518,535  

6.83%, 10/23/55

      3,540       4,253,263  

Cinemark USA, Inc., 5.13%, 12/15/22

      349       357,725  

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

      10,189       10,538,720  

Cox Communications, Inc.(b):

     

8.38%, 3/01/39(e)

      5,000       6,994,177  

4.60%, 8/15/47

      625       620,494  

CSC Holdings LLC:

     

8.63%, 2/15/19

      4,005       4,290,356  

5.25%, 6/01/24

      1,160       1,154,925  

6.63%, 10/15/25(b)

      832       911,872  

Discovery Communications LLC:

     

3.95%, 3/20/28

      4,665       4,626,814  

4.88%, 4/01/43

      4,000       3,917,080  

DISH DBS Corp., 7.75%, 7/01/26

      1,901       2,079,219  

Grupo Televisa SAB, 5.00%, 5/13/45(e)

      3,345       3,338,373  

Hughes Satellite Systems Corp.:

     

5.25%, 8/01/26

      1,017       1,039,964  

6.63%, 8/01/26

      685       722,675  

Intelsat Jackson Holdings SA:

     

5.50%, 8/01/23

      268       228,470  

9.75%, 7/15/25(b)

      152       152,950  

Interpublic Group of Cos., Inc., 3.75%, 2/15/23

      6,025       6,265,248  

MDC Partners, Inc., 6.50%, 5/01/24(b)

      1,036       1,056,720  

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18(b)

      1,471       1,472,471  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22

      249       257,093  

SFR Group SA(b):

     

6.00%, 5/15/22

      4,544       4,737,120  

7.38%, 5/01/26

      5,843       6,281,225  

TEGNA, Inc., 5.50%, 9/15/24(b)

      351       367,673  

Time Warner Cable, Inc., 6.55%, 5/01/37

      3,519       4,133,506  

Time Warner, Inc.:

     

4.65%, 6/01/44

      28       27,073  

4.85%, 7/15/45

      97       96,667  

Tribune Media Co., 5.88%, 7/15/22

      1,308       1,357,050  

Univision Communications, Inc.(b):

     

5.13%, 5/15/23

      5,293       5,359,162  

5.13%, 2/15/25

      375       372,656  

Videotron Ltd., 5.13%, 4/15/27(b)

      1,099       1,155,324  

Virgin Media Secured Finance PLC,
5.50%, 8/15/26(b)

      487       509,524  
   

 

 

 
        126,986,262  
Metals & Mining — 3.1%  

Alcoa Nederland Holding BV, 7.00%, 9/30/26(b)

      291       331,740  

AngloGold Ashanti Holdings PLC, 5.13%, 8/01/22

      5,000       5,250,000  
 

 

 

18    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Metals & Mining (continued)  

ArcelorMittal, 6.13%, 6/01/18

    USD       2,575     $ 2,630,877  

Commercial Metals Co., 4.88%, 5/15/23

      2,194       2,276,275  

Constellium NV:

     

4.63%, 5/15/21

    EUR       490       582,436  

8.00%, 1/15/23(b)

    USD       1,728       1,851,120  

6.63%, 3/01/25(b)

      1,353       1,403,737  

First Quantum Minerals Ltd.(b):

     

7.00%, 2/15/21

      138       143,175  

7.25%, 5/15/22

      912       953,040  

FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22(b)

      826       923,055  

Freeport-McMoRan, Inc.:

     

2.38%, 3/15/18

      4,664       4,664,000  

4.00%, 11/14/21

      500       503,750  

3.55%, 3/01/22

      236       233,640  

3.88%, 3/15/23

      5,360       5,272,900  

5.40%, 11/14/34

      2,250       2,193,750  

5.45%, 3/15/43

      1,542       1,449,480  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b)

      725       788,438  

Kinross Gold Corp., 4.50%, 7/15/27(b)

      331       335,138  

Novelis Corp.(b):

     

6.25%, 8/15/24

      2,862       3,019,410  

5.88%, 9/30/26

      2,820       2,906,348  

Southern Copper Corp., 5.88%, 4/23/45

      3,870       4,523,899  

Steel Dynamics, Inc.:

     

5.13%, 10/01/21

      1,105       1,134,006  

5.25%, 4/15/23

      309       319,043  

5.50%, 10/01/24

      240       256,920  

4.13%, 9/15/25(b)

      518       519,295  

5.00%, 12/15/26

      35       37,100  

Teck Resources Ltd.:

     

4.50%, 1/15/21

      370       386,650  

8.50%, 6/01/24(b)

      1,093       1,251,485  

6.00%, 8/15/40

      1,861       2,063,384  

5.20%, 3/01/42

      640       641,600  

United States Steel Corp., 8.38%, 7/01/21(b)

      944       1,030,140  
   

 

 

 
        49,875,831  
Oil, Gas & Consumable Fuels — 15.0%  

Andeavor Co.(b):

     

5.13%, 12/15/26

      937       1,038,164  

4.75%, 12/15/23

      1,230       1,330,349  

Andeavor Logistics LP/Tesoro Logistics Finance Corp.:

     

6.13%, 10/15/21

      125       129,063  

6.25%, 10/15/22

      1,519       1,617,735  

California Resources Corp., 8.00%, 12/15/22(b)

      1,065       702,900  

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23

      62       63,085  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 6/30/24

      1,916       2,186,635  

5.13%, 6/30/27(b)

      1,298       1,338,562  

Cheniere Energy Partners LP, 5.25%, 10/01/25(b)

      1,157       1,191,710  

Concho Resources, Inc., 4.88%, 10/01/47

      815       867,106  

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

      7,210       7,354,200  

Continental Resources, Inc.:

     

5.00%, 9/15/22

      7,519       7,603,589  

4.50%, 4/15/23

      795       804,938  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)

      798       810,273  

DCP Midstream LLC, 6.75%, 9/15/37(b)

      1,527       1,641,525  

Devon Energy Corp., 5.85%, 12/15/25

      4,000       4,614,520  

El Paso LLC:

     

7.80%, 8/01/31

      197       253,905  

7.75%, 1/15/32

      4,586       5,890,866  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

El Paso Natural Gas Co. LLC, 8.63%, 1/15/22

    USD       2,345     $ 2,844,586  

El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20

      5,075       5,537,752  

Enbridge Energy Partners LP, 9.88%, 3/01/19(e)

      6,000       6,596,227  

Energy Transfer Equity LP:

     

7.50%, 10/15/20

      598       672,750  

4.25%, 3/15/23

      461       469,072  

5.88%, 1/15/24

      5,241       5,686,485  

5.50%, 6/01/27

      870       922,200  

Energy Transfer LP:

     

5.20%, 2/01/22

      10,200       11,077,276  

6.13%, 12/15/45

      3,579       3,910,666  

Enterprise Products Operating LLC:

     

4.90%, 5/15/46

      5,375       5,916,826  

Series E, 5.25%, 8/16/77(c)

      4,800       4,932,000  

Series N, 6.50%, 1/31/19(e)

      12,000       12,652,502  

EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, 11/29/24(b)(e)

      415       423,300  

Gulfport Energy Corp.:

     

6.00%, 10/15/24

      210       210,000  

6.38%, 5/15/25

      792       803,880  

Kinder Morgan Energy Partners LP:

     

6.85%, 2/15/20(e)

      12,000       13,208,649  

4.25%, 9/01/24

      2,170       2,264,055  

5.40%, 9/01/44

      3,615       3,785,319  

Matador Resources Co., 6.88%, 4/15/23

      93       98,348  

MEG Energy Corp.(b):

     

7.00%, 3/31/24

      2,844       2,580,930  

6.50%, 1/15/25

      2,021       2,010,895  

Midcontinent Express Pipeline LLC, 6.70%, 9/15/19(b)

      3,500       3,731,875  

MPLX LP:

     

4.13%, 3/01/27

      825       848,672  

5.20%, 3/01/47

      3,500       3,747,285  

Murphy Oil Corp., 6.88%, 8/15/24

      752       808,400  

Nexen Energy ULC, 6.40%, 5/15/37

      2,000       2,606,752  

NGPL PipeCo LLC(b):

     

4.38%, 8/15/22

      509       523,634  

4.88%, 8/15/27

      1,286       1,331,010  

7.77%, 12/15/37

      690       860,775  

Noble Energy, Inc.:

     

5.63%, 5/01/21

      1,784       1,830,830  

5.05%, 11/15/44

      3,500       3,679,263  

Noble Holding International Ltd., 7.75%, 1/15/24

      676       605,020  

Oasis Petroleum, Inc., 6.88%, 1/15/23

      133       135,328  

ONEOK Partners LP, 8.63%, 3/01/19(e)

      10,000       10,798,199  

Parsley Energy LLC/Parsley Finance Corp.(b):

     

5.25%, 8/15/25

      780       787,800  

5.63%, 10/15/27

      649       669,690  

PDC Energy, Inc., 7.75%, 10/15/22

      1,225       1,277,063  

Petroleos Mexicanos:

     

3.50%, 1/30/23(e)

      5,000       4,881,500  

4.63%, 9/21/23

      3,965       4,054,212  

4.88%, 1/18/24(e)

      2,000       2,049,400  

Pioneer Natural Resources Co., 6.88%, 5/01/18

      1,665       1,706,084  

Plains All American Pipeline LP, Series B, 6.13%(c)(g)

      2,215       2,257,749  

Plains All American Pipeline LP/PAA Finance Corp.:

     

4.70%, 6/15/44

      1,498       1,383,869  

4.90%, 2/15/45

      2,102       1,994,836  

Range Resources Corp., 5.00%, 8/15/22

      32       31,600  

Rockies Express Pipeline LLC(b):

     

5.63%, 4/15/20

      295       312,700  

6.88%, 4/15/40

      580       646,700  

RSP Permian, Inc., 6.63%, 10/01/22

      789       829,436  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Ruby Pipeline LLC, 6.00%, 4/01/22(b)

    USD       9,470     $ 10,180,929  

Sabine Pass Liquefaction LLC:

     

5.63%, 2/01/21

      405       439,326  

5.63%, 4/15/23

      10,510       11,673,788  

5.75%, 5/15/24

      2,575       2,884,198  

5.88%, 6/30/26

      1,481       1,675,495  

Sanchez Energy Corp.:

     

7.75%, 6/15/21

      153       142,290  

6.13%, 1/15/23

      2,021       1,687,535  

Seven Generations Energy Ltd., 5.38%, 9/30/25(b)

      898       906,980  

SM Energy Co.:

     

6.50%, 1/01/23

      177       180,098  

5.00%, 1/15/24

      181       172,855  

5.63%, 6/01/25

      350       340,375  

Southwestern Energy Co.:

     

6.70%, 1/23/25

      996       1,018,410  

7.50%, 4/01/26

      778       807,175  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 1/15/28(b)

      1,298       1,332,072  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 5/01/23

      37       38,064  

6.75%, 3/15/24

      184       198,260  

5.00%, 1/15/28(b)

      1,841       1,845,602  

TransCanada PipeLines Ltd., 4.88%, 1/15/26(e)

      4,485       5,073,789  

Weatherford International Ltd., 6.50%, 8/01/36

      985       820,013  

Western Gas Partners LP, 5.38%, 6/01/21

      5,125       5,491,676  

Williams Cos., Inc.:

     

3.70%, 1/15/23

      2,245       2,264,644  

4.55%, 6/24/24

      527       550,715  

8.75%, 3/15/32

      2,478       3,264,765  

5.75%, 6/24/44

      685       726,100  

Williams Partners LP, 5.10%, 9/15/45

      5,075       5,437,030  

WPX Energy, Inc., 6.00%, 1/15/22

      72       74,970  
   

 

 

 
        239,659,679  
Paper & Forest Products — 1.1%  

International Paper Co.(e):

     

7.50%, 8/15/21

      9,675       11,387,723  

8.70%, 6/15/38

      4,000       5,915,293  
   

 

 

 
        17,303,016  
Pharmaceuticals — 3.6%  

AbbVie, Inc.:

     

2.90%, 11/06/22(e)

      5,675       5,735,023  

4.70%, 5/14/45

      3,255       3,531,444  

Actavis Funding SCS:

     

3.45%, 3/15/22

      7,335       7,531,973  

3.85%, 6/15/24

      6,000       6,224,769  

4.75%, 3/15/45

      485       511,637  

Endo Finance LLC/Endo Finco, Inc., 6.00%, 7/15/23(b)

      1,514       1,226,340  

Forest Laboratories LLC(b):

     

4.38%, 2/01/19

      2,924       2,991,588  

5.00%, 12/15/21

      1,631       1,770,517  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(b)

      443       488,408  

Merck & Co., Inc., 6.50%, 12/01/33

      6,420       8,590,077  

Mylan NV, 3.95%, 6/15/26

      7,500       7,491,143  

Shire Acquisitions Investments Ireland DAC,
2.88%, 9/23/23

      5,000       4,949,661  

Valeant Pharmaceuticals International, Inc.(b):

     

7.50%, 7/15/21

      148       145,595  

6.75%, 8/15/21

      584       565,750  

5.63%, 12/01/21

      1,177       1,072,541  
Security   Par
(000)
    Value  
Pharmaceuticals (continued)  

Valeant Pharmaceuticals International, Inc.(b) (continued):

     

6.50%, 3/15/22

    USD       829     $ 878,740  

5.50%, 3/01/23

      31       26,040  

5.88%, 5/15/23

      665       561,925  

7.00%, 3/15/24

      1,303       1,410,497  

6.13%, 4/15/25

      216       181,440  

5.50%, 11/01/25

      963       984,668  
   

 

 

 
        56,869,776  
Professional Services — 0.4%  

Dun & Bradstreet Corp., 3.50%, 12/01/17

      5,750       5,755,277  
   

 

 

 
Real Estate Investment Trusts (REITs) — 1.8%  

American Tower Corp.:

     

5.05%, 9/01/20

      500       536,883  

5.90%, 11/01/21(e)

      3,770       4,222,221  

AvalonBay Communities, Inc., 6.10%, 3/15/20(e)

      10,000       10,909,795  

Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24

      881       899,721  

Host Hotels & Resorts LP, 3.75%, 10/15/23(e)

      3,600       3,701,074  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

     

5.63%, 5/01/24

      627       677,160  

4.50%, 9/01/26

      1,510       1,515,662  

Starwood Property Trust, Inc., 5.00%, 12/15/21

      627       656,783  

UDR, Inc., 4.25%, 6/01/18(e)

      5,225       5,298,531  
   

 

 

 
        28,417,830  
Real Estate Management & Development — 0.4%  

Northwest Florida Timber Finance LLC, 4.75%, 3/04/29(b)(e)

      4,485       4,328,993  

Realogy Group LLC/Realogy Co-Issuer Corp.(b):

     

4.50%, 4/15/19

      803       821,068  

5.25%, 12/01/21

      344       356,040  

4.88%, 6/01/23

      1,332       1,371,560  
   

 

 

 
        6,877,661  
Road & Rail — 1.1%  

Hertz Corp., 6.75%, 4/15/19

      420       421,312  

Norfolk Southern Corp., 6.00%, 3/15/2105

      12,700       15,442,137  

United Rentals North America, Inc.:

     

4.63%, 10/15/25

      1,034       1,057,937  

4.88%, 1/15/28

      1,385       1,391,925  
   

 

 

 
        18,313,311  
Semiconductors & Semiconductor Equipment — 0.9%  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27(b)

      7,500       7,716,182  

Micron Technology, Inc.:

     

5.25%, 8/01/23(b)

      745       779,717  

5.50%, 2/01/25

      40       42,500  

NXP BV/NXP Funding LLC(b):

     

4.13%, 6/15/20

      951       990,229  

4.13%, 6/01/21

      1,461       1,526,745  

4.63%, 6/15/22

      490       524,913  

4.63%, 6/01/23

      204       219,810  

Sensata Technologies BV(b):

     

5.63%, 11/01/24

      695       771,450  

5.00%, 10/01/25

      1,418       1,503,080  
   

 

 

 
        14,074,626  
Software — 0.8%  

Infor US, Inc., 6.50%, 5/15/22

      2,965       3,091,012  

Informatica LLC, 7.13%, 7/15/23(b)

      477       485,348  

Nuance Communications, Inc., 5.38%, 8/15/20(b)

      1,901       1,926,664  

Oracle Corp., 2.65%, 7/15/26(e)

      4,890       4,798,042  

PTC, Inc., 6.00%, 5/15/24

      313       339,589  
 

 

 

20    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Software (continued)  

Rackspace Hosting, Inc., 8.63%, 11/15/24(b)

    USD       1,254     $ 1,320,619  

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

      670       763,800  

Sophia LP/Sophia Finance, Inc., 9.00%, 9/30/23(b)

      740       767,750  
   

 

 

 
        13,492,824  
Specialty Retail — 0.6%  

L Brands, Inc.:

     

7.00%, 5/01/20

      3,050       3,351,187  

6.88%, 11/01/35

      1,119       1,110,608  

PetSmart, Inc., 5.88%, 6/01/25(b)

      888       774,780  

VF Corp., 5.95%, 11/01/17(e)

      5,000       5,000,000  
   

 

 

 
        10,236,575  
Technology Hardware, Storage & Peripherals — 0.4%  

Dell International LLC/EMC Corp.(b):

     

5.88%, 6/15/21

      615       644,076  

7.13%, 6/15/24

      747       824,501  

8.35%, 7/15/46

      2,355       3,051,777  

Western Digital Corp.:

     

7.38%, 4/01/23(b)

      1,199       1,312,905  

10.50%, 4/01/24

      584       685,324  
   

 

 

 
        6,518,583  
Textiles, Apparel & Luxury Goods — 0.2%  

Levi Strauss & Co., 5.00%, 5/01/25

      699       734,789  

Springs Industries, Inc., 6.25%, 6/01/21

      304       313,120  

William Carter Co., 5.25%, 8/15/21

      1,406       1,444,665  
   

 

 

 
        2,492,574  
Thrifts & Mortgage Finance — 0.1%  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b):

     

5.25%, 3/15/22

      639       661,365  

5.25%, 10/01/25

      268       266,995  
   

 

 

 
        928,360  
Tobacco — 2.0%  

Altria Group, Inc., 10.20%, 2/06/39(e)

      13,392       23,163,140  

BAT Capital Corp., 4.54%, 8/15/47(b)

      5,000       5,146,318  

Reynolds American, Inc.:

     

4.85%, 9/15/23

      1,120       1,231,932  

5.85%, 8/15/45

      2,335       2,869,929  
   

 

 

 
        32,411,319  
Trading Companies & Distributors — 0.3%  

Doric Nimrod Air Alpha Ltd. Pass-Through Trust, Series 2013-1(b):

     

Class A, 5.25%, 5/30/25

      2,035       2,131,256  

Class B, 6.13%, 11/30/21

      1,823       1,882,555  
   

 

 

 
        4,013,811  
Transportation Infrastructure — 0.8%  

CEVA Group PLC, (9.00% Cash or 3.00% PIK), 9.00%, 9/01/20(b)(j)

      1,845       1,872,675  

Penske Truck Leasing Co. LP/PTL Finance Corp., 4.88%, 7/11/22(b)(e)

      10,500       11,435,653  
   

 

 

 
        13,308,328  
Wireless Telecommunication Services — 1.6%  

America Movil SAB de CV, 3.13%, 7/16/22

      1,275       1,302,701  

Crown Castle International Corp., 5.25%, 1/15/23

      6,380       7,061,336  

Crown Castle Towers LLC, 6.11%, 1/15/40(b)

      4,555       4,846,432  

Digicel Group Ltd., 7.13%, 4/01/22(b)

      370       348,725  

Digicel Ltd., 6.00%, 4/15/21(b)

      1,285       1,264,003  

SBA Communication Corp., 4.00%, 10/01/22(b)

      1,045       1,060,675  

SBA Communications Corp., 4.88%, 9/01/24

      1,658       1,703,595  
Security   Par
(000)
    Value  
Wireless Telecommunication Services (continued)  

Sprint Communications, Inc.(b):

     

9.00%, 11/15/18

    USD       1,576     $ 1,672,530  

7.00%, 3/01/20

      389       422,065  

Sprint Corp.:

     

7.13%, 6/15/24

      3,020       3,264,439  

7.63%, 2/15/25

      195       213,769  

T-Mobile USA, Inc., 6.84%, 4/28/23

      645       680,475  

Wind Tre SpA, 5.00%, 1/20/26(b)

      1,320       1,328,564  
   

 

 

 
        25,169,309  
   

 

 

 

Total Corporate Bonds— 93.3%

 

    1,491,088,803  
   

 

 

 

Foreign Agency Obligations

 

Argentine Republic Government International Bond, 5.63%, 1/26/22

      6,485       6,809,250  

Brazilian Government International Bond, 5.00%, 1/27/45

      6,525       6,038,126  

Colombia Government International Bond, 5.63%, 2/26/44

      4,000       4,456,000  

Indonesia Government International Bond, 5.88%, 1/15/24(b)

      4,400       5,051,772  

Mexico Government International Bond:

     

4.75%, 3/08/44

      5,800       5,782,600  

4.60%, 2/10/48

      5,000       4,892,500  

Uruguay Government International Bond, 5.10%, 6/18/50

      3,500       3,753,750  
   

 

 

 

Total Foreign Agency Obligations — 2.3%

 

    36,783,998  
   

 

 

 

Municipal Bonds

 

City of Chicago Illinois, Refunding ARB, O’Hare International Airport, General 3rd Lien, Build America Bonds, Series B, 6.85%, 1/01/38

      5,000       5,438,650  

Metropolitan Transportation Authority, RB, Build America Bonds, Series B-1, 6.55%, 11/15/31

      10,000       13,102,400  
   

 

 

 

Total Municipal Bonds — 1.1%

 

    18,541,050  
   

 

 

 

Preferred Securities

 

Capital Trusts  
Auto Components — 0.2%  

General Motors Financial Co., Inc., Series A, 5.75%(c)(g)

      3,000       3,135,000  
   

 

 

 
Banks — 5.5%  

BNP Paribas SA(b)(f)(g):

     

6.75%

      5,000       5,468,750  

7.20%

      5,000       5,834,400  

7.38%

      4,535       5,237,925  

Capital One Financial Corp., Series E, 5.55%(f)(g)

      5,000       5,243,750  

Citigroup, Inc.(f)(g):

     

5.90%

      2,210       2,370,468  

Series P, 5.95%

      7,000       7,658,770  

Credit Suisse Group AG(b)(f)(g):

     

6.25%

      7,255       7,935,156  

7.50%

      3,250       3,778,125  

HSBC Capital Funding LP(b)(f)(g):

     

6.00%

      1,550       1,646,875  

10.18%

      11,835       18,913,750  

Macquarie Bank Ltd., 6.13%(b)(f)(g)

      1,885       1,982,078  

Nordea Bank AB, 6.13%(b)(f)(g)

      5,540       6,045,525  

U.S. Bancorp, Series J, 5.30%(f)(g)

      10,415       11,430,462  
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Banks (continued)  

Wells Fargo & Co.(f)(g):

     

Series K, 7.98%

    USD       809     $ 825,423  

Series S, 5.90%

      281       308,131  

Series U, 5.88%

      2,655       2,968,290  
   

 

 

 
        87,647,878  
Capital Markets — 2.3%  

Charles Schwab Corp., Series E, 4.63%(f)(g)

      6,805       7,000,644  

Goldman Sachs Group, Inc., Series L, 5.70%(f)(g)

      2,950       3,045,875  

Morgan Stanley, Series H, 5.45%(f)(g)

      8,675       8,995,975  

State Street Corp.:

     

2.32%, 6/15/47(a)

      17,845       16,287,131  

Series F, 5.25%(f)(g)

      1,855       1,954,706  
   

 

 

 
        37,284,331  
Commercial Services & Supplies — 0.3%  

AerCap Global Aviation Trust, 6.50%, 6/15/45(b)(f)

      5,000       5,450,000  
   

 

 

 
Consumer Finance — 0.3%  

American Express Co., Series C, 4.90%(f)(g)

      4,510       4,628,388  
   

 

 

 
Diversified Financial Services — 4.4%  

Bank of America Corp.(f)(g):

     

Series AA, 6.10%

      6,630       7,400,737  

Series K, 8.00%

      2,420       2,450,250  

Series U, 5.20%

      5,785       6,030,863  

Barclays PLC, 6.63%(f)(g)

      7,385       7,717,325  

Credit Agricole SA, 8.13%(b)(f)(g)

      5,000       6,018,370  

JPMorgan Chase & Co.(f)(g):

     

Series 1, 7.90%

      3,650       3,743,075  

Series Q, 5.15%

      4,000       4,209,000  

Series R, 6.00%

      14,130       15,578,325  

Series S, 6.75%

      7,775       8,912,094  

Royal Bank of Scotland Group PLC(f)(g):

     

8.00%

      970       1,108,904  

8.63%

      5,135       5,814,874  

Societe Generale SA, 7.38%(b)(f)(g)

      1,980       2,182,950  
   

 

 

 
        71,166,767  
Electric Utilities — 0.5%  

PPL Capital Funding, Inc., Series A, 4.00%, 3/30/67(f)

      8,300       8,189,610  
   

 

 

 
Industrial Conglomerates — 0.9%                  

General Electric Co., Series D, 5.00%(f)(g)

      13,327       13,910,056  
   

 

 

 
Insurance — 3.7%                  

ACE Capital Trust II, 9.70%, 4/01/30

      7,000       10,570,000  

Allstate Corp., (3 mo. LIBOR US + 2.94%),
5.75%, 8/15/53(f)

      5,000       5,462,500  

American International Group, Inc., 8.18%, 5/15/58(f)

      3,755       5,125,575  

Bank One Capital III, 8.75%, 9/01/30

      2,000       2,956,160  

Chubb Corp., 3.61%, 4/15/37(f)

      7,400       7,363,000  

Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 4/01/27

      5,000       5,663,120  

Farmers Exchange Capital II, 6.15%, 11/01/53(b)(f)

      4,890       5,559,588  

Great-West Life & Annuity Insurance Capital LP II, 3.85%, 5/16/46(b)(f)

      500       494,125  

Hartford Financial Services Group, Inc.,
8.13%, 6/15/38(f)

      5,050       5,226,750  

MetLife, Inc., 6.40%, 12/15/66

      5,000       5,768,750  

Principal Financial Group, Inc., 4.70%, 5/15/55(f)

      5,000       5,139,000  
   

 

 

 
        59,328,568  
Media — 0.4%                  

NBCUniversal Enterprise, Inc., 5.25%(b)(g)

      5,600       5,978,000  
   

 

 

 
Security   Shares/Par
(000)
    Value  
Oil, Gas & Consumable Fuels — 1.9%                  

Enbridge, Inc., Series 16-A, 6.00%, 1/15/77(f)

    USD       5,880     $ 6,292,423  

Enterprise Products Operating LLC(f):

     

4.09%, 6/01/67

      2,500       2,456,250  

5.02%, 8/01/66

      9,325       9,313,344  

TransCanada PipeLines Ltd., 3.53%, 5/15/67(f)

      9,400       8,695,000  

TransCanada Trust, 5.63%, 5/20/75(f)

      2,755       2,934,901  
   

 

 

 
        29,691,918  
Real Estate Investment Trusts (REITs) — 0.6%                  

Sovereign Real Estate Investment Trust, 12.00%(b)(g)

      7       8,750,000  
   

 

 

 
Road & Rail — 0.4%                  

BNSF Funding Trust I, 6.61%, 12/15/55(f)

      6,125       7,078,663  
   

 

 

 

Total Capital Trusts — 21.4%

 

    342,239,179  
   

 

 

 

Preferred Stocks

     
Banks — 1.8%                  

Citigroup, Inc., Series K, 6.88%(f)(g)

      488,320       14,107,565  

Wells Fargo & Co., Series Q, 5.85%(f)(g)

      550,500       14,995,620  
   

 

 

 
        29,103,185  
Capital Markets — 0.7%                  

Goldman Sachs Group, Inc., Series J, 5.50%(f)(g)

      162,450       4,361,782  

SCE Trust III, Series H, 5.75%(f)(g)

      31,650       851,069  

State Street Corp., Series D, 5.90%(f)(g)

      220,495       6,109,916  
   

 

 

 
        11,322,767  
Electric Utilities — 0.2%                  

Entergy Louisiana LLC, 5.25%(g)

      90,000       2,259,000  
   

 

 

 
Real Estate Investment Trusts (REITs) — 0.2%                  

Ventas Realty LP/Ventas Capital Corp., 5.45%(g)

      75,000       1,896,750  

Vornado Realty Trust, Series K, 5.70%(g)

      50,000       1,272,000  
   

 

 

 
        3,168,750  
Wireless Telecommunication Services — 1.1%                  

Centaur Funding Corp., 9.08%(b)(g)

      15,143       17,480,701  
   

 

 

 

Total Preferred Stocks — 4.0%

 

    63,334,403  
   

 

 

 

Trust Preferred

     
Diversified Financial Services — 0.5%                  

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

      300,141       7,773,605  
   

 

 

 

Total Preferred Securities — 25.9%

 

    413,347,187  
   

 

 

 

U.S. Government Sponsored Agency Securities — 0.2%

 

Agency Obligations — 0.2%                  

Fannie Mae, 0.00%, 10/09/19(e)(k)

    USD       3,945       3,804,151  
   

 

 

 
U.S. Treasury Obligations — 1.5%                  

U.S. Treasury Bonds, 3.00%, 5/15/47(e)

      23,650       24,244,022  
   

 

 

 

Total Long-Term Investments — 128.8%
(Cost — $1,911,979,190)

 

    2,059,370,362  
   

 

 

 
 

 

 

22    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security       
Shares
    Value  

Short-Term Securities

     

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.93%(l)(m)

      9,139,477     $ 9,139,477  
   

 

 

 

Total Short-Term Securities — 0.6%
(Cost — $9,139,477)

 

    9,139,477  
   

 

 

 

Options Purchased — 0.1%
(Cost — $1,143,668)

 

    819,506  
   

 

 

 

Total Investments — 129.5%
(Cost — $1,922,262,335)

 

    2,069,329,345  

Liabilities in Excess of Other Assets — (29.5)%

 

    (471,295,396
   

 

 

 

Net Assets — 100.0%

 

  $ 1,598,033,949  
   

 

 

 

 

(a)  Floating rate security. Rate shown is the rate in effect as of period end.
(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 or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(d)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(e)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(f)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(g)  Perpetual security with no stated maturity date.
(h)  Issuer filed for bankruptcy and/or is in default.
(i)  Step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate as of period end.
(j)  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.
(k)  Zero-coupon bond.
(l)  Annualized 7-day yield as of period end.
 
  (m)  During the year ended October 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:  

 

Affiliate    Shares
Held at
10/31/16
     Net
Activity
     Shares
Held at
10/31/17
     Value at
10/31/17
     Income     

Net

Realized
Gain
 (a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     9,872,272        (732,795      9,139,477      $ 9,139,477      $ 109,523      $ 132      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

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

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
  (a)
 

RBC Capital Markets LLC

     1.59     1/18/17        Open      $ 1,898,800      $ 1,919,471      Corporate Bonds      Open/Demand  

Deutsche Bank Securities, Inc.

     1.09       2/07/17        Open        3,757,000        3,784,158      U.S. Government Sponsored Agency Securities      Open/Demand  

RBC Capital Markets LLC

     1.59       2/13/17        Open        12,633,600        12,762,371      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     1.59       2/13/17        Open        5,842,100        5,901,647      Corporate Bonds      Open/Demand  

UBS Securities LLC

     1.50       3/16/17        Open        8,300,000        8,373,144      Corporate Bonds      Open/Demand  

UBS Securities LLC

     1.50       3/16/17        Open        5,397,425        5,444,990      Corporate Bonds      Open/Demand  

UBS Securities LLC

     1.50       3/16/17        Open        3,079,844        3,106,985      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     1.59       4/06/17        Open        6,324,250        6,378,660      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        5,264,000        5,295,781      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        9,475,000        9,532,205      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        4,590,000        4,617,712      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        10,738,000        10,802,831      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        7,012,000        7,054,335      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        4,720,000        4,748,497      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        5,288,000        5,319,926      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        2,007,000        2,019,117      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        3,130,000        3,148,897      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        4,869,000        4,898,397      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        3,254,000        3,273,646      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        15,996,000        16,092,576      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        5,780,000        5,814,897      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     1.61       6/15/17        Open        6,088,000        6,124,756      Corporate Bonds      Open/Demand  

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Reverse Repurchase Agreements (continued)

 

Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
  (a)
 

Credit Suisse Securities (USA) LLC

    1.50 %       6/15/17        Open      $ 4,608,825      $ 4,635,326      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.50       6/15/17        Open        5,392,406        5,423,413      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.50       6/15/17        Open        5,002,938        5,031,704      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.50       6/15/17        Open        3,086,875        3,104,625      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.50       6/15/17        Open        3,805,939        3,827,823      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.55       6/15/17        Open        6,340,438        6,378,110      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.55       6/15/17        Open        3,172,031        3,190,878      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        4,040,000        4,063,553      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        4,058,925        4,082,589      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        14,910,000        14,996,925      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        3,551,512        3,572,218      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        9,220,000        9,273,753      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        7,710,000        7,754,949      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        7,672,875        7,717,608      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        3,727,812        3,749,546      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        5,600,000        5,632,648      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        12,360,000        12,432,059      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        17,613,000        17,715,684      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        6,480,000        6,517,778      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        7,873,250        7,919,151      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        3,483,000        3,503,306      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        22,532,040        22,663,402      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        4,907,375        4,935,985      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        6,012,500        6,047,553      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        4,181,125        4,205,501      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/21/17        Open        5,025,000        5,054,296      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       6/29/17        Open        8,853,688        8,901,512      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

    1.61       7/11/17        Open        10,288,000        10,339,992      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       8/24/17        Open        4,765,312        4,779,624      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       8/24/17        Open        9,276,150        9,304,009      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       8/24/17        Open        5,405,437        5,421,671      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       8/24/17        Open        10,325,000        10,356,009      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       8/24/17        Open        18,600,000        18,655,862      Corporate Bonds      Open/Demand  

Deutsche Bank Securities, Inc.

    1.06       9/20/17        Open        24,150,000        24,178,490      U.S. Treasury Obligations      Open/Demand  

RBC Capital Markets LLC

    1.59       10/02/17        Open        13,380,000        13,397,728      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

    1.50       10/05/17        Open        13,437,500        13,452,617      Corporate Bonds      Open/Demand  

Deutsche Bank Securities, Inc.

    (0.50     10/05/17        Open        429,000        428,845      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       10/11/17        Open        10,867,500        10,877,580      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       10/19/17        Open        15,540,000        15,548,923      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

    1.59       10/26/17        Open        12,330,000        12,333,267      Corporate Bonds      Open/Demand  
         

 

 

    

 

 

       

Total

 

   $ 475,459,472      $ 477,821,511        
  

 

 

    

 

 

       

 

  (a)  Certain agreements have no stated maturity and can be terminated by either party at any time.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts

                 

10-Year U.S. Treasury Note

     (1,134        12/19/17        $ 141,679        $ 1,448,776  

Ultra Long U.S. Treasury Bond

     (13        12/19/17          2,142          36,172  

2-Year U.S. Treasury Note

     (368        12/29/17          79,252          120,120  

5-Year U.S. Treasury Note

     (24        12/29/17          2,813          3,158  
                 

 

 

 

Total

 

     $ 1,608,226  
                 

 

 

 

 

 

24    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

 

OTC Interest Rate Swaptions Purchased

 

Description    Counterparty   Expiration
Date
    Exercise
Rate
    Received by the Trust     Paid by the Trust     Notional
Amount (000)
    Value  
         Rate     Frequency     Rate     Frequency      

Put

                    

30-Year Interest Rate Swap, 6/08/49

   JPMorgan Chase Bank N.A.     6/06/19       3.50     3-Month LIBOR       Quarterly       3.50     Semi-annual       USD       22,700     $ 387,316  

30-Year Interest Rate Swap, 6/08/49

   Goldman Sachs Bank USA     6/06/19       3.50     3-Month LIBOR       Quarterly       3.50     Semi-annual       USD       25,330       432,190  
                    

 

 

 
  $ 819,506  
                    

 

 

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust   

Received by the Trust

   Effective
Date
 (a)
     Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency                  
3-Month LIBOR    Quarterly    1.78%    Semi-annual      1/04/18        9/30/19      USD     100,370      $ (102,806    $ 424      $ (103,230
                         

 

 

    

 

 

 

 

  (a)  Forward swap.  

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust
    Payment
Frequency
    Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Citigroup, Inc.

     1.00     Quarterly     Deutsche Bank AG     3/20/19     USD     16,700     $ (202,032   $ (20,475   $ (181,557

Prudential Financial, Inc.

     1.00     Quarterly     Citibank N.A.     6/20/21     USD     1,920       (47,393     20,343       (67,736

Prudential Financial, Inc.

     1.00     Quarterly     Goldman Sachs International     6/20/21     USD     1,155       (28,510     13,016       (41,526

Prudential Financial, Inc.

     1.00     Quarterly     JPMorgan Chase Bank N.A.     6/20/21     USD     9,500       (234,498     88,084       (322,582
              

 

 

   

 

 

   

 

 

 
  $ (512,433   $ 100,968     $ (613,401
              

 

 

   

 

 

   

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000)
 (b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

MetLife, Inc.

     1.00     Quarterly     Deutsche Bank AG     3/20/18     A-     USD       3,025     $ 14,333     $ (10,202   $ 24,535  

Bank of America Corp.

     1.00     Quarterly     Deutsche Bank AG     3/20/19     BBB+     USD       16,700       202,000       36,507       165,493  

American Tower Corp.

     1.00     Quarterly     Morgan Stanley & Co.
International PLC
    6/20/21     BBB-     USD       10,000       (115,100     (300,127     185,027  
                

 

 

   

 

 

   

 

 

 
  $ 101,233     $ (273,822   $ 375,055  
                

 

 

   

 

 

   

 

 

 

 

  (a)  Using Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives

 

     

Swap

Premiums

Paid

    

Swap

Premiums

Received

       Unrealized
Appreciation
  Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $       424      $        $         —   $ (103,230

OTC Derivatives

   157,950        (330,804      375,055     (613,401

 

  (a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 1,608,226      $      $ 1,608,226  

Options purchased

                    

Investments at value unaffiliated(b)

                                 819,506               819,506  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            533,005                                    533,005  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 533,005      $      $      $ 2,427,732      $      $ 2,960,737  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 103,230      $      $ 103,230  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            944,205                                    944,205  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 944,205      $      $      $ 103,230      $      $ 1,047,435  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  
  (b)  Includes options purchased at value as reported in the Schedule of Investments.  

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
    

Foreign

Currency
Exchange
Contracts

    

Interest

Rate

Contracts

     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 3,274,655      $      $ 3,274,655  

Options purchased(a)

                          (1,260,340      7,788,289               6,527,949  

Options written

                                 527,246               527,246  

Swaps

            22,401                      130,477               152,878  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 22,401      $      $ (1,260,340    $ 11,720,667      $      $ 10,482,728  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts

   $      $      $      $      $ (2,406,546    $      $ (2,406,546

Options purchased(a)

                          1,101,752        (428,459             673,293  

Options written

                                 (272,253             (272,253

Swaps

            (183,333                    (103,230             (286,563
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (183,333    $      $ 1,101,752      $ (3,210,488    $      $ (2,292,069
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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

 

 

26    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 51,446,637  

Average notional value of contracts — short

   $ 150,527,578  

Options:

 

Average value of option contracts purchased

   $ 121,094  

Average value of option contracts written

   $ 50,781  

Average notional value of swaption contracts purchased

   $ 24,015,000  

Average notional value of swaption contracts written

   $ 77,900,000  

Credit default swaps:

 

Average notional value-buy protection

   $ 56,488,300  

Average notional value-sell protection

   $ 51,539,500  

Interest rate swaps:

  

Average notional value-pays fixed rate

   $ 23,125,000 (a) 

Average notional value-receives fixed rate

   $ 25,092,500  

 

  (a)  Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments:

     

Futures contracts

   $ 119,035      $ 3,250  

Options

     819,506 (a)        

Swaps — Centrally cleared

            16,477  

Swaps — OTC(b)

     533,005        944,205  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

   $ 1,471,546      $ 963,932  

Derivatives not subject to an Master Netting Agreement or similar agreement (“MNA”)

     (119,035      (19,727
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 1,352,511      $ 944,205  
  

 

 

    

 

 

 

 

  (a)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.  
  (b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.  

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

 

Counterparty    Derivative Assets
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Received
       Cash
Collateral
Received
 (b)
     Net Amount
of Derivative
Assets
 

Citibank N.A.

   $ 20,343        $ (20,343      $        $      $  

Deutsche Bank AG

     226,535          (212,234                 (14,301       

Goldman Sachs Bank USA

     432,190                            (432,190       

Goldman Sachs International

     13,016          (13,016                         

JPMorgan Chase Bank N.A.

     475,400          (322,582                 (152,818       

Morgan Stanley & Co. International PLC

     185,027          (185,027                         
  

 

 

      

 

 

      

 

 

      

 

 

    

 

 

 
   $ 1,352,511        $ (753,202      $        $ (599,309    $  
  

 

 

      

 

 

      

 

 

      

 

 

    

 

 

 
Counterparty    Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
     NetAmount
of Derivative
Liabilities
 (c)
 

Citibank N.A.

   $ 67,736        $ (20,343      $        $      $ 47,393  

Deutsche Bank AG

     212,234          (212,234                         

Goldman Sachs International

     41,526          (13,016                        28,510  

JPMorgan Chase Bank N.A.

     322,582          (322,582                         

Morgan Stanley & Co. International PLC

     300,127          (185,027                        115,100  
  

 

 

      

 

 

      

 

 

      

 

 

    

 

 

 
   $ 944,205        $ (753,202      $        $      $ 191,003  
  

 

 

      

 

 

      

 

 

      

 

 

    

 

 

 

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (c)  Net amount represents the net amount payable due to counterparty in the event of default.  

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $        $ 64,061,151        $ 7,500,000        $ 71,561,151  

Corporate Bonds

              1,486,081,803          5,007,000          1,491,088,803  

Foreign Agency Obligations

              36,783,998                   36,783,998  

Municipal Bonds

              18,541,050                   18,541,050  

Preferred Securities

     45,853,702          359,719,880                   405,573,582  

Trust Preferred

     7,773,605                            7,773,605  

U.S. Government Sponsored Agency Securities

              3,804,151                   3,804,151  

U.S. Treasury Obligations

              24,244,022                   24,244,022  

Short-Term Securities

     9,139,477                            9,139,477  

Options Purchased:

                 

Interest rate contracts

              819,506                   819,506  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 62,766,784        $ 1,994,055,561        $ 12,507,000        $ 2,069,329,345  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets:

                 

Credit contracts

   $        $ 375,055        $        $ 375,055  

Interest rate contracts

     1,608,226                            1,608,226  

Liabilities:

                 

Credit contracts

              (613,401                 (613,401

Interest rate contracts

              (103,230                 (103,230
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,608,226        $ (341,576      $        $ 1,266,650  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Derivative financial instruments are swaps and futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

The Trust may hold liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $477,821,511 are categorized as Level 2 within the disclosure hierarchy.

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

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

 

     

Asset-Backed

Securities

      

Corporate

Bonds

      

Common

Stocks

       Total  

Assets:

                 

Opening Balance, as of October 31, 2016

   $ 15,186,952        $ 5,113,500        $ 2,951        $ 20,303,403  

Transfers into Level 3

                                 

Transfers out of Level 3(a)

     (9,683,592                          (9,683,592

Accrued discounts/premiums

     1,732                            1,732  

Net realized gain (loss)

     89,513                   (38,512        51,001  

Net change in unrealized appreciation (depreciation)(b)(c)

     (94,605        (106,500        42,494          (158,611

Purchases

     7,500,000                            7,500,000  

Sales

     (5,500,000                 (6,933        (5,506,933
  

 

 

      

 

 

      

 

 

      

 

 

 

Closing Balance, as of October 31, 2017

   $ 7,500,000        $ 5,007,000        $        $ 12,507,000  
  

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2017(b)

   $        $ (106,500      $        $ (106,500
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As October 31, 2017, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.  
  (b)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (c)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at October 31, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.  

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

See notes to financial statements.

 

 

28    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Shares/Par
(000)
    Value  

Common Stocks(a)

     
Energy Equipment & Services — 0.1%  

Ocean Rig UDW, Inc.

      14,126     $ 378,294  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.

      9,191       4,596  
Hotels, Restaurants & Leisure — 0.1%  

Caesars Entertainment Corp.

      11,672       151,152  
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(b)

      6,155        
Internet Software & Services — 0.0%  

New Holdings LLC

      365       125,925  
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

      832       33,280  
Specialty Retail — 0.0%  

Things Remembered, Inc.(b)

      551,052       6  
   

 

 

 

Total Common Stocks — 0.2%

 

    693,253  
   

 

 

 

Asset-Backed Securities

     
Asset-Backed Securities — 1.8%  

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 4.06%, 10/15/28(c)(d)

    USD       250       252,405  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.45%), 4.83%, 7/28/26(c)(d)

      463       464,850  

ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR US + 4.15%), 5.51%, 1/15/28(c)(d)

      250       253,208  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 5.52%, 12/09/26(c)(d)

      250       256,082  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.95%), 3.27%, 12/05/25(c)(d)

      300       302,406  

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, (3 mo. LIBOR US + 3.60%), 4.96%, 10/15/26(c)(d)

      500       501,056  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, 4.40%, 10/15/30(d)(e)

      250       252,198  

CIFC Funding Ltd., Series 2014-2A, Class A3LR, (3 mo. LIBOR US + 2.25%), 3.57%, 5/24/26(c)(d)

      275       275,336  

GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.20%), 3.56%, 4/20/29(c)(d)

      250       250,152  

Grippen Park CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.30%), 3.66%, 1/20/30(c)(d)

      250       250,270  

Highbridge Loan Management Ltd.(d):

     

Series 2013-2A, Class CR, 4.26%, 10/20/29(e)

      250       250,000  

Series 2015-7A, Class C, (3 mo. LIBOR US + 3.38%), 4.70%, 11/15/26(c)

      250       251,031  

LCM XVIII LP, Series 18A, Class INC, 8.10%, 4/20/27(c)(d)

      750       443,524  

Pinnacle Park CLO Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.65%), 4.01%, 4/15/26(c)(d)

      250       250,136  

Symphony CLO Ltd., Series 2016-17A, Class D, (3 mo. LIBOR US + 4.80%), 6.16%, 4/15/28(c)(d)

      250       253,941  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3 mo. LIBOR US + 2.20%), 3.52%, 12/21/29(c)(d)

      250       252,274  

Treman Park CLO LLC, Series 2015-1A, Class D, (3 mo. LIBOR US + 3.86%), 5.22%, 4/20/27(c)(d)

      700       706,233  

Voya CLO Ltd., Series 2013-3A, Class A2R, (3 mo. LIBOR US + 1.50%), 2.85%, 1/18/26(c)(d)

      250       250,020  

Webster Park CLO Ltd., Series 2015-1A(c)(d):

     

Class B1, (3 mo. LIBOR US + 3.10%), 4.41%, 1/20/27

      250       250,285  

Class C, (3 mo. LIBOR US + 4.05%), 5.36%, 1/20/27

      250       252,584  
   

 

 

 

Total Asset-Backed Securities — 1.8%

 

    6,217,991  
   

 

 

 
Security          Par
(000)
    Value  

Corporate Bonds

 

Airlines — 0.5%  

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

    USD       1,585     $ 1,607,959  
   

 

 

 
Building Products — 0.1%  

Beacon Escrow Corp., 4.88%, 11/01/25(d)

      523       529,381  
   

 

 

 
Capital Markets — 0.3%  

Blackstone CQP Holdco LP(d):

     

6.50%, 3/20/21

      941       949,422  

6.00%, 8/18/21

      153       152,457  
   

 

 

 
        1,101,879  
Chemicals — 0.4%  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25(d)

      527       540,175  

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

      665       691,600  
   

 

 

 
        1,231,775  
Communications Equipment — 0.2%  

Avaya, Inc., 7.00%, 4/01/19(a)(d)(f)

      827       694,680  
   

 

 

 
Containers & Packaging — 0.7%  

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

      200       219,750  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, (3 mo. LIBOR US + 3.50%), 4.86%, 7/15/21(c)(d)

      2,330       2,376,600  
   

 

 

 
        2,596,350  
Diversified Consumer Services — 0.1%  

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

      175       193,935  
   

 

 

 
Diversified Telecommunication Services — 0.1%  

Level 3 Financing, Inc., 6.13%, 1/15/21

      337       343,780  
   

 

 

 
Electric Utilities — 0.0%  

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

      654        
   

 

 

 
Environmental, Maintenance, & Security Service — 0.1%  

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

      330       334,125  
   

 

 

 
Health Care Providers & Services — 0.1%  

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

      339       329,678  

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

      159       165,161  
   

 

 

 
        494,839  
Hotels, Restaurants & Leisure — 0.4%  

1011778 BC ULC/New Red Finance, Inc., 5.00%, 10/15/25(d)

      600       611,250  

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

      710       750,825  
   

 

 

 
        1,362,075  
Household Durables — 0.0%  

Berkline Benchcraft LLC, 4.50%, 6/01/18(a)(b)(f)

      400        
   

 

 

 
Media — 1.3%  

Altice Financing SA(d):

     

6.63%, 2/15/23

      335       353,124  

7.50%, 5/15/26

      525       575,531  

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

      200       208,000  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      752       778,320  

Series B, 7.63%, 3/15/20

      335       334,581  

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

      335       410,375  
 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

SFR Group SA(d):

     

6.00%, 5/15/22

    USD       512     $ 533,760  

7.38%, 5/01/26

      1,130       1,214,750  
   

 

 

 
        4,408,441  
Metals & Mining — 1.4%  

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

      250       259,375  

Freeport-McMoRan, Inc.:

     

2.38%, 3/15/18

      1,238       1,238,000  

3.88%, 3/15/23

      375       368,906  

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

      895       944,225  

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

      1,875       1,892,588  
   

 

 

 
        4,703,094  
Oil, Gas & Consumable Fuels — 1.2%  

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

      415       473,619  

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

      1,385       1,412,700  

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

      615       630,375  

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

      175       178,937  

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

      774       770,130  

NGPL PipeCo LLC(d):

     

4.38%, 8/15/22

      365       375,494  

4.88%, 8/15/27

      260       269,100  
   

 

 

 
        4,110,355  
Pharmaceuticals — 0.1%  

Valeant Pharmaceuticals International, Inc., 5.50%, 11/01/25(d)

      450       460,125  
   

 

 

 
Software — 0.7%  

Infor US, Inc., 6.50%, 5/15/22

      720       750,600  

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

      879       1,002,060  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23(d)

      541       574,812  
   

 

 

 
        2,327,472  
Wireless Telecommunication Services — 0.1%  

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

      200       215,440  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

      44       48,861  
        264,301  
   

 

 

 

Total Corporate Bonds — 7.8%

 

    26,764,566  
   

 

 

 

Floating Rate Loan Interests

 

Aerospace & Defense — 2.5%  

Accudyne Industries LLC, 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 8/02/24(g)

      2,145       2,160,551  

DAE Aviation Holdings, Inc., 2017 1st Lien Term Loan, 1.00%, 7/07/22(b)(h)

      315       317,756  

Engility Corp.(g):

     

Term Loan B1, (1 mo. LIBOR + 2.75%), 3.99%, 8/12/20

      198       199,279  

Term Loan B2, (3 mo. LIBOR + 3.25%), 4.49%, 8/12/23

      354       358,051  

GTCR Valor Companies, Inc., 2017 Term Loan B1, (3 mo. LIBOR + 4.25%), 5.58%, 6/16/23(g)

      489       496,232  

TransDigm, Inc.(g):

     

2015 Term Loan E, (3 mo. LIBOR + 3.00%), 4.27%, 5/14/22

      496       498,208  

2016 Extended Term Loan F, (1 mo. LIBOR + 3.00%), 4.27%, 6/09/23

      3,915       3,930,140  

Term Loan D, (3 mo. LIBOR + 3.00%), 4.33%, 6/04/21

      694       697,541  
   

 

 

 
        8,657,758  
Security          Par
(000)
    Value  
Air Freight & Logistics — 1.6%  

Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.25%),
3.49%, 4/03/22(g)

    USD       3,855     $ 3,884,168  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 3/19/21(b)(g)

      447       428,979  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/21(g)

      455       436,610  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/2(g)

      81       77,667  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/21(g)

      606       581,490  
   

 

 

 
        5,408,914  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 2.68%, 9/10/18(b)(g)

      145       142,769  
   

 

 

 
Auto Components — 0.9%  

Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 5.00%), 6.32%, 5/19/23(b)(g)

      638       641,592  

FPC Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 5.33%, 11/19/19(g)

      587       579,740  

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.24%,
4/30/19(g)

      374       375,737  

GPX International Tire Corp., Term Loan(b)(f)(g):

     

12.25%, 12/31/49

      274        

PIK, 13.00%, 12/31/49(i)

      5        

International Car Wash Group Ltd., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.73%, 10/03/24(b)(g):

      775       781,781  

USI, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00%), 4.31%, 5/16/24(g)

      800       801,664  
   

 

 

 
        3,180,514  
Automobiles — 0.3%  

CH Hold Corp.(g):

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00% , 1.00% Floor), 4.24%, 2/01/24

      791       797,635  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 8.49%, 2/01/25

      150       153,187  
   

 

 

 
        950,822  
Banks — 0.3%  

Redtop Acquisitions Ltd., USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.63%, 10/10/24(g)

      1,005       1,007,764  
   

 

 

 
Building Materials — 0.3%  

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor),5.08%, 7/28/22(g)

      515       512,782  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%, 1.00% Floor),9.88%, 7/28/23(b)(g)

      395       385,125  
   

 

 

 
        897,907  
Building Products — 1.5%  

Continental Building Products LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.78%, 8/18/23(g)

      681       685,082  

CPG International Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 5/03/24(g)

      1,195       1,206,029  

Jeld-Wen, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 7/01/22(g)

      1,087       1,095,306  

Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 2/01/21(g)

      557       563,016  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.59%, 12/19/23(g)

      1,628       1,642,275  
   

 

 

 
        5,191,708  
 

 

 

30    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Capital Markets — 1.2%  

Duff & Phelps Corporation, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.61%, 10/06/24(g)

    USD       440     $ 444,127  

FinCo I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 2.75%, 6/14/22(g)

      900       912,825  

Greenhill & Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.05%, 10/05/22(g)

      971       974,641  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 3.33%, 3/27/23(g)

      1,661       1,667,475  
   

 

 

 
        3,999,068  
Chemicals — 4.4%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 1/31/24(g)

      628       632,617  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.33%, 6/01/24(g)

      1,456       1,463,632  

CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 8/30/20(g)

      69       68,877  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 5/16/24(g)

      893       897,967  

Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.75%, 5/12/22(g)

      558       562,277  

Cypress Performance, 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
4.58%, 10/26/24(b)(g)

      640       644,800  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 6/28/24(g)

      380       384,750  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 5.11%, 7/09/19(g)

      181       164,881  

H.B. Fuller Company, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 10/12/24(g)

      1,440       1,447,805  

Huntsman International LLC, Term Loan B2, (1 mo. LIBOR + 3.00%), 4.24%, 4/01/23(g)

      503       505,248  

MacDermid, Inc.(g):

     

Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 6/07/23

      863       867,790  

USD Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.74%, 6/07/20

      1,271       1,281,128  

OXEA Finance & Cy SCA, 2017 Term Loan, (3 mo. LIBOR + 3.50%), 4.88%, 10/11/24(g)

      2,201       2,204,433  

PQ Corp., 2017 Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.63%, 11/04/22(g)

      846       856,363  

Solenis International LP(g):

     

1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.57%, 7/31/21

      913       916,872  

2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.07%, 7/31/22

      969       954,709  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.13%, 8/07/20(g)

      254       253,909  

Tronox Blocked Borrower LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.32%, 9/22/24(g)

      274       275,772  

Tronox Finance LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.32%, 9/22/24(g)

      631       636,396  
   

 

 

 
        15,020,226  
Commercial Services & Supplies — 6.8%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.75%), 3.95%, 11/10/23(g)

      2,008       2,025,247  

Asurion LLC(g):

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.24%, 8/04/25

      1,005       1,037,040  

2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 3.99%, 8/04/22

      1,215       1,223,704  
Security          Par
(000)
    Value  
Commercial Services & Supplies (continued)  

Asurion LLC(g) (continued):

     

2017 Term Loan B5, (1 mo. LIBOR + 3.00%), 4.24%, 11/03/23

    USD       2,189     $ 2,206,528  

Camelot UK Holdco Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 10/03/23(g)

      2,384       2,400,028  

Casella Waste Systems, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 10/17/23(b)(g)

      576       579,967  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.49%, 5/20/21(g)

      2,240       2,259,639  

Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.24%, 6/27/24(g)

      404       406,262  

Creative Artists Agency LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 2/15/24(g)

      1,270       1,283,104  

Dealer Tire LLC, 2016 Term Loan B, (1 Week LIBOR + 3.75%, 1.00% Floor), 5.13%, 12/22/21(g)

      633       637,823  

Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 7.83%, 5/16/20(g)

      228       217,501  

Garda World Security Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.31%, 5/24/24(g)

      567       571,092  

Harland Clarke Holdings Corp., Term Loan B6, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.83%, 2/09/22(g)

      681       681,245  

KAR Auction Services, Inc.(g):

     

Term Loan B4, (3 mo. LIBOR + 2.25%), 3.63%, 3/11/21(b)

      530       534,381  

Term Loan B5, (3 mo. LIBOR + 2.50%), 3.88%, 3/09/23

      833       839,150  

Livingston International, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 5.58%, 4/18/19(g)

      327       313,004  

Packers Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),4.73%, 12/02/21(b)(g)

      903       912,290  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 5/02/22(g)

      1,717       1,731,022  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.33%, 7/14/23(g)

      1,482       1,495,407  

West Corporation, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 10/10/24(g)

      2,065       2,068,544  
   

 

 

 
        23,422,978  
Commercial Services & Supplies — 0.5%  

Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 4.24%, 9/27/24(g)

      1,663       1,676,700  
   

 

 

 
Communications Equipment — 1.3%  

Avantor, Inc., 2017 1st Lien Term Loan, 1.00%, 9/07/24(g)(h)

      1,718       1,726,899  

Avaya, Inc.:

     

DIP Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.74%, 1/24/18(g)

      35       35,069  

Term Loan B7, 0.00%, 5/29/20(a)(f)

      153       126,577  

Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.31%, 5/01/24(g)

      1,057       1,065,280  

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 3.37%, 12/29/22(g)

      435       436,752  

Riverbed Technology, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 4/24/22(g)

      527       504,354  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.74%, 6/20/24(g)

      715       723,344  
   

 

 

 
        4,618,275  
Construction & Engineering — 1.6%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.61%, 6/21/24(g)

      3,956       3,980,257  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Construction & Engineering (continued)  

CNT Holdings III Corp., 2017 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 1/22/23(g)

    USD       735     $ 720,118  

Pike Corporation, Replacement Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.76%, 9/20/24(g)

      334       339,378  

USIC Holdings, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.00%, 12/08/23(g)

      569       573,312  
   

 

 

 
        5,613,065  
Construction Materials — 1.0%  

Filtration Group Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.38%, 11/21/20(g)

      2,135       2,149,697  

GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.38%, 4/01/23(g)

      1,363       1,374,502  
   

 

 

 
        3,524,199  
Containers & Packaging — 1.9%  

Anchor Glass Container Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.02%, 12/07/23(g)

      323       324,327  

Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.53%, 10/01/21(g)

      359       361,717  

Berry Plastics Group, Inc., Term Loan M, (1 mo. LIBOR + 2.25%), 3.49%, 10/01/22(g)

      3,103       3,115,730  

BWAY Holding Co., 2017 Term Loan B, (2 mo. LIBOR + 3.25%), 4.60%, 4/03/24(g)

      1,100       1,107,119  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.34%, 12/29/23(g)

      726       731,231  

Plastipak Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.02%, 10/04/24(g)

      545       548,815  

Proampac PG Borrower LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.30%, 11/18/23(g)

      303       305,158  
   

 

 

 
        6,494,097  
Distributors — 0.6%  

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 10/31/23(g)

      1,613       1,621,870  

American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.49%, 9/01/21(g)

      566       568,484  
   

 

 

 
        2,190,354  
Diversified Consumer Services — 4.3%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 12/13/23(g)

      1,290       1,294,295  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 7/12/24(g)

      715       720,663  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (3 mo LIBOR + 2.25%, 0.75% Floor), 3.49%, 11/07/23(g)

      2,000       2,010,707  

Equian LLC(b)(g):

     

Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 5/20/24

      245       247,994  

Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.07%, 5/20/24

      798       805,980  

J.D. Power and Associates, 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.58%, 9/07/23(g)

      862       868,438  

Serta Simmons Bedding LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 11/08/23(g)

      2,386       2,348,517  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 11/08/23(g)

      2,556       2,566,549  

Spin Holdco, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.99%, 11/14/22(g)

      720       724,546  
Security          Par
(000)
    Value  
Diversified Consumer Services (continued)  

Wand Intermediate I LP, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 9/17/21(g)

    USD       786     $ 791,331  

Weight Watchers International, Inc., Term Loan B2, (3 mo. LIBOR + 3.25%), 4.55%, 4/02/20(g)

      2,289       2,265,713  
   

 

 

 
        14,644,733  
Diversified Financial Services — 1.3%  

AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.08%, 4/04/24(g)

      1,882       1,890,067  

Diamond US Holding LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 4/06/24(b)(g)

      585       589,422  

Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.57%, 6/28/24(g)

      957       964,188  

Nomad Foods Europe Midco Ltd., Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 5/15/24(g)

      545       547,496  

SAM Finance Luxembourg Sarl, Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.57%, 12/17/20(g)

      361       362,428  
   

 

 

 
        4,353,601  
Diversified Telecommunication Services — 6.8%  

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

      8,105       7,996,960  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.25%, 10/04/23(g)

      257       252,530  

Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 4.99%, 6/15/24(g)

      1,084       1,030,643  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 5/16/24(g)

      928       930,384  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 2/22/24(g)

      4,291       4,305,547  

Lumos Networks Operating Co.(h):

     

1st Lien Term Loan B, 1.00%, 10/16/24

      601       604,127  

MTN Topco Term Loan, 1.00%, 10/16/24

      589       589,090  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 3.75%, 2/02/24(g)

      1,776       1,781,989  

Telenet International Finance Sarl, Term Loan AI, (1 mo. LIBOR + 2.75%), 3.99%, 6/30/25(g)

      3,715       3,729,451  

Telesat Canada, Term Loan B4, (2 mo. LIBOR + 3.00%), 4.32%, 11/17/23(g)

      698       701,338  

Virgin Media Investment Holdings Ltd., GBP Term Loan J, (1 mo. LIBOR + 3.50%), 3.80%, 1/31/26(g)

    GBP       1,101       1,466,675  
   

 

 

 
        23,388,734  
Electric Utilities — 2.7%  

Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 6/30/18(g)

    USD       6,505       6,545,656  

PrimeLine Utility Services LLC, Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 11/12/22(g)

      840       844,044  

TEX Operations Co. LLC(g):

     

Exit Term Loan B, (1 mo. LIBOR + 2.75%), 4.01%, 8/04/23

      1,258       1,261,135  

Exit Term Loan C, (3 mo. LIBOR + 2.75%), 4.08%, 8/04/23

      288       288,740  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/17(a)(b)(f)

      1,050        

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.75%), 4.01%, 12/14/23(g)

      227       228,198  
   

 

 

 
        9,167,773  
Electrical Equipment — 0.7%  

Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 4/01/24(g)

      2,463       2,479,000  
   

 

 

 
 

 

 

32    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Energy Equipment & Services — 0.9%  

Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor),6.08%, 9/16/21(g)

    USD       524     $ 328,918  

Gavilan Resources LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 6.00%, 1.00% Floor),7.24%, 3/01/24(g)

      1,567       1,516,072  

Ocean Rig UDW Inc., Term Loan, 8.00%, 9/20/24

      81       81,738  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),4.33%, 2/21/21(g)

      403       305,975  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.55%, 7/13/20(g)

      816       793,044  
   

 

 

 
        3,025,747  
Food & Staples Retailing — 1.8%  

BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.99%, 2/03/24(g)

      1,144       1,114,568  

Rite Aid Corp.(g):

     

2nd Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor),6.00%, 8/21/20

      681       684,710  

2nd Lien Term Loan, (1 mo. LIBOR + 3.87%, 1.00% Floor),5.13%, 6/21/21

      1,629       1,631,416  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.75%), 4.00%, 6/27/23(g)

      2,557       2,576,392  
   

 

 

 
        6,007,086  
Food Products — 3.8%  

Albertsons, LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 3.99%, 8/25/21(g)

      1,238       1,199,461  

Chobani, LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor),4.74%, 10/07/23(g)

      1,526       1,543,359  

Dole Food Co., Inc., 2017 Term Loan B, (2 mo. LIBOR + 2.75%, 1.00% Floor),4.01%, 4/06/24(g)

      646       648,360  

Hostess Brands LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 3.74%, 8/03/22(g)

      1,688       1,696,568  

JBS USA LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 10/30/22(g)

      2,278       2,228,235  

Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.23%, 2/02/24(g)

      1,608       1,615,889  

Reddy Ice Corp.(g):

     

1st Lien Term Loan, (PRIME + 4.50%), 6.88%, 5/01/19

      960       942,883  

2nd Lien Term Loan, (3 mo. LIBOR + 9.50%), 10.85%, 11/01/19(b)

      328       308,320  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 3.99%, 2/05/23(g)

      1,707       1,716,907  

TriMark USA LLC:

     

2017 1st Lien Term Loan, (2 mo. LIBOR + 3.50%), 4.88%, 9/13/24(g)

      1,221       1,233,403  

Delayed Draw Term Loan, 1.00%, 9/13/24(h)

      41       41,192  
   

 

 

 
        13,174,577  
Health Care Equipment & Supplies — 3.3%  

Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.50%), 3.84%, 9/28/23(g)

      1,039       1,041,213  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.54%, 6/08/20(g)

      3,459       3,460,180  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor), 6.31%, 6/15/21(g)

      2,205       2,245,350  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.08%, 9/24/24(g)

      1,027       1,028,993  

National Vision, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 3/12/21(g)

      1,471       1,477,167  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 6/30/21(g)

      2,055       2,064,447  
   

 

 

 
        11,317,350  
Security          Par
(000)
    Value  
Health Care Providers & Services — 6.4%  

Acadia Healthcare Co., Inc.(g):

     

Term Loan B1, (1 mo. LIBOR + 2.75%), 3.99%, 2/11/22

    USD       286     $ 287,525  

Tranche B-2 Term Loan, (1 mo. LIBOR + 2.75%), 3.99%, 2/16/23

      1,302       1,307,918  

Air Medical Group Holdings, Inc., 2017 Term Loan B2, 1.00%, 9/07/24(h)

      1,095       1,099,796  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00%, 1.00% Floor),4.33%, 1/17/22(g)

      1,494       1,508,378  

CHG Healthcare Services, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.63%, 6/07/23(g)

      2,078       2,096,535  

Community Health Systems, Inc.(g):

     

Term Loan G, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 12/31/19

      300       292,853  

Term Loan H, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.32%, 1/27/21

      5       5,331  

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.31%, 2/07/22(g)

      490       490,509  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 6/24/21(g)

      797       802,525  

DuPage Medical Group, Ltd.(g):

     

1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.32%, 8/15/24(b)

      700       703,500  

2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 8.32%, 8/15/25

      245       245,919  

Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 4.25%, 12/01/23(g)

      3,410       3,422,725  

Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.13%, 5/02/23(g)

      663       668,296  

HC Group Holdings III, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.32%, 4/07/22(b)(g)

      878       888,487  

HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.00%), 3.24%, 3/17/23(g)

      1,674       1,681,560  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 6/07/23(g)

      1,537       1,550,860  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 1/31/21(g)

      294       295,841  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.74%, 10/20/22(g)

      996       1,001,887  

NVA Holdings, Inc., 1st Lien Term Loan B2, (3 mo. LIBOR + 3.50%), 4.83%, 8/14/21(g)

      1,067       1,075,979  

Surgery Center Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 9/02/24(g)

      190       188,132  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 2/06/24(g)

      775       768,060  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 2/13/23(g)

      1,092       1,099,066  

WP CityMD Bidco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.33%, 6/07/24(g)

      580       582,900  
   

 

 

 
        22,064,582  
Health Care Technology — 1.6%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 3/01/24(g)

      3,413       3,431,289  

Press Ganey Holdings, Inc.(g):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 10/23/23

      983       990,008  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 7.74%, 10/21/24

      209       211,339  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Technology (continued)  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.33%, 3/07/24(g)

    USD       682     $ 686,958  
   

 

 

 
        5,319,594  
Hotels, Restaurants & Leisure — 7.3%  

Amaya Holdings BV(g):

     

2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.33%, 8/01/22(b)

      273       276,562  

Repriced Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 8/01/21

      1,621       1,631,506  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.50%), 3.70%, 9/15/23(g)

      1,201       1,208,084  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.32%, 8/15/20(g)

      1,330       1,338,779  

Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.25%, 1.00% Floor), 3.53%, 2/16/24(g)

      3,434       3,437,700  

Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 10/11/20(g)

      4,862       4,864,928  

Caesars Growth Properties Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 5/08/21(g)

      1,240       1,240,378  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1.00%, 9/27/24(h)

      1,648       1,658,003  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 8/08/21(g)

      808       813,175  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 2/14/21(g)

      444       441,937  

Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 7/26/24(g)

      794       797,321  

ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 8/30/23(g)

      1,980       1,991,304  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 3.74%, 11/30/23(g)

      139       139,871  

Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 2/22/23(g)

      185       187,075  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.00%), 3.24%, 10/25/23(g)

      1,109       1,115,515  

La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.11%, 4/14/21(g)

      502       503,687  

Scientific Games International, Inc., 2017 Term Loan B4, (2 mo. LIBOR + 3.25%), 4.52%, 8/14/24(g)

      2,400       2,426,854  

Yum! Brands, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.00%), 3.24%, 6/16/23(g)

      891       896,368  
   

 

 

 
        24,969,047  
Household Durables — 0.4%  

Serta Simmons Bedding LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.31%, 11/08/24(g)

      1,296       1,224,544  
   

 

 

 
Household Products — 1.1%  

Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 4.32%, 9/06/24(g)

      1,422       1,427,588  

Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.29%, 6/23/22(g)

      2,352       2,366,542  
   

 

 

 
        3,794,130  
Independent Power and Renewable Electricity Producers — 3.2%  

AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.32%, 5/24/22(g)

      652       652,813  

Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.74%, 5/27/22(g)

      674       676,092  
Security          Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

Calpine Construction Finance Co., LP, Original Term Loan B1, (1 mo. LIBOR + 2.25%), 3.50%, 5/03/20(g)

    USD       636     $ 636,110  

Calpine Corp.(g):

     

Term Loan B5, (3 mo. LIBOR + 2.75%), 4.09%, 1/15/24

      684       687,356  

Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor),4.09%, 1/15/23

      1,297       1,302,736  

Term Loan B7, (3 mo. LIBOR + 2.75%), 4.09%, 5/31/23

      470       471,561  

Dynegy, Inc., 2017 Term Loan C, (1 mo. LIBOR + 3.25%, 1.00% Floor),4.49%, 2/07/24(g)

      1,944       1,954,930  

Granite Acquisition, Inc.(g):

     

Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.34%, 12/19/21

      2,017       2,039,209  

Term Loan C, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.33%, 12/19/21

      91       92,186  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor),5.74%, 5/16/24(g)

      1,606       1,609,492  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.49%, 12/09/21(b)(g)

      788       709,334  
   

 

 

 
        10,831,819  
Industrial Conglomerates — 0.8%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.69%, 11/30/23(g)

      1,805       1,817,126  

Sequa Corp., 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.87%, 11/28/21(g)

      917       924,298  
   

 

 

 
        2,741,424  
Insurance — 2.4%  

Alliant Holdings I, Inc., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor),4.49%, 8/12/22(g)

      1,704       1,714,842  

AmWINS Group, Inc.(g):

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 7.99%, 1/25/25

      505       513,837  

2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 1/25/24

      1,146       1,150,499  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 4.74%, 10/22/24(g)

      606       612,801  

Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.31%, 10/02/20(g)

      887       893,292  

Sedgwick Claims Management Services, Inc.(g):

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 3/01/21

      1,134       1,138,841  

2016 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 3/01/21

      523       526,908  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 1.00% Floor), 6.99%, 2/28/22

      1,230       1,240,762  

Stratose Intermediate Holdings II, LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 6/22/23(g)

      449       452,242  
   

 

 

 
        8,244,024  
Internet & Direct Marketing Retail — 0.3%  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.25%), 4.49%, 8/18/23(g)

      908       912,764  
   

 

 

 
Internet Software & Services — 1.9%  

Go Daddy Operating Co. LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 2/15/24(g)

      2,311       2,322,314  

GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 1/09/24(g)

      221       222,711  
 

 

 

34    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Internet Software & Services (continued)  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 4.77%, 5/01/24(g)

    USD       649     $ 649,996  

Rackspace Hosting, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.31%, 11/03/23(g)

      1,487       1,486,433  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),4.99%, 5/06/24(g)

      953       962,139  

WaveDivision Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.13%, 10/15/19(g)

      887       887,148  
   

 

 

 
        6,530,741  
IT Services — 8.4%  

Cologix, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.46%, 3/20/24(g)

      1,080       1,080,029  

First Data Corp.(g):

     

2017 Term Loan, (1 mo. LIBOR + 2.50%), 3.74%, 4/26/24

      6,296       6,321,005  

2022 Term Loan, (1 mo. LIBOR + 2.25%), 3.49%, 7/08/22

      512       513,487  

Term Loan A, (1 mo. LIBOR + 2.00%), 3.24%, 6/02/20

      383       384,859  

IG Investment Holdings LLC, 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.33%, 10/31/21(g)

      1,681       1,698,549  

NeuStar, Inc.(g):

     

Term Loan B1, (3 mo. LIBOR + 3.25%), 4.56%, 1/08/20

      144       145,173  

Term Loan B2, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.06%, 8/08/24

      476       480,166  

Optiv Security, Inc.(g):

     

1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.56%, 2/01/24

      2,265       2,132,982  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.56%, 2/01/25

      699       643,575  

Peak 10, Inc.(g):

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.81%, 8/01/24

      840       843,679  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.56%, 8/01/25

      995       1,019,875  

Sabre GLBL Inc., Incremental Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor),3.49%, 2/22/24(g)

      1,570       1,576,523  

TKC Holdings, Inc.(g):

     

2017 2nd Lien Term Loan, (2 mo. LIBOR + 8.00%, 1.00% Floor), 9.27%, 2/01/24

      811       815,728  

2017 Term Loan, (2 mo. LIBOR + 4.25%, 1.00% Floor), 5.52%, 2/01/23

      1,398       1,411,955  

Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 3.24%, 4/10/23(g)

      3,830       3,840,463  

Vantiv LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.24%, 10/14/23(g)

      670       674,245  

VF Holding Corp., Reprice Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),4.49%, 6/30/23(g)

      2,935       2,953,696  

WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.75%), 3.99%, 6/30/23(g)

      2,301       2,325,126  
   

 

 

 
        28,861,115  
Leisure Products — 0.1%  

MND Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.83%, 6/19/24(b)(g)

      494       499,935  
   

 

 

 
Life Sciences Tools & Services — 1.0%  

Albany Molecular Research, Inc.(g):

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 8/30/24

      1,221       1,229,401  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.33%, 8/30/25

      560       569,100  
Security          Par
(000)
    Value  
Life Sciences Tools & Services (continued)  

Parexel International Corporation, Term Loan B, (3 mo. LIBOR + 3.00%), 4.24%, 9/27/24(g)

    USD       1,497     $ 1,510,368  
   

 

 

 
        3,308,869  
   

 

 

 
Machinery — 2.6%  

Clark Equipment Co., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.08%, 5/18/24(g)

      746       751,287  

Columbus McKinnon Corp., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),4.33%, 1/31/24(b)(g)

      129       130,311  

Faenza Acquisition GmbH(g):

     

Term Loan B1, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 8/30/20

      555       554,503  

Term Loan B3, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 8/30/20

      168       168,170  

Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.08%, 7/30/24(g)

      1,473       1,480,886  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.74%, 8/05/24(g)

      1,006       1,014,702  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 5/27/22(g)

      1,203       1,208,968  

Mueller Water Products, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.77%, 11/25/21(g)

      486       489,063  

Navistar International Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 8/07/20(g)

      581       580,594  

Rexnord LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.09%, 8/21/23(g)

      1,326       1,333,405  

Signode Industrial Group US, Inc., Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.04%, 5/04/21(b)(g)

      516       520,915  

Tecomet, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.06%, 5/02/24(g)

      594       594,628  
   

 

 

 
        8,827,432  
Media — 13.2%  

Altice Financing SA:

     

2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.11%, 7/15/25(g)

      532       531,877  

USD 2017 1st Lien Term Loan, 1.00%, 1/05/26(h)

      915       915,000  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 3.49%, 7/28/25(g)

      3,990       3,983,177  

CBS Radio, Inc., Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 10/17/23(g)

      606       609,896  

Charter Communications Operating LLC, 2016 Term Loan I Add, (1 mo. LIBOR + 2.25%), 3.50%, 1/15/24(g)

      3,911       3,938,371  

CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 3.49%, 7/17/25(g)

      2,611       2,606,798  

DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.99%, 12/29/23(g)

      484       483,788  

Entercom Radio LLC, 2016 Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.73%, 11/01/23(g)

      324       324,903  

Getty Images, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 10/18/19(g)

      353       308,067  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 2/07/24(g)

      397       399,978  

Hemisphere Media Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%), 4.74%, 2/08/24(g)

      971       922,263  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 5/31/21(g)

      532       506,328  

iHeartCommunications, Inc.(g):

     

Extended Term Loan E, (3 mo. LIBOR + 7.50%), 8.83%, 7/30/19

      315       235,686  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

iHeartCommunications, Inc.(g) (continued):

     

Term Loan D, (3 mo. LIBOR + 6.75%), 8.08%, 1/30/19

    USD       3,806     $ 2,844,900  

Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 6/30/19(g)

      4,227       4,212,140  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 12/01/23(g)

      1,111       1,116,655  

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.86%, 1/07/22(g)

      678       627,577  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 3.50%, 10/31/23(g)

      293       294,120  

Mediacom Illinois LLC, Term Loan K, (1 Week LIBOR + 2.25%), 3.46%, 2/15/24(g)

      494       494,576  

Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 3.74%, 1/17/24(g)

      253       254,841  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 3.74%, 1/17/24(g)

      2,019       2,029,727  

Numericable Group SA, USD Term Loan B12, (3 mo. LIBOR + 3.00%), 4.35%, 1/05/26(g)

      1,705       1,705,392  

PSAV Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor),4.83%, 4/27/24(g)

      1,132       1,139,239  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.24%, 2/01/24(g)

      632       624,540  

SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.25%), 3.50%, 3/24/21(g)

      2,655       2,665,330  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 3.50%, 1/03/24(g)

      629       630,704  

Trader Corp., 2017 Term Loan B, (3 mo LIBOR + 3.25%, 1.00% Floor),4.58%, 9/28/23(g)

      960       961,375  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 4.24%, 1/27/24(g)

      2,255       2,258,383  

Unitymedia Finance LLC, Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 9/30/25(g)

      1,245       1,243,942  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor),3.99%, 3/15/24(g)

      1,223       1,218,720  

Virgin Media Bristol LLC, Term Loan I, (1 mo. LIBOR + 2.75%), 3.99%, 1/31/25(g)

      2,415       2,424,056  

William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.64%, 5/06/21(g)

      149       149,768  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 3.74%, 4/15/25(g)

      2,585       2,590,661  
   

 

 

 
        45,252,778  
Metals & Mining — 0.1%  

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.82%, 9/30/23(g)

      455       456,539  
   

 

 

 
Multiline Retail — 0.6%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 8/04/24(g)

      605       606,137  

Hudson’s Bay Co., 2015 Term Loan B, (2 mo. LIBOR + 3.25%, 1.00% Floor), 4.52%, 9/30/22(g)

      1,360       1,323,053  
   

 

 

 
        1,929,190  
Oil, Gas & Consumable Fuels — 4.1%  

BCP Raptor LLC, Term Loan B, (1 Week LIBOR + 4.25%, 1.00% Floor), 5.52%, 6/24/24(g)

      1,082       1,093,446  

BCP Renaissance Parent LLC, 2017 Term Loan B, (1 mo LIBOR + 4.00%, 1.00% Floor), 5.38%, 9/19/24(g)

      1,300       1,314,222  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

California Resources Corp.(g):

     

Second Out Term Loan, (1 mo. LIBOR + 10.37%), 11.61%, 12/31/21

    USD       1,328     $ 1,421,499  

Term Loan A, (1 mo. LIBOR + 3.00%), 4.24%, 10/01/19

      1,376       1,321,187  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.81%, 8/23/21(g)

      1,292       1,384,630  

CITGO Holding, Inc., 2015 Term Loan B, (3 mo. LIBOR + 8.50%, 1.00% Floor), 9.84%, 5/12/18(g)

      646       659,549  

CONSOL Energy, Inc., 1st Lien Term Loan B, 1.00%, 10/26/22(b)(h)

      405       402,846  

EWT Holdings III Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 1/15/21(g)

      1,011       1,018,258  

MEG Energy Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 12/31/23(g)

      1,401       1,404,158  

Moxie Patriot LLC, Term Loan B1, (3 mo. LIBOR + 5.75%), 7.08%, 12/19/20(b)(g)

      210       197,698  

PowerTeam Services LLC (g):

     

1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 5/06/20(b)

      303       303,926  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.58%, 11/06/20

      285       283,575  

Ultra Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.31%, 4/12/24(g)

      887       886,778  

Veresen Midstream LP, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 3/31/22(g)

      1,668       1,681,645  

Vine Oil & Gas LP, Term Loan B, (3 mo. LIBOR + 6.88%, 1.00% Floor), 8.12%, 12/12/21(g)

      740       727,050  
   

 

 

 
        14,100,467  
Personal Products — 1.4%  

Alphabet Holding Company, Inc.(g):

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 9/26/24

      2,370       2,304,825  

2017 2nd Lien Term Loan, (1 Week LIBOR + 7.75%, 1.00% Floor), 9.08%, 9/26/25

      1,075       1,046,781  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.75%), 3.99%, 1/26/24(g)

      1,164       1,170,286  

Revlon Consumer Products Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.50%), 4.74%, 9/07/23(g)

      298       257,054  
   

 

 

 
        4,778,946  
Pharmaceuticals — 3.3%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.50%, 4/16/21(b)(g)

      1,535       1,541,058  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 3.45%, 1/31/25(g)

      3,493       3,503,521  

Jaguar Holding Co. II, 2017 Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.04%, 8/18/22(g)

      3,886       3,906,429  

Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, (1 mo. LIBOR + 4.75%), 5.99%, 4/01/22(g)

      2,367       2,418,800  
   

 

 

 
        11,369,808  
Professional Services — 1.3%  

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.63%, 7/23/21(g)

      1,071       1,012,169  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 9/26/24(g)

      1,232       1,239,854  

Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.62%, 1/18/24(g)

      478       482,577  
 

 

 

36    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Professional Services (continued)  

SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 7.83%, 11/14/22(b)(g)

    USD       500     $ 505,222  

Sterling Infosystems, Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.84%, 6/20/22(g)

      1,173       1,175,877  
   

 

 

 
        4,415,699  
Real Estate Investment Trusts (REITs) — 1.2%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.25%, 3/24/24(g)

      471       471,557  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 4/25/23(g)

      2,838       2,853,240  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.56%, 5/11/24(g)

      836       841,550  
   

 

 

 
        4,166,347  
Real Estate Management & Development — 1.5%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 4/18/24(g)

      2,215       2,224,316  

DTZ US Borrower LLC, 2015 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),4.59%, 11/04/21(g)

      841       845,932  

Realogy Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 7/20/22(g)

      1,403       1,410,434  

Realogy Corporation, Term Loan A, (1 mo. LIBOR + 2.00%), 3.24%, 10/23/20(g)

      638       636,798  
   

 

 

 
        5,117,480  
Road & Rail — 0.2%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 6/13/23(g)

      762       765,730  
   

 

 

 
Semiconductors & Semiconductor Equipment — 0.6%  

Cavium, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%, 0.75% Floor), 3.49%, 8/16/22(b)(g)

      502       503,544  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 3.74%, 5/12/24(b)(g)

      234       234,700  

Microsemi Corp., 2015 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 1/15/23(g)

      237       238,361  

ON Semiconductor Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 3/31/23(g)

      444       445,826  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.50%), 3.83%, 9/29/23(g)

      584       587,202  
   

 

 

 
        2,009,633  
Software — 12.6%  

Almonde, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.57%, 6/13/25(g)

      337       333,724  

Applied Systems, Inc.(g):

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.57%, 9/19/24

      1,286       1,301,572  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.32%, 9/19/25

      302       310,546  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.59%, 12/20/22(g)

      677       684,638  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 9/10/22(g)

      2,216       2,230,664  

Cypress Intermediate Holdings, Inc.(g):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.25%, 4/27/24

      564       566,567  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 7.99%, 4/27/25

      496       509,332  

Dell Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.25%, 9/07/23(g)

      1,539       1,542,259  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.75%), 5.07%, 5/28/24(g)

      1,344       1,354,416  
Security          Par
(000)
    Value  
Software (continued)  

DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.63%, 9/30/23(g)

    USD       892     $ 874,245  

Hyland Software, Inc.(g):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.49%, 7/01/22

      894       902,447  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.24%, 7/07/25

      260       265,200  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.08%, 2/01/22(g)

      2,287       2,289,467  

Informatica Corp., Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 8/05/22(g)

      2,028       2,031,831  

IPS Corp., 2016 1st Lien Term Loan, (1 mo. LIBOR + 5.25%, 1.00% Floor), 6.49%, 12/20/23(b)(g)

      392       395,958  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.34%, 4/01/21(g)

      793       790,022  

Kronos, Inc.(g):

     

2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.81%, 11/01/23

      2,814       2,832,569  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 9.56%, 11/01/24

      1,045       1,074,553  

LANDesk Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.50%, 1/20/24(g)

      244       237,747  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.75%), 3.99%, 6/21/24(g)

      160       160,884  

McAfee, LLC, 2017 USD Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.83%, 9/30/24(g)

      1,070       1,076,495  

Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.82%, 6/13/24(g)

      1,509       1,503,359  

Mitchell International, Inc.(g):

     

1st Lien Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 4.88%, 10/13/20

      1,297       1,308,707  

2nd Lien Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.88%, 10/11/21

      1,000       1,005,750  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.04%, 4/26/24(g)

      1,867       1,823,883  

Project Leopard Holdings, Inc., Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.83%, 7/07/23(b)(g)

      535       541,019  

Seattle Spinco, Inc., Term Loan B3, (3 mo. LIBOR + 2.75%), 3.99%, 6/21/24(g)

      1,083       1,086,487  

SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 2/05/23(g)

      1,975       1,987,143  

Solera LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 3/03/23(g)

      2,451       2,469,117  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 9/30/22(g)

      2,233       2,228,402  

SS&C Technologies, Inc.(g):

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.49%, 7/08/22

      2,680       2,694,490  

2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.49%, 7/08/22

      129       129,675  

Synchronoss Technologies, Inc., Term Loan, (1 mo. LIBOR + 4.50%), 5.74%, 1/19/24(g)

      459       458,083  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.24%, 5/01/24(g)

      2,045       2,050,846  

Tibco Software Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.75%, 12/04/20(g)

      1,488       1,496,089  

Veritas Bermuda Ltd., USD Repriced Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.83%, 1/27/23(g)

      751       756,900  
   

 

 

 
        43,305,086  
Specialty Retail — 2.2%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.26%, 7/01/22(g)

      440       323,520  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Specialty Retail (continued)  

Belron SA, Term Loan B, (3 mo. LIBOR + 2.50%), 3.89%, 10/26/24

    USD       765     $ 769,781  

Leslie’s Poolmart, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.06%, 8/16/23(g)

      1,274       1,270,725  

Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 1/30/23(g)

      1,231       1,231,643  

Party City Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.00%), 4.43%, 8/19/22(g)

      1,198       1,201,022  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.38%, 1/26/23(g)

      1,032       842,045  

PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.24%, 3/11/22(g)

      112       95,409  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.31%, 9/12/24(g)

      1,001       940,690  

Things Remembered, Inc., 2016 Term Loan, (PIK + 11.00%), 6.00%, 2/29/20(b)(g)(i)

      627        

TruGreen Limited Partnership, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 4/13/23(b)(g)

      714       724,406  
   

 

 

 
        7,399,241  
Technology Hardware, Storage & Peripherals — 0.3%  

Western Digital Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 4/29/23(g)

      901       903,977  
   

 

 

 
Textiles, Apparel & Luxury Goods — 0.4%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.58%, 8/12/22(b)(g)

      1,478       1,489,201  
   

 

 

 
Trading Companies & Distributors — 2.0%  

cRoofing Supply, Inc.(g):

     

2017 Term Loan B, (3 mo. LIBOR + 2.25%), 1.00%, 8/23/24

      1,981       1,993,381  

Term Loan B, (1 mo. LIBOR + 2.75%), 3.99%, 10/01/22

      858       862,879  

HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.46%, 8/01/24(g)

      1,710       1,720,688  

HD Supply, Inc.(g):

     

Term Loan B1, (3 mo. LIBOR + 2.25%), 3.58%, 8/13/21

      1,465       1,477,185  

Term Loan B2, (3 mo. LIBOR + 2.50%), 3.83%, 10/17/23

      620       626,906  

Nexeo Solutions LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.75%), 5.09%, 6/09/23(g)

      153       154,408  
   

 

 

 
        6,835,447  
Transportation — 0.1%  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.83%, 8/18/22(g)

      482       477,904  
   

 

 

 
Wireless Telecommunication Services — 3.6%  

GEO Group, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.57%, 3/22/24(g)

      1,494       1,492,868  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(a)(f)(i)

      4,045       3,877,201  

LTS Buyer LLC, 1st Lien Term Loan, (PRIME + 2.25%), 6.50%, 4/13/20(g)

      3,297       3,302,956  

VICI Properties 1 LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.50%), 4.75%, 10/14/22(g)

      3,707       3,709,812  
   

 

 

 
        12,382,837  
   

 

 

 

Total Floating Rate Loan Interests — 138.5%

 

    474,842,049  
   

 

 

 
Security          Shares/Beneficial
Interests (000)
    Value  

Investment Companies — 0.5%

 

United States — 0.5%  

iShares iBoxx USD High Yield Corporate Bond ETF(l)

      19,000     $ 1,680,930  
   

 

 

 

Other Interests(b)(j)

     
Afghanistan — 0.0%  

Lear Corp. Escrow

    USD       500       5  
   

 

 

 
United States — 0.0%  

Millennium Corp.

      1,921        
   

 

 

 

Total Other Interests — 0.0%

 

    5  
   

 

 

 

Rights — 0.0%

     
Electric Utilities — 0.0%  

Vista Energy(a)(b)

      28,707       27,272  
   

 

 

 

Warrants(a)

     
Chemicals — 0.0%  

British Vita Holdings Co. (Non-Expiring)(b)

      166        
   

 

 

 
Metals & Mining — 0.0%  

AFGlobal Corp. (Expires12/20/20)(b)

      2,642        
   

 

 

 
Software — 0.0%  

Bankruptcy Management Solutions, Inc., (Expires 07/01/18)(b)

      181        

Bankruptcy Management Solutions, Inc., (Expires 07/01/19)(b)

      195        

Bankruptcy Management Solutions, Inc., (Expires 07/01/20)(b)

      292        

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

      1,501       45  
   

 

 

 

Total Warrants — 0.0%

 

    45  
   

 

 

 

Total Long-Term Investments — 148.8%
(Cost — $509,786,158)

 

    510,226,111  
   

 

 

 

Short-Term Securities

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.93%(k)(l)

      1,895,053       1,895,053  
   

 

 

 

Total Short-Term Securities — 0.6%
(Cost — $1,895,053)

 

    1,895,053  
   

 

 

 

Options Purchased — 0.0%
(Cost — $70,653)

 

    37,431  
   

 

 

 

Total Investments — 149.4%
(Cost — $511,751,864)

 

    512,158,595  

Liabilities in Excess of Other Assets — (49.4)%

 

    (169,268,915
   

 

 

 

Net Assets — 100.0%

 

  $ 342,889,680  
     

 

 

 

 

(a)  Non-income producing security.
(b)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(c)  Floating rate security. Rate shown is the rate in effect as of period end.
(d)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
 

 

 

38    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

 

(e)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(f)  Issuer filed for bankruptcy and/or is in default.
(g)  Variable rate security. Rate shown is the rate in effect as of period end.
(h)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(i)  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.
(j)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(k)  Annualized 7-day yield as of period end.
 

 

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

 

Affiliate Persons and/or Related Parties    Shares
Held at
10/31/16
     Shares
Value
Purchased
     Shares
Value
Sold
   

Shares

Held at
10/31/17

     Value at
10/31/17
     Income     

Net

Realized
Gain
 (a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     7,275,589               (5,380,536 )(b)      1,895,053      $ 1,895,053      $ 10,451      $ 11      $  

iShares iBoxx USD High Yield Corporate Bond ETF

     16,868        19,000        (16,868     19,000        1,680,930        13,443        2,164        (3,173
             

 

 

    

 

 

    

 

 

    

 

 

 
   $ 3,575,983      $ 23,894      $ 2,175      $ (3,173
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents net shares sold.  

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

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      1,396,377        GBP      1,042,000        Goldman Sachs International        11/06/17        $ 12,290  
USD      1,375,891        GBP      1,037,820        Bank of America N.A.        12/05/17          (3,747
                         

 

 

 
     Net Unrealized Appreciation        $ 8,543  
                         

 

 

 

OTC Interest Rate Swaptions Purchased

 

Description    Counterparty   Expiration
Date
    Exercise
Rate
    Received by the Trust     Paid by the Trust     Notional
Amount (000)
    Value  
         Rate     Frequency     Rate     Frequency      

Put

                    

10-Year Interest Rate Swap, 12/10/27

   JPMorgan Chase Bank N.A.     12/08/17       2.78     3-Month LIBOR       Quarterly       2.78     Semi-annual       USD       2,700     $ 394  

10-Year Interest Rate Swap, 12/10/27

   JPMorgan Chase Bank N.A.     12/08/17       2.78       3-Month LIBOR       Quarterly       2.78       Semi-annual       USD       200       29  

10-Year Interest Rate Swap, 3/02/28

   JPMorgan Chase Bank N.A.     2/28/18       2.52       3-Month LIBOR       Quarterly       2.52       Semi-annual       USD       2,700       21,437  

10-Year Interest Rate Swap, 3/02/28

   JPMorgan Chase Bank N.A.     2/28/18       2.62       3-Month LIBOR       Quarterly       2.62       Semi-annual       USD       900       4,758  

10-Year Interest Rate Swap, 3/02/28

   JPMorgan Chase Bank N.A.     2/28/18       2.65       3-Month LIBOR       Quarterly       2.65       Semi-annual       USD       800       3,728  

10-Year Interest Rate Swap, 4/27/28

   JPMorgan Chase Bank N.A.     4/25/18       2.65       3-Month LIBOR       Quarterly       2.65       Semi-annual       USD       900       7,085  
                    

 

 

 
  $ 37,431  
 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  

Call

                     

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.      26        12/14/19        USD       942.86        USD            $  
                     

 

 

 

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing Rate
Paid by the Trust
    Payment
Frequency
    Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

CenturyLink, Inc.

     1.00     Quarterly     JPMorgan Chase Bank N.A.     12/20/22     USD     766     $ 86,549     $ 103,334     $ (16,785

CenturyLink, Inc.

     1.00       Quarterly     Goldman Sachs Bank USA     12/20/22     USD     784       88,583       108,535       (19,952
              

 

 

   

 

 

   

 

 

 
  $ 175,132     $ 211,869     $ (36,737
    

 

 

   

 

 

   

 

 

 

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

     

Swap Premiums

Paid

       Swap Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
 

OTC Derivatives

   $ 211,869        $        $        $ (36,737
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 12,290      $      $      $ 12,290  

Options purchased

                    

Investments at value — unaffiliated(a)

                                 37,431               37,431  

Swaps — OTC

                    

Swap premiums paid

            211,869                                    211,869  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 211,869      $      $ 12,290      $ 37,431      $      $ 261,590  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 3,747      $      $      $ 3,747  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps

            36,737                                    36,737  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 36,737      $      $ 3,747      $      $      $ 40,484  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes options purchased at value as reported in the Schedule of Investments.  

 

 

40    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

 

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Net Realized Gain (Loss) from:                                                 

Forward foreign currency exchange contracts

   $      $      $      $ (156,854    $      $      $ (156,854

Options purchased(a)

                                 (37,782             (37,782

Swaps

            156,218                      1,467               157,685  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 156,218      $      $ (156,854    $ (36,315    $      $ (36,951
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Forward foreign currency exchange contracts

   $      $      $      $ (88,210    $      $      $ (88,210

Options purchased(b)

                             (7,800             (7,800

Swaps

            (36,737                    (20,215             (56,952
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (36,737    $      $ (88,210    $ (28,015    $      $ (152,962
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Options purchased are included in net realized gain (loss) from investments.  
  (b)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments.  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 3,363,123  

Average amounts sold — in USD

   $ 3,709,525 (a) 

Options:

 

Average notional value of swaption contracts purchased

   $ 4,900,000  

Credit default swaps:

 

Average notional value — buy protection

   $ 387,500  

Average notional value — sell protection

   $ 383,250  

Interest rate swaps:

 

Average notional value — pays fixed rate

   $ 1,878,750  

Total return swaps:

 

Average notional value

   $ 345,000 (a) 

 

  (a)  Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Forward foreign currency exchange contracts

   $ 12,290      $ 3,747  

Options

     37,431 (a)        

Swaps — OTC(b)

     211,869        36,737  
  

 

 

    

 

 

 

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

   $ 261,590      $ 40,484  

Derivatives not subject to an Master Netting Agreement or similar agreement (“MNA”)

             
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 261,590      $ 40,484  
  

 

 

    

 

 

 

 

  (a)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule(s) of Investments.  
  (b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.  

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

 

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

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Received
       Cash
Collateral
Received
       Net Amount
of Derivative
Assets
  (b)
 

Goldman Sachs Bank USA

   $ 108,535        $ (19,952      $        $        $ 88,583  

Goldman Sachs International

     12,290                                     12,290  

JPMorgan Chase Bank N.A.

     140,765          (16,785                          123,980  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 261,590        $ (36,737      $        $        $ 224,853  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
 (c)
 

Bank of America N.A.

   $ 3,747        $        $        $        $ 3,747  

Goldman Sachs Bank USA

     19,952          (19,952                           

JPMorgan Chase Bank N.A.

     16,785          (16,785                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 40,484        $ (36,737      $        $        $ 3,747  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Net amount represents the net amount receivable from the counterparty in the event of default.  
  (c)  Net amount represents the net amount payable due to counterparty in the event of default.  

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $        $ 6,217,991        $        $ 6,217,991  

Common Stocks

     529,446          163,801          6          693,253  

Corporate Bonds

              26,764,566                   26,764,566  

Floating Rate Loan Interests

              456,952,271          17,889,778          474,842,049  

Investment Companies

     1,680,930                            1,680,930  

Other Interests

                       5          5  

Rights

                       27,272          27,272  

Warrants

                       45          45  

Short-Term Securities

     1,895,053                            1,895,053  

Options Purchased:

 

Interest rate contracts

              37,431                   37,431  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 4,105,429        $ 490,136,060        $ 17,917,106        $ 512,158,595  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Assets:

 

Credit contracts

   $        $ 12,290        $        $ 12,290  

Liabilities:

 

Credit contracts

              (36,737                 (36,737

Foreign currency exchange contracts

              (3,747                 (3,747
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (28,194      $        $ (28,194
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.  

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $150,000,000 are categorized as Level 2 within the disclosure hierarchy.

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

 

 

42    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Floating Rate Income Trust (BGT)

 

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

 

      Asset-Backed
Securities
    

Common

Stocks

     Corporate
Bonds
    

Floating

Rate Loan

Interests

     Other
Interests
     Rights      Warrants      Total  

Assets:

                       

Opening Balance, as of October 31, 2016

   $ 1,497,774      $ 1,232,177      $ 13,080      $ 22,427,576      $ 5      $      $ 4,350      $ 25,174,962  

Transfers into Level 3(a).

                          4,565,696                             4,565,696  

Transfers out of Level 3(b)

     (1,497,774                    (5,779,225                           (7,276,999

Accrued discounts (premiums)

                          73,615                             73,615  

Net realized gain (loss)

            875,486               (382,017                           493,469  

Net change in unrealized appreciation (depreciation)(c)(d)

            (478,585      (13,080      251,343               27,272        (3,542      (216,592

Purchases

                          10,959,180                         10,959,180  

Sales

            (1,629,072             (14,226,390                    (763      (15,856,225
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of October 31, 2017

   $      $ 6      $      $ 17,889,778      $ 5      $ 27,272      $ 45      $ 17,917,106  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2017(d)

   $      $      $ (13,080    $ (211,563    $      $ 27,272      $ (3,542    $ (200,913
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  As of October 31, 2016, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2017, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.  
  (b)  As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2017, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.  
  (c)  Certain Level 3 investments were re-classified between Common Stocks and Floating Rate Loan Interests.  
  (d)  Any difference between net change in unrealized appreciation (depreciation) on investments still held at October 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

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

 

 

SCHEDULES OF INVESTMENTS      43  


Consolidated Schedule of Investments

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Shares/Par
(000)
    Value  

Common Stocks — 0.4%

     
Aerospace & Defense — 0.4%  

United Technologies Corp.

      25,750     $ 3,071,844  
     

 

 

 

Asset-Backed Securities

     
Asset-Backed Securities — 26.3%  

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D, (1 mo. LIBOR US + 0.30%), 1.54%, 2/25/36(a)

    USD       5,701       5,667,299  

ALM VI Ltd., Series 2012-6A(a)(b):

     

Class B2RR, (3 mo. LIBOR US + 2.05%),
3.41%, 7/15/26

      1,200       1,203,102  

Class CRR, (3 mo. LIBOR US + 3.20%),
4.56%, 7/15/26

      1,010       1,010,628  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.45%), 4.76%, 7/28/26(a)(b)(c)

      3,610       3,628,340  

American Homes 4 Rent Trust, Series 2014-SFR2, Class E, 6.23%, 10/17/36(b)

      2,000       2,232,957  

AMMC CLO 18 Ltd., Series 2016-18A, Class E2, (3 mo. LIBOR US + 7.25%), 8.57%, 5/26/28(a)(b)

      1,000       1,026,007  

AMMC CLO 19 Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.00%), 8.36%, 10/15/28(a)(b)

      1,000       1,019,387  

AMMC CLO XII Ltd., Series 2013-12A, Class D1, (3 mo. LIBOR US + 3.75%), 5.06%, 5/10/25(a)(b)(c)

      1,000       1,000,020  

Anchorage Capital CLO Ltd.(a)(b):

     

Series 2012-1A, Class DR, (3 mo. LIBOR US + 7.25%), 8.61%, 1/13/27

      1,000       1,009,392  

Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.65%), 4.03%, 4/28/26

      1,000       1,001,175  

Series 2015-6A, Class DR, (3 mo. LIBOR US + 3.55%), 4.91%, 7/15/30

      1,000       1,015,297  

Apidos CLO XII, Series 2013-12A, Class D, (3 mo. LIBOR US + 3.05%), 4.41%, 4/15/25(a)(b)(c)

      1,000       1,000,480  

Ares CLO Ltd.(a)(b):

     

Series 2015-1A, Class D, (3 mo. LIBOR US + 6.23%), 7.55%, 12/05/25

      1,000       1,029,359  

Series 2016-41A, Class D, (3 mo. LIBOR US + 4.20%), 5.56%, 1/15/29

      900       927,888  

Atrium X, Series 10A(a)(b):

     

Class DR, (3 mo. LIBOR US + 3.00%),
4.36%, 7/16/25

      1,000       1,000,483  

Class E, (3 mo. LIBOR US + 4.50%),
5.86%, 7/16/25

      2,000       1,990,855  

Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, (1 mo. LIBOR US + 0.14%), 1.38%, 11/25/36(a)

      4,454       4,346,396  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, (3 mo. LIBOR US + 3.70%),
5.06%, 7/15/29(a)(b)

      1,750       1,779,762  

Benefit Street Partners CLO VI Ltd., Series 2015-VIA(b)(e):

     

Class BR, 3.75%, 10/18/29

      1,000       1,013,159  

Class CR, 4.80%, 10/18/29

      1,000       1,018,619  

Betony CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.60%), 4.96%, 4/15/27(a)(b)

      1,000       1,007,964  

C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.16%), 1.40%, 10/25/36(a)

      7,821       5,568,256  

Carlyle Global Market Strategies CLO Ltd.(a)(b):

     

Series 2013-2A, Class D, (3 mo. LIBOR US + 3.75%), 5.10%, 4/18/25(c)

      1,250       1,252,605  

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.75%), 4.10%, 4/17/25

      1,500       1,506,580  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Carrington Mortgage Loan Trust, Series 2006-FRE2(a):

     

Class A2, (1 mo. LIBOR US + 0.12%),
1.36%, 10/25/36

    USD       5,408     $ 3,599,363  

Class A5, (1 mo. LIBOR US + 0.08%),
1.32%, 10/25/36

      11,141       7,380,097  

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

      3,586       3,681,279  

Elevation CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR + 4.68%), 6.00%, 11/15/28(a)(b)

      800       815,395  

Fremont Home Loan Trust (a):

     

Series 2006-A, Class 2A3, (1 mo. LIBOR US + 0.16%), 1.40%, 5/25/36

      24,679       16,372,058  

Series 2006-D, Class 2A3, (1 mo. LIBOR US + 0.15%), 1.39%, 11/25/36

      22,269       10,331,498  

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, (3 mo. LIBOR US + 3.30%), 4.67%, 4/25/25(a)(b)

      1,250       1,253,087  

GSAMP Trust(a):

     

Series 2006-FM2, Class A2C, (1 mo. LIBOR US + 0.15%), 1.39%, 9/25/36

      11,193       5,550,061  

Series 2007-FM2, Class A2B, (1 mo. LIBOR US + 0.09%), 1.33%, 1/25/37

      7,558       4,849,946  

Highbridge Loan Management Ltd.(a)(b):

     

Series 4A-2014, Class B, (3 mo. LIBOR US + 3.00%), 4.38%, 7/28/25(c)

      2,000       2,002,060  

Series 8A-2016, Class E, (3 mo. LIBOR US + 7.90%), 9.26%, 4/20/27

      1,000       1,022,350  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, (1 mo. LIBOR US + 0.17%), 1.41%, 4/25/37(a)

      12,389       8,992,456  

HPS Loan Management Ltd., Series 10A-16(a)(b):

     

Class C, (3 mo. LIBOR US + 3.65%),
5.01%, 1/20/28

      2,500       2,527,582  

Class D, (3 mo. LIBOR US + 6.50%),
7.86%, 1/20/28

      1,000       980,015  

Long Beach Mortgage Loan Trust(a):

     

Series 2006-1, Class 1A, (1 mo. LIBOR US + 0.22%), 1.46%, 2/25/36

      5,429       4,937,141  

Series 2006-10, Class 2A3, (1 mo. LIBOR US + 0.16%), 1.40%, 11/25/36

      13,482       6,771,773  

Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 1.40%, 8/25/36

      7,502       4,344,674  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%),
8.98%, 1/20/29(a)(b)(d)

      1,000       1,044,506  

Madison Park Funding XIII Ltd., Series 2014-13A, Class DR, (3 mo. LIBOR US + 3.27%),
4.63%, 1/19/25(a)(b)

      1,000       1,008,206  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%),
5.06%, 4/20/26(a)(b)(c)

      1,000       1,006,079  

Mastr Asset-Backed Securities Trust(a):

     

Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.15%), 1.39%, 6/25/36

      10,846       6,368,395  

Series 2006-WMC2, Class A5, (1 mo. LIBOR US + 0.25%), 1.49%, 4/25/36

      8,171       3,715,021  

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, (1 mo. LIBOR US + 0.15%), 1.39%, 11/25/36(a)

      13,722       7,109,369  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR, (3 mo. LIBOR US + 7.75%),
9.06%, 11/14/27(a)(b)

      1,000       1,018,450  
 

 

 

44    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

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

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.65%), 4.96%, 11/14/26(a)(b)

    USD       1,000     $ 1,005,030  

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

      5,000       5,006,743  

OZLM Funding II Ltd., Series 2012-2A(a)(b):

     

Class CR, (3 mo. LIBOR US + 4.00%),
5.38%, 10/30/27

      1,250       1,260,319  

Class DR, (3 mo. LIBOR US + 7.30%),
8.68%, 10/30/27

      1,250       1,283,573  

OZLM XIX Ltd., Series 2017-19A, Class D,
1.00%, 11/22/30(b)(e)(f)

      500       495,000  

OZLM XV Ltd., Series 2016-15A, Class D, (3 mo. LIBOR US + 7.15%), 8.51%, 1/20/29(a)(b)

      1,000       1,036,006  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, 1.00%, 11/14/29(b)(e)(f)

      500       476,250  

Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 9/25/37

      4,404       2,515,471  

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, (1 mo. LIBOR US + 0.40%), 1.64%, 9/25/47(a)

      5,000       4,653,278  

Scholar Funding Trust, Series 2013-A, Class R,
0.00%(d)

      (g)      2,135,194  

SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46(b)

      4,100       4,121,007  

Sound Point CLO X Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.75%), 8.11%, 1/20/28(a)(b)

      1,000       1,020,526  

Sound Point CLO XIV Ltd, Series 2016-3A, Class E, (3 mo. LIBOR US + 6.65%), 8.01%, 1/23/29(a)(b)

      1,000       1,014,677  

Symphony CLO XV Ltd., Series 2014-15A, Class DR, (3 mo. LIBOR US + 3.35%), 4.70%, 10/17/26(a)(b)

      3,500       3,523,701  

TICP CLO I Ltd., Series 2015-1A, Class C, (3 mo. LIBOR US + 3.00%), 4.36%, 7/20/27(a)(b)

      1,000       1,001,048  

Treman Park CLO LLC, Series 2015-1A, Class D, (3 mo. LIBOR US + 3.86%), 5.22%, 4/20/27(a)(b)

      1,500       1,513,357  

Tyron Park CLO Ltd., Series 2013-1A(a)(b):

     

Class C, (3 mo. LIBOR US + 3.50%),
4.86%, 7/15/25(c)

      1,250       1,254,464  

Class D, (3 mo. LIBOR US + 4.40%),
5.76%, 7/15/25

      1,000       998,969  

US Residential Opportunity Fund III Trust, Series 2016-2III, Class A, 3.47%, 8/27/36(b)

      2,886       2,875,820  

Venture XX CLO Ltd., Series 2015-20A(a)(b):

     

Class C, (3 mo. LIBOR US + 3.15%),
4.51%, 4/15/27(c)

      1,000       1,000,907  

Class D, (3 mo. LIBOR US + 3.85%),
5.21%, 4/15/27

      520       521,127  

Vibrant CLO III Ltd., Series 2015-3A (a)(b):

     

Class A2R, (3 mo. LIBOR US + 2.05%),
3.41%, 4/20/26

      1,000       1,001,328  

Class BR, (3 mo. LIBOR US + 2.95%),
4.31%, 4/20/26

      1,500       1,501,633  

Voya CLO Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 6.85%), 8.20%, 10/18/27(a)(b)

      385       393,438  

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 1.48%, 5/25/47(a)

      10,121       7,676,065  

Westvue Mortgage Loan Trust, Series 2015-1A, Class A, 4.50%, 9/25/20(b)(d)

      1,542       1,542,985  

York CLO-3 Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 6.40%), 7.76%, 10/20/29(a)(b)

      1,000       975,240  
     

 

 

 

Total Asset-Backed Securities — 26.3%

        201,740,027  
     

 

 

 
Security          Par
(000)
    Value  

Corporate Bonds

 

Aerospace & Defense — 1.3%  

Arconic, Inc.:

     

5.87%, 2/23/22(c)

    USD       1,065     $ 1,163,512  

5.13%, 10/01/24(c)

      538       577,398  

5.90%, 2/01/27

      120       133,867  

6.75%, 1/15/28

      56       66,080  

5.95%, 2/01/37

      105       113,138  

Bombardier, Inc.(b):

     

8.75%, 12/01/21(c)

      677       753,162  

6.00%, 10/15/22(c)

      195       192,075  

6.13%, 1/15/23(c)

      341       340,574  

7.50%, 3/15/25(c)

      558       576,135  

7.45%, 5/01/34

      209       207,433  

Harris Corp., 3.83%, 4/27/25(c)

      750       778,572  

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

      889       930,116  

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

      267       286,358  

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

      105       106,706  

Lockheed Martin Corp., 4.09%, 9/15/52(c)(f)

      451       458,244  

Pioneer Holdings LLC/Pioneer Finance Corp.,
9.00%, 11/01/22(b)

      195       196,950  

TA MFG. Ltd., 3.63%, 4/15/23

    EUR       100       120,302  

TransDigm, Inc.:

     

5.50%, 10/15/20(c)

    USD       262       265,603  

6.00%, 7/15/22(c)

      994       1,031,275  

6.50%, 7/15/24(c)

      343       354,147  

6.50%, 5/15/25

      114       117,563  

6.38%, 6/15/26

      208       211,640  

United Technologies Corp., 3.75%, 11/01/46(c)

      700       682,584  
     

 

 

 
        9,663,434  
Air Freight & Logistics — 0.3%  

FedEx Corp.(c):

     

3.90%, 2/01/35

      500       506,859  

4.75%, 11/15/45

      500       545,215  

XPO Logistics, Inc.:

     

5.75%, 6/15/21

    EUR       100       120,340  

6.50%, 6/15/22(b)(c)

    USD       892       935,797  

6.13%, 9/01/23(b)(c)

      32       33,680  
     

 

 

 
        2,141,891  
Airlines — 3.0%  

Air Canada Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/22(b)(c)

      2,486       2,615,237  

American Airlines Pass-Through Trust:

     

Series 2013-1, Class C, 6.13%, 7/15/18(b)(c)

      525       536,127  

Series 2013-2, Class A, 4.95%, 7/15/24(c)

      1,824       1,949,444  

Series 2017-1, Class B, 4.95%, 8/15/26

      1,735       1,830,425  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 5/10/20

      865       880,656  

Continental Airlines Pass-Through Trust(c):

     

Series 2003-ERJ1, 7.88%, 1/02/20

      179       181,912  

Series 2007-1, Class B, 6.90%, 10/19/23

      257       271,983  

Series 2012-1, Class B, 6.25%, 10/11/21

      313       331,124  

Delta Air Lines Pass-Through Trust, Class B(c):

     

Series 2007-1, 8.02%, 2/10/24

      1,561       1,779,686  

Series 2012-1, 6.88%, 5/07/19(b)

      2,980       3,128,840  

Latam Finance Ltd., 6.88%, 4/11/24(b)(c)

      737       779,378  

Mexico City Airport Trust, 5.50%, 7/31/47(b)(c)

      742       734,951  

United Airlines Pass-Through Trust(c):

     

Series 2014-2, Class B, 4.63%, 3/03/24

      2,230       2,311,861  

Series 2015-1, Class A, 3.70%, 6/01/24

      3,570       3,686,025  
 

 

 

SCHEDULES OF INVESTMENTS      45  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Airlines (continued)  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20(c)

    USD       1,924     $ 2,077,866  
     

 

 

 
        23,095,515  
Auto Components — 0.6%  

Allison Transmission, Inc., 5.00%, 10/01/24(b)

      38       39,615  

Delphi Automotive PLC(c):

     

4.25%, 1/15/26

      400       425,860  

4.40%, 10/01/46

      280       285,799  

Faurecia, 3.63%, 6/15/23

    EUR       111       136,754  

Gestamp Funding Luxembourg SA, 3.50%, 5/15/23

      100       122,018  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

    USD       77       78,925  

HP Pelzer Holding GmbH, 4.13%, 4/01/24

    EUR       100       121,436  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.(c):

     

4.88%, 3/15/19

    USD       481       483,405  

6.25%, 2/01/22

      422       440,990  

6.75%, 2/01/24

      487       515,611  

IHO Verwaltungs GmbH(h):

     

(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21

    EUR       100       119,863  

(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23

      100       122,169  

(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26

      100       124,639  

(4.13% Cash or 4.88% PIK),
4.13%, 9/15/21(b)(c)

    USD       214       218,280  

(4.50% Cash or 5.25% PIK),
4.50%, 9/15/23(b)(c)

      229       236,156  

Tesla, Inc., 5.30%, 8/15/25(b)(c)

      482       465,130  

ZF North America Capital, Inc.(b):

     

4.50%, 4/29/22(c)

      510       532,950  

4.75%, 4/29/25

      166       174,300  
     

 

 

 
        4,643,900  
Automobiles — 0.3%  

General Motors Co., 6.25%, 10/02/43(c)

      2,194       2,532,459  
     

 

 

 
Banks — 1.1%  

Allied Irish Banks PLC (5 year EUR Swap + 3.95%), 4.13%, 11/26/25(i)

    EUR       100       125,779  

Banco Inbursa SA Institucion de Banca Multiple, 4.13%, 6/06/24(b)(c)

    USD       731       734,801  

Banco Popolare, 2.75%, 7/27/20

    EUR       100       122,326  

Bank of Ireland, (5 year EUR Swap + 3.55%),
4.25%, 6/11/24(i)

      100       122,892  

Bankia SA(i):

     

(5 year EUR Swap + 3.17%), 4.00%, 5/22/24

      200       242,988  

(5 year EUR Swap + 3.35%), 3.38%, 3/15/27

      100       122,413  

CaixaBank SA, (5 year EUR Swap + 3.35%),
3.50%, 2/15/27(i)

      100       123,633  

CIT Group, Inc., 5.00%, 8/01/23(c)

    USD       1,015       1,097,925  

HSBC Holdings PLC, 4.38%, 11/23/26(c)

      370       389,102  

Inversiones Atlantida SA, 8.25%, 7/28/22(b)(c)

      441       458,640  

Sberbank of Russia Via SB Capital SA,
5.25%, 5/23/23(b)

      5,000       5,222,900  
     

 

 

 
        8,763,399  
Beverages — 0.4%  

Anheuser-Busch InBev Finance, Inc.,
4.90%, 2/01/46(c)

      2,160       2,429,158  

Central American Bottling Corp.,
5.75%, 1/31/27(b)(c)

      637       672,570  

Horizon Parent Holdings Sarl, (8.25% Cash or 9.00% PIK), 8.25%, 2/15/22(h)

    EUR       100       124,493  
     

 

 

 
        3,226,221  
Security          Par
(000)
    Value  
Biotechnology — 0.3%  

Amgen, Inc., 4.40%, 5/01/45(c)

    USD       1,100     $ 1,158,208  

Gilead Sciences, Inc., 4.75%, 3/01/46(c)

      700       793,404  

Senvion Holding GmbH, 3.88%, 10/25/22

    EUR       100       119,688  
     

 

 

 
        2,071,300  
Building Materials — 0.0%  

Titan Global Finance PLC, 3.50%, 6/17/21

      100       124,925  

TTM Technologies, Inc., 5.63%, 10/01/25(b)

    USD       163       166,260  
     

 

 

 
        291,185  
Building Products — 0.4%  

American Builders & Contractors Supply Co., Inc.(b):

     

5.63%, 4/15/21(c)

      177       181,646  

5.75%, 12/15/23

      155       164,688  

Beacon Escrow Corp., 4.88%, 11/01/25(b)(c)

      776       785,467  

Building Materials Corp. of America(b):

     

5.38%, 11/15/24

      49       51,690  

6.00%, 10/15/25(c)

      247       267,069  

Masonite International Corp., 5.63%, 3/15/23(b)(c)

      469       491,864  

Ply Gem Industries, Inc., 6.50%, 2/01/22(c)

      260       269,425  

Standard Industries, Inc., 5.50%, 2/15/23(b)

      159       167,745  

USG Corp.(b)(c):

     

5.50%, 3/01/25

      299       320,677  

4.88%, 6/01/27

      366       379,725  
     

 

 

 
        3,079,996  
Cable Television Services — 0.0%  

CB Escrow Corp., 8.00%, 10/15/25(b)

      173       178,623  
     

 

 

 
Capital Markets — 0.6%  

AE-Rotor Holding BV, 4.97%, 3/28/18

      140       139,921  

Blackstone CQP Holdco LP(b):

     

6.50%, 3/20/21(c)

      2,427       2,448,722  

6.00%, 8/18/21

      395       393,598  

Raymond James Financial, Inc., 4.95%, 7/15/46(c)

      400       439,518  

SURA Asset Management SA, 4.38%, 4/11/27(b)(c)

      743       753,179  
     

 

 

 
        4,174,938  
Chemicals — 1.7%  

Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%, 2/01/25(b)(c)

      900       922,500  

Axalta Coating Systems Dutch Holding B BV,
3.75%, 1/15/25

    EUR       100       125,014  

Axalta Coating Systems LLC, 4.88%, 8/15/24(b)(c)

    USD       265       276,925  

Blue Cube Spinco, Inc.:

     

9.75%, 10/15/23(c)

      502       596,125  

10.00%, 10/15/25

      344       418,820  

CF Industries, Inc.:

     

7.13%, 5/01/20

      150       165,000  

5.15%, 3/15/34

      110       109,725  

4.95%, 6/01/43

      164       150,470  

Chemours Co.:

     

6.63%, 5/15/23(c)

      332       351,920  

7.00%, 5/15/25

      66       73,590  

5.38%, 5/15/27(c)

      333       355,478  

Cydsa SAB de C.V., 6.25%, 10/04/27(b)(c)

      914       906,002  

Hexion, Inc., 10.38%, 2/01/22(b)(c)

      220       207,350  

Huntsman International LLC:

     

4.88%, 11/15/20(c)

      555       582,750  

5.13%, 11/15/22

      165       177,375  

Ineos Finance PLC, 4.00%, 5/01/23

    EUR       115       138,615  

Inovyn Finance PLC, 6.25%, 5/15/21

      80       96,217  

Mexichem SAB de CV(b)(c):

     

4.00%, 10/04/27

    USD       503       502,748  

5.50%, 1/15/48

      526       510,588  
 

 

 

46    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals (continued)  

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

    USD       1,305     $ 1,357,200  

NOVA Chemicals Corp.(b):

     

4.88%, 6/01/24(c)

      319       324,981  

5.25%, 6/01/27

      182       185,640  

Platform Specialty Products Corp.(b):

     

10.38%, 5/01/21

      65       70,525  

6.50%, 2/01/22(c)

      1,950       2,020,687  

PQ Corp., 6.75%, 11/15/22(b)(c)

      437       471,960  

PSPC Escrow Corp., 6.00%, 2/01/23

    EUR       153       187,133  

Sherwin-Williams Co., 4.50%, 6/01/47(c)

    USD       310       328,989  

Tronox Finance PLC, 5.75%, 10/01/25(b)

      207       216,056  

Venator Finance Sarl/Venator Materials LLC,
5.75%, 7/15/25(b)

      176       186,120  

Versum Materials, Inc., 5.50%, 9/30/24(b)

      140       149,100  

WR Grace & Co-Conn(b)(c):

     

5.13%, 10/01/21

      277       297,775  

5.63%, 10/01/24

      300       328,125  
     

 

 

 
        12,791,503  
Commercial Services & Supplies — 1.6%  

ADT Corp.(c):

     

6.25%, 10/15/21

      634       701,445  

3.50%, 7/15/22

      192       191,760  

4.13%, 6/15/23

      224       227,651  

4.88%, 7/15/32(b)

      635       600,869  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24(b)(c)

      267       277,680  

Aviation Capital Group Corp., 6.75%, 4/06/21(b)(c)

      5,000       5,643,675  

Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18(h)

    EUR       100       116,648  

Booz Allen Hamilton, Inc., 5.13%, 5/01/25(b)(c)

    USD       700       714,000  

CD&R Waterworks Merger Sub LLC,
6.13%, 8/15/25(b)

      191       193,387  

Exela Intermediate LLC/Exela Finance, Inc.,
10.00%, 7/15/23(b)

      202       193,415  

Harland Clarke Holdings Corp., 8.38%, 8/15/22(b)(c)

      488       512,400  

KAR Auction Services, Inc., 5.13%, 6/01/25(b)(c)

      475       491,625  

La Financiere Atalian SAS, 4.00%, 5/15/24

    EUR       100       122,309  

Mobile Mini, Inc., 5.88%, 7/01/24(c)

    USD       585       614,250  

Paprec Holding SA, 5.25%, 4/01/22

    EUR       100       121,436  

Park Aerospace Holdings Ltd.(b):

     

3.63%, 3/15/21

    USD       269       268,327  

5.25%, 8/15/22(c)

      438       455,520  

Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25(b)

      188       197,870  

United Rentals North America, Inc.:

     

5.75%, 11/15/24(c)

      342       362,520  

5.88%, 9/15/26

      72       78,480  

Wrangler Buyer Corp., 6.00%, 10/01/25(b)

      129       131,903  
     

 

 

 
        12,217,170  
Communications Equipment — 0.4%  

CommScope Technologies Finance LLC,
6.00%, 6/15/25(b)

      5       5,281  

CommScope Technologies LLC, 5.00%, 3/15/27(b)

      19       18,501  

CommScope, Inc.(b)(c):

     

5.00%, 6/15/21

      170       173,400  

5.50%, 6/15/24

      530       551,862  

Nokia OYJ(c):

     

3.38%, 6/12/22

      126       125,528  

4.38%, 6/12/27

      177       177,000  

6.63%, 5/15/39

      245       279,675  

Zayo Group LLC/Zayo Capital, Inc.(c):

     

6.38%, 5/15/25

      753       810,499  
Security          Par
(000)
    Value  
Communications Equipment (continued)  

Zayo Group LLC/Zayo Capital, Inc. (c) (continued):

     

5.75%, 1/15/27(b)

    USD       860     $ 906,225  
     

 

 

 
        3,047,971  
Construction & Engineering — 0.7%  

Aeropuertos Argentina 2000 SA, 6.88%, 2/01/27(b)

      1,061       1,143,227  

Aeropuertos Dominicanos Siglo XXI SA,
6.75%, 3/30/29(b)

      1,061       1,151,185  

BlueLine Rental Finance Corp., 9.25%, 3/15/24(b)(c)

      1,305       1,415,925  

Brand Energy & Infrastructure Services, Inc.,
8.50%, 7/15/25(b)(c)

      626       661,995  

Engility Corp., 8.88%, 9/01/24(c)

      298       324,820  

SPIE SA, 3.13%, 3/22/24

    EUR       100       121,931  

Tutor Perini Corp., 6.88%, 5/01/25(b)

    USD       260       280,475  

Weekley Homes LLC/Weekley Finance Corp.,
6.63%, 8/15/25(b)

      143       139,068  
     

 

 

 
        5,238,626  
Construction Materials — 0.3%  

American Tire Distributors, Inc.,
10.25%, 3/01/22(b)(c)

      394       411,238  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

      163       175,225  

HD Supply, Inc., 5.75%, 4/15/24(b)(c)

      1,047       1,129,451  

LKQ Italia Bondco SpA, 3.88%, 4/01/24

    EUR       102       131,347  

New Enterprise Stone & Lime Co., Inc., 10.13%, 4/01/22(b)

    USD       190       205,675  

PulteGroup, Inc., 6.00%, 2/15/35

      48       50,400  

Rexel SA, 3.50%, 6/15/23

    EUR       223       273,269  
     

 

 

 
        2,376,605  
Consumer Discretionary — 0.2%  

Arch Merger Sub, Inc., 8.50%, 9/15/25(b)(c)

    USD       241       212,683  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(b)

      34       35,179  

Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25(b)(c)

      563       582,705  

ServiceMaster Co. LLC, 5.13%, 11/15/24(b)(c)

      288       296,640  

Viking Cruises Ltd.(b):

     

6.25%, 5/15/25

      166       171,810  

5.88%, 9/15/27(c)

      361       363,707  
     

 

 

 
        1,662,724  
Consumer Finance — 0.8%  

Ally Financial, Inc., 8.00%, 11/01/31(c)

      1,617       2,138,482  

CDK Global, Inc., 4.88%, 6/01/27(b)(c)

      330       344,025  

Credivalores-Crediservicios SAS,
9.75%, 7/27/22(b)(c)

      457       473,223  

IHS Markit Ltd., 4.75%, 2/15/25(b)

      198       209,385  

Navient Corp.:

     

5.00%, 10/26/20(c)

      370       381,100  

6.63%, 7/26/21(c)

      236       252,815  

6.50%, 6/15/22

      36       38,205  

5.50%, 1/25/23

      162       164,025  

7.25%, 9/25/23(c)

      306       331,436  

6.13%, 3/25/24

      50       51,313  

5.88%, 10/25/24

      138       140,070  

6.75%, 6/25/25(c)

      212       221,540  

5.63%, 8/01/33

      105       90,563  

OneMain Financial Holdings LLC(b):

     

6.75%, 12/15/19

      186       192,975  

7.25%, 12/15/21

      222       230,880  

Springleaf Finance Corp., 6.13%, 5/15/22

      85       89,675  

Tarjeta Naranja SA, (30D Argentina Deposit Rates Badlar Pvt Banks + 3.50%),
24.79%, 4/11/22(a)(b)

      751       690,920  
     

 

 

 
        6,040,632  
 

 

 

SCHEDULES OF INVESTMENTS      47  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Containers & Packaging — 1.4%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.25%, 9/15/22(b)(c)

    USD       283     $ 291,490  

4.63%, 5/15/23(b)(c)

      252       258,930  

6.75%, 5/15/24

    EUR       156       203,277  

7.25%, 5/15/24(b)(c)

    USD       1,609       1,767,889  

6.00%, 2/15/25(b)(c)

      822       872,348  

4.75%, 7/15/27(b)

    GBP       100       135,259  

4.75%, 7/15/27

      100       135,259  

Ball Corp.:

     

5.00%, 3/15/22(c)

    USD       440       475,200  

4.00%, 11/15/23

      50       51,375  

BWAY Holding Co., 5.50%, 4/15/24(b)(c)

      908       946,590  

Horizon Holdings I SASU, 7.25%, 8/01/23

    EUR       100       124,056  

JH-Holding Finance SA, (8.25% PIK),
8.25%, 12/01/22(h)

      102       128,190  

Mercer International, Inc., 6.50%, 2/01/24

    USD       134       141,705  

Multi-Color Corp., 4.88%, 11/01/25(b)

      46       46,460  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

     

5.75%, 10/15/20(c)

      935       951,372  

(3 mo. LIBOR US + 3.50%),
4.86%, 7/15/21(a)(b)(c)

      624       636,480  

5.13%, 7/15/23(b)

      194       201,973  

7.00%, 7/15/24(b)(c)

      1,166       1,244,705  

Sappi Papier Holding GmbH, 4.00%, 4/01/23

    EUR       200       246,074  

Sealed Air Corp.:

     

4.88%, 12/01/22(b)(c)

    USD       268       284,080  

4.50%, 9/15/23

    EUR       100       133,375  

6.88%, 7/15/33(b)

    USD       44       51,150  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22(b)(c)

      564       585,855  

Silgan Holdings, Inc., 3.25%, 3/15/25

    EUR       100       121,016  

Suzano Trading Ltd., 5.88%, 1/23/21(b)(c)

    USD       526       565,450  

Verallia Packaging SASU, 5.13%, 8/01/22

    EUR       100       123,110  
     

 

 

 
        10,722,668  
Diversified Consumer Services — 0.5%  

APX Group, Inc.:

     

6.38%, 12/01/19(c)

    USD       171       173,992  

8.75%, 12/01/20(c)

      277       283,925  

7.88%, 12/01/22(c)

      210       226,537  

7.63%, 9/01/23

      44       46,310  

Ascend Learning LLC, 6.88%, 8/01/25(b)(c)

      354       370,815  

GW Honos Security Corp., 8.75%, 5/15/25(b)

      102       108,630  

Laureate Education, Inc., 8.25%, 5/01/25(b)

      138       148,523  

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

      2,068       2,291,758  

Sotheby’s, 5.25%, 10/01/22(b)(c)

      276       283,245  
   

 

 

 
        3,933,735  
Diversified Financial Services — 1.1%  

Aircastle Ltd.:

     

6.25%, 12/01/19(c)

      784       838,880  

5.50%, 2/15/22

      82       88,150  

Banca IFIS SpA, 4.50%, 10/17/27(e)

    EUR       100       119,222  

CNH Industrial Finance Europe SA, 1.38%, 5/23/22

      100       121,112  

Docuformas SAPI de C.V., 9.25%, 10/11/22(b)

    USD       508       500,688  

FBM Finance, Inc., 8.25%, 8/15/21(b)

      155       164,881  

Ford Motor Credit Co. LLC, 4.39%, 1/08/26(c)

      1,250       1,308,190  

Garfunkelux Holdco 3 SA, 3.50%, 9/01/23(e)

    EUR       100       116,730  

General Motors Financial Co., Inc., 4.25%, 5/15/23(c)

    USD       326       343,336  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)  

Intesa Sanpaolo SpA, 5.02%, 6/26/24(b)(c)

    USD       2,888     $ 2,955,267  

Intrum Justitia AB, (3 mo. Euribor + 2.63%), 2.63%, 7/15/22(a)

    EUR       100       118,556  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20(b)(c)

    USD       845       872,463  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 8/15/24(h)

    EUR       101       121,558  

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 5/30/21(h)

      358       440,167  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25(b)(c)

    USD       273       276,413  

UniCredit SpA:

     

6.95%, 10/31/22

    EUR       100       145,234  

(5 year EUR Swap + 4.10%), 5.75%, 10/28/25(i)

      100       130,839  
   

 

 

 
        8,661,686  
Diversified Telecommunication Services — 2.9%  

AT&T, Inc., 4.75%, 5/15/46(c)

    USD       2,545       2,400,636  

CenturyLink, Inc.:

     

Series P, 7.60%, 9/15/39

      61       56,273  

Series S, 6.45%, 6/15/21(c)

      771       813,490  

Series U, 7.65%, 3/15/42(c)

      388       354,050  

Series W, 6.75%, 12/01/23(c)

      327       340,162  

Cincinnati Bell, Inc., 7.00%, 7/15/24(b)(c)

      480       478,800  

Frontier Communications Corp.:

     

8.13%, 10/01/18

      125       127,313  

7.13%, 3/15/19(c)

      380       381,911  

7.13%, 1/15/23

      65       49,908  

7.63%, 4/15/24(c)

      570       436,050  

6.88%, 1/15/25(c)

      1,205       895,845  

Level 3 Financing, Inc.:

     

5.38%, 8/15/22

      108       111,270  

5.63%, 2/01/23

      280       289,100  

5.13%, 5/01/23(c)

      360       368,550  

5.38%, 1/15/24(c)

      414       430,043  

5.38%, 5/01/25(c)

      482       503,690  

5.25%, 3/15/26(c)

      686       708,947  

OTE PLC, 3.50%, 7/09/20

    EUR       200       246,328  

SoftBank Group Corp., (5 year USD ICE Swap + 4.85%), 6.88%(i)(j)

    USD       545       563,666  

Softbank Group Corp., 4.50%, 4/15/20(b)(c)

      1,500       1,549,200  

SoftBank Group Corp.:

     

4.75%, 9/19/24

      200       199,379  

4.75%, 7/30/25

    EUR       100       130,987  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

    USD       128       148,480  

6.00%, 9/30/34(c)

      983       1,101,284  

7.20%, 7/18/36

      123       152,397  

7.72%, 6/04/38

      62       80,213  

Telecom Italia Finance SA, 7.75%, 1/24/33

    EUR       81       146,888  

Telecom Italia SpA:

     

1.13%, 3/26/22(k)

      100       116,048  

3.25%, 1/16/23

      100       130,200  

3.63%, 1/19/24

      146       193,756  

5.30%, 5/30/24(b)

    USD       200       215,500  

Verizon Communications, Inc.:

     

1.38%, 10/27/26

    EUR       100       117,666  

3.38%, 10/27/36

    GBP       100       130,755  

6.55%, 9/15/43(c)

    USD       6,500       8,137,151  

Series 20Y, 2.88%, 1/15/38

    EUR       100       119,876  
   

 

 

 
        22,225,812  
 

 

 

48    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric Utilities — 1.2%  

AES Corp., 4.88%, 5/15/23(c)

    USD       315     $ 322,088  

Baltimore Gas & Electric Co., 3.50%, 8/15/46(c)

      500       485,810  

Celeo Redes Operacion Chile SA, 5.20%, 6/22/47(b)(c)

      1,177       1,197,597  

Duke Energy Corp., 4.80%, 12/15/45(c)

      1,500       1,695,216  

Enel Finance International NV, 3.63%, 5/25/27(b)(c)

      1,250       1,249,156  

Energuate Trust, 5.88%, 5/03/27(b)(c)

      575       596,994  

NextEra Energy Operating Partners LP, 4.25%, 9/15/24(b)

      209       211,090  

Pampa Energia SA, 7.50%, 1/24/27(b)(c)

      1,050       1,145,340  

Southern Co., 4.40%, 7/01/46(c)

      1,000       1,052,311  

Talen Energy Supply LLC, 6.50%, 6/01/25

      104       90,480  

Virginia Electric & Power Co., Series A,
6.00%, 5/15/37(c)

      750       970,242  

Viridian Group FinanceCo PLC/Viridian Power and Energy, 4.00%, 9/15/25

    EUR       100       117,359  
   

 

 

 
        9,133,683  
Electrical Equipment — 0.0%  

Areva SA, 4.88%, 9/23/24

      100       131,220  

Belden, Inc., 5.50%, 4/15/23

      3       3,670  
   

 

 

 
        134,890  
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 9/01/23(c)

    USD       325       339,219  

5.50%, 12/01/24

      168       186,060  

5.00%, 9/01/25

      127       133,191  

SESI LLC, 7.75%, 9/15/24(b)

      247       255,645  
   

 

 

 
        914,115  
Energy Equipment & Services — 0.7%  

Ensco PLC, 5.20%, 3/15/25

      45       37,913  

Gates Global LLC/Gates Global Co.:

     

5.75%, 7/15/22

    EUR       100       118,885  

6.00%, 7/15/22(b)(c)

    USD       896       921,760  

Halliburton Co., 3.80%, 11/15/25(c)

      750       777,686  

Noble Holding International Ltd.:

     

4.63%, 3/01/21

      12       11,100  

7.70%, 4/01/25

      144       125,280  

Pattern Energy Group, Inc., 5.88%, 2/01/24(b)

      263       279,437  

Pioneer Energy Services Corp., 6.13%, 3/15/22(c)

      325       276,250  

Precision Drilling Corp.:

     

6.50%, 12/15/21

      120       121,200  

5.25%, 11/15/24

      193       179,007  

Transocean, Inc.:

     

6.00%, 3/15/18

      59       59,791  

5.80%, 10/15/22(c)

      538       525,895  

9.00%, 7/15/23(b)(c)

      834       904,890  

6.80%, 3/15/38

      42       34,125  

Trinidad Drilling Ltd., 6.63%, 2/15/25(b)(c)

      458       445,405  

Weatherford International Ltd.:

     

7.75%, 6/15/21(c)

      307       316,210  

8.25%, 6/15/23

      105       105,525  

9.88%, 2/15/24(c)

      273       292,110  
   

 

 

 
        5,532,469  
Environmental, Maintenance, & Security Service — 0.1%  

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

      477       482,962  
   

 

 

 
Food & Staples Retailing — 0.6%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

     

6.63%, 6/15/24(c)

      206       193,640  

5.75%, 3/15/25

      134       117,920  

B&M European Value Retail SA, 4.13%, 2/01/22

    GBP       100       137,686  
Security          Par
(000)
    Value  
Food & Staples Retailing (continued)  

Casino Guichard Perrachon SA:

     

5.98%, 5/26/21

    EUR       100     $ 137,154  

4.56%, 1/25/23

      200       265,298  

CVS Health Corp., 5.13%, 7/20/45(c)

    USD       750       838,072  

Dollar Tree, Inc., 5.75%, 3/01/23(c)

      1,616       1,694,780  

Lamb Weston Holdings, Inc., 4.63%, 11/01/24(b)

      20       20,900  

Rite Aid Corp., 6.13%, 4/01/23(b)(c)

      300       279,000  

Walgreens Boots Alliance, Inc., 4.80%, 11/18/44(c)

      750       779,729  
   

 

 

 
        4,464,179  
Food Products — 0.8%  

Acosta, Inc., 7.75%, 10/01/22(b)

      250       175,000  

Aramark Services, Inc.:

     

5.13%, 1/15/24

      130       137,475  

5.00%, 4/01/25(b)

      14       14,963  

4.75%, 6/01/26(c)

      252       263,587  

Arcor SAIC, 6.00%, 7/06/23(b)(c)

      653       702,628  

B&G Foods, Inc., 5.25%, 4/01/25

      153       156,251  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(b)(c)

      375       407,344  

JBS USA LLC/JBS USA Finance, Inc.(b):

     

5.88%, 7/15/24

      221       217,133  

5.75%, 6/15/25(c)

      720       698,400  

Marfrig Holdings Europe BV, 8.00%, 6/08/23(b)(c)

      637       665,665  

Minerva Luxembourg SA, 6.50%, 9/20/26(b)(c)

      637       660,569  

Pilgrim’s Pride Corp.(b):

     

5.75%, 3/15/25

      203       214,926  

5.88%, 9/30/27

      222       230,880  

Post Holdings, Inc.(b)(c):

     

5.50%, 3/01/25

      245       255,412  

5.00%, 8/15/26

      415       417,075  

5.75%, 3/01/27

      428       444,585  

TreeHouse Foods, Inc., 6.00%, 2/15/24(b)

      159       170,130  
   

 

 

 
        5,832,023  
Forest Products — 0.0%  

MARB BondCo PLC, 7.00%, 3/15/24

      229       230,718  
   

 

 

 
Health Care Equipment & Supplies — 0.9%  

Avantor, Inc.:

     

4.75%, 10/01/24

    EUR       100       118,816  

6.00%, 10/01/24(b)(c)

    USD       1,865       1,902,300  

9.00%, 10/01/25(b)(c)

      472       476,758  

Crimson Merger Sub, Inc., 6.63%, 5/15/22(b)(c)

      1,392       1,393,740  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21(b)(c)

      893       852,815  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(b):

     

5.75%, 8/01/22

      84       82,215  

5.63%, 10/15/23(c)

      342       319,343  

5.50%, 4/15/25(c)

      387       347,332  

Medtronic, Inc., 4.50%, 3/15/42(c)

      1,000       1,114,770  

Teleflex, Inc., 4.88%, 6/01/26

      63       66,150  
   

 

 

 
        6,674,239  
Health Care Providers & Services — 2.9%  

Acadia Healthcare Co., Inc.:

     

5.63%, 2/15/23(c)

      400       410,800  

6.50%, 3/01/24

      69       72,709  

Amsurg Corp., 5.63%, 7/15/22(c)

      739       751,932  

Centene Corp.:

     

5.63%, 2/15/21(c)

      403       418,112  

4.75%, 5/15/22(c)

      402       421,095  

6.13%, 2/15/24

      40       43,000  

4.75%, 1/15/25(c)

      495       511,087  
 

 

 

SCHEDULES OF INVESTMENTS      49  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

CHS/Community Health Systems, Inc.:

     

8.00%, 11/15/19

    USD       176     $ 167,640  

7.13%, 7/15/20(c)

      407       353,073  

5.13%, 8/01/21(c)

      360       350,100  

6.25%, 3/31/23(c)

      434       417,725  

DaVita, Inc., 5.13%, 7/15/24(c)

      276       276,690  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22(b)(c)(h)

      310       319,688  

Envision Healthcare Corp.(b):

     

5.13%, 7/01/22

      205       208,075  

6.25%, 12/01/24(c)

      361       374,989  

HCA, Inc.:

     

6.50%, 2/15/20(c)

      1,103       1,188,482  

7.50%, 2/15/22(c)

      800       908,000  

5.88%, 3/15/22(c)

      84       91,980  

4.75%, 5/01/23

      56       58,590  

5.88%, 5/01/23

      90       96,413  

5.00%, 3/15/24(c)

      896       944,160  

5.38%, 2/01/25(c)

      600       618,750  

5.25%, 4/15/25(c)

      1,130       1,203,450  

5.88%, 2/15/26(c)

      508       534,035  

5.25%, 6/15/26(c)

      540       574,425  

4.50%, 2/15/27

      126       127,103  

5.50%, 6/15/47(c)

      1,134       1,153,845  

HealthSouth Corp., 5.75%, 11/01/24

      76       77,805  

Hologic, Inc.:

     

5.25%, 7/15/22(b)(c)

      417       435,244  

2.00%, 3/01/42(k)(l)

      323       401,327  

MEDNAX, Inc., 5.25%, 12/01/23(b)(c)

      239       248,560  

Molina Healthcare, Inc., 4.88%, 6/15/25(b)

      126       124,740  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24(b)(c)

      970       1,043,962  

Northwell Healthcare, Inc., 4.26%, 11/01/47(c)

      686       685,843  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23(b)(c)

      220       231,000  

Surgery Center Holdings, Inc.(b):

     

8.88%, 4/15/21

      162       165,645  

6.75%, 7/01/25(c)

      324       295,650  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20(c)

      1,150       1,207,500  

7.50%, 1/01/22(b)

      174       183,135  

8.13%, 4/01/22(c)

      1,498       1,505,490  

6.75%, 6/15/23(c)

      536       503,170  

4.63%, 7/15/24(b)

      220       216,425  

THC Escrow Corp. III(b):

     

5.13%, 5/01/25

      12       11,685  

7.00%, 8/01/25

      139       127,359  

Thermo Fisher Scientific, Inc., 2.95%, 9/19/26(c)

      1,000       978,817  

UnitedHealth Group, Inc., 4.38%, 3/15/42(c)

      750       813,146  

Vizient, Inc., 10.38%, 3/01/24(b)

      382       435,480  

WellCare Health Plans, Inc., 5.25%, 4/01/25

      101       106,303  
   

 

 

 
        22,394,234  
Health Care Technology — 0.0%  

Quintiles IMS, Inc., 3.25%, 3/15/25(b)

    EUR       100       120,579  
   

 

 

 
Hotels, Restaurants & Leisure — 4.5%  

1011778 BC ULC/New Red Finance, Inc., 5.00%, 10/15/25(b)

    USD       629       640,794  

Arcos Dorados Holdings, Inc., 5.88%, 4/04/27(b)(c)

      737       781,390  

Burger King France SAS:

     

(3 mo. Euribor + 5.25%), 5.25%, 5/01/23(a)

    EUR       100       119,684  

6.00%, 5/01/24

      100       126,629  

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property,
8.00%, 10/01/20(c)

    USD       1,840       1,881,400  
Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Cirsa Funding Luxembourg SA, 5.88%, 5/15/23

    EUR       100     $ 122,455  

Codere Finance 2 Luxembourg SA,
6.75%, 11/01/21

      100       121,731  

CPUK Finance Ltd., 4.25%, 2/28/47

    GBP       100       135,936  

CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25(b)(c)

    USD       744       748,873  

Eldorado Resorts, Inc., 6.00%, 4/01/25

      123       129,765  

Enterprise Inns PLC, 6.00%, 10/06/23

    GBP       3,320       4,770,637  

ESH Hospitality, Inc., 5.25%, 5/01/25(b)(c)

    USD       154       159,198  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      148       160,950  

5.38%, 4/15/26

      112       121,240  

Golden Nugget, Inc., 6.75%, 10/15/24(b)

      110       111,925  

International Game Technology PLC,
4.75%, 2/15/23

    EUR       107       140,530  

Jacobs Entertainment, Inc., 7.88%, 2/01/24(b)

    USD       105       113,400  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b):

     

5.00%, 6/01/24

      45       47,475  

5.25%, 6/01/26

      329       349,612  

McDonald’s Corp., 3.70%, 1/30/26(c)

      750       783,964  

Melco Resorts Finance Ltd., 4.88%, 6/06/25(b)(c)

      245       247,232  

MGM Resorts International:

     

5.25%, 3/31/20

      84       88,410  

6.75%, 10/01/20(c)

      156       171,600  

6.63%, 12/15/21(c)

      1,342       1,499,685  

7.75%, 3/15/22(c)

      95       110,265  

New Red Finance, Inc.(b)(c):

     

4.25%, 5/15/24

      291       293,095  

5.00%, 10/15/25

      1,087       1,107,381  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21(c)

      460       471,500  

Sabre GLBL, Inc., 5.25%, 11/15/23(b)(c)

      269       281,777  

Scientific Games International, Inc.:

     

7.00%, 1/01/22(b)(c)

      1,267       1,339,852  

10.00%, 12/01/22(c)

      947       1,047,552  

5.00%, 10/15/25(b)

      286       290,290  

Six Flags Entertainment Corp.(b):

     

4.88%, 7/31/24(c)

      1,061       1,091,504  

5.50%, 4/15/27

      224       233,800  

Station Casinos LLC, 5.00%, 10/01/25(b)(c)

      361       361,451  

Stonegate Pub Co. Financing PLC, 4.88%, 3/15/22

    GBP       100       134,144  

Unique Pub Finance Co. PLC:

     

Series A3, 6.54%, 3/30/21

      1,579       2,265,428  

Series M, 7.40%, 3/28/24

      6,400       9,701,658  

Vue International Bidco PLC, 7.88%, 7/15/20

      117       158,837  

Wyndham Worldwide Corp., 4.15%, 4/01/24(c)

    USD       2,000       2,027,183  

Yum! Brands, Inc., 3.88%, 11/01/23

      110       110,550  
     

 

 

 
        34,600,782  
Household Durables — 1.0%  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22(b)(c)

      750       782,812  

CalAtlantic Group, Inc.:

     

1.63%, 5/15/18(k)

      188       295,630  

8.38%, 1/15/21

      144       167,580  

6.25%, 12/15/21(c)

      450       498,375  

5.38%, 10/01/22

      6       6,540  

5.25%, 6/01/26

      32       34,080  

Century Communities, Inc., 6.88%, 5/15/22(c)

      830       870,960  

K Hovnanian Enterprises, Inc.(b):

     

10.00%, 7/15/22

      104       113,750  

10.50%, 7/15/24

      108       120,420  
 

 

 

50    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Household Durables (continued)  

Lennar Corp.:

     

4.50%, 11/15/19(c)

    USD       320     $ 330,000  

4.75%, 4/01/21

      42       43,995  

4.13%, 1/15/22

      139       143,865  

4.75%, 11/15/22

      53       55,981  

4.88%, 12/15/23

      146       154,395  

4.75%, 5/30/25(c)

      410       427,425  

Mattamy Group Corp.(b):

     

6.88%, 12/15/23

      169       177,450  

6.50%, 10/01/25

      208       216,840  

MDC Holdings, Inc., 6.00%, 1/15/43

      250       239,238  

Meritage Homes Corp., 5.13%, 6/06/27

      123       124,384  

Newell Brands, Inc., 4.20%, 4/01/26(c)

      1,000       1,053,841  

PulteGroup, Inc., 6.38%, 5/15/33(c)

      469       515,900  

Tempur Sealy International, Inc., 5.50%, 6/15/26

      191       196,730  

TRI Pointe Group, Inc.:

     

4.88%, 7/01/21

      124       129,890  

5.25%, 6/01/27(c)

      56       57,260  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.(c):

     

4.38%, 6/15/19

      225       230,906  

5.88%, 6/15/24

      226       244,645  

William Lyon Homes, Inc., 5.88%, 1/31/25

      116       118,320  
     

 

 

 
        7,351,212  
Household Products — 0.2%  

ACCO Brands Corp., 5.25%, 12/15/24(b)

      102       105,698  

Prestige Brands, Inc., 6.38%, 3/01/24(b)

      176       187,440  

Spectrum Brands, Inc.:

     

6.63%, 11/15/22(c)

      710       738,031  

4.00%, 10/01/26

    EUR       100       123,456  
     

 

 

 
        1,154,625  
Independent Power and Renewable Electricity Producers — 0.7%  

AES Corp., 5.50%, 3/15/24

    USD       46       48,070  

Calpine Corp.:

     

6.00%, 1/15/22(b)(c)

      64       66,080  

5.38%, 1/15/23

      190       184,538  

5.88%, 1/15/24(b)(c)

      375       388,125  

5.25%, 6/01/26(b)

      441       441,551  

Colbun SA, 3.95%, 10/11/27(b)(c)

      411       410,589  

Dynegy, Inc.:

     

7.38%, 11/01/22

      43       46,171  

8.00%, 1/15/25(b)

      404       441,370  

8.13%, 1/30/26(b)

      202       224,220  

Genneia SA, 8.75%, 1/20/22(b)(c)

      1,061       1,177,105  

NRG Energy, Inc.:

     

6.63%, 3/15/23

      129       133,515  

6.25%, 5/01/24

      144       153,000  

6.63%, 1/15/27(c)

      938       998,970  

NRG Yield Operating LLC, 5.38%, 8/15/24

      254       264,795  

QEP Resources, Inc., 5.38%, 10/01/22

      179       177,658  

TerraForm Power Operating LLC(b)(l):

     

6.38%, 2/01/23

      258       270,255  

6.63%, 6/15/25

      35       37,975  
     

 

 

 
        5,463,987  
Industrial Conglomerates — 0.2%  

Colfax Corp., 3.25%, 5/15/25

    EUR       100       122,088  

General Electric Co., 4.13%, 10/09/42(c)

    USD       750       777,252  

Vertiv Group Corp., 9.25%, 10/15/24(b)(c)

      655       717,225  
     

 

 

 
        1,616,565  
Insurance — 1.0%  

American International Group, Inc., 4.80%, 7/10/45(c)

      500       548,057  
Security          Par
(000)
    Value  
Insurance (continued)  

Aon PLC, 3.88%, 12/15/25(c)

    USD       1,280     $ 1,343,636  

Ardonagh Midco 3 PLC:

     

8.38%, 7/15/23

    GBP       100       137,464  

8.63%, 7/15/23(b)(c)

    USD       516       545,593  

Assicurazioni Generali SpA(i):

     

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

    EUR       100       150,645  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

      100       140,235  

AssuredPartners, Inc., 7.00%, 8/15/25(b)

    USD       61       63,592  

Groupama SA, 6.00%, 1/23/27

    EUR       100       147,321  

HUB International Ltd., 7.88%, 10/01/21(b)(c)

    USD       1,058       1,101,198  

Nationwide Building Society, 4.13%, 10/18/32(b)(c)(e)

      690       689,901  

Old Mutual PLC, 8.00%, 6/03/21

    GBP       100       156,086  

Radian Group, Inc.:

     

5.25%, 6/15/20

    USD       59       62,982  

4.50%, 10/01/24

      407       417,175  

Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47(b)(c)

      700       727,293  

USIS Merger Sub, Inc., 6.88%, 5/01/25(b)

      72       74,700  

Wayne Merger Sub LLC, 8.25%, 8/01/23(b)(c)

      1,061       1,129,965  
     

 

 

 
        7,435,843  
Internet Software & Services — 0.3%  

Equinix, Inc., 5.88%, 1/15/26(c)

      554       600,397  

Netflix, Inc.:

     

5.50%, 2/15/22

      15       16,069  

4.38%, 11/15/26(b)(c)

      611       599,162  

3.63%, 5/15/27

    EUR       100       119,543  

4.88%, 4/15/28(b)

    USD       590       586,430  

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

      187       195,415  

United Group BV, (3 mo. EURIBOR + 4.38%),
4.38%, 7/01/23(a)

    EUR       100       117,941  
     

 

 

 
        2,234,957  
IT Services — 0.8%  

Ceridian HCM Holding, Inc., 11.00%, 3/15/21(b)(c)

    USD       482       509,112  

Fidelity National Information Services, Inc., 3.00%, 8/15/26(c)

      1,000       970,357  

First Data Corp.(b):

     

7.00%, 12/01/23(c)

      1,335       1,428,477  

5.00%, 1/15/24

      160       166,200  

5.75%, 1/15/24(c)

      2,998       3,136,657  

Gartner, Inc., 5.13%, 4/01/25(b)(c)

      207       218,903  
     

 

 

 
        6,429,706  
Machinery — 0.2%  

EnPro Industries, Inc., 5.88%, 9/15/22(b)

      132       138,105  

Navistar International Corp., 8.25%, 11/01/21

      55       55,215  

SPX FLOW, Inc.(b):

     

5.63%, 8/15/24(c)

      330       348,975  

5.88%, 8/15/26

      153       162,562  

Terex Corp., 5.63%, 2/01/25(b)(c)

      419       444,140  

Wabash National Corp., 5.50%, 10/01/25(b)(c)

      286       291,749  
     

 

 

 
        1,440,746  
Media — 6.3%  

Altice Financing SA(b)(c):

     

6.63%, 2/15/23

      200       210,820  

7.50%, 5/15/26

      1,291       1,415,259  

Altice Finco SA, 4.75%, 1/15/28

    EUR       100       117,647  

Altice Luxembourg SA, 6.25%, 2/15/25

      100       128,693  

Altice US Finance I Corp., 5.38%, 7/15/23(b)(c)

    USD       1,380       1,438,650  

AMC Networks, Inc.(c):

     

5.00%, 4/01/24

      344       350,450  

4.75%, 8/01/25

      266       265,668  

Cablevision SA, 6.50%, 6/15/21(b)(c)

      637       681,717  
 

 

 

SCHEDULES OF INVESTMENTS      51  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

Cablevision Systems Corp.(c):

     

7.75%, 4/15/18

    USD       517     $ 528,689  

8.00%, 4/15/20

      286       316,745  

CBS Radio, Inc., 7.25%, 11/01/24(b)(c)

      92       96,255  

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.13%, 2/15/23(c)

      709       732,042  

4.00%, 3/01/23(b)

      704       714,124  

5.13%, 5/01/23(b)(c)

      480       500,400  

5.13%, 5/01/27(b)(c)

      2,559       2,584,590  

5.00%, 2/01/28(b)(c)

      824       817,820  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(b):

     

6.38%, 9/15/20

      101       103,032  

5.13%, 12/15/21(c)

      933       949,327  

7.75%, 7/15/25(c)

      1,630       1,780,775  

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, 10/23/45(c)

      3,000       3,435,079  

Clear Channel International BV, 8.75%, 12/15/20(b)(c)

      906       951,300  

Clear Channel Worldwide Holdings, Inc.(c):

     

6.50%, 11/15/22

      2,702       2,795,918  

Series B, 7.63%, 3/15/20

      1,001       999,749  

Comcast Corp., 4.60%, 8/15/45(c)

      1,750       1,922,760  

CSC Holdings LLC(c):

     

10.13%, 1/15/23(b)

      1,388       1,589,260  

5.25%, 6/01/24

      921       916,971  

6.63%, 10/15/25(b)

      350       383,600  

10.88%, 10/15/25(b)

      1,253       1,534,925  

Discovery Communications LLC, 4.95%, 5/15/42(c)

      400       397,904  

DISH DBS Corp.:

     

6.75%, 6/01/21(c)

      239       250,950  

5.88%, 7/15/22(c)

      206       207,160  

5.00%, 3/15/23(c)

      303       293,152  

5.88%, 11/15/24

      53       52,934  

7.75%, 7/01/26(c)

      1,355       1,482,031  

DISH Network Corp., 3.38%, 8/15/26(k)

      463       498,014  

eircom Finance DAC, 4.50%, 5/31/22

    EUR       100       121,310  

GTT Communications, Inc., 7.88%, 12/31/24(b)

    USD       266       283,623  

Hughes Satellite Systems Corp.:

     

7.63%, 6/15/21

      113       126,278  

5.25%, 8/01/26(c)

      564       576,735  

6.63%, 8/01/26

      121       127,655  

iHeartCommunications, Inc.:

     

9.00%, 12/15/19

      230       169,625  

10.63%, 3/15/23

      494       354,445  

Intelsat Jackson Holdings SA(c):

     

7.25%, 10/15/20

      292       280,962  

5.50%, 8/01/23

      630       537,075  

9.75%, 7/15/25(b)

      484       487,025  

Interpublic Group of Cos., Inc., 4.20%, 4/15/24(c)

      1,000       1,048,468  

LG Finance Co. Corp., 5.88%, 11/01/24(b)

      101       107,060  

LGE HoldCo VI BV, 7.13%, 5/15/24

    EUR       177       232,054  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24(b)

    USD       101       101,631  

MDC Partners, Inc., 6.50%, 5/01/24(b)(c)

      404       412,080  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 8/15/23(b)(c)

      282       302,445  

Numericable Group SA, 5.38%, 5/15/22

    EUR       116       141,203  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22(c)

    USD       102       105,315  

SFR Group SA(b)(c):

     

6.00%, 5/15/22

      1,492       1,555,410  

7.38%, 5/01/26

      1,721       1,850,075  
Security          Par
(000)
    Value  
Media (continued)  

Sirius XM Radio, Inc., 5.00%, 8/01/27(b)

    USD       72     $ 72,630  

TEGNA, Inc., 5.50%, 9/15/24(b)

      79       82,753  

Telenet Finance VI Luxembourg SCA, 4.88%, 7/15/27

    EUR       100       128,746  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(b)(c)

    USD       501       561,120  

Time Warner, Inc.(c):

     

4.65%, 6/01/44

      111       107,325  

4.85%, 7/15/45

      389       387,666  

Tribune Media Co., 5.88%, 7/15/22(c)

      315       326,812  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

4.00%, 1/15/25

    EUR       117       145,164  

5.00%, 1/15/25(b)

    USD       200       208,500  

6.25%, 1/15/29

    EUR       100       132,647  

Univision Communications, Inc.(b):

     

5.13%, 5/15/23(c)

    USD       556       562,950  

5.13%, 2/15/25

      143       142,106  

UPCB Finance IV Ltd., 4.00%, 1/15/27

    EUR       114       141,411  

Videotron Ltd., 5.13%, 4/15/27(b)(c)

    USD       387       406,834  

Virgin Media Finance PLC, 5.75%, 1/15/25(b)(c)

      850       877,625  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24

    GBP       200       276,484  

Virgin Media Secured Finance PLC:

     

5.50%, 8/15/26(b)

    USD       200       209,250  

4.88%, 1/15/27

    GBP       130       179,379  

6.25%, 3/28/29

      175       253,345  

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20(b)(c)

    USD       980       1,002,638  

Wind Acquisition Finance SA:

     

7.00%, 4/23/21

    EUR       122       147,377  

7.38%, 4/23/21(b)(c)

    USD       1,130       1,173,844  
     

 

 

 
        47,891,490  
Metals & Mining — 3.4%  

Alcoa Nederland Holding BV, 7.00%, 9/30/26(b)

      200       228,000  

ArcelorMittal, 3.13%, 1/14/22

    EUR       100       128,721  

BHP Billiton Finance USA Ltd., 4.13%, 2/24/42(c)

    USD       250       264,203  

Big River Steel LLC/BRS Finance Corp., 7.25%, 9/01/25(b)

      209       224,153  

CONSOL Mining Corp., 11.00%, 11/15/25(b)(f)

      562       576,050  

Constellium NV(b)(c):

     

8.00%, 1/15/23

      480       514,200  

6.63%, 3/01/25

      906       939,975  

First Quantum Minerals Ltd.(b):

     

7.00%, 2/15/21(c)

      966       1,002,225  

7.50%, 4/01/25

      222       235,043  

Freeport-McMoRan, Inc.:

     

2.30%, 11/14/17

      322       322,000  

2.38%, 3/15/18

      2,714       2,714,000  

3.10%, 3/15/20

      1,769       1,771,211  

4.00%, 11/14/21

      276       278,070  

3.55%, 3/01/22

      374       370,260  

3.88%, 3/15/23

      1,737       1,708,774  

5.40%, 11/14/34

      140       136,500  

5.45%, 3/15/43

      1,376       1,293,440  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b)(c)

      571       620,963  

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22(b)

      192       216,960  

Kaiser Aluminum Corp., 5.88%, 5/15/24

      124       133,455  

Kinross Gold Corp.:

     

4.50%, 7/15/27(b)

      144       145,800  

6.88%, 9/01/41

      80       89,500  

Novelis Corp.(b)(c):

     

6.25%, 8/15/24

      1,194       1,259,670  

5.88%, 9/30/26

      1,442       1,486,154  
 

 

 

52    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Metals & Mining (continued)  

Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24

    EUR       100     $ 124,395  

Ovako AB, 5.00%, 10/05/22

      100       119,251  

Rio Tinto Finance USA Ltd., 4.75%, 3/22/42(c)

    USD       400       455,101  

Steel Dynamics, Inc.:

     

5.13%, 10/01/21(c)

      970       995,462  

5.25%, 4/15/23(c)

      525       542,063  

4.13%, 9/15/25(b)

      231       231,578  

5.00%, 12/15/26

      15       15,900  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25(b)(c)

      270       282,825  

Teck Resources Ltd.:

     

4.50%, 1/15/21

      82       85,690  

3.75%, 2/01/23(c)

      828       835,767  

8.50%, 6/01/24(b)(c)

      1,346       1,541,170  

6.13%, 10/01/35

      102       115,515  

6.00%, 8/15/40(c)

      513       568,789  

5.20%, 3/01/42(c)

      793       794,982  

5.40%, 2/01/43(c)

      341       347,820  

thyssenKrupp AG, 1.38%, 3/03/22

    EUR       75       89,454  

United States Steel Corp.:

     

8.38%, 7/01/21(b)(c)

    USD       357       389,576  

6.88%, 8/15/25

      209       212,004  

Vale Overseas Ltd., 6.25%, 8/10/26(c)

      680       783,530  

VM Holdings SA, 5.38%, 5/04/27(b)(c)

      857       905,163  
     

 

 

 
        26,095,362  
Multi-Utilities — 0.1%  

NGL Energy Partners LP/NGL Energy Finance Corp.(c):

     

5.13%, 7/15/19

      150       150,000  

6.88%, 10/15/21

      240       241,200  

7.50%, 11/01/23

      286       285,285  
     

 

 

 
        676,485  
Multiline Retail — 0.1%  

Neiman Marcus Group Ltd., 8.00%, 10/15/21(b)(c)

      257       151,630  

Target Corp., 4.00%, 7/01/42(c)

      300       303,087  
     

 

 

 
        454,717  
Oil, Gas & Consumable Fuels — 8.0%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24(b)

      139       151,510  

Anadarko Petroleum Corp., 4.50%, 7/15/44(c)

      500       488,273  

Andeavor Logistics LP/Tesoro Logistics Finance Corp.:

     

6.13%, 10/15/21

      44       45,430  

6.25%, 10/15/22

      80       85,200  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24

      65       67,600  

Antero Resources Corp.:

     

5.13%, 12/01/22

      92       94,530  

5.63%, 6/01/23

      88       92,180  

Apache Corp., 4.75%, 4/15/43(c)

      800       816,101  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22(b)

      299       324,415  

California Resources Corp., 8.00%, 12/15/22(b)

      179       118,140  

Callon Petroleum Co., 6.13%, 10/01/24(c)

      357       371,280  

Carrizo Oil & Gas, Inc.:

     

6.25%, 4/15/23(c)

      273       277,778  

8.25%, 7/15/25

      118       127,145  

Cheniere Corpus Christi Holdings LLC(c):

     

7.00%, 6/30/24

      578       659,642  

5.88%, 3/31/25

      592       640,840  

5.13%, 6/30/27(b)

      723       745,594  

Cheniere Energy Partners LP, 5.25%, 10/01/25(b)

      201       207,030  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Chesapeake Energy Corp.(b):

     

8.00%, 1/15/25

    USD       277     $ 273,538  

8.00%, 6/15/27(c)

      1,017       980,769  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 7/20/23(b)(c)

      1,117       1,208,929  

Citgo Holding, Inc., 10.75%, 2/15/20(b)

      170       183,600  

ConocoPhillips Co., 4.95%, 3/15/26(c)

      700       795,096  

CONSOL Energy, Inc.:

     

5.88%, 4/15/22(c)

      3,327       3,393,540  

8.00%, 4/01/23

      76       81,320  

Continental Resources, Inc.:

     

3.80%, 6/01/24(c)

      549       533,216  

4.90%, 6/01/44

      161       149,931  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 5/15/25(b)(c)

      380       394,250  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23

      35       36,400  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)

      362       367,568  

DCP Midstream LLC(b):

     

4.75%, 9/30/21

      160       164,800  

6.45%, 11/03/36(c)

      213       225,248  

6.75%, 9/15/37(c)

      278       298,850  

DEA Finance SA, 7.50%, 10/15/22

    EUR       100       129,153  

Denbury Resources, Inc.:

     

5.50%, 5/01/22

    USD       521       326,928  

4.63%, 7/15/23

      60       34,050  

Diamond Offshore Drilling, Inc., 7.88%, 8/15/25

      110       117,700  

Diamondback Energy, Inc., 5.38%, 5/31/25(c)

      242       251,378  

Eclipse Resources Corp., 8.88%, 7/15/23

      80       81,700  

Energy Transfer Equity LP:

     

4.25%, 3/15/23

      209       212,660  

5.88%, 1/15/24(c)

      730       792,050  

5.50%, 6/01/27(c)

      515       545,900  

Energy Transfer LP(c):

     

6.13%, 12/15/45

      500       546,335  

5.30%, 4/15/47

      350       346,731  

Ensco Jersey Finance Ltd., 3.00%, 1/31/24(b)(k)

      291       245,895  

Enterprise Products Operating LLC, 3.75%, 2/15/25(c)

      1,250       1,302,106  

EP Energy LLC/Everest Acquisition Finance, Inc.(c):

     

9.38%, 5/01/20

      392       329,158  

8.00%, 11/29/24(b)

      322       328,440  

Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21(b)(c)

      388       411,280  

Extraction Oil & Gas, Inc., 7.38%, 5/15/24(b)

      221       235,365  

Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, 10/01/25

      171       173,138  

Geopark Ltd., 6.50%, 9/21/24(b)(c)

      228       233,814  

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

      535       548,375  

Gulfport Energy Corp.:

     

6.63%, 5/01/23

      228       233,700  

6.00%, 10/15/24

      32       32,000  

6.38%, 5/15/25

      136       138,040  

6.38%, 1/15/26(b)

      273       275,730  

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

      330       337,425  

Hess Corp., 4.30%, 4/01/27(c)

      750       755,387  

Kinder Morgan Energy Partners LP, 4.25%, 9/01/24(c)

      2,500       2,608,358  

Matador Resources Co., 6.88%, 4/15/23(c)

      1,025       1,083,937  

MEG Energy Corp.(b):

     

7.00%, 3/31/24

      76       68,970  

6.50%, 1/15/25(c)

      933       928,335  
 

 

 

SCHEDULES OF INVESTMENTS      53  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Murphy Oil Corp.:

     

6.88%, 8/15/24(c)

    USD       288     $ 309,600  

6.13%, 12/01/42

      80       78,900  

Nabors Industries, Inc., 0.75%, 1/15/24(b)(k)

      472       348,100  

Newfield Exploration Co., 5.63%, 7/01/24

      132       142,725  

NGPL PipeCo LLC(b):

     

4.38%, 8/15/22

      224       230,440  

4.88%, 8/15/27

      157       162,495  

7.77%, 12/15/37(c)

      559       697,352  

Noble Holding International Ltd., 7.75%, 1/15/24(c)

      265       237,175  

Oasis Petroleum, Inc.:

     

6.50%, 11/01/21

      53       53,928  

6.88%, 3/15/22

      258       264,450  

6.88%, 1/15/23

      60       61,050  

2.63%, 9/15/23(k)

      260       286,325  

Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/23(b)(m)(n)

      422       149,752  

ONEOK, Inc., 6.00%, 6/15/35

      40       45,286  

Paramount Resources Ltd., 6.88%, 6/30/23(b)(c)

      1,235       1,318,362  

Parker Drilling Co., 7.50%, 8/01/20

      145       131,497  

Parsley Energy LLC/Parsley Finance Corp.(b):

     

6.25%, 6/01/24

      79       83,740  

5.38%, 1/15/25(c)

      361       366,415  

5.25%, 8/15/25

      91       91,910  

5.63%, 10/15/27

      295       304,405  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25(b)(c)

      252       260,505  

Pertamina Persero PT, 5.63%, 5/20/43(b)(c)

      2,000       2,190,918  

Petrobras Global Finance BV:

     

5.38%, 1/27/21(c)

      478       502,497  

8.38%, 5/23/21

      42       48,431  

6.13%, 1/17/22(c)

      912       985,872  

5.30%, 1/27/25(b)(c)

      403       404,310  

8.75%, 5/23/26(c)

      637       771,566  

6.00%, 1/27/28(b)(c)

      1,530       1,549,125  

Petroleos Mexicanos(b):

     

5.38%, 3/13/22

      47       49,956  

6.50%, 3/13/27(c)

      424       463,008  

Precision Drilling Corp., 7.75%, 12/15/23

      90       92,250  

QEP Resources, Inc., 5.25%, 5/01/23

      40       39,500  

Range Resources Corp.:

     

5.88%, 7/01/22(c)

      437       447,925  

5.00%, 8/15/22(c)

      91       89,863  

5.00%, 3/15/23

      148       146,517  

4.88%, 5/15/25

      142       137,030  

Resolute Energy Corp., 8.50%, 5/01/20(c)

      492       499,380  

Rockies Express Pipeline LLC(b)(c):

     

5.63%, 4/15/20

      875       927,500  

6.88%, 4/15/40

      521       580,915  

Rowan Cos., Inc.:

     

4.88%, 6/01/22

      85       80,113  

4.75%, 1/15/24

      52       46,150  

7.38%, 6/15/25(c)

      788       793,894  

RSP Permian, Inc.:

     

6.63%, 10/01/22(c)

      290       304,863  

5.25%, 1/15/25(b)

      178       181,115  

Sabine Pass Liquefaction LLC, 5.75%, 5/15/24

      10       11,201  

Sanchez Energy Corp.(c):

     

7.75%, 6/15/21

      536       498,480  

6.13%, 1/15/23

      764       637,940  

SESI LLC, 7.13%, 12/15/21

      100       102,250  

Seven Generations Energy Ltd., 5.38%, 9/30/25(b)(c)

      473       477,730  

Shell International Finance BV, 4.38%, 5/11/45(c)

      450       487,738  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

SM Energy Co.:

     

6.50%, 11/15/21

    USD       175     $ 176,750  

6.50%, 1/01/23

      82       83,435  

5.00%, 1/15/24

      5       4,775  

5.63%, 6/01/25(c)

      571       555,297  

6.75%, 9/15/26

      105       107,756  

Southwestern Energy Co.:

     

6.70%, 1/23/25

      48       49,080  

7.50%, 4/01/26

      204       211,650  

7.75%, 10/01/27

      262       272,480  

Suncor Energy, Inc., 6.50%, 6/15/38(c)

      800       1,066,064  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b):

     

5.50%, 9/15/24(c)

      527       544,786  

5.50%, 1/15/28

      346       355,083  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 5/01/23

      16       16,460  

5.13%, 2/01/25

      155       159,650  

5.38%, 2/01/27

      90       93,488  

5.00%, 1/15/28(b)

      470       471,175  

Transocean, Inc., 7.50%, 1/15/26(b)

      314       323,420  

Tullow Oil PLC, 6.25%, 4/15/22(b)

      200       199,500  

Weatherford International LLC, 6.80%, 6/15/37

      75       63,750  

Weatherford International Ltd.:

     

6.50%, 8/01/36(c)

      272       226,440  

7.00%, 3/15/38(c)

      197       171,390  

5.95%, 4/15/42

      256       202,240  

Whiting Petroleum Corp., 5.00%, 3/15/19(c)

      1,028       1,036,995  

WildHorse Resource Development Corp., 6.88%, 2/01/25(b)

      162       160,785  

Williams Cos., Inc., 5.75%, 6/24/44(c)

      1,137       1,205,220  

Williams Partners LP, 4.50%, 11/15/23(c)

      1,750       1,870,470  

WPX Energy, Inc.:

     

7.50%, 8/01/20

      54       58,590  

6.00%, 1/15/22

      159       165,559  

8.25%, 8/01/23

      109       122,761  

5.25%, 9/15/24(c)

      438       439,642  

YPF SA:

     

(30D Argentina Deposit Rates Badlar Pvt Banks + 4.00%), 25.46%, 7/07/20(a)

      2,831       2,704,368  

8.50%, 7/28/25

      1,061       1,233,943  
     

 

 

 
        61,579,232  
Paper & Forest Products — 0.0%  

Norbord, Inc., 6.25%, 4/15/23(b)

      200       219,750  
   

 

 

 
Pharmaceuticals — 1.7%  

AbbVie, Inc.(c):

     

3.20%, 5/14/26

      775       769,619  

4.45%, 5/14/46

      1,000       1,051,947  

Actavis Funding SCS(c):

     

3.80%, 3/15/25

      1,000       1,024,677  

4.75%, 3/15/45

      500       527,460  

Endo DAC/Endo Finance LLC/Endo Finco, Inc., 5.88%, 10/15/24(b)

      205       214,738  

Endo Finance LLC/Endo Finco, Inc., 5.38%, 1/15/23(b)(c)

      620       499,100  

Forest Laboratories LLC, 5.00%, 12/15/21(b)(c)

      718       779,418  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(b)(c)

      284       313,110  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23(b)(c)

      1,166       1,217,012  

Mylan NV, 3.95%, 6/15/26(c)

      650       649,232  
 

 

 

54    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)  

Nidda Healthcare Holding AG, 3.50%, 9/30/24

    EUR       100     $ 119,234  

Shire Acquisitions Investments Ireland DAC, 3.20%, 9/23/26(c)

    USD       300       292,469  

Synlab Bondco PLC, 6.25%, 7/01/22

    EUR       145       179,981  

Synlab Unsecured Bondco PLC, 8.25%, 7/01/23

      100       127,910  

Team Health Holdings, Inc., 6.38%, 2/01/25(b)(c)

    USD       440       404,800  

Valeant Pharmaceuticals International, Inc.(b):

     

7.50%, 7/15/21

      36       35,415  

6.75%, 8/15/21(c)

      2,057       1,992,719  

5.63%, 12/01/2(c)

      1,014       924,007  

6.50%, 3/15/22(c)

      408       432,480  

7.25%, 7/15/22

      37       35,428  

5.88%, 5/15/23(c)

      276       233,220  

7.00%, 3/15/24(c)

      566       612,695  

6.13%, 4/15/25

      132       110,880  

5.50%, 11/01/25

      437       446,833  
     

 

 

 
        12,994,384  
Real Estate Investment Trusts (REITs) — 0.8%  

American Tower Corp., 3.38%, 10/15/26(c)

      250       246,968  

Hilton Domestic Operating Co., Inc.,
4.25%, 9/01/24(c)

      204       208,335  

iStar, Inc.:

     

4.63%, 9/15/20

      134       136,848  

6.00%, 4/01/22

      143       148,720  

5.25%, 9/15/22

      134       137,350  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.(c):

     

5.63%, 5/01/24

      1,848       1,995,840  

4.50%, 9/01/26

      679       681,546  

4.50%, 1/15/28(b)

      382       381,045  

NH Hotel Group SA, 3.75%, 10/01/23

    EUR       129       159,149  

Starwood Property Trust, Inc., 5.00%, 12/15/21(c)

    USD       278       291,205  

Trust F/1401, 6.95%, 1/30/44

      1,738       1,920,490  

TVL Finance PLC, (3 mo. LIBOR GBP + 4.88%), 5.15%, 5/15/23(a)

    GBP       100       133,907  
     

 

 

 
        6,441,403  
Real Estate Management & Development — 1.1%  

DEMIRE Deutsche Mittelstand Real Estate AG, 2.88%, 7/15/22

    EUR       100       119,444  

Howard Hughes Corp., 5.38%, 3/15/25(b)

    USD       256       263,040  

Lai Sun International Finance 2012 Ltd., 5.70%, 1/18/18

      2,000       2,007,400  

Northwest Florida Timber Finance LLC,
4.75%, 3/04/29(b)(c)

      4,360       4,208,341  

Realogy Group LLC/Realogy Co-Issuer Corp.(b)(c):

     

4.50%, 4/15/19

      205       209,613  

5.25%, 12/01/21

      384       397,440  

4.88%, 6/01/23

      673       692,988  

RESIDOMO Sro, 3.38%, 10/15/24

    EUR       100       119,257  
     

 

 

 
        8,017,523  
Road & Rail — 1.0%  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.13%, 6/01/22(b)(c)

    USD       462       464,310  

Avis Budget Finance PLC, 4.13%, 11/15/24

    EUR       100       118,954  

Burlington Northern Santa Fe LLC,
4.38%, 9/01/42(c)

    USD       500       543,225  

Herc Rentals, Inc.(b):

     

7.50%, 6/01/22

      68       73,596  

7.75%, 6/01/24(c)

      227       249,133  

Hertz Corp., 7.63%, 6/01/22(b)(c)

      299       311,767  

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34(b)(c)

      4,000       4,405,000  
Security          Par
(000)
    Value  
Road & Rail (continued)  

Loxam SAS, 3.50%, 5/03/23

    EUR       100     $ 121,581  

Union Pacific Corp., 4.05%, 11/15/45(c)

    USD       500       524,676  

United Rentals North America, Inc.(c):

     

4.63%, 10/15/25

      464       474,742  

4.88%, 1/15/28

      462       464,310  
   

 

 

 
        7,751,294  
Semiconductors & Semiconductor Equipment — 1.1%  

Advanced Micro Devices, Inc., 7.50%, 8/15/22

      89       100,459  

Analog Devices, Inc., 3.50%, 12/05/26(c)

      320       324,724  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27(b)(c)

      2,600       2,674,943  

Microchip Technology, Inc.(k):

     

1.63%, 2/15/25

      83       152,564  

2.13%, 12/15/37

      75       302,016  

Micron Technology, Inc.:

     

5.25%, 8/01/23(b)(c)

      523       547,372  

5.25%, 1/15/24(b)

      47       49,409  

5.50%, 2/01/25

      11       11,688  

Series G, 3.00%, 11/15/43(k)

      395       612,250  

Microsemi Corp., 9.13%, 4/15/23(b)

      22       25,025  

NXP BV/NXP Funding LLC(b)(c):

     

4.13%, 6/15/20

      760       791,350  

4.13%, 6/01/21

      203       212,135  

4.63%, 6/15/22

      410       439,213  

3.88%, 9/01/22

      200       207,750  

4.63%, 6/01/23

      224       241,360  

ON Semiconductor Corp., 1.00%, 12/01/20(k)

      305       393,259  

QUALCOMM, Inc., 4.65%, 5/20/35(c)

      400       436,454  

Sensata Technologies BV, 5.00%, 10/01/25(b)

      15       15,900  

Sensata Technologies UK Financing Co. PLC,
6.25%, 2/15/26(b)(c)

      540       591,300  
   

 

 

 
        8,129,171  
Software — 2.0%  

ACI Worldwide, Inc., 6.38%, 8/15/20(b)(c)

      580       590,803  

BMC Software Finance, Inc., 8.13%, 7/15/21(b)(c)

      783       801,596  

CA, Inc., 3.60%, 8/15/22(c)

      660       676,809  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(b)(c)

      469       529,384  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22(b)

      51       50,490  

Infor US, Inc., 6.50%, 5/15/22(c)

      1,857       1,935,922  

Informatica LLC, 7.13%, 7/15/23(b)(c)

      693       705,127  

Microsoft Corp., 3.70%, 8/08/46(c)

      1,750       1,757,010  

Nuance Communications, Inc.:

     

5.38%, 8/15/20(b)(c)

      47       47,635  

6.00%, 7/01/24(c)

      238       256,814  

5.63%, 12/15/26(b)

      153       162,563  

Oracle Corp., 4.00%, 7/15/46(c)

      1,500       1,549,698  

PTC, Inc., 6.00%, 5/15/24

      239       259,303  

Rackspace Hosting, Inc., 8.63%, 11/15/24(b)(c)

      236       248,538  

RP Crown Parent LLC, 7.38%, 10/15/24(b)(c)

      374       388,960  

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

      1,792       2,042,880  

SS&C Technologies Holdings, Inc., 5.88%, 7/15/23(c)

      584       616,850  

TIBCO Software, Inc., 11.38%, 12/01/21(b)(c)

      929       1,014,932  

Veritas US, Inc./Veritas Bermuda Ltd.:

     

7.50%, 2/01/23

    EUR       100       124,056  

7.50%, 2/01/23(b)(c)

    USD       615       653,438  

10.50%, 2/01/24(b)(c)

      801       853,065  
   

 

 

 
        15,265,873  
 

 

 

SCHEDULES OF INVESTMENTS      55  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Specialty Retail — 0.3%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24(c)

    USD       395     $ 416,725  

Catalent Pharma Solutions, Inc., 4.88%, 1/15/26(b)

      384       389,760  

Group 1 Automotive, Inc., 5.25%, 12/15/23(b)

      53       54,590  

JC Penney Corp., Inc.:

     

8.13%, 10/01/19(c)

      50       49,875  

6.38%, 10/15/36

      29       17,038  

7.40%, 4/01/37

      66       40,260  

L Brands, Inc., 6.88%, 11/01/35(c)

      424       420,820  

Lowe’s Cos., Inc., 4.65%, 4/15/42(c)

      400       448,624  

Masaria Investments SAU, 5.00%, 9/15/24

    EUR       100       118,101  

Penske Automotive Group, Inc., 5.50%, 5/15/26

    USD       32       32,960  

PetSmart, Inc., 5.88%, 6/01/25(b)

      158       137,855  

Shop Direct Funding PLC, 7.75%, 11/15/22(f)

    GBP       100       132,990  
   

 

 

 
        2,259,598  
Technology Hardware, Storage & Peripherals — 0.5%  

Apple, Inc., 4.65%, 2/23/46(c)

    USD       1,500       1,709,886  

Dell International LLC/EMC Corp.(b):

     

4.42%, 6/15/21

      25       26,288  

7.13%, 6/15/24(c)

      774       854,302  

6.02%, 6/15/26(c)

      170       189,444  

8.35%, 7/15/46(c)

      100       129,587  

Riverbed Technology, Inc., 8.88%, 3/01/23(b)

      180       161,100  

Western Digital Corp.(c):

     

7.38%, 4/01/23(b)

      515       563,925  

10.50%, 4/01/24

      287       336,794  
   

 

 

 
        3,971,326  
Textiles, Apparel & Luxury Goods — 0.0%  

BiSoho SAS, 5.88%, 5/01/23

    EUR       54       68,325  

Hanesbrands, Inc., 4.63%, 5/15/24(b)

    USD       59       60,622  

Levi Strauss & Co., 3.38%, 3/15/27

    EUR       100       122,455  

Springs Industries, Inc., 6.25%, 6/01/21

    USD       59       60,770  
   

 

 

 
        312,172  
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 9/15/21

    GBP       100       139,124  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b):

     

5.25%, 3/15/22(c)

    USD       36       37,260  

5.25%, 10/01/25

      228       227,145  

MGIC Investment Corp., 5.75%, 8/15/23

      101       111,100  
   

 

 

 
        514,629  
Tobacco — 0.3%  

Altria Group, Inc., 4.50%, 5/02/43(c)

      750       802,816  

Philip Morris International, Inc., 4.38%, 11/15/41(c)

      900       953,737  

Reynolds American, Inc., 5.85%, 8/15/45(c)

      715       878,800  
   

 

 

 
        2,635,353  
Trading Companies & Distributors — 0.3%  

Doric Nimrod Air Alpha Ltd. Pass-Through Trust(b)(c):

     

Series 2012-1, Class B, 6.50%, 5/30/21

      292       302,596  

Series 2013-1, Class A, 5.25%, 5/30/25

      2,035       2,131,256  
   

 

 

 
        2,433,852  
Transportation Infrastructure — 0.4%  

CEVA Group PLC, 7.00%, 3/01/21(b)(c)

      510       488,325  

CMA CGM SA, 7.75%, 1/15/21

    EUR       100       122,600  

Penske Truck Leasing Co. LP/PTL Finance Corp.,
3.40%, 11/15/26(b)(c)

    USD       390       386,510  

Rumo Luxembourg Sarl, 7.38%, 2/09/24(b)(c)

      1,061       1,155,960  

Swissport Financing Sarl, 9.75%, 12/15/22

    EUR       100       127,551  

Transurban Finance Co. Property Ltd.,
4.13%, 2/02/26(b)(c)

    USD       520       541,208  

WFS Global Holding SAS, 9.50%, 7/15/22

    EUR       100       127,082  
   

 

 

 
        2,949,236  
Security          Par
(000)
    Value  
Utilities — 0.6%  

AES Argentina Generacion SA, 7.75%, 2/02/24(b)(c)

    USD       1,061     $ 1,147,981  

AES Panama SRL, 6.00%, 6/25/22(b)(c)

      653       686,466  

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

    EUR       100       122,434  

Emera US Finance LP, 4.75%, 6/15/46(c)

    USD       200       216,909  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23(b)(c)

      1,061       1,181,689  

Stoneway Capital Corp., 10.00%, 3/01/27(b)(c)

      1,061       1,119,355  
   

 

 

 
        4,474,834  
Wireless Telecommunication Services — 2.6%  

CoreCivic, Inc., 4.75%(j)

      162       162,405  

CyrusOne LP/CyrusOne Finance Corp., 5.00%, 3/15/24(b)(c)

      477       500,254  

Digicel Group Ltd., 8.25%, 9/30/20(b)(c)

      638       630,822  

Digicel Ltd., 6.00%, 4/15/21(b)(c)

      5,000       4,918,300  

Equinix, Inc., 2.88%, 10/01/25

    EUR       100       119,469  

GEO Group, Inc.:

     

5.13%, 4/01/23(c)

    USD       553       562,677  

5.88%, 10/15/24

      57       59,582  

6.00%, 4/15/26

      24       25,080  

Matterhorn Telecom SA, (3 mo. EURIBOR + 3.25%), 3.25%, 2/01/23(a)

    EUR       90       105,330  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25(b)(c)

    USD       428       420,510  

SBA Communication Corp., 4.00%, 10/01/22(b)(c)

      475       482,125  

SBA Communications Corp., 4.88%, 9/01/24(c)

      309       317,498  

Sprint Capital Corp.:

     

6.90%, 5/01/19

      155       163,525  

6.88%, 11/15/28(c)

      1,084       1,156,492  

8.75%, 3/15/32 (c)

      1,095       1,327,687  

Sprint Communications, Inc., 7.00%, 3/01/20(b)(c)

      974       1,056,790  

Sprint Corp.:

     

7.25%, 9/15/21

      48       52,320  

7.88%, 9/15/23(c)

      986       1,101,855  

7.13%, 6/15/24(c)

      1,582       1,710,047  

7.63%, 2/15/25(c)

      557       610,611  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23(b)

      489       496,091  

T-Mobile USA, Inc.:

     

4.00%, 4/15/22(c)

      234       242,044  

6.00%, 3/01/23

      40       42,150  

6.63%, 4/01/23

      753       790,650  

6.84%, 4/28/23(c)

      610       643,550  

6.50%, 1/15/24(c)

      440       469,700  

5.13%, 4/15/25(c)

      238       249,234  

5.38%, 4/15/27

      143       154,798  

Trilogy International Partners LLC/Trilogy International Finance, Inc., 8.88%, 5/01/22(b)

      109       113,360  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23(c)

      533       513,013  

Wind Acquisition Finance SA, 4.00%, 7/15/20

    EUR       100       117,650  

Wind Tre SpA, 5.00%, 1/20/26(b)(f)

    USD       496       499,218  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 6/01/22(b)(f)(h)

      137       147,917  
   

 

 

 
        19,962,754  
   

 

 

 

Total Corporate Bonds — 66.8%

        511,454,945  
   

 

 

 

Floating Rate Loan Interests

 

Aerospace & Defense — 0.1%  

Accudyne Industries LLC, 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 8/02/24(o)

      582       586,219  
 

 

 

56    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Aerospace & Defense (continued)  

Sequa Mezzanine Holdings L.L.C., 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.37%, 4/28/22(o)

    USD       73     $ 74,871  
   

 

 

 
        661,090  
Air Freight & Logistics — 0.0%  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 3/19/21(d)(o)

      29       27,991  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/21(o)

      30       28,592  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/21(o)

      5       4,319  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.88%, 3/19/21(o)

      42       40,720  
   

 

 

 
        101,622  
Auto Components — 0.0%  

USI, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00%), 4.31%, 5/16/24(o)

      104       104,216  
   

 

 

 
Banks — 0.0%  

Redtop Acquisitions Ltd., USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.63%, 11/01/24(o)

      117       117,322  
   

 

 

 
Chemicals — 0.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.33%, 1/31/24(o)

      142       142,590  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.83%, 6/28/24(o)

      61       61,763  

H.B. Fuller Company, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.49%, 10/12/24(o)

      315       316,707  

Tronox Blocked Borrower LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.32%, 9/22/24(o)

      37       37,785  

Tronox Finance LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.32%, 9/22/24(o)

      87       87,197  
   

 

 

 
        646,042  
Commercial Services & Supplies — 0.1%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.24%, 8/04/25(o)

      274       282,735  

West Corporation, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 10/10/24(o)

      590       590,763  
   

 

 

 
        873,498  
Construction & Engineering — 0.3%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.63%, 6/21/24(o)

      1,893       1,904,971  
   

 

 

 
Diversified Consumer Services — 0.0%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 7/12/24(o)

      72       72,570  

Laureate Education, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.74%, 4/26/24(o)

      144       144,907  
   

 

 

 
        217,477  
Diversified Financial Services — 9.9%  

Aviron Capital LLC:

     

Term Loan,(3 mo. LIBOR + 15.00%), 16.38%, 7/17/20(d)(o)

      11,566       11,566,078  

2017 Term Loan, 5.00%, 7/17/20(d)

      63,318       63,318,013  

Lone Star LSPT Future Funding, Mezzanine Term Loan, (1 mo. LIBOR + 4.35%), 5.06%, 9/09/20(d)(o)

      754       754,308  
   

 

 

 
        75,638,399  
Security          Par
(000)
    Value  
Diversified Telecommunication Services — 0.1%  

CenturyLink, Inc., 2017 Term Loan B, 11.61%, 1/31/25(o)

    USD       909     $ 896,883  

Lumos Networks Operating Co.(p):

     

1st Lien Term Loan B, 1.00%, 10/16/24(o)

      69       69,730  

MTN Topco Term Loan, 1.00%, 10/16/24(o)

      68       67,995  
   

 

 

 
        1,034,608  
Electrical Equipment — 0.1%  

Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 4/01/24(o)

      329       331,274  
   

 

 

 
Energy Equipment & Services — 0.0%  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.56%, 7/13/20(d)(o)

      273       264,853  
   

 

 

 
Food Products — 0.0%  

Chobani, LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 10/07/23(o)

      71       71,469  
   

 

 

 
Health Care Equipment & Supplies — 0.2%  

DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 6/08/20(o)

      625       625,180  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor), 6.31%, 6/15/21(o)

      858       874,028  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.08%, 6/30/21(o)

      40       39,874  
   

 

 

 
        1,539,082  
Health Care Providers & Services — 0.0%  

Surgery Center Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.50%, 9/02/24(o)

      57       56,439  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 2/06/24(o)

      56       55,232  
   

 

 

 
        111,671  
Hotels, Restaurants & Leisure — 2.3%  

Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.74%, 10/11/20(o)

      3,289       3,290,525  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1.00%, 9/27/24(p)(o)

      626       629,800  

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, (1 mo. LIBOR + 6.00%), 7.24%, 8/04/19(d)(o)

      6,500       6,386,250  

Hilton Orlando, Mezzanine A3, (1 mo. LIBOR + 5.50%), 7.49%, 7/09/19(d)(o)

      7,250       7,250,000  
   

 

 

 
        17,556,575  
Household Products — 0.0%  

Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 4.32%, 9/06/24(o)

      134       134,527  
   

 

 

 
Industrial Conglomerates — 0.1%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%), 5.24%, 11/30/23(o)

      352       354,850  

Sequa Corp., 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.87%, 11/28/21(o)

      203       203,949  
   

 

 

 
        558,799  
Insurance — 0.1%  

Alliant Holdings I, Inc., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 8/12/22(o)

      135       135,832  

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.99%, 3/01/21(o)

      467       469,325  
   

 

 

 
        605,157  
 

 

 

SCHEDULES OF INVESTMENTS      57  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
IT Services — 0.0%  

Peak 10, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.81%, 8/01/24(o)

    USD       178     $ 178,780  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.56%, 8/01/25(o)

      75       76,875  
   

 

 

 
        255,655  
Life Sciences Tools & Services — 0.1%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.58%, 8/30/24(o)

      178       179,225  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.33%, 8/30/25(o)

      30       30,487  

Parexel International Corporation, Term Loan B, (3 mo. LIBOR + 3.00%), 4.24%, 9/27/24(o)

      148       149,322  
   

 

 

 
        359,034  
Machinery — 0.0%  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.74%, 8/05/24(o)

      66       66,550  
   

 

 

 
Media — 0.3%  

CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 3.49%, 7/17/25(o)

      65       64,745  

iHeartCommunications, Inc., Term Loan D, (3 mo. LIBOR + 6.75%), 8.08%, 1/30/19(o)

      696       520,256  

Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.07%, 6/30/19(o)

      1,579       1,573,589  
   

 

 

 
        2,158,590  
Multiline Retail — 0.0%  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.49%, 10/25/20(o)

      327       256,362  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.3%  

BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00%), 5.38%, 9/19/24(o)

      310       313,391  

California Resources Corp., Term Loan A, (1 mo. LIBOR + 3.00%), 4.24%, 10/01/19(o)

      491       471,826  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.81%, 8/23/21(o)

      881       943,762  

Vine Oil & Gas LP, Term Loan B, (3 mo. LIBOR + 6.88%), 8.12%, 12/12/21(o)

      315       309,488  
     

 

 

 
        2,038,467  
Professional Services — 0.0%  

Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.62%, 1/18/24(o)

      86       86,462  
     

 

 

 
Software — 0.5%  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.57%, 9/19/24(o)

      144       145,760  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.32%, 9/19/25(o)

      34       35,020  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 9/10/22(o)

      459       461,821  

Cypress Intermediate Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.25%, 4/27/24(o)

      133       133,503  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 7.99%, 4/27/25(o)

      40       41,075  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.75%), 5.07%, 5/28/24(o)

      493       496,821  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 9.56%, 11/01/24(o)

      624       641,132  
Security          Par
(000)
    Value  
Software (continued)  

McAfee, LLC, 2017 USD Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.83%, 9/30/24(o)

    USD       324     $ 325,967  

Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.82%, 6/13/24(o)

      195       194,342  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.04%, 4/26/24(o)

      165       161,143  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.24%, 5/01/24(o)

      269       270,111  

Veritas Bermuda Ltd., USD Repriced Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.83%, 1/27/23(o)

      822       828,188  
     

 

 

 
        3,734,883  
Specialty Retail — 0.0%  

Belron SA, Term Loan B, (3 mo. LIBOR + 2.50%), 3.89%, 11/07/24(o)

      144       144,900  
     

 

 

 
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.58%, 8/12/22(d)(o)

      309       311,782  
     

 

 

 
Trading Companies & Distributors — 0.0%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.61%, 8/23/24(o)

      153       153,956  

HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor),
4.46%, 8/01/24(o)

      153       153,956  
     

 

 

 
        307,912  
     

 

 

 

Total Floating Rate Loan Interests — 14.6%

 

      112,193,249  
     

 

 

 

Foreign Agency Obligations

 

Argentine Republic Government International Bond(c):

     

5.63%, 1/26/22

      1,042       1,094,100  

7.50%, 4/22/26

      3,437       3,883,810  

6.88%, 1/26/27

      2,768       3,017,120  

7.63%, 4/22/46

      2,767       3,099,040  

Bahrain Government International Bond,
6.75%, 9/20/29(b)

      582       578,857  

Brazil Letras do Tesouro Nacional, 0.00%, 1/01/19(q)

    BRL       1,824       514,284  

Colombia Government International Bond, 3.88%, 4/25/27(c)

    USD       1,571       1,581,211  

Cyprus Government International Bond,
4.63%, 2/03/20(b)

    EUR       2,950       3,766,191  

Egypt Government International Bond:

     

5.75%, 4/29/20

    USD       3,197       3,318,806  

8.50%, 1/31/47(b)

      831       939,921  

Hellenic Republic Government Bond(l):

     

3.00%, 2/24/23

    EUR       27       29,798  

3.00%, 2/24/24

      27       29,227  

3.00%, 2/24/25

      27       28,782  

2.00%, 2/24/26

      27       28,306  

2.00%, 2/24/27

      27       27,799  

3.00%, 2/24/28

      27       26,977  

3.00%, 2/24/29

      27       26,353  

3.00%, 2/24/30

      27       25,868  

3.00%, 2/24/31

      27       25,406  

3.00%, 2/24/32

      27       25,082  

2.00%, 2/24/33

      27       24,753  

2.00%, 2/24/34

      27       24,428  

3.00%, 2/24/35

      27       24,100  

3.00%, 2/24/36

      27       23,820  

3.00%, 2/24/37

      27       23,570  
 

 

 

58    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Foreign Agency Obligations (continued)  

Hellenic Republic Government Bond(l) (continued):

     

3.00%, 2/24/38

    EUR       27     $ 23,375  

3.00%, 2/24/39

      27       23,309  

3.00%, 2/24/40

      27       23,210  

3.00%, 2/24/41

      27       23,189  

3.00%, 2/24/42

      27       23,211  

Iceland Government International Bond, 5.88%, 5/11/22

    USD       3,415       3,883,162  

Indonesia Government International Bond, 4.75%, 1/08/26

      3,090       3,368,699  

Indonesia Treasury Bond:

     

7.88%, 4/15/19

    IDR       32,073,000       2,431,508  

11.00%, 11/15/20

      13,991,000       1,166,369  

8.38%, 9/15/26

      16,127,000       1,305,024  

Lebanon Government International Bond, 6.85%, 3/23/27

    USD       1,647       1,603,704  

Mexican Bonos, 7.50%, 6/03/27

    MXN       371       1,962,889  

Mexico Government International Bond, 4.13%, 1/21/26(c)

    USD       847       882,574  

Portugal Government International Bond, 5.13%, 10/15/24(b)

      3,680       3,895,795  

Republic of South Africa Government International Bond:

     

5.50%, 3/09/20(c)

      1,712       1,810,440  

5.88%, 5/30/22

      1,085       1,183,783  

4.88%, 4/14/26

      822       817,055  

4.85%, 9/27/27

      630       614,956  

Russian Federal Bond — OFZ:

     

6.40%, 5/27/20

    RUB       30,139       505,168  

7.05%, 1/19/28

      129,588       2,149,703  

Russian Foreign Bond — Eurobond:

     

4.88%, 9/16/23

    USD       1,000       1,087,716  

4.75%, 5/27/26

      2,800       2,955,568  

4.25%, 6/23/27

      2,000       2,038,340  

Saudi Government International Bond, 3.63%, 3/04/28(b)(c)

      532       528,010  

Slovenia Government International Bond, 5.85%, 5/10/23(b)

      766       883,422  

Sri Lanka Government International Bond, 5.88%, 7/25/22

      3,000       3,202,500  

Turkey Government Bond:

     

8.50%, 7/10/19

    TRY       2,283       566,936  

10.50%, 1/15/20

      1,141       289,871  

Turkey Government International Bond(c):

     

7.00%, 6/05/20

    USD       1,695       1,835,719  

5.63%, 3/30/21

      1,336       1,408,238  

5.13%, 3/25/22

      2,112       2,190,930  

7.38%, 2/05/25

      531       608,726  

6.00%, 3/25/27

      805       847,826  
     

 

 

 

Total Foreign Agency Obligations — 8.9%

 

      68,328,534  
     

 

 

 

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 18.1%  

American Home Mortgage Assets Trust, Series 2006-5, Class A1, (12 mo. MTA + 0.92%), 1.86%, 11/25/46(a)

      5,915       3,419,874  

CHL Mortgage Pass-Through Trust:

     

Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.24%), 1.48%, 3/25/36(a)

      10,821       9,780,268  

Series 2007-J2, Class 2A1, (1 mo. LIBOR US + 0.65%), 1.89%, 7/25/37(a)

      4,529       2,636,974  

Series 2007-J2, Class 2A8, 6.00%, 7/25/37

      2,501       1,991,123  
Security          Par
(000)
    Value  
Collateralized Mortgage Obligations (continued)  

CIM Trust, Series 2017-6, Class A1, 3.02%, 6/25/57(b)(e)

    USD       10,714     $ 10,658,935  

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 3.57%, 11/25/36(e)

      6,205       5,853,551  

Countrywide Alternative Loan Trust:

     

Series 2005-61, Class 2A1, (1 mo. LIBOR US + 0.28%), 1.52%, 12/25/35(a)

      3,105       2,950,827  

Series 2005-9CB, Class 1A3, (1 mo. LIBOR US + 0.45%), 1.69%, 5/25/35(a)

      3,638       3,231,389  

Series 2006-40T1, Class 2A5, (1 mo. LIBOR US + 0.40%), 1.64%, 12/25/36(a)

      2,550       843,140  

Series 2006-7CB, Class 2A1, 6.50%, 5/25/36

      3,023       2,233,381  

Series 2006-J7, Class 2A1, (11th District Cost of Funds + 1.50%), 2.23%, 11/20/46(a)

      6,509       4,450,434  

Series 2006-J8, Class A5, 6.00%, 2/25/37

      1,999       1,423,147  

Series 2006-OA14, Class 3A1, (12 mo. MTA + 0.85%), 1.79%, 11/25/46(a)

      9,930       8,687,986  

Series 2006-OA16, Class A2, (1 mo. LIBOR US + 0.19%), 1.43%, 10/25/46(a)

      6,723       6,392,462  

Series 2006-OA18, Class A1, (1 mo. LIBOR US + 0.12%), 1.36%, 12/25/46(a)

      4,097       3,840,333  

Series 2006-OA22, Class A1, (1 mo. LIBOR US + 0.16%), 1.40%, 2/25/47(a)

      3,848       3,689,111  

Series 2006-OA6, Class 1A1A, (1 mo. LIBOR US + 0.21%), 1.45%, 7/25/46(a)

      7,743       6,598,296  

Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.19%), 1.43%, 7/25/46(a)

      2,959       2,757,573  

Series 2007-12T1, Class A22, 5.75%, 6/25/37(c)

      5,621       4,620,565  

Series 2007-12T1, Class A5, 6.00%, 6/25/37

      2,728       2,296,665  

Series 2007-22, Class 2A16, 6.50%, 9/25/37

      9,685       6,950,108  

Series 2007-23CB, Class A1, 6.00%, 9/25/37

      7,612       6,385,488  

Series 2007-4CB, Class 1A3, (1 mo. LIBOR US + 0.35%), 1.59%, 4/25/37(a)

      4,549       3,612,563  

Series 2007-OA2, Class 1A1, (12 mo. MTA + 0.84%), 1.78%, 3/25/47(a)

      4,870       3,980,173  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.20%), 1.44%, 4/25/46(a)

      8,822       8,152,746  

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 1.83%, 5/26/37(b)(d)

      13,110       10,815,968  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 5/25/36(e)

      8,519       3,785,227  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, (1 mo. LIBOR US + 0.60%),
1.84%, 8/25/36(a)

      7,100       2,333,821  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 1.71%, 5/25/47(a)

      4,746       4,537,408  
     

 

 

 
        138,909,536  
Commercial Mortgage-Backed Securities — 3.4%  

Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2013-DSMZ, Class M, (1 mo. LIBOR + 5.69%), 6.92%, 9/15/18(a)(b)(d)

      7,500       7,499,925  

Commercial Mortgage Pass-Through Certificates(a)(b):

     

Series 2014-FL5, Class HFL1, (1 mo. LIBOR + 3.25%), 4.49%, 7/15/31(d)

      6,057       5,858,197  

Series 2014-PAT, Class E, (1 mo. LIBOR + 3.15%), 4.39%, 8/13/27

      1,000       1,015,692  

Series 2014-PAT, Class F, (1 mo. LIBOR + 2.44%), 3.68%, 8/13/27

      3,000       2,996,338  

Series 2014-PAT, Class G, (1 mo. LIBOR + 1.59%), 2.83%, 8/13/27

      2,000       1,999,420  
 

 

 

SCHEDULES OF INVESTMENTS      59  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class B, 4.88%, 7/15/37

    USD       732     $ 730,784  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class GFX, 3.38%, 12/15/34(b)(e)

      780       768,233  

Madison Avenue Trust, Series 2013-650M, Class E, 4.03%, 10/12/32(b)(e)

      5,000       4,949,699  
     

 

 

 
        25,818,288  
     

 

 

 

Total Non-Agency Mortgage-Backed Securities — 21.5%

 

    164,727,824  
     

 

 

 

Preferred Securities

 

Capital Trusts  
Auto Components — 0.1%  

General Motors Financial Co., Inc., Series A, 5.75%(e)(j)

      412       430,540  
     

 

 

 
Banks — 4.1%  

Banco Bilbao Vizcaya Argentaria SA, 8.88%(i)(j)

      200       279,564  

Banco Santander SA, 6.25%(i)(j)

      100       122,018  

BNP Paribas SA, 7.20%(b)(c)(i)(j)

      4,000       4,667,520  

Capital One Financial Corp., Series E, 5.55%(c)(i)(j)

      3,500       3,670,625  

CIT Group, Inc., Series A, 5.80%(c)(i)(j)

      567       587,554  

Citigroup, Inc.(c)(i)(j)

     

5.90%

      2,250       2,413,372  

Series P, 5.95%

      3,700       4,048,207  

Series R, 6.13%

      1,170       1,254,825  

Cooperatieve Rabobank UA, 6.63%(i)(j)

      200       270,536  

Fifth Third Bancorp, Series J, 4.90%(c)(i)(j)

      3,000       3,045,000  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 1.63%(a)(j)

      100       86,250  

Intesa Sanpaolo SpA, 7.00%(i)(j)

      234       303,184  

RZB Finance Jersey IV Ltd., 1.62%(i)(j)

      100       116,518  

Wells Fargo & Co.(c)(i)(j):

     

Series S, 5.90%

      9,010       9,879,915  

Series U, 5.88%

      770       860,860  
     

 

 

 
        31,605,948  
Capital Markets — 1.1%  

Goldman Sachs Group, Inc., Series P, 5.00%(e)(f)(j)

      910       911,138  

Morgan Stanley, Series H, 5.45%(c)(i)(j)

      5,007       5,192,259  

State Street Corp., Series F, 5.25%(c)(i)(j)

      1,875       1,975,781  

UBS Group AG, 5.75%(i)(j)

      200       270,972  
     

 

 

 
        8,350,150  
Chemicals — 0.0%  

Lanxess AG, 4.50%, 12/06/76(i)

      50       64,659  

Solvay Finance SA, 5.12%(i)(j)

      100       131,739  
     

 

 

 
        196,398  
Diversified Financial Services — 4.4%  

Bank of America Corp.(c)(i)(j):

     

Series AA, 6.10%

      3,195       3,566,419  

Series U, 5.20%

      1,750       1,824,375  

Series V, 5.13%

      705       721,744  

Series X, 6.25%

      6,175       6,877,406  

Bank of New York Mellon Corp., Series D,
4.50%(c)(i)(j)

      6,067       6,116,507  

Barclays PLC, 7.25%(i)(j)

      200       290,931  

HBOS Capital Funding LP, 6.85%(j)

      200       205,000  

HSBC Holdings PLC, 6.00%(c)(i)(j)

      695       738,437  

HSH Nordbank AG, 7.25%(j)

      35       17,412  

HT1 Funding GmbH, 1.84%(i)(j)

      30       33,372  

JPMorgan Chase & Co.(c)(i)(j):

     

Series Q, 5.15%

      5,500       5,787,375  

Series V, 5.00%

      3,830       3,948,615  
Security          Shares/Par
(000)
    Value  
Diversified Financial Services (continued)  

Royal Bank of Scotland Group PLC, 8.63%(i)(j)

    USD       200     $ 226,480  

Societe Generale SA, 6.00%(b)(c)(i)(j)

      3,000       3,078,378  
     

 

 

 
        33,432,451  
Diversified Telecommunication Services — 0.1%  

Koninklijke KPN NV, 6.13%(i)(j)

      100       122,018  

SoftBank Group Corp., 6.00%(i)(j)

      355       360,325  

Telefonica Europe BV(i)(j):

     

3.75%

      100       124,410  

4.20%

      300       371,555  
     

 

 

 
        978,308  
Electric Utilities — 1.1%  

Electricite de France SA, 5.25%(b)(c)(i)(j)

      7,500       7,809,375  

Enel SpA(i):

     

6.50%, 1/10/74

      102       127,280  

7.75%, 9/10/75

      100       152,112  

Gas Natural Fenosa Finance BV, 4.13%(i)(j)

      100       126,678  
     

 

 

 
        8,215,445  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

      100       125,396  
   

 

 

 
Food & Staples Retailing — 0.0%  

Danone SA, 1.75%(e)(j)

      100       116,996  
   

 

 

 
Industrial Conglomerates — 0.8%  

General Electric Co., Series D, 5.00%(c)(i)(j)

      5,921       6,180,044  
   

 

 

 
Insurance — 1.3%  

Allstate Corp., 5.75%, 8/15/53(c)(i)

      2,000       2,185,000  

Prudential Financial, Inc., 5.63%, 6/15/43(c)(i)

      6,000       6,519,000  

Voya Financial, Inc., 5.65%, 5/15/53(c)(i)

      1,090       1,149,950  
     

 

 

 
        9,853,950  
Oil, Gas & Consumable Fuels — 0.0%  

TOTAL SA, 3.88%(i)(j)

      100       130,768  
   

 

 

 

Total Capital Trusts — 13.0%

        99,616,394  
   

 

 

 

Preferred Stocks

     
Banks — 0.3%  

Citigroup, Inc., Series K, 6.88%(i)(j)

      75,033       2,166,750  
   

 

 

 
Capital Markets — 2.2%  

Goldman Sachs Group, Inc., Series J, 5.50%(i)(j)

      395,026       10,606,206  

Morgan Stanley(i)(j):

     

Series F, 6.88%

      100,009       2,855,000  

Series K, 5.85%

      84,337       2,276,883  

SCE Trust III, Series H, 5.75%(i)(j)

      23,738       638,100  
     

 

 

 
        16,376,189  
Real Estate Investment Trusts (REITs) — 1.8%  

Firstar Realty LLC, 8.88%(b)(j)

      10,017       12,300,000  

SunTrust Real Estate Investment Corp., 9.00%(b)(d)(j)

      31       1,707,834  
     

 

 

 
        14,007,834  
     

 

 

 

Total Preferred Stocks — 4.3%

        32,550,773  
   

 

 

 

Total Preferred Securities — 17.3%

        132,167,167  
   

 

 

 

U.S. Government Sponsored Agency Securities

 

Collateralized Mortgage Obligations — 2.8%  

Fannie Mae Connecticut Avenue Securities,
Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.25%), 5.49%, 4/25/29(a)

    USD       545       611,957  
 

 

 

60    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Shares/Par
(000)
    Value  
Collateralized Mortgage Obligations (continued)  

Freddie Mac REMICS, Series 4480, Class ZX,
4.00%, 11/15/44(c)

    USD       4,940     $ 5,173,242  

Freddie Mac Structured Agency Credit Risk Debt Notes:

     

Series 2017-DNA3, Class M2,
3.74%, 3/25/30(e)

      12,000       12,107,471  

Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.45%), 4.69%, 10/25/29(a)

      3,000       3,188,138  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 2.8%

 

    21,080,808  
   

 

 

 

Warrants — 0.0%

     
Diversified Financial Services — 0.0%                  

Aviron Capital LLC (Expires 10/20/18)(r)

      10        
     

 

 

 

Total Long-Term Investments — 158.6%
(Cost — $1,169,629,959)

 

    1,214,764,398  
   

 

 

 

Short-Term Securities — 0.0%

     

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.93%(s)(t)

      347,225       347,225  
   

 

 

 

Total Short-Term Securities — 0.0%
(Cost — $347,225)

 

    347,225  

Options Purchased — 0.0%
(Cost — $110,477)

 

    119,577  

Total Investments Before Options Written — 158.6%
(Cost — $1,170,087,661)

 

    1,215,231,200  

Options Written (Premiums Received — $72,152) — (0.0)%

 

    (104,106

Total Investments, Net of Options Written — 158.6%
(Cost — $1,170,015,509)

 

    1,215,127,094  

Liabilities in Excess of Other Assets — (58.6)%

 

    (449,267,948
   

 

 

 

Net Assets — 100.0%

      $ 765,859,146  
     

 

 

 
(a)  Floating rate security. Rate shown is the rate in effect as of period end.
(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)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(d)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(e)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(f)  When-issued security.
(g)  Amount is less than $500.
(h)  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)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(j)  Perpetual security with no stated maturity date.
(k)  Convertible security.
(l)  Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(m)  Non-income producing security.
(n)  Issuer filed for bankruptcy and/or is in default.
(o)  Variable rate security. Rate shown is the rate in effect as of period end.
(p)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(q)  Zero-coupon bond.
(r)  All or a portion of the security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(s)  Annualized 7-day yield as of period end.
 
(t)  During the year ended October 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows:

 

Affiliate Persons and/or Related Parties   Shares
Held at
10/31/16
    

Shares

Purchased

    

Shares

Sold

    Shares
Held at
10/31/17
     Value at
10/31/17
     Income      Net
Realized
Gain
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

    6,322,410               (5,975,185 )(b)      347,225      $ 347,225      $ 46,873      $ 35      $  

iShares MSCI Emerging Markets ETF

           13,000        (13,000                   2,492        15,857         
            

 

 

    

 

 

    

 

 

    

 

 

 
   $ 347,225      $ 49,365      $ 15,892      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  Represents net shares sold.  

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

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.04     01/06/17        Open      $ 382,193      $ 386,386      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.04       01/06/17        Open        267,000        269,930      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.04       01/06/17        Open        357,825        361,752      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.04       01/06/17        Open        353,350        357,227      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.04       01/06/17        Open        729,375        737,379      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.04       01/06/17        Open        508,750        514,333      Capital Trusts    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      61  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
    Face Value     Face Value
Including
Accrued Interest
    Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.59 %       01/06/17        Open     $ 463,750     $ 468,846     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       300,800       304,105     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       442,500       447,362     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       287,250       290,406     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       482,500       487,802     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       503,750       509,286     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       240,625       243,269     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       644,000       651,077     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       411,000       415,516     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       1,017,500       1,028,681     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       01/06/17        Open       253,125       255,906     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/09/17        Open       764,660       775,431     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/17/17        Open       502,848       509,814     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       736,800       746,762     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       537,600       544,911     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       693,504       702,935     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       687,608       696,959     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       1,288,064       1,305,580     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       819,400       830,543     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       01/18/17        Open       653,808       662,699     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       01/20/17        Open       403,760       409,219     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       01/20/17        Open       2,396,192       2,428,591     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       02/03/17        Open       123,975       125,528     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/03/17        Open       927,350       939,384     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/03/17        Open       487,640       493,968     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/03/17        Open       551,475       558,631     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.40       02/06/17        Open       391,050       396,157     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/06/17        Open       442,400       448,089     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/06/17        Open       1,428,430       1,446,688     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/08/17        Open       311,040       314,992     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/09/17        Open       163,400       165,482     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       02/10/17        Open       585,000       591,001     Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       02/15/17        Open       405,450       410,522     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/15/17        Open       1,578,450       1,598,196     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/15/17        Open       258,570       261,805     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/15/17        Open       397,100       402,068     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/15/17        Open       852,600       863,266     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/16/17        Open       202,364       204,887     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/23/17        Open       1,422,080       1,438,483     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       925,100       936,349     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       251,875       254,938     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       267,090       270,338     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       273,075       276,396     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       255,200       258,303     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       331,470       335,501     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       741,125       750,137     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       264,275       267,489     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       320,460       324,357     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       269,775       273,055     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       02/24/17        Open       400,200       405,066     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/01/17        Open       214,650       217,218     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/01/17        Open       260,260       263,374     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/01/17        Open       241,165       244,051     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/07/17        Open       655,200       662,836     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/07/17        Open       423,916       428,890     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/07/17        Open       1,048,381       1,060,681     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/08/17        Open       258,375       261,376     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/09/17        Open       209,125       211,530     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/10/17        Open       301,785       305,343     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/10/17        Open       293,460       296,920     Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/10/17        Open       221,610       224,223     Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open       228,000       230,656     Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open       206,000       208,400     Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open       439,000       444,023     Corporate Bonds    Open/Demand

 

 

62    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     1.95 %       03/13/17        Open      $ 167,000      $ 168,945      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        121,000        122,409      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        202,000        204,353      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        162,000        163,887      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        140,000        141,631      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        189,000        191,202      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        272,000        275,168      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/13/17        Open        237,000        239,761      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/15/17        Open        125,000        126,432      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.55       03/16/17        Open        1,753,000        1,768,628      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.55       03/16/17        Open        2,535,000        2,557,600      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.55       03/16/17        Open        2,413,000        2,434,513      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.55       03/16/17        Open        1,924,000        1,941,153      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        776,000        784,893      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        665,000        672,621      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,522,000        1,539,442      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,015,000        2,038,091      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        755,000        763,652      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,852,000        1,873,223      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,694,000        1,713,413      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,837,500        1,858,557      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,525,000        2,553,936      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        5,729,000        5,794,653      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        3,224,000        3,260,946      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        706,000        714,091      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,859,000        2,891,763      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,700,000        2,730,941      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        307,000        310,518      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        314,094        317,693      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        4,544,000        4,596,073      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,619,000        2,649,013      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        2,231,000        2,256,567      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        967,000        978,082      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        130,000        131,490      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        43,000        43,493      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,240,000        1,254,210      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,072,000        1,084,285      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        127,000        128,455      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,110,000        1,122,720      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        623,000        630,139      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        122,000        123,398      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,472,000        1,488,869      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,153,000        1,166,213      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        533,781        539,898      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        582,000        588,670      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        226,000        228,590      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        61,000        61,699      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        151,000        152,730      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        227,630        230,239      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        727,000        735,331      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        170,000        171,948      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        469,000        474,375      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        901,000        911,325      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        207,000        209,372      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        555,000        561,360      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        843,000        852,661      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,105,000        1,117,663      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        922,000        932,566      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        124,000        125,421      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,254,000        1,268,370      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        377,000        381,320      Non-Agency Mortgage-Backed Securities    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      63  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     1.95 %       03/16/17        Open      $ 1,504,000      $ 1,521,235      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,050,000        1,062,033      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/16/17        Open        1,393,000        1,408,963      Corporate Bonds    Open/Demand

UBS Ltd.

     1.75       03/16/17        Open        124,000        125,263      Corporate Bonds    Open/Demand

UBS Ltd.

     1.75       03/16/17        Open        3,266,000        3,299,272      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

     1.50       03/16/17        Open        5,250,000        5,295,135      U.S. Government Sponsored Agency Securities    Open/Demand

UBS Securities LLC

     1.50       03/16/17        Open        5,218,125        5,262,986      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.50       03/16/17        Open        6,984,375        7,044,421      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.50       03/16/17        Open        3,855,000        3,888,142      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

     1.50       03/16/17        Open        8,525,000        8,598,291      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.55       03/16/17        Open        326,700        329,613      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        3,198,125        3,230,706      Capital Trusts    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        3,399,375        3,434,006      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        2,553,750        2,579,766      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        1,180,699        1,192,727      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        775,013        782,908      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        641,331        647,865      Asset-Backed Securities    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        1,548,500        1,564,275      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        89,378        90,288      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        795,600        803,705      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        4,148,438        4,190,700      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        4,175,000        4,217,533      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        3,700,550        3,738,249      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        3,840,000        3,879,120      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        429,721        434,099      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        363,308        367,009      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        137,638        139,040      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        525,625        530,980      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        1,020,275        1,030,669      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        1,061,775        1,072,592      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        461,645        466,348      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        702,050        709,202      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        850,500        859,164      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       03/16/17        Open        2,621,250        2,647,954      Foreign Agency Obligations    Open/Demand

Barclays Capital, Inc.

     1.70       03/20/17        Open        4,637,500        4,682,522      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.75       03/20/17        Open        6,142,500        6,204,053      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       03/20/17        Open        916,300        926,914      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       03/20/17        Open        792,188        801,364      Foreign Agency Obligations    Open/Demand

Barclays Capital, Inc.

     2.00       03/20/17        Open        2,064,375        2,088,287      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.00       03/20/17        Open        1,009,613        1,021,307      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/21/17        Open        403,500        408,010      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       03/21/17        Open        2,470,000        2,492,281      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       03/21/17        Open        1,880,000        1,896,959      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/21/17        Open        113,400        114,667      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/22/17        Open        737,070        745,273      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       03/27/17        Open        719,377        727,281      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       03/31/17        Open        444,000        448,711      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/03/17        Open        165,750        167,516      Foreign Agency Obligations    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        172,713        174,520      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        339,528        343,082      Foreign Agency Obligations    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        384,100        388,121      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        210,568        212,772      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        268,800        271,614      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        440,115        444,722      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/06/17        Open        851,468        860,381      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/07/17        Open        267,800        270,553      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/11/17        Open        886,075        895,183      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/11/17        Open        1,558,588        1,574,609      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/11/17        Open        349,872        353,468      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/12/17        Open        310,000        313,157      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/12/17        Open        375,000        378,819      Corporate Bonds    Open/Demand

 

 

64    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     1.95 %       04/12/17        Open      $ 565,000      $ 570,754      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/12/17        Open        369,000        372,758      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/18/17        Open        145,000        146,443      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/19/17        Open        75,000        75,736      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       04/19/17        Open        638,550        643,597      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       04/19/17        Open        329,875        332,482      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       04/19/17        Open        229,375        231,188      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/19/17        Open        754,813        762,251      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/19/17        Open        407,138        411,150      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/19/17        Open        95,450        96,391      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/19/17        Open        177,060        178,805      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       04/20/17        Open        407,000        410,934      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/21/17        Open        218,195        220,294      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       04/24/17        Open        523,000        527,500      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/28/17        Open        2,414,100        2,436,521      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       04/28/17        Open        399,000        402,706      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/01/17        Open        574,000        579,304      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/01/17        Open        660,820        666,926      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/04/17        Open        221,000        222,990      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/05/17        Open        461,480        465,613      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/08/17        Open        477,000        481,295      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/12/17        Open        197,980        199,688      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       05/12/17        Open        167,625        168,914      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/17/17        Open        2,019,000        2,036,131      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        391,379        394,736      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        247,950        250,077      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        460,253        464,201      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        825,930        833,016      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        194,805        196,476      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        310,313        312,975      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        199,920        201,635      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/17/17        Open        453,900        457,794      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/19/17        Open        219,730        221,553      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/24/17        Open        456,981        460,849      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       05/24/17        Open        1,047,150        1,055,689      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/26/17        Open        331,000        333,621      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/31/17        Open        951,000        958,530      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/31/17        Open        876,000        882,936      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/31/17        Open        988,000        995,823      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       05/31/17        Open        1,400,000        1,411,085      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/01/17        Open        267,978        270,088      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       06/02/17        Open        310,844        312,961      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/05/17        Open        206,720        208,366      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.61       06/15/17        Open        7,862,000        7,909,467      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     (1.00     06/15/17        Open        402,000        400,459      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       06/15/17        Open        78,000        78,570      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        2,742,000        2,759,861      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       06/19/17        Open        3,209,000        3,229,903      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.50       06/19/17        Open        763,125        767,640      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        947,500        953,108      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,015,000        1,021,007      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        970,000        975,741      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        746,250        750,667      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        408,000        410,415      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        357,000        359,113      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        428,000        430,533      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,451,250        1,459,839      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        909,375        914,757      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        608,750        612,353      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,526,250        1,535,283      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        450,000        452,663      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      65  


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.59 %       06/19/17        Open      $ 522,500      $ 525,592      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        585,000        588,462      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        263,900        265,462      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,000,000        1,005,918      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        710,625        714,831      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,492,500        1,501,333      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        990,000        995,859      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        469,125        471,901      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        995,000        1,000,889      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        724,625        728,914      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        526,250        529,365      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        733,125        737,464      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        511,250        514,276      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        487,500        490,385      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,045,000        1,051,185      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        480,000        482,841      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        751,875        756,325      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        783,750        788,388      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,077,500        1,083,877      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        927,500        932,989      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        740,625        745,008      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        538,750        541,939      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        980,000        985,800      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        254,375        255,880      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        748,125        752,553      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        365,250        367,412      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        893,250        898,537      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        411,000        413,432      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,240,625        1,247,967      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,234,375        1,241,680      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        749,000        753,433      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/19/17        Open        1,052,500        1,058,729      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        136,915        137,901      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        382,800        385,578      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        349,638        352,175      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        441,788        444,994      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        288,120        290,211      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        324,870        327,228      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        390,000        392,831      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        510,000        513,023      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/19/17        Open        592,500        596,801      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.96       06/19/17        Open        288,000        289,707      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       06/21/17        Open        522,600        525,647      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        359,100        361,668      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        3,330,000        3,353,810      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        342,350        344,798      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        259,500        261,355      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        304,320        306,496      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        226,013        227,628      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        430,530        433,608      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        807,525        813,299      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        426,250        429,298      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        404,490        407,382      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        393,908        396,724      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        354,650        357,186      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        198,370        199,788      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        203,275        204,728      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        247,950        249,723      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        308,025        310,227      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/21/17        Open        274,700        276,649      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/22/17        Open        190,035        191,335      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/22/17        Open        356,150        358,585      Corporate Bonds    Open/Demand

 

 

66    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

Credit Suisse Securities (USA) LLC

     1.50 %       06/27/17        Open      $ 872,099      $ 876,650      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       06/27/17        Open        2,389,996        2,406,628      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       06/27/17        Open        3,071,819        3,093,195      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/27/17        Open        221,925        223,407      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        391,425        394,018      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        508,300        511,667      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        441,613        444,538      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        253,700        255,381      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        436,865        439,759      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        756,000        761,008      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        976,000        982,466      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        924,625        930,750      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        724,625        729,425      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        442,313        445,243      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        599,950        603,924      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        638,400        642,629      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        390,500        393,087      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        480,600        483,784      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        316,750        318,848      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        384,580        387,128      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       06/29/17        Open        658,875        663,134      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     1.75       07/05/17        Open        282,907        284,543      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/10/17        Open        171,615        172,675      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/10/17        Open        933,638        939,403      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/13/17        Open        258,635        259,857      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/14/17        Open        235,300        236,702      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/17/17        Open        328,440        330,374      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/17/17        Open        405,075        407,460      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/17/17        Open        819,533        824,359      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/17/17        Open        608,295        611,877      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/17/17        Open        476,000        478,733      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/17/17        Open        181,000        182,039      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/17/17        Open        388,000        390,228      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/17/17        Open        197,000        198,131      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/17/17        Open        192,000        193,102      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        1,494,800        1,501,798      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        1,260,800        1,266,703      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        2,322,000        2,332,871      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        404,000        405,891      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        309,225        310,673      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        675,500        678,662      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       07/17/17        Open        200,000        200,936      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        215,978        217,218      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        316,965        318,785      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        455,910        458,528      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        322,548        324,399      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        321,100        322,944      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        278,390        279,988      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        287,120        288,769      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        1,550,200        1,559,101      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        365,000        367,096      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        468,720        471,411      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        301,950        303,684      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        367,275        369,384      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        216,150        217,391      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      67  


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.95 %       07/17/17        Open      $ 279,585      $ 281,190      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        292,410        294,089      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        259,625        261,116      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        338,938        340,884      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        496,770        499,622      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        264,060        265,576      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        402,500        404,811      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        218,025        219,277      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        412,800        415,170      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        271,425        272,983      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        390,688        392,931      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        215,618        216,856      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        236,550        237,908      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        222,945        224,225      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        198,450        199,589      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        228,850        230,164      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        176,985        178,001      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        208,860        210,059      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        191,100        192,197      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        174,945        175,949      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        186,238        187,307      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        181,790        182,834      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        205,840        207,022      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        194,350        195,466      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        182,115        183,161      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        188,600        189,683      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        183,700        184,755      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        179,850        180,883      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        187,550        188,627      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        186,635        187,707      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        176,790        177,805      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        173,000        173,993      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        365,625        367,724      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/17/17        Open        2,346,500        2,359,973      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/18/17        Open        533,665        536,671      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/21/17        Open        441,180        443,546      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/24/17        Open        627,800        631,133      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/25/17        Open        184,800        185,771      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/25/17        Open        231,295        232,510      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/25/17        Open        27,440        27,584      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       07/27/17        Open        859,000        863,467      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/27/17        Open        970,180        975,067      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/27/17        Open        200,353        201,405      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/28/17        Open        233,280        234,443      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       07/28/17        Open        525,140        527,757      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/01/17        Open        238,070        239,256      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/03/17        Open        673,680        676,928      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/04/17        Open        1,448,100        1,454,846      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     0.00       08/07/17        Open        503,960        503,960      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       08/08/17        Open        162,000        162,746      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     (1.00     08/09/17        Open        247,500        246,936      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/09/17        Open        634,680        637,499      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       08/11/17        Open        174,000        174,745      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/11/17        Open        168,008        168,727      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       08/14/17        Open        331,000        332,126      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/15/17        Open        557,603        559,898      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/15/17        Open        262,238        263,317      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/18/17        Open        584,815        587,064      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/18/17        Open        219,765        220,610      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/23/17        Open        342,585        343,847      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/23/17        Open        102,555        102,933      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/24/17        Open        332,290        333,460      Corporate Bonds    Open/Demand

 

 

68    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.95 %       08/24/17        Open      $ 287,280      $ 288,354      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/28/17        Open        555,225        557,120      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/28/17        Open        141,930        142,430      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/28/17        Open        487,620        489,284      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       08/31/17        Open        1,984,073        1,990,736      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       09/05/17        Open        452,000        453,396      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       09/06/17        Open        206,000        206,614      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       09/06/17        Open        1,344,000        1,348,077      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     (1.00     09/06/17        Open        473,680        475,052      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/06/17        Open        415,680        416,918      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        402,750        403,841      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        354,780        355,741      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        791,520        793,664      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        289,325        290,109      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        174,930        175,404      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        507,000        508,373      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        952,560        955,140      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        710,145        712,068      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/12/17        Open        360,815        361,773      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       09/15/17        Open        137,544        137,872      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       09/19/17        Open        120,750        120,979      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.59       09/19/17        Open        177,225        177,562      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        146,468        146,809      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        373,065        373,934      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        138,060        138,382      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        445,200        446,237      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        564,260        565,574      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        102,060        102,298      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/19/17        Open        98,770        98,995      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       09/20/17        Open        664,000        665,475      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/20/17        Open        438,600        439,598      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/20/17        Open        337,080        337,847      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/20/17        Open        352,370        353,172      Corporate Bonds    Open/Demand

Nomura Securities International, Inc.

     0.00       09/22/17        Open        38,427        38,427      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.96       09/27/17        Open        781,000        782,403      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       09/27/17        Open        335,498        336,113      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/27/17        Open        840,745        842,293      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

     1.95       09/28/17        Open        314,070        314,631      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/28/17        Open        561,955        562,960      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       09/28/17        Open        735,300        736,614      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        890,000        891,446      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        1,420,000        1,422,308      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        1,034,000        1,035,680      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        589,000        589,957      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        1,002,000        1,003,628      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/02/17        Open        514,476        515,284      Corporate Bonds    Open/Demand

Barclays Bank PLC

     1.75       10/03/17        Open        697,191        698,140      Corporate Bonds    Open/Demand

Barclays Bank PLC

     1.75       10/03/17        Open        754,058        755,084      Corporate Bonds    Open/Demand

Barclays Bank PLC

     1.75       10/03/17        Open        434,070        434,661      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.75       10/03/17        Open        625,118        625,968      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     1.75       10/03/17        Open        834,848        835,984      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/03/17        Open        624,750        625,722      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/03/17        Open        625,056        626,029      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/03/17        Open        370,000        370,561      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/03/17        Open        461,000        461,699      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/03/17        Open        1,396,000        1,398,117      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/03/17        Open        647,000        647,981      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      69  


Consolidated Schedule of Investments  (continued)

October 31, 2017

   BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     1.95 %       10/03/17        Open      $ 884,000      $ 885,341      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/03/17        Open        520,000        520,789      Corporate Bonds    Open/Demand

UBS Ltd.

     1.60       10/03/17        Open        3,679,663        3,683,915      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     1.64       10/04/17        11/03/17        4,895,000        4,901,021      Corporate Bonds    Up to 30 Days

J.P. Morgan Securities LLC

     2.39       10/04/17        11/03/17        1,701,000        1,704,046      Corporate Bonds    Up to 30 Days

J.P. Morgan Securities LLC

     2.54       10/04/17        11/03/17        2,722,000        2,727,181      Corporate Bonds    Up to 30 Days

Barclays Capital, Inc.

     0.50       10/04/17        11/06/17        4,877,820        4,887,162      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     1.65       10/04/17        Open        733,000        733,941      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.65       10/04/17        Open        505,000        505,648      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        366,000        366,498      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        324,000        324,441      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        274,000        274,373      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        270,000        270,368      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        386,000        386,525      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        276,000        276,376      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        294,000        294,400      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        366,000        366,498      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        322,000        322,438      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        258,000        258,351      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        260,000        260,354      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.75       10/04/17        Open        318,000        318,433      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.80       10/04/17        Open        621,685        622,556      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.80       10/04/17        Open        366,000        366,512      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.80       10/04/17        Open        456,000        456,638      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/04/17        Open        1,512,000        1,514,211      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/04/17        Open        407,000        407,595      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        84,000        84,127      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        124,740        124,929      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        150,750        150,979      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        109,525        109,691      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        150,360        150,588      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        103,785        103,914      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        46,200        46,268      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        301,840        302,298      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        84,000        84,127      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        233,250        233,604      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        305,600        306,063      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        213,978        214,302      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        85,293        85,422      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        91,015        91,153      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        193,200        193,493      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        125,625        125,816      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        142,375        142,591      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        100,500        100,652      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        225,630        225,972      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        284,400        284,831      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        141,075        141,289      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        377,000        377,572      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        263,160        263,559      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        139,773        139,984      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        145,800        146,021      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        85,680        85,810      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        376,800        377,371      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        239,605        239,968      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        140,715        140,928      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        106,088        106,248      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/04/17        Open        584,040        584,926      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.65       10/04/17        Open        1,663,800        1,665,859      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        157,369        157,583      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        483,688        484,322      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        263,719        264,078      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        388,020        388,548      Corporate Bonds    Open/Demand

 

 

70    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements
 (a)

UBS Securities LLC

     1.75 %       10/04/17        Open      $ 549,203      $ 549,950      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        271,420        271,789      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        508,693        509,385      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        484,873        485,532      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        565,775        566,545      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        411,326        411,886      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/04/17        Open        135,880        136,058      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.24       10/05/17        11/06/17        828,000        829,338      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     2.39       10/05/17        11/06/17        808,000        809,393      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     2.39       10/05/17        11/06/17        1,011,000        1,012,743      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     2.39       10/05/17        11/06/17        1,011,000        1,012,743      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     2.39       10/05/17        11/06/17        806,000        807,390      Corporate Bonds    Up to 30 Days

BNP Paribas S.A.

     2.39       10/05/17        11/06/17        809,000        810,395      Corporate Bonds    Up to 30 Days

RBC Capital Markets, LLC

     1.95       10/05/17        Open        748,160        749,214      Corporate Bonds    Open/Demand

Barclays Bank PLC

     1.75       10/06/17        Open        811,175        812,043      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     1.80       10/06/17        Open        2,011,000        2,013,212      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/06/17        Open        507,211        507,831      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/06/17        Open        527,298        527,942      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/06/17        Open        511,989        512,615      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/06/17        Open        521,544        522,181      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/06/17        Open        534,644        535,297      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        71,000        71,081      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        919,000        920,095      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        925,000        926,102      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        388,000        388,462      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        184,000        184,219      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        488,000        488,582      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/06/17        Open        503,000        503,599      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/06/17        Open        37,030        37,074      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/06/17        Open        369,307        369,827      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/11/17        Open        98,400        98,507      Corporate Bonds    Open/Demand

UBS Securities LLC

     1.75       10/11/17        Open        289,575        289,744      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/12/17        Open        410,400        410,822      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        191,400        191,566      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        29,970        29,996      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        839,930        840,658      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        222,180        222,373      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        177,160        177,314      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/13/17        Open        248,460        248,675      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/16/17        Open        1,271,000        1,272,033      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/16/17        Open        338,520        338,795      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/16/17        Open        88,825        88,897      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/18/17        Open        602,530        602,954      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/18/17        Open        2,123,970        2,125,466      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/18/17        Open        204,575        204,719      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/19/17        Open        190,000        190,124      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/20/17        Open        482,220        482,455      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/20/17        Open        204,300        204,433      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/20/17        Open        283,030        283,168      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/23/17        Open        349,000        349,151      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.59       10/23/17        Open        648,600        648,858      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        845,600        846,012      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        515,225        515,476      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        384,750        384,938      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        592,775        593,064      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        564,305        564,580      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     1.95       10/23/17        Open        495,510        495,752      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      71  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
    Maturity
Date
 (a)
    Face Value     Face Value
Including
Accrued Interest
    Type of Non-Cash Underlying Collateral   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets, LLC

     1.95 %       10/23/17       Open     $ 264,283     $ 264,383     Corporate Bonds   Open/Demand

UBS Securities LLC

     1.75       10/23/17       Open       318,488       318,611     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.75       10/25/17       Open       200,000       200,058     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/25/17       Open       216,790       216,860     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     1.55       10/26/17       Open       824,038       824,250     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     1.55       10/26/17       Open       796,875       797,081     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     1.75       10/26/17       Open       437,238       437,365     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     1.75       10/26/17       Open       2,439,300       2,440,011     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/26/17       Open       417,104       417,243     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       10/26/17       Open       587,820       588,016     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/26/17       Open       657,720       657,898     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/26/17       Open       491,855       491,988     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/26/17       Open       598,920       599,115     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.00       10/27/17       Open       670,670       670,707     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.15       10/27/17       Open       798,298       798,349     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.25       10/27/17       Open       442,011       442,042     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.25       10/27/17       Open       1,059,754       1,059,827     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.35       10/27/17       Open       997,340       997,415     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

     1.95       10/27/17       Open       641,000       641,069     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.59       10/27/17       Open       447,476       447,496     Corporate Bonds   Open/Demand

UBS Securities LLC

     1.75       10/27/17       Open       1,738,275       1,738,444     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     (0.25     10/30/17       Open       43,125       43,125     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/30/17       Open       563,638       563,668     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     1.95       10/30/17       Open       615,030       615,063     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       1,305,940       1,306,041     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       421,303       421,303     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       379,148       379,148     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       299,665       299,665     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       515,790       515,790     Corporate Bonds   Open/Demand

Barclays Bank PLC

     0.00       10/31/17       Open       458,283       458,283     Corporate Bonds   Open/Demand
        

 

 

   

 

 

     
  $ 467,807,021     $ 471,082,094      
 

 

 

   

 

 

     

 

  (a)  Certain agreements have no stated maturity and can be terminated by either party at any time.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
     Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

 

Euro Bund

     2          11/24/2017      $ (a)       $ (2,495

Euro Bund

     4          11/24/2017        (a)         (5,432

Euro Bund

     10          11/24/2017        3          (3,493
               

 

 

 
       (11,420
               

 

 

 

Short Contracts

 

Euro Bund

     (10        11/24/2017        (a)         1,042  

Euro Bund

     (4        12/07/2017        758          (4,010

10-Year U.S. Treasury Note

     (3        12/19/2017        375          3,324  

10-Year U.S. Ultra Long Treasury Note

     (5        12/19/2017        670          1,166  

Long U.S. Treasury Bond

     (17        12/19/2017        2,592          33,076  

Ultra Long U.S. Treasury Bond

     (6        12/19/2017        989          11,621  

 

 

72    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Futures Contracts (continued)

 

Description    Number of
Contracts
       Expiration
Date
     Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

UK Long Gilt Bond

     (2        12/27/2017      $ 330        $ 4,686  

5-Year U.S. Treasury Note

     (15        12/29/2017        1,758          9,552  
               

 

 

 
       60,457  
    

 

 

 
     $ 49,037  
               

 

 

 

 

  (a)  Amount less than $500.  

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
CLP      668,624,580        USD      1,049,976        Credit Suisse International        11/03/17        $ 576  
CLP      339,489,540        USD      531,000        Deutsche Bank AG        11/03/17          2,411  
USD      1,062,000        CLP      668,624,580        Credit Suisse International        11/03/17          11,447  
USD      457,000        COP      1,348,378,500        Deutsche Bank AG        11/03/17          13,797  
EUR      1,222,000        USD      1,421,553        BNP Paribas S.A.        11/06/17          2,187  
EUR      3,760,774        USD      4,367,011        Citibank N.A.        11/06/17          14,627  
EUR      14,368,778        USD      16,685,025        Citibank N.A.        11/06/17          55,887  
GBP      176,000        USD      232,091        BNP Paribas S.A.        11/06/17          1,689  
GBP      1,958,000        USD      2,583,160        Citibank N.A.        11/06/17          17,649  
GBP      10,962,000        USD      14,462,002        Citibank N.A.        11/06/17          98,807  
GBP      93,000        USD      122,712        Deutsche Bank AG        11/06/17          819  
GBP      303,000        USD      399,805        Deutsche Bank AG        11/06/17          2,669  
USD      441,649        AUD      564,000        Goldman Sachs International        11/06/17          10,008  
USD      1,435,070        EUR      1,222,000        BNP Paribas S.A.        11/06/17          11,331  
USD      42,333        EUR      36,000        Citibank N.A.        11/06/17          390  
USD      4,420,376        EUR      3,760,774        Citibank N.A.        11/06/17          38,738  
USD      16,888,918        EUR      14,368,778        Citibank N.A.        11/06/17          148,006  
USD      44,935        EUR      38,000        JPMorgan Chase Bank N.A.        11/06/17          662  
USD      2,032,569        EUR      1,721,096        Morgan Stanley & Co. International PLC        11/06/17          27,338  
USD      217,337        EUR      185,000        Standard Chartered Bank        11/06/17          1,796  
USD      240,833        EUR      205,000        Standard Chartered Bank        11/06/17          1,990  
USD      235,826        GBP      176,000        BNP Paribas S.A.        11/06/17          2,045  
USD      2,631,278        GBP      1,958,000        Citibank N.A.        11/06/17          30,469  
USD      14,731,393        GBP      10,962,000        Citibank N.A.        11/06/17          170,584  
USD      124,644        GBP      93,000        Deutsche Bank AG        11/06/17          1,112  
USD      406,098        GBP      303,000        Deutsche Bank AG        11/06/17          3,623  
USD      2,267,987        GBP      1,706,479        Nomura International PLC        11/06/17          1,274  
USD      1,439,490        GBP      1,074,000        Standard Chartered Bank        11/06/17          12,898  
USD      8,198,546        MXN      150,682,000        Goldman Sachs International        11/06/17          343,158  
USD      1,419,113        RUB      81,770,000        Citibank N.A.        11/15/17          22,332  
USD      1,651,228        RUB      95,465,728        Citibank N.A.        11/15/17          20,499  
USD      1,773,675        RUB      102,545,000        Citibank N.A.        11/15/17          22,019  
USD      2,838,377        RUB      163,350,000        Citibank N.A.        11/15/17          48,060  
USD      660,000        RUB      38,374,710        JPMorgan Chase Bank N.A.        11/15/17          4,490  
USD      208,957        ZAR      2,815,977        Bank of America N.A.        11/17/17          10,313  
USD      444,579        ZAR      5,910,387        Deutsche Bank AG        11/17/17          27,650  
USD      1,043,200        ZAR      13,997,029        Deutsche Bank AG        11/17/17          55,824  
TRY      7,083,289        USD      1,847,996        Barclays Bank PLC        11/20/17          8,800  
USD      4,363,481        TRY      15,779,000        BNP Paribas S.A.        11/20/17          227,213  
USD      1,925,326        TRY      7,083,289        HSBC Bank PLC        11/20/17          68,531  
ARS      5,136,560        USD      286,000        Citibank N.A.        11/21/17          1,611  
USD      286,000        ARS      4,743,768        Citibank N.A.        11/21/17          20,382  
MXN      13,390,287        USD      695,000        Goldman Sachs International        11/22/17          1,089  
USD      377,000        IDR      5,099,679,000        HSBC Bank PLC        11/22/17          1,541  
USD      265,110        MXN      5,063,997        BNP Paribas S.A.        11/22/17          1,860  
USD      695,000        MXN      13,275,543        BNP Paribas S.A.        11/22/17          4,876  
USD      8,210,899        MXN      156,840,492        BNP Paribas S.A.        11/22/17          57,602  
USD      493,809        EUR      419,780        HSBC Bank PLC        11/27/17          4,196  

 

 

SCHEDULES OF INVESTMENTS      73  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      377,000        IDR      5,103,826,000        HSBC Bank PLC        11/29/17        $ 1,534  
EUR      650,000        USD      755,911        Deutsche Bank AG        12/05/17          2,547  
EUR      917,000        USD      1,066,416        Deutsche Bank AG        12/05/17          3,594  
USD      848,024        EUR      721,309        HSBC Bank PLC        12/11/17          6,014  
USD      702,193        IDR      9,578,619,801        Barclays Bank PLC        01/26/18          2,464  
USD      1,208,332        IDR      16,490,101,813        Citibank N.A.        01/26/18          3,710  
USD      920,880        IDR      12,576,463,555        Deutsche Bank AG        01/26/18          2,155  
USD      1,208,656        IDR      16,506,608,462        Deutsche Bank AG        01/26/18          2,828  
USD      1,437,192        IDR      19,650,724,334        Deutsche Bank AG        01/26/18          1,683  
USD      702,142        IDR      9,578,619,791        JPMorgan Chase Bank N.A.        01/26/18          2,412  
USD      1,019,436        IDR      13,872,483,856        JPMorgan Chase Bank N.A.        01/26/18          6,035  
USD      2,570,339        TRY      9,984,481        BNP Paribas S.A.        06/25/18          115,239  
USD      3,305,194        TRY      12,333,000        BNP Paribas S.A.        06/25/18          272,613  
USD      1,641,574        TRY      6,668,894        BNP Paribas S.A.        08/20/18          28,404  
USD      992,518        TRY      4,001,337        Citibank N.A.        08/20/18          24,616  
USD      1,274,854        TRY      5,136,769        Citibank N.A.        08/20/18          32,297  
                         

 

 

 
                            2,145,020  
                         

 

 

 
CLP      337,583,250        USD      531,000        Credit Suisse International        11/03/17          (583
COP      1,345,408,000        USD      457,000        Credit Suisse International        11/03/17          (14,773
USD      530,124        CLP      337,583,250        Credit Suisse International        11/03/17          (292
USD      533,118        CLP      339,489,540        Deutsche Bank AG        11/03/17          (293
USD      138,438        EUR      119,000        Citibank N.A.        11/03/17          (186
AUD      564,000        USD      443,296        State Street Bank and Trust Co.        11/06/17          (11,655
EUR      650,000        USD      763,604        Deutsche Bank AG        11/06/17          (6,296
EUR      917,000        USD      1,077,270        Deutsche Bank AG        11/06/17          (8,883
USD      754,779        EUR      650,000        Deutsche Bank AG        11/06/17          (2,529
USD      1,064,819        EUR      917,000        Deutsche Bank AG        11/06/17          (3,568
AUD      588,000        USD      459,810        Bank of America N.A.        11/08/17          (9,809
RUB      17,420,000        USD      302,667        Bank of America N.A.        11/15/17          (5,102
RUB      31,120,000        USD      541,359        Bank of America N.A.        11/15/17          (9,772
RUB      29,895,000        USD      520,112        Citibank N.A.        11/15/17          (9,451
RUB      7,635,000        USD      132,536        Credit Suisse International        11/15/17          (2,116
RUB      7,640,000        USD      132,740        Credit Suisse International        11/15/17          (2,235
RUB      15,300,000        USD      266,006        Credit Suisse International        11/15/17          (4,654
RUB      30,599,000        USD      532,573        Credit Suisse International        11/15/17          (9,887
RUB      19,173,000        USD      330,000        Deutsche Bank AG        11/15/17          (2,490
RUB      15,215,000        USD      264,853        HSBC Bank PLC        11/15/17          (4,953
RUB      21,955,000        USD      381,644        HSBC Bank PLC        11/15/17          (6,612
RUB      19,173,000        USD      330,000        JPMorgan Chase Bank N.A.        11/15/17          (2,490
RUB      14,631,000        USD      254,685        Morgan Stanley & Co. International PLC        11/15/17          (4,761
RUB      33,954,000        USD      591,070        Morgan Stanley & Co.
International PLC
       11/15/17          (11,073
ZAR      22,307,994        USD      1,614,650        Standard Chartered Bank        11/17/17          (41,003
TRY      28,000        USD      7,950        BNP Paribas S.A.        11/20/17          (610
TRY      6,662,189        USD      1,771,293        BNP Paribas S.A.        11/20/17          (24,884
TRY      3,997,313        USD      1,070,948        Citibank N.A.        11/20/17          (23,102
TRY      5,091,498        USD      1,365,013        Citibank N.A.        11/20/17          (30,340
IDR      5,074,420,000        USD      377,000        HSBC Bank PLC        11/22/17          (3,401
IDR      5,070,650,000        USD      377,000        JPMorgan Chase Bank N.A.        11/29/17          (3,974
AUD      252,000        USD      192,944        Bank of America N.A.        11/30/17          (130
CLP      371,322,000        USD      588,000        Barclays Bank PLC        11/30/17          (4,730
USD      1,423,691        EUR      1,222,000        BNP Paribas S.A.        12/05/17          (2,211
USD      4,373,517        EUR      3,760,774        Citibank N.A.        12/05/17          (14,776
USD      16,709,883        EUR      14,368,778        Citibank N.A.        12/05/17          (56,455
USD      189,968        EUR      163,000        UBS AG        12/05/17          (230
USD      200,457        EUR      172,000        UBS AG        12/05/17          (243
USD      232,272        GBP      176,000        BNP Paribas S.A.        12/05/17          (1,695
USD      128,216        GBP      97,000        Bank of America N.A.        12/05/17          (732
USD      1,423,260        GBP      1,073,550        Bank of America N.A.        12/05/17          (3,876
USD      1,804,347        GBP      1,361,000        Bank of America N.A.        12/05/17          (4,914
USD      2,585,151        GBP      1,958,000        Citibank N.A.        12/05/17          (17,738

 

 

74    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      14,473,151        GBP      10,962,000        Citibank N.A.        12/05/17        $ (99,308
USD      122,807        GBP      93,000        Deutsche Bank AG        12/05/17          (823
USD      400,114        GBP      303,000        Deutsche Bank AG        12/05/17          (2,683
USD      521,003        EUR      446,787        Bank of America N.A.        01/30/18          (2,186
USD      171,598        EUR      159,068        Citibank N.A.        02/21/18          (14,922
USD      281,504        EUR      261,840        Deutsche Bank AG        02/21/18          (25,523
USD      280,894        EUR      261,284        Morgan Stanley & Co.
International PLC
       02/21/18          (25,481
TRY      4,199,519        USD      1,089,454        BNP Paribas S.A.        06/25/18          (56,828
TRY      9,984,481        USD      2,579,469        BNP Paribas S.A.        06/25/18          (124,370
TRY      8,133,481        USD      2,042,788        Citibank N.A.        06/25/18          (42,834
TRY      28,000        USD      7,401        BNP Paribas S.A.        08/20/18          (628
TRY      15,779,000        USD      4,058,750        BNP Paribas S.A.        08/20/18          (241,894
                         

 

 

 
                            (1,006,987
                         

 

 

 
     Net Unrealized Appreciation        $ 1,138,033  
                         

 

 

 

OTC Barrier Options Purchased

 

Description    Type of Option    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Barrier
Price/Range
     Notional
Amount (000)
     Value  

Put

 

USD

                           

Currency

   Down-and-out    JPMorgan Chase Bank N.A.      720,050        11/16/17        USD       3.10        USD       2.96        720      $ 62  
                           

 

 

 

 

OTC Options Purchased

 

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
     Value  

Call

                     

USD Currency

   Deutsche Bank AG             11/17/17        MXN       18.00        USD       836      $ 52,252  

USD Currency

   Morgan Stanley & Co. International PLC             11/30/17        MXN       19.15        USD       829        12,864  
                     

 

 

 
                        65,116  
                  

 

 

 

Put

 

AUD Currency

   Deutsche Bank AG             11/06/17        USD       0.79        AUD       840        20,185  

USD Currency

   HSBC Bank PLC             11/24/17        INR       65.50        USD       833        10,037  

USD Currency

   Deutsche Bank AG             11/29/17        JPY       112.50        USD       829        4,206  

USD Currency

   Goldman Sachs International             11/29/17        MXN       18.90        USD       836        4,639  

USD Currency

   Citibank N.A.             11/30/17        ZAR       13.50        USD       558        1,739  

USD Currency

   JPMorgan Chase Bank N.A.             11/30/17        BRL       3.17        USD       558        973  

USD Currency

   Morgan Stanley & Co. International PLC             11/30/17        MXN       18.30        USD       829        574  

USD Currency

   Credit Suisse International             12/13/17        RUB       58.50        USD       650        7,745  

EUR Currency

   Deutsche Bank AG             02/15/18        TRY       4.32        EUR       696        4,301  
                     

 

 

 
                        54,399  
                     

 

 

 
   $ 119,515  
  

 

 

 

 

 

SCHEDULES OF INVESTMENTS      75  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
     Value  

Call

                     

AUD Currency

   Deutsche Bank AG             11/06/17        USD       0.81        AUD       840      $  

USD Currency

   Deutsche Bank AG             11/17/17        MXN       18.60        USD       836        (26,998

USD Currency

   HSBC Bank PLC             11/24/17        INR       66.50        USD       417        (241

USD Currency

   Morgan Stanley & Co. International PLC             11/30/17        MXN       18.60        USD       829        (29,349

USD Currency

   Goldman Sachs International             12/15/17        BRL       3.20        USD       670        (22,225

EUR Currency

   Deutsche Bank AG             02/15/18        TRY       4.50        EUR       487        (21,461
                     

 

 

 
                        (100,274
                     

 

 

 

Put

 

USD Currency

   Deutsche Bank AG             11/24/17        RUB       57.70        USD       574        (2,155

USD Currency

   Citibank N.A.             11/30/17        ZAR       13.10        USD       1,116        (747

USD Currency

   JPMorgan Chase Bank N.A.             11/30/17        BRL       3.11        USD       1,116        (480

EUR Currency

   Deutsche Bank AG             02/15/18        TRY       4.10        EUR       487        (450
                     

 

 

 
                        (3,832
                     

 

 

 
   $ (104,106
  

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing Rate
Received by the
Trust
    Payment
Frequency
   Termination
Date
     Credit
Rating
 (a)
   Notional
Amount (000) (b)
     Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Chesapeake Energy Corp.

    5.00   Quarterly      12/20/21      CCC      USD        520      $ (18,119   $ (17,948   $ (171
                  

 

 

   

 

 

   

 

 

 

 

  (a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust   

Received by the Trust

   Effective
Date
     Termination
Date
     Notional
Amount
(000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency                  
1.50%    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        02/02/19      USD     8,000      $ 19,832      $ 66      $ 19,766  
1.62    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        04/04/19      USD     7,600        11,501               11,501  
2.01    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        02/02/22      USD     15,000        12,198        181        12,017  
2.00    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        07/12/22      USD     3,000        7,177               7,177  
1.46    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        06/28/26      USD     1,427        93,438        18        93,420  
1.46    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        06/28/26      USD     357        23,340        4        23,336  
2.47    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        12/29/26      USD     3,000        (41,141      46        (41,187
2.24    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        01/19/27      USD     3,400        18,007        50        17,957  
2.42    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        04/04/27      USD     18,300        (158,753             (158,753
2.29    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        05/02/27      USD     3,000        6,276               6,276  
2.28    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        05/17/27      USD     1,700        6,603               6,603  
2.18    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        06/05/27      USD     2,300        29,521               29,521  
2.70    Semi-annual    3-Month LIBOR   

Quarterly

     N/A        04/04/47      USD     13,200        (327,495             (327,495
                      

 

 

    

 

 

    

 

 

 
   $ (299,496    $ 365      $ (299,861
     

 

 

    

 

 

    

 

 

 

OTC Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust
    Payment
Frequency
  Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

United Mexican States

     1.00   Quarterly   Citibank N.A.     06/20/20     USD     604     $ (7,324   $ 3,140     $ (10,464

United Mexican States

     1.00     Quarterly   Bank of America N.A.     09/20/20     USD     604       (7,401     4,449       (11,850

Republic of Philippines

     1.00     Quarterly   JPMorgan Chase Bank N.A.     12/20/22     USD     1,552       (29,478     (24,396     (5,082

 

 

76    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Credit Default Swaps — Buy Protection (continued)

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust
    Payment
Frequency
  Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Markit CMBX North America, Series 7

     3.00   Quarterly   Deutsche Bank AG     01/17/47     USD     25,000     $ 2,903,595     $ 1,908,692     $ 994,903  
              

 

 

   

 

 

   

 

 

 
  $ 2,859,392     $ 1,891,885     $ 967,507  
    

 

 

   

 

 

   

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Trust
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000)
 (b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Dow Jones CDX North America Investment Grade, Series 9

    5.00     Quarterly     Bank of America N.A.     12/20/17     BBB     USD       10,000     $ 129,814     $ (24,167   $ 153,981  

United Mexican States

    1.00       Quarterly     Bank of America N.A.     06/20/20     BBB+     USD       604       7,325       (3,290     10,615  

United Mexican States

    1.00       Quarterly     Citibank N.A.     09/20/20     BBB+     USD       604       7,401       4,219       3,182  

Jaguar Land Rover Automotive PLC

    5.00       Quarterly     Credit Suisse International     06/20/22     BB+     EUR       30       6,042       5,500       542  

Jaguar Land Rover Automotive PLC

    5.00       Quarterly     Barclays Bank PLC     06/20/22     BB+     EUR       20       4,028       3,640       388  

Jaguar Land Rover Automotive PLC

    5.00       Quarterly     Bank of America N.A.     12/20/22     BB+     EUR       4       797       684       113  

Jaguar Land Rover Automotive PLC

    5.00       Quarterly     JPMorgan Chase Bank N.A.     12/20/22     BB+     EUR       6       1,310       1,144       166  

Markit CMBX North America, Series 7

    3.00       Monthly     Barclays Bank PLC     01/17/47     BBB-     USD       10,000       (1,162,272     (531,471     (630,801

Markit CMBX North America, Series 7

    3.00     Monthly     Barclays Bank PLC     01/17/47     BBB-     USD       5,000       (581,136     (265,363     (315,773

Markit CMBX North America, Series 7

    3.00       Monthly     Barclays Bank PLC     01/17/47     BBB-     USD       10,000       (1,162,272     (257,359     (904,913

Markit CMBX North America, Series 8

    2.00       Monthly     Morgan Stanley & Co. International PLC     10/17/57     BBB-     USD       5,000       (220,479     (571,512     351,033  

Markit CMBX North America, Series 8

    3.00       Monthly     Goldman Sachs International     10/17/57     BBB-     USD       10,000       (1,551,207     (1,092,961     (458,246

Markit CMBX North America, Series 8

    3.00       Monthly     Deutsche Bank AG     10/17/57     BBB-     USD       10,000       (1,550,374     (1,402,822     (147,552

Markit CMBX North America, Series 9

    2.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     A-     USD       2,500       (86,910     (349,625     262,715  

Markit CMBX North America, Series 9

    2.00       Monthly     Credit Suisse International     09/17/58     A-     USD       2,500       (86,911     (353,035     266,124  

Markit CMBX North America, Series 9

    2.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     A-     USD       5,000       (173,821     (692,740     518,919  

Markit CMBX North America, Series 9

    3.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     BBB-     USD       2,500       (286,850     (565,059     278,209  

Markit CMBX North America, Series 9

    3.00       Monthly     Deutsche Bank AG     09/17/58     BBB-     USD       25,000       (2,868,501     (2,515,785     (352,716

Markit CMBX North America, Series 9

    3.00       Monthly     Goldman Sachs International     09/17/58     BBB-     USD       5,000       (573,700     (539,869     (33,831

Markit CMBX North America, Series 9

    3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD       5,000       (573,700     (555,629     (18,071

Markit CMBX North America, Series 9

    3.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     BBB-     USD       5,000       (573,700     (554,986     (18,714
               

 

 

   

 

 

   

 

 

 
  $ (11,295,116   $ (10,260,486   $ (1,034,630
               

 

 

   

 

 

   

 

 

 

 

  (a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

 

 

SCHEDULES OF INVESTMENTS      77  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Interest Rate Swaps

 

Paid by the Trust   

Received by the Trust

   Counterparty      Effective
Date
     Termination
Date
  Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate   Frequency    Rate   Frequency                    
6.26%   Monthly    1-Month MXIBTIIE   Monthly      Bank of America N.A.        06/27/16      06/15/26     MXN        38,640      $ (150,658    $      $ (150,658
                       

 

 

    

 

 

    

 

 

 

Balances reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives

 

      Swap
Premiums
Paid
       Swap
Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 365        $ (17,948      $ 227,574        $ (527,606

OTC Derivatives

   $ 1,931,468        $ (10,300,069      $ 2,840,890        $ (3,058,671

 

  (a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 64,467      $      $ 64,467  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          2,145,020                      2,145,020  

Options purchased

                    

Investments at value — unaffiliated(b)

                          119,577                      119,577  

Swaps — centrally

                    

cleared Net unrealized appreciation(a)

                                 227,574               227,574  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            4,772,358                                    4,772,358  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 4,772,358      $      $ 2,264,597      $ 292,041      $      $ 7,328,996  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 15,430      $      $ 15,430  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          1,006,987                      1,006,987  

Options written

                    

Options written at value

                          104,106                      104,106  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

            171                      527,435               527,606  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            13,208,082                      150,658               13,358,740  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 13,208,253      $      $ 1,111,093      $ 693,523      $      $ 15,012,869  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  
  (b)  Includes options purchased at value as reported in the Consolidated Schedule of Investments.  

 

 

78    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

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

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 1,177,843      $      $ 1,177,843  

Forward foreign currency exchange contracts

                          1,944,025                      1,944,025  

Options purchased(a)

                          (1,705,485                    (1,705,485

Options written

                          1,243,463                      1,243,463  

Swaps

            1,354,567                  (340,397             1,014,170  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 1,354,567      $      $ 1,482,003      $ 837,446      $      $ 3,674,016  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ (288,073    $      $ (288,073

Forward foreign currency exchange contracts

                          (1,360,212                    (1,360,212

Options purchased(b)

                          (194,981                    (194,981

Options written

                          595,148                      595,148  

Swaps

            (142,928                    (500,459             (643,387
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (142,928    $      $ (960,045    $ (788,532    $      $ (1,891,505
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Options purchased are included in net realized gain (loss) from investments.  
  (b)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments.  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 2,262,267  

Average notional value of contracts — short

   $ 57,020,290  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 144,862,528  

Average amounts sold — in USD

   $ 90,736,960  

Options:

 

Average value of option contracts purchased

   $ 172,408  

Average value of option contracts written

   $ 80,330  

Credit default swaps:

  

Average notional value-buy protection

   $ 33,463,635  

Average notional value-sell protection

   $ 94,166,590  

Interest rate swaps:

  

Average notional value — pays fixed rate

   $ 90,903,222  

Average notional value — receives fixed rate

   $ 26,707,795  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Futures contracts

   $ 1,708      $ 3,667  

Forward foreign currency exchange contracts

     2,145,020        1,006,987  

Options

     119,577 (a)       104,106  

Swaps — Centrally cleared

     2,576         

Swaps — OTC(b)

     4,772,358        13,358,740  
  

 

 

    

 

 

 

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

   $ 7,041,239      $ 14,473,500  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (4,284      (3,667
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 7,036,955      $ 14,469,833  
  

 

 

    

 

 

 

 

  (a)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments.  
  (b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.  

 

 

SCHEDULES OF INVESTMENTS      79  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received (and pledged) by the Trust:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Received
 (b)
       Cash
Collateral
Received
 (b)
       Net Amount
of Derivative
Assets
  (c)(d)
 

Bank of America N.A.

   $ 180,155        $ (180,155      $        $        $  

Barclays Bank PLC

     15,292          (15,292                           

BNP Paribas S.A.

     725,059          (453,120                          271,939  

Citibank N.A.

     782,963          (320,323                 (462,640         

Credit Suisse International

     291,934          (291,934                       

Deutsche Bank AG

     3,105,251          (3,105,251                           

Goldman Sachs International

     358,894          (358,894                           

HSBC Bank PLC

     91,853          (15,207                          76,646  

JPMorgan Chase Bank N.A.

     15,944          (15,944                           

Morgan Stanley & Co. International PLC

     1,451,652          (1,451,652                           

Nomura International PLC

     1,274                                     1,274  

Standard Chartered Bank

     16,684          (16,684                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,036,955        $ (6,224,456      $        $ (462,640      $ 349,859  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
 (e)
       Net Amount
of Derivative
Liabilities
  (d)(f)
 

Bank of America N.A.

   $ 226,486        $ (180,155      $        $        $ 46,331  

Barclays Bank PLC

     2,910,410          (15,292                 (2,830,000        65,118  

BNP Paribas S.A.

     453,120          (453,120                           

Citibank N.A.

     320,323          (320,323                           

Credit Suisse International

     961,275          (291,934                 (669,341         

Deutsche Bank AG

     4,523,027          (3,105,251                 (1,417,776         

Goldman Sachs International

     2,147,132          (358,894                 (1,788,238         

HSBC Bank PLC

     15,207          (15,207                           

JPMorgan Chase Bank N.A.

     36,422          (15,944                          20,478  

Morgan Stanley & Co. International PLC

     2,823,300          (1,451,652                 (1,371,648         

Standard Chartered Bank

     41,003          (16,684                          24,319  

State Street Bank and Trust Co.

     11,655                                     11,655  

UBS AG

     473                                     473  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 14,469,833        $ (6,224,456      $        $ (8,077,003      $ 168,374  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (c)  Net amount represents the net amount receivable from the counterparty in the event of default.  
  (d)  Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.  
  (e)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (f)  Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.  

 

 

80    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Asset-Backed Securities

   $        $ 198,061,848        $ 3,678,179        $ 201,740,027  

Common Stocks

     3,071,844                            3,071,844  

Corporate Bonds

     532,220          510,922,725                   511,454,945  

Floating Rate Loan Interests

              22,578,828          89,614,421          112,193,249  

Foreign Agency Obligations

              68,328,534                   68,328,534  

Non-Agency Mortgage-Backed Securities

              148,053,659          16,674,165          164,727,824  

Preferred Securities

     18,542,939          111,916,394          1,707,834          132,167,167  

U.S. Government Sponsored Agency Securities

              21,080,808                   21,080,808  

Short-Term Securities:

 

Money Market Funds

     347,225                            347,225  

Options Purchased:

 

Foreign currency exchange contracts

              119,577                   119,577  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 22,494,228        $ 1,081,062,373        $ 111,674,599        $ 1,215,231,200  
  

 

 

      

 

 

      

 

 

      

 

 

 
                 

Derivative Financial Instruments(a)

 

Assets:

 

Credit contracts

   $        $ 2,840,890        $        $ 2,840,890  

Foreign currency exchange contracts

              2,145,020                   2,145,020  

Interest rate contracts

     63,425          228,616               292,041  

Liabilities:

 

Credit contracts

              (2,908,184                 (2,908,184

Foreign currency exchange contracts

              (1,111,093                 (1,111,093

Interest rate contracts

     (4,010        (689,513                 (693,523
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 59,415        $ 505,736        $        $ 565,151  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.  

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements payable of $471,082,094 is categorized as Level 2 within the disclosure hierarchy.

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

 

 

SCHEDULES OF INVESTMENTS      81  


Consolidated Schedule of Investments  (continued)

October 31, 2017

  

BlackRock Multi-Sector Income Trust (BIT)

 

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

 

      Asset-Backed
Securities
       Common
Stocks
       Floating Rate
Loan
Interests
      

Non-Agency

Mortgage-

Backed

Securities

      

Preferred

Securities

       Total  

Assets:

                      

Opening balance, as of October 31, 2016

   $ 17,206,974        $ 561        $ 27,486,435        $ 24,015,689        $ 1,631,265        $ 70,340,924  

Transfers into Level 3(a)

                       497,856                            497,856  

Transfers out of Level 3(b)

     (5,160,126                 (367,669        (7,085,250                 (12,613,045

Accrued discounts/premiums

     (430,707                 39,963          227,646                   (163,098

Net realized gain (loss)

     63,475          (12,833        117,552          672,499                   840,693  

Net change in unrealized appreciation (depreciation)(c)(d)

     (371,460        8,074          6,983,089          1,274,997          76,569          7,971,269  

Purchases

              7,536          90,656,113                        90,663,649  

Sales

     (7,629,977        (3,338        (35,798,918        (2,431,416                 (45,863,649
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing Balance, as of October 31, 2017

   $ 3,678,179        $        $ 89,614,421        $ 16,674,165        $ 1,707,834        $ 111,674,599  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2017(d)

   $ (321,751      $        $ 6,775,589        $ 1,274,997        $ 76,569        $ 7,805,404  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  As of October 31, 2016, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2017, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.  
  (b)  As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2017, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.  
  (c)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (d)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at October 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.  

The following table summarizes the valuation approaches 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 period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $35,082,674. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value        Valuation
Approach
     Unobservable Inputs      Range of
Unobservable
Inputs
Utilized
      

Weighted

Average of
Unobservable
Inputs

 

Assets:

                    

Floating Rate Loan Interests

   $ 74,884,091        Income        Discount Rate (a)       5% -15%          6.54

Preferred Stocks

     1,707,834        Market        Illiquidity Discount (a)       1.6%           
  

 

 

                   
   $ 76,591,925                    
  

 

 

                   

 

  (a)  Decrease in unobservable input may result in a significant increase to value, while an increase in unobservable input may result in a significant decrease to value.  

 

 

82    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities

October 31, 2017

 

     BlackRock Credit
Allocation
Income Trust
(BTZ)
     BlackRock
Floating Rate
Income Trust
(BGT)
     BlackRock Multi-
Sector Income
Trust
(BIT) (a)
 

ASSETS

       

Investments at value — unaffiliated(b)

  $ 2,060,189,868      $ 508,582,612      $ 1,214,883,975  

Investments at value — affiliated(c)

    9,139,477        3,575,983        347,225  

Cash

           1,412,165         

Cash pledged:

       

Collateral — OTC derivatives

                  8,960,000  

Centrally cleared swaps

    437,000               2,798,590  

Futures contracts

    1,124,000               109,532  

Collateral — reverse repurchase agreements

    1,173,000                

Foreign currency at value(d)

    31,193        19,225        13,391,617  

Receivables:

       

Interest — unaffiliated

    24,816,191        1,560,148        11,887,841  

Investments sold

    1,174,949        5,746,375        5,668,335  

Variation margin on futures contracts

    119,035               1,708  

Dividends — unaffiliated

    55,842               135,806  

Dividends — affiliated

    6,743        1,308        9,473  

Reverse repurchase agreements

                  6,306,920  

Variation margin on centrally cleared swaps

                  2,576  

Swap premiums paid

    157,950        211,869        1,931,468  

Unrealized appreciation on:

       

OTC derivatives

    375,055               2,840,890  

Forward foreign currency exchange contracts

           12,290        2,145,020  

Prepaid expenses

    9,552        3,296        3,673  
 

 

 

    

 

 

    

 

 

 

Total assets

    2,098,809,855        521,125,271        1,271,424,649  
 

 

 

    

 

 

    

 

 

 

LIABILITIES

       

Bank overdraft

    40,773               86,526  

Cash received:

       

Collateral — reverse repurchase agreements

    120,000               2,298,000  

Collateral — OTC derivatives

    1,000,000               850,000  

Options written at value(e)

                  104,106  

Reverse repurchase agreements at value

    477,821,511               471,082,094  

Payables:

       

Investments purchased

    18,331,566        27,160,172        13,275,706  

Investment advisory fees

    1,077,923        312,377        836,312  

Officer’s and Trustees’ fees

    836,505        244,416        98,579  

Income dividends

    253,955        28,593        160,528  

Variation margin on centrally cleared swaps

    16,477                

Variation margin on futures contracts

    3,250               3,667  

Bank borrowings

           150,000,000         

Swaps

                   

Options written

                  12,466  

Interest expense

           256,284         

Reverse repurchase agreements

                  1,980,311  

Other accrued expenses

    329,741        193,265        411,481  

Swap premiums received

    330,804               10,300,069  

Unrealized depreciation on:

       

OTC derivatives

    613,401        36,737        3,058,671  

Forward foreign currency exchange contracts

           3,747        1,006,987  
 

 

 

    

 

 

    

 

 

 

Total liabilities

    500,775,906        178,235,591        505,565,503  
 

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 1,598,033,949      $ 342,889,680      $ 765,859,146  
 

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      83  


Statements of Assets and Liabilities  (continued)

October 31, 2017

 

    

BlackRock Credit
Allocation

Income Trust
(BTZ)

    BlackRock
Floating Rate
Income Trust
(BGT)
    BlackRock Multi-
Sector Income
Trust
(BIT) (a)
 

NET ASSETS CONSIST OF

     

Paid-in capital(f)(g)(h)

  $ 1,527,604,365     $ 367,909,606     $ 723,427,409  

Undistributed net investment income

    1,644,068       661,158       4,002,210  

Accumulated net realized loss

    (79,550,187     (26,063,653     (7,319,943

Net unrealized appreciation (depreciation)

    148,335,703       382,569       45,749,470  
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 1,598,033,949     $ 342,889,680     $ 765,859,146  
 

 

 

   

 

 

   

 

 

 

Net asset value

  $ 14.88     $ 14.49     $ 20.07  
 

 

 

   

 

 

   

 

 

 

(a)   Consolidated Statement of Assets and Liabilities.

     

(b)   Investments at cost — unaffiliated

  $ 1,913,122,858     $ 508,177,647     $ 1,169,740,436  

(c)   Investments at cost — affiliated

  $ 9,139,477     $ 3,574,217     $ 347,225  

(d)   Foreign currency at cost

  $ 29,205     $ 18,773     $ 13,433,933  

(e)   Premiums received

  $     $     $ 72,152  

(f)    Par value

  $ 0.001     $ 0.001     $ 0.001  

(g)   Shares outstanding

    107,412,104       23,667,022       38,166,751  

(h)   Shares authorized

    Unlimited       Unlimited       Unlimited  

See notes to financial statements.

 

 

84    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations

Year Ended October 31, 2017

 

     BlackRock Credit
Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income Trust
(BGT)
    BlackRock Multi-
Sector Income
Trust
(BIT)  (a)
 

INVESTMENT INCOME

     

Interest — unaffiliated

  $ 101,229,476     $ 23,040,245     $ 72,818,271  

Dividends — unaffiliated

    4,750,610       67,788       1,036,859  

Dividends — affiliated

    109,523       23,894       49,365  

Other income

          629,294       882,537  

Foreign taxes withheld

                (13,262
 

 

 

   

 

 

   

 

 

 

Total investment income

    106,089,609       23,761,221       74,773,770  
 

 

 

   

 

 

   

 

 

 

EXPENSES

     

Investment advisory

    12,703,578       3,604,552       9,434,111  

Officer and Trustees

    285,144       71,018       87,377  

Professional

    170,892       130,239       266,935  

Transfer agent

    148,914       39,948       59,502  

Accounting services

    123,365       60,643       56,145  

Custodian

    108,867       164,258       190,063  

Registration

    42,368       9,561       15,061  

Printing

    35,824       18,827       19,654  

Miscellaneous

    67,335       28,858       81,218  
 

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense

    13,686,287       4,127,904       10,210,066  

Interest expense

    5,583,609       2,447,279       6,888,624  
 

 

 

   

 

 

   

 

 

 

Total expenses

    19,269,896       6,575,183       17,098,690  

Less fees waived by the Manager

    (12,119     (2,581     (5,809

Less fees paid indirectly

    (119           (145
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    19,257,658       6,572,602       17,092,736  
 

 

 

   

 

 

   

 

 

 

Net investment income

    86,831,951       17,188,619       57,681,034  
 

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

     

Net realized gain (loss) from:

     

Investments — unaffiliated

    3,970,094       2,430,146       3,265,131  

Investments — affiliated

          2,164       15,857  

Litigation proceeds

                3,982,812  

Futures contracts

    3,274,655             1,177,843  

Forward foreign currency exchange contracts

          (156,854     1,944,025  

Foreign currency transactions

    (76     171,236       (607,012

Capital gain distributions from investment companies — affiliated

    132       11       35  

Options written

    527,246             1,243,463  

Swaps

    152,878       157,685       1,014,170  
 

 

 

   

 

 

   

 

 

 
    7,924,929       2,604,388       12,036,324  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

     

Investments — unaffiliated

    26,584,874       395,358       43,806,570  

Investments — affiliated

          (3,173      

Futures contracts

    (2,406,546           (288,073

Forward foreign currency exchange contracts

          (88,210     (1,360,212

Foreign currency translations

    2,519       (4,767     (42,147

Options written

    (272,253           595,148  

Swaps

    (286,563     (56,952     (643,387

Unfunded floating rate loan interests

          (3,211     (164,769
 

 

 

   

 

 

   

 

 

 
    23,622,031       239,045       41,903,130  
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    31,546,960       2,843,433       53,939,454  
 

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 118,378,911     $ 20,032,052     $ 111,620,488  
 

 

 

   

 

 

   

 

 

 

 

(a)  Consolidated Statement of Operations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      85  


Statements of Changes in Net Assets

 

    BlackRock Credit Allocation Income Trust (BTZ)           BlackRock Floating Rate Income Trust (BGT)  
    Year Ended October 31,           Year Ended October 31,  
     2017     2016            2017     2016  

INCREASE (DECREASE) IN NET ASSETS:

         

OPERATIONS

         

Net investment income

  $ 86,831,951     $ 95,208,614       $ 17,188,619     $ 17,555,935  

Net realized gain (loss)

    7,924,929       (36,899,948       2,604,388       (5,344,075

Net change in unrealized appreciation (depreciation)

    23,622,031       71,666,435         239,045       9,843,257  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    118,378,911       129,975,101         20,032,052       22,055,117  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

         

From net investment income

    (84,934,828     (93,623,404       (18,141,462     (16,554,797

From return of capital

    (5,757,690     (6,304,109              
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (90,692,518     (99,927,513       (18,141,462     (16,554,797
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Redemption of shares resulting from share repurchase program (including transaction costs)

    (8,822,801                    

Reinvestment of common distributions

                  54,996        
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (8,822,801             54,996        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

         

Total increase in net assets

    18,863,592       30,047,588         1,945,586       5,500,320  

Beginning of year

    1,579,170,357       1,549,122,769         340,944,094       335,443,774  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of year

  $ 1,598,033,949     $ 1,579,170,357       $ 342,889,680     $ 340,944,094  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed net investment income, end of year

  $ 1,644,068     $ 1,150,620       $ 661,158     $ 2,364,266  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

86    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Statements of Changes in Net Assets

 

    BlackRock Multi-Sector Income Trust (BIT)  
    Year Ended October 31,  
     2017     2016  

INCREASE (DECREASE) IN NET ASSETS:

   

OPERATIONS

   

Net investment income

  $ 57,681,034     $ 65,088,454  

Net realized gain (loss)

    12,036,324       (8,183,925

Net change in unrealized appreciation (depreciation)

    41,903,130       5,913,723  
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    111,620,488       62,818,252  
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

   

From net investment income

    (67,788,341     (62,868,881
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

   

Redemption of shares resulting from share repurchase program (including transaction costs)

    (4,354,046      
 

 

 

   

 

 

 

NET ASSETS

   

Total increase (decrease) in net assets

    39,478,101       (50,629

Beginning of year

    726,381,045       726,431,674  
 

 

 

   

 

 

 

End of year

  $ 765,859,146     $ 726,381,045  
 

 

 

   

 

 

 

Undistributed net investment income, end of year

  $ 4,002,210     $ 2,287,908  
 

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      87  


Statements of Cash Flows

Year Ended October 31, 2017

 

     BlackRock
Credit
Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income Trust
(BGT)
    BlackRock
Multi-Sector
Income Trust
(BIT) (a)
 

CASH PROVIDED BY OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 118,378,911     $ 20,032,052     $ 111,620,488  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

     

Proceeds from sales of long-term investments and principal paydowns

    675,500,408       318,280,049       619,364,396  

Purchases of long-term investments

    (504,952,772     (323,323,336     (630,173,552

Net proceeds from sales of short-term securities

    732,795       5,380,536       5,975,185  

Amortization of premium and accretion of discount on investments

    2,395,770       (539,171     (15,355,744

Paid-in-kind income

          (570,127     (1,459,999

Premiums paid on closing options written

    (1,733,392           (441,461

Premiums received from options written

    1,309,520             1,118,924  

Net realized gain on investments and options written

    (3,624,138     (2,432,310     (4,243,046

Net unrealized gain on investments, options written, swaps, unfunded floating rate loan interests and foreign currency translations

    (26,129,288     (243,812     (42,567,981
(Increase) decrease in assets:                  

Cash pledged:

     

Collateral — OTC derivatives

    80,000             (3,680,000

Collateral — reverse repurchase agreements

    348,000              

Futures contracts

    652,000             538,108  

Centrally cleared swaps

    (437,000           (2,741,000

Receivables:

     

Interest — unaffiliated

    2,364,101       (61,249     (1,370,365

Dividends — unaffiliated

                (19

Dividends — affiliated

    (3,386     (1,201     (6,607

Variation margin on futures contracts

    (66,222           4,792  

Variation margin on centrally cleared swaps

                (2,576

Due from broker — swap collateral

    520,000      

Swaps

                12,941  

Swap premiums paid

    112,847       (211,869     (999,145

Prepaid expenses

    686       (1,002     388  

Other assets

    217,087       29,246       48,877  
Increase (decrease) in liabilities:                  

Cash received:

     

Collateral — OTC derivatives

    (1,330,000           210,000  

Collateral — reverse repurchase agreements

    (3,512,000           (906,000

Futures contracts

                 

Centrally cleared swaps

                 

Payables:

     

Investment advisory fees

    (127,792     9,120       53,681  

Interest expense and fees

    (217,745     109,493       1,664,020  

Officer’s and Trustees’ fees

    145,144       39,429       32,169  

Variation margin on futures contracts

    (298,015           (78,125

Variation margin on centrally cleared swaps

    16,477             (2,031

Other accrued expenses

    (154,930     (76,814     (28,554

Swaps

                (201

Swap premiums received

    (240,122           5,264,205  
 

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    259,946,944       16,419,034       41,851,768  
 

 

 

   

 

 

   

 

 

 

 

(a)  Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

88    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (continued)

Year Ended October 31, 2017

 

     BlackRock
Credit
Allocation
Income Trust
(BTZ)
   

BlackRock

Floating Rate
Income Trust
(BGT)

    BlackRock
Multi-Sector
Income Trust
(BIT) (a)
 

CASH USED FOR FINANCING ACTIVITIES

     

Proceeds from bank borrowings

  $     $ 216,000,000     $  

Payments on the bank borrowings

          (214,000,000      

Cash dividends paid to Common Shareholders

    (90,732,762     (18,086,326     (67,805,814

Increase (decrease) in bank overdraft

    (91,571           86,526  

Net payments on redemption of Common Shares

    (8,822,801           (4,354,046

Net borrowing of reverse repurchase agreements

    (160,287,939           36,990,077  
 

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (259,935,073     (16,086,326     (35,083,257
 

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

     

Cash impact from foreign exchange fluctuations

  $ 2,271     $ 280     $ (60,390
 

 

 

   

 

 

   

 

 

 

CASH AND FOREIGN CURRENCY

     

Net increase in cash and foreign currency at value

    14,142       332,988       6,708,121  

Cash and foreign currency at value at beginning of year

    17,051       1,098,402       6,683,496  
 

 

 

   

 

 

   

 

 

 

Cash and foreign currency at value at end of year

  $ 31,193     $ 1,431,390     $ 13,391,617  
 

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

     

Cash paid during the year for interest expense

  $ 5,801,354     $ 2,337,786     $ 5,224,604  
 

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

     

Capital shares issued in reinvestment of distributions paid to Common Shareholders

        $ 54,996        
 

 

 

   

 

 

   

 

 

 

 

(a)  Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      89  


Financial Highlights

(For a share outstanding throughout each period)

 

    BlackRock Credit Allocation Income Trust (BTZ)  
    Year Ended October 31,  
     2017      2016      2015      2014      2013  

Net asset value, beginning of year

  $ 14.61      $ 14.33      $ 15.36      $ 14.99      $ 15.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.81        0.88        0.96        0.99        0.97  

Net realized and unrealized gain (loss)

    0.30        0.32        (1.02      0.35        (0.37
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    1.11        1.20        (0.06      1.34        0.60  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions:(b)                                  

From net investment income

    (0.79      (0.86      (0.91      (0.97      (0.98

From return of capital

    (0.05      (0.06      (0.06              
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.84      (0.92      (0.97      (0.97      (0.98
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of year

  $ 14.88      $ 14.61      $ 14.33      $ 15.36      $ 14.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of year

  $ 13.36      $ 12.87      $ 12.53      $ 13.54      $ 12.97  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(c)

             

Based on net asset value

    8.53      9.61      0.48      10.11      4.86
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    10.62      10.43      (0.33 )%       12.18      (2.01 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

             

Total expenses

    1.23      1.20      1.16      1.11      1.15 %(d) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    1.23      1.20      1.15      1.11      1.15 %(d) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.87      0.95      0.97      0.96      1.00 %(d) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    5.53      6.21      6.40      6.48      6.43
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

             

Net assets, end of year (000)

  $ 1,598,034      $ 1,579,170      $ 1,549,123      $ 1,660,442      $ 1,619,703  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of year (000)

  $ 477,822      $ 638,327      $ 685,716      $ 759,752      $ 812,028  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    25      29      19      29      43
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(d)  Includes reorganization costs associated with the Trust’s merger. 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 1.15%, 1.15% and 1.00%, respectively.

See notes to financial statements.

 

 

90    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Floating Rate Income Trust (BGT)  
    Year Ended October 31,  
     2017      2016      2015 (a)      2014 (a)      2013 (a)  

Net asset value, beginning of year

  $ 14.41      $ 14.18      $ 14.57      $ 14.79      $ 14.52  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(b)

    0.73        0.74        0.78        0.84        0.94  

Net realized and unrealized gain (loss)

    0.12        0.19        (0.36      (0.22      0.38  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase from investment operations

    0.85        0.93        0.42        0.62        1.32  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions from net investment income(c)

    (0.77      (0.70      (0.81      (0.84      (1.05
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of year

  $ 14.49      $ 14.41      $ 14.18      $ 14.57      $ 14.79  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of year

  $ 14.31      $ 13.58      $ 12.77      $ 13.18      $ 14.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

             

Based on net asset value

    6.13      7.27      3.54      4.60      9.37
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    11.21      12.25      3.08      (0.89 )%       0.60
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

             

Total expenses

    1.92      1.58      1.55      1.52      1.57
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    1.92      1.58      1.54      1.52      1.57
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense and fees, and amortization of offering costs

    1.20      1.16      1.19      1.18      1.19
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    5.02      5.29      5.37      5.71      6.39
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

             

Net assets, end of year (000)

  $ 342,890      $ 340,944      $ 335,444      $ 344,668      $ 349,941  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of year (000)

  $ 150,000      $ 148,000      $ 104,000      $ 145,000      $ 152,000  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage, end of year per $1,000

  $ 3,287      $ 3,304      $ 4,225      $ 3,377      $ 3,302  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    63      47      42      64      72
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)  Consolidated Financial Highlights.
(b)  Based on average shares outstanding.
(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      91  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BlackRock Multi-Sector Income Trust (BIT)  
    Year Ended October 31,          

Period

02/27/2013 (b)

to 10/31/2013

 
    2017 (a)     2016 (a)     2015     2014          

Net asset value, beginning of period

  $ 18.91     $ 18.91     $ 19.87     $ 18.95             $ 19.10 (c) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Net investment income(d)

    1.51       1.69       1.55       1.62         1.02  

Net realized and unrealized gain (loss)

    1.42       (0.05     (1.03     0.70         (0.35
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Net increase (decrease) from investment operations

    2.93       1.64       0.52       2.32         0.67  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 
Distributions:(e)                                    

From net investment income

    (1.77     (1.64     (1.40     (1.40       (0.70

From net realized gain

                (0.08              

From return of capital

                              (0.12
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total distributions

    (1.77     (1.64     (1.48     (1.40       (0.82
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Net asset value, end of period

  $ 20.07     $ 18.91     $ 18.91 (f)    $ 19.87       $ 18.95  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Market price, end of period

  $ 18.55     $ 16.76     $ 16.31     $ 17.79       $ 17.04  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Return(g)

           

Based on net asset value

    17.34 %(h)      10.51 %(i)      3.87 %(f)      13.40       4.04 %(j) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Based on market price

    22.36     13.56     0.06     12.91       (10.66 )%(j) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Ratios to Average Net Assets

           

Total expenses

    2.33     2.05 %(k)      2.09 %(k)      2.04       1.67 %(l) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total expenses after fees waived and paid indirectly

    2.33     2.05 %(k)      2.09 %(k)      2.04       1.67 %(l) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.39     1.43 %(k)      1.53 %(k)      1.52       1.33 %(l) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Net investment income

    7.86     9.24 %(k)      7.97 %(k)      8.27       8.05 %(l) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Supplemental Data

           

Net assets, end of period (000)

  $ 765,859     $ 726,381     $ 726,432     $ 763,360       $ 727,908  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Borrowings outstanding, end of period (000)

  $ 471,082     $ 427,329     $ 510,352     $ 707,294       $ 552,040  
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Portfolio turnover rate

    53     52     21     29       77 %(m) 
 

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

(a)  Consolidated Financial Highlights.
(b)  Commencement of operations.
(c)  Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.
(d)  Based on average shares outstanding.
(e)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(f)  For financial reporting purposes, the market value of certain investments was adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on October 31, 2015.
(g)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(h) Includes payment received from a settlement of litigation, which impacted the Fund’s total return. Excluding the payment from a settlement of litigation, the Fund’s total return is 16.70%.
(i)  Includes payment received from an affiliate, which had no impact on the Trust’s total return.
(j)  Aggregate total return.
(k)  Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the years ended October 31, 2016 and October 31, 2015.
(l)  Annualized.
(m)  Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 54%.

See notes to financial statements.

 

 

92    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements

 

1. ORGANIZATION:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Credit Allocation Income Trust

  BTZ    Delaware    Diversified

BlackRock Floating Rate Income Trust

  BGT    Delaware    Diversified

BlackRock Multi-Sector Income Trust

  BIT    Delaware    Non-diversified

The Board of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BIT include the accounts of BIT Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of BIT. The Taxable Subsidiary enables BIT to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for BIT. 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 BIT. BIT may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Subsidiary as of period end were $0, which is 0.0% of BIT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to BIT.

 

2. SIGNIFICANT ACCOUNTING POLICIES:

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

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

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

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

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

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates. The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current earnings and

 

 

NOTES TO FINANCIAL STATEMENTS      93  


Notes to Financial Statements  (continued)

 

profits. Consequently, if distributions in any tax year are less than a Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) 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 Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees 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 Trust, if applicable. Deferred compensation liabilities are included in the officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Trusts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

    Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

    Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity

 

 

94    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

    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.

 

    Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

    Futures contracts traded on exchanges are valued at their last sale price.

 

    Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

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

 

    Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include Market approach, Income approach and Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)      recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)     recapitalizations and other transactions across the capital structure; and

(iii)    market multiples of comparable issuers.

Income approach

 

(i)      future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)     quoted prices for similar investments or assets in active markets; and

(iii)    other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)      audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)     changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)    relevant news and other public sources; and

(iv)    known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

 

 

NOTES TO FINANCIAL STATEMENTS      95  


Notes to Financial Statements  (continued)

 

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

    Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

    Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

    Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

4. SECURITIES AND OTHER INVESTMENTS:

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

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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

 

 

96    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

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

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

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

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

Warrants: Warrants entitle a trust to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a trust to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a trust to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a trust’s investment policies.

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

 

 

NOTES TO FINANCIAL STATEMENTS      97  


Notes to Financial Statements  (continued)

 

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

In connection with floating rate loan interests, certain Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Trust earns 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 (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had no outstanding unfunded floating rate loan interests.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Trust borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a Trust at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Trust and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Trust may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a trust sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A trust receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a trust continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A trust may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a trust suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a trust would still be required to pay the full repurchase price. Further, a trust remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a trust would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

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

For the year ended October 31, 2017, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Trusts were as follows:

 

    

Average

Amount
Outstanding

    

Daily

Weighted

Average

Interest Rate

 

BTZ

  $ 477,170,337        1.17

BIT

    445,913,505        1.56  

Reverse repurchase transactions are entered into by a trust under Master Repurchase Agreements (each, an “MRA”), which permit a trust, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a trust. With reverse repurchase transactions, typically a trust and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a trust receives or posts securities as collateral

 

 

98    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

with a market value in excess of the repurchase price to be paid or received by a trust upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a trust is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of a Trust’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BTZ                              
Counterparty   Reverse
Repurchase
Agreements
     Fair Value of
Non-cash Collateral
Pledged Including
Accrued Interest
 (a)
    Cash Collateral
Pledged/Received
 (a)
    

Net

Amount (b)

 

BNP Paribas S.A.

  $ 99,083,565      $ (99,083,565   $         

Credit Suisse Securities (USA) LLC

    45,044,496        (45,044,496             

Deutsche Bank Securities, Inc.

    28,391,493        (28,137,822          $ 253,671  

RBC Capital Markets LLC

    288,376,838        (288,376,838             

UBS Securities LLC

    16,925,119        (16,925,119             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 477,821,511      $ (477,567,840   $      $ 253,671  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a)  Collateral with a value of $506,108,870 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (b)  Net amount represents the net amount payable due to the counterparty in the event of default.  

 

BIT                              
Counterparty   Reverse
Repurchase
Agreements
     Fair Value of
Non-cash Collateral
Pledged Including
Accrued Interest
 (a)
    Cash Collateral
Pledged/Received
 (a)
     Net
Amount
 

Barclays Bank PLC

  $ 6,080,158      $ (6,080,158   $      $  

Barclays Capital, Inc.

    25,249,042        (25,249,042             

BNP Paribas S.A.

    22,591,492        (22,591,492             

Credit Suisse Securities (USA) LLC

    19,484,682        (19,484,682             

Deutsche Bank Securities, Inc.

    106,162,326        (106,162,326             

HSBC Securities (USA), Inc.

    6,801,807        (6,801,807             

J.P. Morgan Securities LLC

    9,332,248        (9,332,248             

Nomura Securities International, Inc.

    38,427        (38,427             

RBC Capital Markets, LLC

    190,485,760        (190,485,760             

UBS Ltd.

    7,108,450        (7,108,450             

UBS Securities LLC

    77,747,702        (77,747,702             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 471,082,094      $ (471,082,094   $      $  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a)  Collateral with a value of $547,361,603 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  

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

 

5. DERIVATIVE FINANCIAL INSTRUMENTS:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

 

 

NOTES TO FINANCIAL STATEMENTS      99  


Notes to Financial Statements  (continued)

 

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

    Swaptions — Certain Trusts purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

    Foreign currency options — Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

 

    Barrier options — Certain Trusts may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC.

The Trusts may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.

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

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap,

 

 

100    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

    Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a trust is not otherwise exposed (credit risk).

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts 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 Trusts 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 — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

    Forward Swaps — Certain Trusts enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

 

    Inflation Swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index

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

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust 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 Trust 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.

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 Trusts and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts 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 Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

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

 

 

NOTES TO FINANCIAL STATEMENTS      101  


Notes to Financial Statements  (continued)

 

 

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:

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

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, BTZ and BGT each pay the Manager a monthly fee at an annual rate equal to 0.62% and 0.75%, respectively, of the average weekly value of each Trust’s managed assets. For purposes of calculating these fees, “managed assets” mean the total assets of each Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BIT pays the Manager a monthly fee at an annual rate equal to 0.80% of the average daily value of the Trust’s managed assets. For purposes of calculating this fees, “managed assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, the Trust pays the Manager based on the Trust’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.

With respect to BIT, the Manager entered into a sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager. The Manager pays BRS, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by BIT to the Manager.

Transfer Agent: Pursuant to written agreements, certain financial intermediaries, some of which may be affiliates, provide the Trusts with sub-accounting, recordkeeping, sub-transfer agency and other administrative services with respect to sub-accounts they service. For these services, these entities receive an asset-based fee or an annual fee per shareholder account, which will vary depending on share class and/or net assets.

Waivers: With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. For the year ended October 31, 2017, the amounts waived were as follows:

 

BTZ           BGT           BIT  
$ 12,119          $ 1,042          $ 4,619  

The Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee. Effective December 2, 2016, the waiver became contractual through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the year ended October 31, 2017, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

BGT           BIT  
$ 1,539          $ 1,190  

Officers and Trustees: Certain officers and/or Trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended October 31, 2017, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized
Gain
 

BIT

  $ 2,704,154      $ 1,865,556        $9,577  

 

7. PURCHASES AND SALES:

For the year ended October 31, 2017, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BTZ      BGT      BIT  

Non-U.S. Government Securities

  $ 352,627,970      $ 316,247,831      $ 627,730,986  

U.S. Government Securities

    144,260,466                
 

 

 

    

 

 

    

 

 

 

Total Purchases

  $ 496,888,436      $ 316,247,831      $ 627,730,986  
 

 

 

    

 

 

    

 

 

 
       
Sales                       

Non-U.S. Government Securities

  $ 392,110,320      $ 318,109,796      $ 612,698,839  

U.S. Government Securities

    252,157,553               3,628,739  
 

 

 

    

 

 

    

 

 

 

Total Sales

  $ 644,267,873      $ 318,109,796      $ 616,327,578  
 

 

 

    

 

 

    

 

 

 

 

 

102    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

8. INCOME TAX INFORMATION:

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust 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 Trust’s U.S. federal tax returns generally remains open for each of the four years ended October 31, 2017. The statutes of limitations on each Trust’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 Trusts as of October 31, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

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 period end, the following permanent differences attributable to foreign currency transactions, the accounting for swap agreements, the classification of investments, income recognized from pass-through entities, amortization methods on fixed income securities and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

     BTZ     BGT     BIT  

Paid-in capital

  $ (158,120,431   $ (45,385,443      

Undistributed net investment income

  $ (1,403,675   $ (750,265   $ 11,821,609  

Accumulated net realized loss

  $ 159,524,106     $ 46,135,708     $ (11,821,609

The tax character of distributions paid was as follows:

 

             BTZ      BGT      BIT  

Ordinary income

    10/31/17      $ 84,934,828      $ 18,141,462      $ 67,788,341  
    10/31/16        93,623,404        16,554,797        62,868,881  

Return of capital

    10/31/17        5,757,690                
    10/31/16        6,304,109                
    

 

 

    

 

 

    

 

 

 
    10/31/17      $ 90,692,518      $ 18,141,462      $ 67,788,341  
    

 

 

    

 

 

    

 

 

 
    10/31/16      $ 99,927,513      $ 16,554,797      $ 62,868,881  
    

 

 

    

 

 

    

 

 

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

     BTZ     BGT     BIT  

Undistributed ordinary income

        $ 990,892     $ 6,876,532  

Capital loss carryforwards

  $ (77,397,066     (26,025,533     (28,621,706

Net unrealized gains(a)

    147,826,650       14,715       64,176,911  
 

 

 

   

 

 

   

 

 

 
  $ 70,429,584     $ (25,019,926   $ 42,431,737  
 

 

 

   

 

 

   

 

 

 

 

  (a)  The difference between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the timing and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to Directors, and the classification of investments.  

As of October 31, 2017, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires October 31,   BTZ      BGT      BIT  

No expiration date(a)

  $ 35,287,068      $ 9,089,508      $ 28,621,706  

2018

    31,756,723        16,526,601         

2019

    10,353,275        409,424         
 

 

 

    

 

 

    

 

 

 
  $ 77,397,066      $ 26,025,533      $ 28,621,706  
 

 

 

    

 

 

    

 

 

 

 

  (a)  Must be utilized prior to losses subject to expiration.  

During the year ended October 31, 2017, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

     BTZ      BGT      BIT  

Amount utilized

  $ 6,098,166      $ 3,316,889      $ 6,840,798  

As of October 31, 2017, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BTZ     BGT     BIT  

Tax cost

  $ 1,922,268,364     $ 511,767,524     $ 1,149,698,944  

Gross unrealized appreciation

    159,249,930       4,384,896       82,883,111  

Gross unrealized depreciation

    (12,216,766     (4,034,917     (17,960,013
 

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 147,033,164     $ 349,979     $ 64,923,098  
 

 

 

   

 

 

   

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS      103  


Notes to Financial Statements  (continued)

 

 

9. BANK BORROWINGS:

BGT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (“the SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to BGT. As of period end, BGT has not received any notice to terminate. BGT has granted a security interest in substantially all of its assets to SSB.

The SSB Agreement allows for the following maximum commitment amount of $168,000,000.

Advances will be made by SSB to BGT, at BGT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day. 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, BGT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to BGT as of period end 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.

BGT 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 October 31, 2017, the average amount of bank borrowings and the daily weighted average interest rates for BGT for loans under the revolving credit agreements were $138,254,795 and 1.77%, respectively.

 

10. PRINCIPAL RISKS:

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) general economy; (ii) overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Trust’s prospectus provides details of the risks to which each Trust is subject.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

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 Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

 

 

104    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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

Concentration Risk: Certain Trusts may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

 

11. CAPITAL SHARE TRANSACTIONS:

The Trusts are authorized to issue an unlimited numbers of shares, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

COMMON SHARES:

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

 

     BGT  

Year Ended October 31, 2017

    3,790  

Year Ended October 31, 2016

     

For the year ended October 31, 2016, shares issued and outstanding remained constant for BTZ and BIT.

The Board previously approved each Trust’s participation in an open market share repurchase program. Each Trust is eligible to purchase, at prevailing market prices, up to 5% of their common shares outstanding as of the close of business on October 28, 2016, subject to certain conditions. Repurchases may be made through November 30, 2017. On September 6, 2017, the Board approved the renewal of this program. Commencing December 1, 2017, each Trust may purchase through November 30, 2018, up to 5% of its common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the year ended October 31, 2017, BTZ and BIT repurchased 676,066 and 254,873 shares, respectively, at a cost of $8,822,801 and $4,354,046, including transaction costs, respectively. The total amount of the repurchases offer is reflected in BTZ’s Statements of Changes in Net Assets and BIT’s Consolidated Statements of Changes in Net Assets.

 

12. SUBSEQUENT EVENTS:

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

 

     Common Dividend
Per Share
 
     Paid (a)      Declared (b)  

BTZ

  $ 0.0670        $0.0670  

BGT

    0.0583        0.0583  

BIT

    0.1167        0.1167  

 

  (a)  Net investment income dividend paid on November 30, 2017 to Common Shareholders of record on November 15, 2017.  
  (b)  Net investment income dividend declared on December 1, 2017, payable to Common Shareholders of record on December 12, 2017.  

 

 

NOTES TO FINANCIAL STATEMENTS      105  


Report of Independent Registered  Public Accounting Firm

 

To the Board of Trustees and Shareholders of

BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust and BlackRock Multi-Sector Income Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Credit Allocation Income Trust and BlackRock Floating Rate Income Trust as of October 31, 2017, and the related statements of operations and cash flows for the year then ended, the 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 statement of assets and liabilities of BlackRock Multi-Sector Income Trust (collectively with the aforementioned trusts above, the “Funds”), including the consolidated schedule of investments, as of October 31, 2017, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of two years in the period then ended, and the consolidated financial highlights for each of the 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 their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2017, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

December 21, 2017

Important Tax Information  (Unaudited)

During the fiscal year ended October 31, 2017, the following information is provided with respect to the ordinary income distributions paid by the Trusts:

 

     Payable Dates    BTZ      BGT      BIT  

Qualified Dividend Income for Individuals(a)

  November 2016 - December 2016      9.27             3.88
  January 2017      9.27             10.89
  February 2017 - October 2017      18.00             10.40

Dividends Qualifying for the Dividend Received Deduction for Corporations(a)

  November 2016 - December 2016      7.54             3.90
  January 2017      7.54             10.16
  February 2017 - October 2017      14.85             8.57

Interest-Related Dividends and Qualified Short-Term Gains for Non-U.S. Residents(b)

  November 2016 - January 2017      68.13      81.00      56.10
    February 2017 - October 2017      79.77      79.66      58.16

 

  (a)  The Funds hereby designate the percentage indicated or the maximum amount allowable by law.  
  (b)  Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.  

 

 

106    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

 

The Board of Trustees (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Credit Allocation Income Trust (“BTZ”), BlackRock Floating Rate Income Trust (“BGT”) and BlackRock Multi-Sector Income Trust (“BIT,” and together with BGT and BTZ each, a “Trust,” and collectively, the “Trusts”) met in person on April 27, 2017 (the “April Meeting”) and June 7-8, 2017 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (each, an “Advisory Agreement,” and collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Board of BIT also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock (Singapore) Limited (the “Sub-Advisor”), with respect to BIT. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreement are also referred to herein as the “Agreements.”

Activities and Composition of the Board

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

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of its Advisory Agreement, and with respect to BIT, its Sub-Advisory Agreement, on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Boards assessed, among other things, the nature, extent and quality of the services provided to the Trusts by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

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 Agreements, including the services and support provided by BlackRock to the Trusts and their shareholders. BlackRock also furnished additional information to the Boards in response to specific questions from the Boards. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to their peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trusts for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trusts; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trusts’ investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trusts’ adherence to their 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 Trusts’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trusts; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Board of each of BTZ and BGT considered BlackRock’s efforts during the past several years with regard to the redemption of outstanding auction rate preferred securities (“AMPS”). As of the date of this report, each of BTZ and BGT has redeemed all of its outstanding AMPS.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the 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 April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Trust as compared with a peer group of funds as determined by Broadridge,(a) and with respect to BTZ and BGT, a customized peer group selected by BlackRock (“Customized Peer Group”); (b) information on the profits realized by BlackRock and its affiliates pursuant to the 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, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by each Trust to BlackRock.

 

 

(a)  Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENT      107  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 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. Topics covered included:(a) fund repositionings and portfolio management changes, including additional information about the portfolio managers, research teams, organization and methods and historical track records of the teams, and the potential impact of such changes on fund performance and the costs of such changes; (b) scientific active equity management; (c) BlackRock’s option overwrite policy; (d) differences in services between closed-end funds and mutual funds; (d) market discount; and (e) adviser profitability.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2018. The Board of BIT, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to BIT, each for a one-year term ending June 30, 2018. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trusts; (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 Trusts; (d) the Trusts’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trusts; 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 other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the 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 Trusts. Throughout the year, the Boards compared the Trusts’ performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, 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 Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

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

In addition to investment advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Trusts. BlackRock and its affiliates provide the Trusts with certain administrative, shareholder, and other services (in addition to any such services provided to the Trusts by third parties) and officers and other personnel as are necessary for the operations of the Trusts. In particular, BlackRock and its affiliates provide the Trusts with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trusts; (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 Boards in their consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trusts, 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, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Boards were provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trusts’ performance. The Boards also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Trust as compared to other funds in its applicable Broadridge category, and with respect to BTZ and BGT, the Customized Peer Group. The Boards were provided with a description of the methodology used by Broadridge to select peer funds and periodically met with Broadridge representatives to review its methodology. The Boards were provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, the Boards recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Boards recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BTZ noted that for the one-, three- and five-year periods reported, BTZ ranked in the first, second and first quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for the Fund.

The Board of BGT noted that for the one-, three- and five-year periods reported, BGT ranked in the fourth, first and second quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for the Fund. The Board and BlackRock reviewed BGT’s underperformance during the one-year period. The Board was informed that, among other things, a more defensive position across both high yield and bank loans, an

 

 

108    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

underweight position in commodity-related sectors, and a focus on quality when higher risk assets outperformed were the primary detractors from performance during the one-year period. In addition, BGT’s lower relative use of leverage also detracted from performance.

The Board of BGT and BlackRock discussed BlackRock’s strategy for improving BGT’s investment performance. Discussions covered topics such as: investment risks undertaken by BGT; performance attribution; BGT’s investment personnel; and the resources appropriate to support BGT’s investment processes.

The Board of BIT noted that for the one-year, three-year and since-inception periods reported, BIT ranked in the third, second and first quartiles, respectively, against its Broadridge Performance Universe. The Board and BlackRock reviewed BIT’s underperformance during the one-year period.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. 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 and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards reviewed BlackRock’s profitability methodology and were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Trusts. The Boards reviewed BlackRock’s profitability with respect to the Trusts and other funds the Boards currently oversee for the year ended December 31, 2016 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other U.S. 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 an 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 Trusts by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Trusts and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRock’s methodology in allocating its costs of managing the Trusts, to the Trusts. The Boards may receive and review information from independent third parties as part of their annual evaluation. The Boards considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the 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 Trusts in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of BTZ noted that BTZ’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the fourth and second quartiles, respectively, relative to the Expense Peers. The Board of BTZ also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that are generally similar to BTZ. The Board of BTZ noted that BTZ’s actual management fee rate and total expense ratio each ranked in the third quartile, relative to the supplemental peer group.

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

The Board of BIT noted that BIT’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 also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that are generally similar to BIT. The Board of BIT noted that BIT’s actual management fee rate and total expense ratio ranked in the second and third quartiles, respectively, relative to the supplemental peer group.

BIT was identified by the Board as having a high total expense ratio relative to its Expense Peers. BlackRock noted that relative to the Expense Peers, BIT is notably different. It was also noted that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that are generally similar to BIT.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. Each Board considered its Trust’s asset levels and whether the current fee was appropriate.

Based on 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.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENT      109  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

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 Trusts, 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 Trusts, including for administrative, 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.

In connection with their consideration of the 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 Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

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

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2018 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to BIT, for a one-year term ending June 30, 2018. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Advisory Agreement were fair and reasonable and in the best interest of its Trust and its shareholders. In arriving at its decision to approve the Advisory Agreement for its Trust, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Trusts 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.

 

 

110    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Automatic Dividend Reinvestment Plan

 

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

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

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

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

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

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

AUTOMATIC DIVIDEND REINVESTMENT PLAN      111  


Trustee and Officer Information

 

Independent Trustees (a)
         

Name

Year of Birth (b)

  Position(s) Held
(Length of Service)
 (c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting  of Investment
Portfolios (“Portfolios”) Overseen
 (d)
  

Public Directorships

Richard E. Cavanagh

1946

 

Chair of the Board

and Trustee

(Since 2007)

   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) since 2015 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    74 RICs consisting of 74 Portfolios    None

Karen P. Robards

1950

  Vice Chair of the Board
and Trustee
(Since 2007)
   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.    74 RICs consisting of 74 Portfolios    Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

 

Trustee

(Since 2011)

   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.    74 RICs consisting of 74 Portfolios    None

Cynthia L. Egan

1955

 

Trustee

(Since 2016)

   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    74 RICs consisting of 74 Portfolios    Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

 

Trustee

(Since 2007)

   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014 and since 2016; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.    74 RICs consisting of 74 Portfolios    None

Jerrold B. Harris (e)

1942

 

Trustee

(Since 2007)

   Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited - Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) from 2000 to 2016; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.    74 RICs consisting of 74 Portfolios    BlackRock Capital Investment Corp. (business development company)

R. Glenn Hubbard

1958

 

Trustee

(Since 2007)

   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.    74 RICs consisting of 74 Portfolios    ADP (data and information services); Metropolitan Life Insurance Company (insurance)

W. Carl Kester

1951

 

Trustee

(Since 2007)

   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    74 RICs consisting of 74 Portfolios    None

Catherine A. Lynch

1961

 

Trustee

(Since 2016)

   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    74 RICs consisting of 74 Portfolios    None

 

 

112    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information  (continued)

 

Interested Trustees (f)
         

Name

Year of Birth (b)

  Position(s) Held
(Length of Service)
 (c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting  of Investment
Portfolios (“Portfolios”) Overseen
 (d)
  

Public Directorships

Barbara G. Novick

1960

 

Trustee

(Since 2015)

   Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.   

100 RICs consisting of 218 Portfolios

   None

John M. Perlowski

1964

 

Trustee

(Since 2014)

President and Chief Executive Officer

(Since 2011)

   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund & Accounting Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    127 RICs consisting of 316 Portfolios    None

(a)   The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b)   Each Independent Trustee will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding of good cause therefor.

(c)   Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Trustees as joining the Board in 2007, each Trustee first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

(d)   For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex.

(e)   Effective December 31, 2017, Jerrold B. Harris will retire as Director of the Trusts.

(f)    Ms. Novick and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trusts based on their positions with BlackRock and its affiliates. Ms. Novick and Mr. Perlowski are also board members of certain complexes of BlackRock registered open-end funds. Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex and Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex. Interested Trustees 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 Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

 

TRUSTEE AND OFFICER INFORMATION      113  


Trustee and Officer Information  (continued)

 

 

Officers Who Are Not Trustees (a)
     

Name

Year of Birth (b)

   Position(s) Held
(Length of Service)
   Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

  

Vice President

(Since 2015)

   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal J. Andrews

1966

  

Chief Financial Officer

(Since 2007)

   Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

1970

  

Treasurer

(Since 2007)

  

Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

1967

  

Chief Compliance Officer

(Since 2014)

   Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

  

Secretary

(Since 2012)

   Director of BlackRock, Inc. since 2009; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.

(a)   The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b)   Officers of the Trusts serve at the pleasure of the Board.

 

Investment Adviser   Transfer Agent
BlackRock Advisors, LLC   Computershare Trust Company, N.A.
Wilmington, DE 19809   Canton, MA 02021
 
Sub-Adviser   Independent Registered Public Accounting Firm
BlackRock (Singapore) Limited(a)   Deloitte & Touche LLP
079912 Singapore   Boston, MA 02116
 
Accounting Agent and Custodian   Legal Counsel
State Street Bank and Trust Company   Skadden, Arps, Slate, Meagher & Flom LLP
Boston, MA 02111   Boston, MA 02116
 
  Address of the Trusts
  100 Bellevue Parkway
  Wilmington, DE 19809

 

(a)  For BIT.

 

 

114    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 25, 2017 for shareholders of record on May 30, 2017, to elect director nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Shareholders elected the Class I Trustees as follows:

 

  

 

  Michael J. Castellano     R. Glenn Hubbard      W. Carl Kester  
     Votes For     Votes Withheld     Votes For     Votes Withheld      Votes For     Votes Withheld  

BTZ

    94,445,974       4,397,570       93,194,623       5,648,921        93,291,953       5,551,591  

BGT

    21,173,151       417,512       21,049,619       541,044        21,038,941       551,722  

BIT

    33,836,976       283,561       33,749,961       370,576        33,778,172       342,365  
            
  

 

     John M. Perlowski  
        Votes For     Votes Withheld  

BTZ

 

     94,527,633       4,315,911  

BGT

 

     21,158,559       432,104  

BIT

 

     33,781,684       338,853  

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Frank J. Fabozzi, Jerrold B. Harris, Catherine A. Lynch, Barbara G. Novick and Karen P. Robards.

Trust Certification

The Trusts are listed for trading on the NYSE and has filed with the NYSE its annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts 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 Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

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

Except as described below, during the period there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolio.

On October 28, 2016, BIT and BTZ announced that they had adopted a voting standard of a majority of the outstanding shares for the election of trustees in a contested election.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Trusts from time to time may purchase its common shares in the open market or in private transactions.

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

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

 

 

ADDITIONAL INFORMATION      115  


Additional Information  (continued)

 

To enroll in electronic delivery:

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

Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, 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 Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ 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 Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ 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 Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notice

BTZ’s amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of the fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

October 31, 2017

 

     Total Fiscal Year-to-Date
Cumulative Distributions by Character
    Percentage of Fiscal Year-to-Date
Cumulative Distributions by Character
 
     Net
Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common
Share
    Net
Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common
Share
 

BTZ

  $ 0.813810                 $ 0.028690     $ 0.842500       97                 3     100

The Trusts estimate that they have distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trusts are returned to the shareholder. A return of capital does not necessarily reflect the Trusts’ investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Trusts’ net asset value per share.

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at http://www.blackrock.com.

 

 

116    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

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.

 

 

ADDITIONAL INFORMATION      117  


Glossary of Terms Used in this Report

 

Portfolio Abbreviations
ARB    Airport Revenue Bonds
ARS    Auction Rate Securities
AUD    Australian Dollar
CLO    Collateralized Loan Obligation
CLP    Chilean Peso
COP    Colombian Peso
DIP    Debtor-In-Possession
EUR    Euro
EURIBOR    Euro Interbank Offered Rate
GBP    British Pound
IDR    Indonesian Rupiah
LIBOR    London Interbank Offered Rate
MTN    Medium-Term Note
MXN    Mexican Peso
OTC    Over-the-Counter
PIK    Payment-In-Kind
RB    Revenue Bonds
RUB    Russian Ruble
TRY    Turkish Lira
USD    U.S. Dollar
ZAR    South African Rand

 

 

118    2017 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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

 

LOGO

 

CE-CAFRI-3-10/17-AR   LOGO


Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to clarify an inconsistency as to whom persons covered by the code should report suspected violations of the code. The amendment clarifies that such reporting should be made to BlackRock Advisors, LLC’s (“Investment Adviser” or “BlackRock”) General Counsel, and retains the alternative option of anonymous reporting following “whistleblower” policies. Other non-material changes were also made in connection with this amendment. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

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

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

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

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

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

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

 

2


audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 – Principal Accountant Fees and Services

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

 

      (a) Audit Fees      (b) Audit-Related Fees1      (c) Tax Fees2    (d) All Other Fees
Entity Name    Current    
Fiscal Year    
End    
   Previous    
Fiscal Year    
End    
   Current    
Fiscal Year    
End    
   Previous    
Fiscal Year    
End    
   Current    
Fiscal Year    
End    
   Previous    
Fiscal Year    
End    
   Current    
Fiscal Year    
End    
   Previous    
Fiscal Year    
End     

BlackRock Credit

Allocation Income

Trust

   $44,154    $49,152    $0    $0    $22,032    $22,032    $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 and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

      Current Fiscal Year End    Previous Fiscal Year End

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2

   $0    $0

(d) All Other Fees3

   $2,129,000    $2,154,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,129,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

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

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

 

3


$50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

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

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

Entity Name   

Current Fiscal Year

End

  

Previous Fiscal Year

End

    
BlackRock Credit Allocation Income Trust    $22,032    $22,032   

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

    

Current Fiscal                

Year End                

  

Previous Fiscal                

Year End                

      
   $2,129,000                      $2,154,000                     

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

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)):

 

4


Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

 

  (b) Not Applicable

 

Item 6 – Investments

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

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

 

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

 

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

 

  (a)(1) As of the date of filing this Report:

The Fund is managed by a team of investment professionals comprised of Jeff Cucunato, Managing Director at BlackRock, Mitchell S. Garfin, Managing Director at BlackRock and Stephan Bassas, Director at BlackRock. Messrs. Cucunato, Bassas and Garfin are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s

 

5


portfolio and the selection of its investments. Messrs. Cucunato, Bassas and Garfin have been members of the Fund’s portfolio management team since 2011.

 

  Portfolio Manager

 

  

Biography

 

  Jeffrey Cucunato

 

   Managing Director of BlackRock since 2005.

  Mitchell S. Garfin

 

   Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008.

  Stephan Bassas

 

   Managing Director of BlackRock since 2017; Director of BlackRock since 2006.

(a)(2) As of October 31, 2017:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

  

Other

Registered

Investment

Companies

  

Other Pooled  

Investment  

Vehicles  

  

Other

Accounts

Jeffrey Cucunato

   5    13    71    0    0    2
     $2.75 Billion    $8.49 Billion    $39.45 Billion    $0    $0    $1.23 Billion

Mitchell Garfin

   14    12    23    0    0    4
     $25.09 Billion    $8.45 Billion    $10.41 Billion    $0    $0    $904.7 Million

Stephan Bassas

   2    13    70    0    0    1
     $426.8 Million    $8.20 Billion    $43.39 Billion    $0    $0    $620.0 Million

 

  (iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the 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

 

6


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. Bassas, Cucunato and Garfin may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Bassas, Cucunato and Garfin may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

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

(a)(3) As of October 31, 2017:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of October 31, 2017.

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

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:

 

7


Portfolio Manager    Benchmark

Jeffrey Cucunato

Stephen Bassas

   Bloomberg Barclays US Credit Index

 

Mitchell Garfin

 

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

Distribution of Discretionary Incentive Compensation.

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.

Portfolio managers generally receive deferred BlackRock, Inc. stock awards as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest ratably over a number of years and, once vested, settle in BlackRock, Inc. common stock. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align their interests with long-term shareholder interests and motivate performance. Such equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For some portfolio managers, discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

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

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

 

8


of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($270,000 for 2017). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of October 31, 2017.

 

Portfolio Manager  

Dollar Range of Equity Securities

of the Fund Beneficially Owned        

  
Jeffrey Cucunato   $100,001 - $500,000     
Mitchell Garfin   $10,001 - $50,000     
Stephan Bassas   $10,001 - $50,000     

(b) Not Applicable

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period                                   

(a) Total

Number of

Shares

Purchased

 

(b) Average

Price Paid per

Share

 

(c) Total Number of

Shares Purchased as Part

of Publicly Announced

Plans or Programs

 

(d) Maximum Number of

Shares that May Yet Be
Purchased Under the Plans

or Programs1

May 1-31, 2017   N/A   N/A   N/A   4,728,342
June 1-30, 2017   N/A   N/A   N/A   4,728,342
July 1-31, 2017   N/A   N/A   N/A   4,728,342
August 1-31, 2017   N/A   N/A   N/A   4,728,342
September 1-30, 2017       N/A   N/A   N/A   4,728,342
October 1-31, 2017   N/A   N/A   N/A   4,728,342
Total:   N/A   N/A   N/A   4,728,342

1The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund may repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (4,728,342 common shares), in open market transactions. On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, which commenced on December 1, 2017. The Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

 

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

 

Item 11 – Controls and Procedures

 

9


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

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

 

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the fiscal year ended October 31, 2017. The Fund did not engage in any securities lending activity during the fiscal year ended October 31, 2017.

 

    BlackRock Credit Allocation Income Trust           
(1)  

    Gross income from securities lending activities

              $0  
(2)  

    Fees and/or compensation for securities lending activities and related services

     
  (a)    Securities lending income paid to BIM for services as securities lending agent      $0     
  (b)   

Collateral management expenses (including fees deducted from a polled cash collateral vehicle)

not included in (a)

     $0     
  (c)    Administrative fees not included in (a)      $0     
  (d)    Indemnification fees not included in (a)      $0     
  (e)    Rebate (paid to borrowers)      $0     
  (f)    Other fees not included in (a)      $0     
(3)       Aggregate fees/compensation for securities lending activities         $0  
(4)  

    Net income from securities lending activities

              $0  

(b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

 

Item 13 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – 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 Credit Allocation Income Trust
By:    

/s/ John M. Perlowski

 
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Credit Allocation Income Trust

Date: January 5, 2018

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 Credit Allocation Income Trust

 

Date: January 5, 2018
By:    

/s/ Neal J. Andrews

 
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Credit Allocation Income Trust

Date: January 5, 2018

 

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