BLACKROCK FLOATING RATE 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: 811-21566

Name of Fund: BlackRock Floating Rate Income Trust (BGT)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate 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: 10/31/2018

Date of reporting period: 10/31/2018


Item 1 – Report to Stockholders


OCTOBER 31, 2018

 

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, 2018, ongoing strength in corporate profits drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk-taking was tempered somewhat, as shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.

In international markets, the rising value of the U.S. dollar limited U.S. investors’ returns for the reporting period. When the U.S. dollar appreciates relative to foreign currencies, the value of international investments declines in U.S. dollar terms. Volatility rose in emerging market stocks, which are relatively sensitive to changes in the U.S. dollar. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe led to negative performance for European equities.

In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased. This led to a negative return for long-term U.S. Treasuries and a substantial flattening of the yield curve. Many investors are concerned with the flattening yield curve as a harbinger of recession. However, given the extraordinary monetary measures in the last decade, we believe a more accurate barometer for the economy is the returns along the risk spectrums in stock and bond markets. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.

In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. The Fed also continued to reduce its balance sheet during the reporting period, gradually reversing the unprecedented stimulus measures it enacted after the financial crisis. We believe the Fed is likely to continue to raise interest rates in the coming year. By our estimation, the Fed’s neutral interest rate, or the theoretical rate that is neither stimulative nor restrictive to the economy, is approximately 3.0%. With that perspective, the Fed’s current policy is still mildly stimulative to the U.S. economy, which leaves room for further Fed rate hikes to arrive at monetary policy that is a neutral factor for economic growth.

The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus; unemployment declined to 3.7%, the lowest rate of unemployment in almost 50 years. The number of job openings reached a record high of more than 7 million, which exceeded the total number of unemployed workers. Strong economic performance has justified the Fed’s somewhat faster pace of rate hikes, as several inflation measures and investors’ expectations for inflation have already surpassed the Fed’s target of 2.0% per year.

While markets have recently focused on the risk of rising long-term interest rates, we continue to believe the primary risk to economic expansion is trade protectionism that could lead to slower global trade and unintended consequences for the globalized supply chain. So far, U.S. tariffs have only had a modest negative impact on economic growth, but the fear of an escalating trade war has stifled market optimism somewhat, leading to higher volatility in risk assets. The outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other nations. Easing of tensions could lead to greater upside for markets, while additional tariffs could adversely affect investor sentiment.

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, 2018
     6-month   12-month

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

  3.40%   7.35%

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

  (1.37)   1.85

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

  (9.92)   (6.85)

Emerging market equities
(MSCI Emerging Markets Index)

  (16.53)   (12.52)

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.99   1.68

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  (0.60)   (4.37)

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

  (0.19)   (2.05)

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

  0.45   (0.31)

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

  1.14   0.98
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

     107  

Important Tax Information

     107  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

     108  

Automatic Dividend Reinvestment Plan

     112  

Trustee and Officer Information

     113  

Additional Information

     116  

Glossary of Terms Used in this Report

     118  

 

 

 

 

          3  


Trust Summary  as of October 31, 2018    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, 2018 ($11.72)(a)

  6.86%

Current Monthly Distribution per Common Share(b)

  $0.0670

Current Annualized Distribution per Common Share(b)

  $0.8040

Economic Leverage as of October 31, 2018(c)

  33%

 

  (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

 

     10/31/18      10/31/17      Change      High      Low  

Market Price

  $ 11.72      $ 13.36        (12.28 )%     $ 13.51      $ 11.65  

Net Asset Value

    13.72        14.88        (7.80      14.92        13.71  

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

 

LOGO

 

 

4    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2018 (continued)    BlackRock Credit Allocation Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended October 31, 2018 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      (1.72 )%       5.35      5.30

Trust at Market Price(a)(b)

      (6.49      4.53        5.01  

Reference Benchmark(c)

      (1.78      3.82        3.69  

Bloomberg Barclays U.S. Credit Index(d)

      (2.81      2.34        2.81  

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

      0.98        6.60        4.69  

Bloomberg Barclays USD Capital Securities Index(f)

            (3.29      3.35        4.32  

 

  (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 widened 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.

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?

The Trust’s small allocation to emerging market-related debt had a negative impact on performance as rising interest rates, a strengthening U.S. dollar and idiosyncratic events weighed on the asset class. Additionally, the Trust’s allocations to European investment grade and high yield corporate debt detracted, with exposure to the banking sector weighing most heavily on return.

The Trust’s allocation to U.S. high yield corporate bonds helped performance as a positive technical backdrop supported the asset class amid volatility in other credit markets. An allocation to collateralized loan obligations (“CLOs”) also added to performance as the asset class benefited from rising short-term rates and investor appetite for floating rate debt. Positioning with respect to overall portfolio duration (and corresponding sensitivity to interest rate changes) was positive for performance as well, as the Trust had a relatively short duration in a period of rising rates.

Describe recent portfolio activity.

Over the period, the Trust’s out-of-benchmark exposure to CLOs was increased in order to benefit from demand for floating rate products in a rising rate environment. Additionally, the Trust increased its exposure to U.S. high yield corporate bonds over the period with an emphasis on the technology and energy sectors, as strong credit fundamentals and an improved technical backdrop have supported the asset class.

The Trust utilized derivatives including financial futures over the period in order to manage interest rate risk in the portfolio. The use of derivatives had a positive impact on performance.

Describe portfolio positioning at period end.

The Trust was positioned with a constructive view on credit as growth remained strong and corporate fundamentals remained healthy, although increased downside risks led the investment adviser to adopt a slightly more cautious stance. The Trust maintained an underweight position with respect to duration (and interest rate sensitivity) on the view that rates could continue to rise, along with an allocation to CLOs, which benefit from rising short-term rates. The largest overweight positions were to banks within financials and to midstream energy and telecommunication services companies within industrials. The Trust was underweight in sectors viewed as facing structural challenges such as retailers and life insurance companies.

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, 2018 (continued)    BlackRock Credit Allocation Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     10/31/18     10/31/17  

Corporate Bonds

    74     73

Preferred Securities

    17       19  

Asset-Backed Securities

    6       3  

U.S. Treasury Obligations

          1  

Foreign Agency Obligations

    2       2  

Municipal Bonds

    1       1  

Other

    (a)       1 (b)  

 

  (a)

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

 
  (b) 

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.

 

CREDIT QUALITY ALLOCATION (c)(d)

 

     10/31/18     10/31/17  

AAA/Aaa(e)

    1     2

AA/Aa

    2       3  

A

    18       16  

BBB/Baa

    50       51  

BB/Ba

    17       19  

B

    10       8  

CCC/Caa

    2       1  

CC/Ca(f)

           

 

  (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    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2018    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, 2018 ($12.72)(a)

  5.83%

Current Monthly Distribution per Common Share(b)

  $0.0618

Current Annualized Distribution per Common Share(b)

  $0.7416

Economic Leverage as of October 31, 2018(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.

 
  (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

 

     10/31/18      10/31/17      Change      High      Low  

Market Price

  $ 12.72      $ 14.31       
(11.11
)% 
   $ 14.32      $ 12.72  

Net Asset Value

    14.33        14.49        (1.10      14.54        14.29  

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

 

LOGO

 

 

TRUST SUMMARY      7  


Trust Summary  as of October 31, 2018 (continued)    BlackRock Floating Rate Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended October 31, 2018 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      4.25      5.87      5.15

Trust at Market Price(a)(b)

      (6.30      5.37        3.63  

S&P/LSTA Leveraged Loan Index(c)

            4.54        5.37        3.97  

 

  (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 widened 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.

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?

From a sector perspective, the technology, health care and consumer cyclical services sectors were the largest contributors to the Trust’s performance. By credit rating, B-rated positions were the largest contributors to performance, followed by BB-rated and CCC-rated positions. In terms of asset allocation, contributions to performance were led by floating rate loan interests (“bank loans”), followed by high yield bonds and collateralized loan obligations (“CLOs”).

On the downside, at the sector level, wireless, banking and integrated energy holdings were the largest detractors from the Trust’s performance. There were no detractors from a credit rating perspective. Small positions in high yield credit default swaps and bank loan index products detracted slightly as well.

Describe recent portfolio activity.

The majority of the Trust was invested in B-rated bank loans over the 12-month period, with BB-rated names as the second largest allocation. Over the period, the Trust decreased its position in BB-rated loans in favor of B-rated positions. Additionally, the Trust trimmed its small CCC-rated allocation. On a sector basis, the Trust reduced its allocation to the communications space, particularly with respect to cable & satellite and wireless companies. The Trust also decreased its allocation to the gaming sector and continued to avoid cyclical sectors such as retailers and leisure. The Trust reduced its high yield bond exposure over the period and increased its allocation to CLOs.

Describe portfolio positioning at period end.

At period end, the Trust held the majority of its portfolio in floating rate bank loans, along with modest allocations to high yield bonds and CLOs. 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 health care, technology and pharmaceuticals issuers. By contrast, the Trust was underweight in the broad consumer cyclicals space, particularly to retailers, automotive and leisure issuers. Within energy, the Trust was focused on higher-quality issuers within the independent energy segment as opposed to the potentially more volatile oil field services space. The Trust remained focused on industries and companies with stable business profiles and consistent cash flows, while avoiding areas of the market with secular concerns and/or deteriorating fundamental trends.

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

 

 

8    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2018 (continued)    BlackRock Floating Rate Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     10/31/18     10/31/17  

Floating Rate Loan Interests

    92     93

Asset-Backed Securities

    5       1  

Corporate Bonds

    2       5  

Investment Companies

    1       (a)  

Other

    (b)       1 (b)  

 

  (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.

 

CREDIT QUALITY ALLOCATION (c)(d)

 

     10/31/18     10/31/17  

AA/Aa

    1     (a)

A

    1       1  

BBB/Baa

    10       8  

BB/Ba

    39       42  

B

    43       42  

CCC/Caa

    3       3  

N/R

    3       4  

 

  (c) 

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.

 
  (d) 

Excludes Short-Term Securities and Options Purchased.

 
 

 

 

TRUST SUMMARY      9  


Trust Summary  as of October 31, 2018    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 a 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, 2018 ($16.25)(a)

  8.62%

Current Monthly Distribution per Common Share(b)

  $0.1167

Current Annualized Distribution per Common Share(b)

  $1.4004

Economic Leverage as of October 31, 2018(c)

  35%

 

  (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

 

     10/31/18      10/31/17      Change      High      Low  

Market Price

  $ 16.25      $ 18.55        (12.40 )%     $ 18.59      $ 16.18  

Net Asset Value

    18.79        20.07        (6.38      20.09        18.68  

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

 

LOGO

 

 

10    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of October 31, 2018 (continued)    BlackRock Multi-Sector Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended October 31, 2018 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      2.18      9.95      9.31

Trust at Market Price(a)(b)

      (4.40      9.93        8.46  

Lipper General Bond Funds at NAV(c)

      3.21        7.21        6.07  

Lipper General Bond Funds at Market Price(c)

            (0.36      9.10        6.67  

 

  (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 widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

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.

 

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 asset-backed securities (“ABS”), senior loans, commercial mortgage-backed securities (“CMBS”), and non-agency mortgage-backed securities (“MBS”) were the largest contributors to Trust performance for the period. Allocations to collateralized loan obligations and high yield corporate issues also contributed.

The Trust’s allocation to sovereign plus securities represented the largest detractor from performance during the period. Holdings in investment grade corporate securities, capital securities and emerging market issues also detracted from returns.

For the period, the Trust held derivatives including interest rate swaps and futures as part of its investment strategy. Interest rate derivatives were utilized to manage duration (sensitivity to interest rates) and to express views on swap spreads. The use of these derivative securities had a positive impact on performance during the period.

Describe recent portfolio activity.

At the start of the 12-month period, the Trust was positioned to benefit from a generally supportive market environment for risk assets given synchronized global growth, low volatility and robust economic data, particularly in the United States. As market volatility began to pick up over the course of the period, the Trust’s positioning shifted to a more defensive posture, and the investment adviser began to focus on allocating to more liquid sectors within the fixed income market. In addition, the Trust’s allocation to emerging market debt was reduced as the segment came under pressure in the latter half of the period due to a stronger U.S. dollar, heightened political uncertainty and global trade tensions. Securitized sectors had been resilient despite broad market volatility, but given that spreads in many areas of the securitized market were at their narrowest levels since the 2008 financial crisis, the Trust reduced its allocations to ABS and CMBS. As valuations improved based on waning demand from banks and overseas investors, the Trust rotated into sectors such as agency MBS. The Trust also added some exposure to U.S. Treasuries. The Trust’s duration was reduced over the period, as the investment adviser believed that a combination of increased U.S. Treasury issuance and monetary policy tightening by global central banks would continue to push rates higher.

Describe portfolio positioning at period end.

At period end, the Trust maintained diversified exposure mainly across non-government spread sectors including securitized products, high yield and investment-grade corporate issues, and emerging market debt.

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

 

 

TRUST SUMMARY      11  


Trust Summary  as of October 31, 2018 (continued)    BlackRock Multi-Sector Income Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     10/31/18     10/31/17  

Corporate Bonds

    42     42

Asset-Backed Securities

    15       17  

Non-Agency Mortgage-Backed Securities

    11       13  

Preferred Securities

    11       11  

Foreign Agency Obligations

    10       6  

Floating Rate Loan Interests

    6       9  

U.S. Government Sponsored Agency Securities

    3       2  

Short-Term Securities

    2       (a)  

Other

    (b)       (c)  

 

  (a) 

Represents less than 1% of total investments.

 
  (b) 

Includes a less than 1% holding in Common Stocks.

 
  (c) 

Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased and Options Written.

 

CREDIT QUALITY ALLOCATION (d)(e)

 

     10/31/18     10/31/17  

AAA/Aaa(f)

    2     %(a) 

AA/Aa

    7       1  

A

    5       5  

BBB/Baa

    18       16  

BB/Ba

    20       29  

B

    17       18  

CCC/Caa

    7       16  

CC/Ca

    8       (a)  

C

    4       4  

N/R

    12       11  

 

  (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    2018 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, there is no guarantee that these objectives can 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 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 1/3% 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 assets 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 of 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, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities — 8.6%

 

Allegro CLO II-S Ltd., Series 2014-1RA, Class B, 4.30%, 10/21/28(a)(b)

    USD       500     $ 499,729  

Allegro CLO VI Ltd., Series 2017-2A(a)(b):

     

Class B, 3.95%, 01/17/31

      360       355,441  

Class C, 4.25%, 01/17/31

      2,400       2,381,761  

Class D, 5.20%, 01/17/31

      1,300       1,280,475  

ALM VI Ltd., Series 2012-6A, Class BR3, 4.19%, 07/15/26(a)(b)

      1,500       1,483,899  

ALM VII R Ltd., Series 2013-7R2A(a)(b):

     

Class A2R2, 4.09%, 10/15/27

      750       749,907  

Class BR2, 4.64%, 10/15/27

      400       399,759  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A(a)(b):

     

Class BR2, 4.34%, 07/15/27

      1,000       996,541  

Class CR2, 5.14%, 07/15/27

      1,000       983,157  

AMMC CLO 22 Ltd., Series 2018-22A, Class D, 5.19%, 04/25/31(a)(b)

      1,000       988,193  

AMMC CLO XII Ltd., Series 2013-12A, Class CR, 4.24%, 11/10/30(a)(b)

      1,500       1,480,772  

Anchorage Capital CLO Ltd.(a)(b):

     

Series 2013-1A, Class BR, 4.59%, 10/13/30

      1,000       1,000,414  

Series 2014-3RA, Class C, 4.36%, 01/28/31

      1,000       983,739  

Series 2014-3RA, Class D, 5.11%, 01/28/31

      1,000       985,622  

Series 2015-7A, Class CR, 4.14%, 10/15/27

      1,750       1,735,710  

Series 2015-7A, Class DR, 5.14%, 10/15/27

      1,000       998,669  

Apidos CLO XV, Series 2013-15A(a)(b):

     

Class CRR, 4.32%, 04/20/31

      1,000       991,423  

Class DRR, 5.17%, 04/20/31

      1,000       977,885  

Apidos CLO XX, Series 2015-20A, Class BRR, 4.39%, 07/16/31(a)(b)

      1,000       991,823  

Ares CLO Ltd.(a)(b):

     

3.94%, 10/15/30

      1,000       992,891  

4.24%, 10/15/30

      1,750       1,737,657  

Ares XLIX CLO Ltd., Series 2018-49A, Class D, 5.34%, 07/22/30(a)(b)(c)

      1,000       1,001,016  

Ares XLVII CLO Ltd.(a)(b):

     

Series 2018-47A, Class D, 5.14%, 04/15/30

      1,500       1,482,088  

Series 2018-48A, Class C, 4.14%, 07/20/30

      500       495,800  

Ares XXXVR CLO Ltd., Series 2015-35RA, Class D, 5.44%, 07/15/30(a)(b)

      1,000       1,005,001  

Atlas Senior Loan Fund X Ltd., Series 2018-10A(a)(b):

     

Class B, 3.94%, 01/15/31

      500       493,506  

Class C, 4.29%, 01/15/31

      1,000       991,621  

Class D, 5.19%, 01/15/31

      1,700       1,674,423  

Atlas Senior Loan Fund XII Ltd., Series 2018-12A, Class A1,
3.63%, 10/24/31(a)(b)

      400       399,210  

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

     

Class B, 4.44%, 10/15/30

      1,000       992,427  

Class C, 5.49%, 10/15/30

      2,000       2,001,390  

BlueMountain CLO Ltd., Series 2012-2A, Class AR, (3 mo. LIBOR US + 1.42%), 3.74%, 11/20/28(a)(d)

      2,000       2,001,103  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 5.66%, 11/23/25(a)(d)

      1,000       1,000,837  

Carlyle Global Market Strategies CLO Ltd.(a):

     

Series 2013-4A, Class DRR, 5.09%, 01/15/31(b)

      1,000       981,615  

Series 2014-5A, Class A1RR, 3.47%, 07/15/31(b)

      2,300       2,300,004  

Series 2016-3A, Class C, (3 mo. LIBOR US + 4.00%), 6.47%, 10/20/29(d)

      1,000       1,001,531  

Carlyle US CLO Ltd.(a):

     

Series 2016-4A, Class BR,
4.57%, 10/20/27(b)

      250       249,860  

Series 2017-2A, Class C, (3 mo. LIBOR US + 3.70%), 6.17%, 07/20/31(d)

      500       503,949  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Cedar Funding VI CLO Ltd., Series 2016-6A, Class BR, 4.07%, 10/20/28(a)(b)

    USD       250     $ 249,981  

Cent CLO 17 Ltd., Series C17A(a)(b):

     

Class BR, 4.37%, 04/30/31

      1,000       995,143  

Class CR, 5.32%, 04/30/31

      1,000       995,158  

CIFC Funding Ltd.(a)(b):

     

5.09%, 04/18/31

      1,200       1,181,688  

Series 2013-2A, Class A3LR, 4.39%, 10/18/30

      1,000       992,444  

Series 2013-2A, Class B1LR, 5.49%, 10/18/30

      1,000       1,001,775  

Series 2014-4RA, Class A2,
4.11%, 10/17/30(e)

      600       600,000  

Series 2014-4RA, Class B, 4.66%, 10/17/30(e)

      400       400,000  

Series 2014-4RA, Class C, 5.66%, 10/17/30(e)

      400       400,000  

Series 2018-1A, Class C, 4.19%, 04/18/31

      1,000       995,599  

Elevation CLO Ltd., Series 2017-7A, Class C, 4.34%, 07/15/30(a)(b)

      1,500       1,472,171  

Galaxy XX CLO Ltd., Series 2015-20A, Class D1R, 5.07%, 04/20/31(a)(b)

      1,000       983,282  

Galaxy XXVII CLO Ltd., Series 2018-27A, Class C, 4.12%, 05/16/31(a)(b)

      1,500       1,486,988  

Greenwood Park CLO Ltd., Series 2018-1A, Class D, 4.94%, 04/15/31(a)(b)

      1,000       977,810  

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

     

Series 12A-18, Class B, 4.22%, 07/18/31

      1,250       1,237,964  

Series 4A-2014, Class A2R, 4.01%, 01/28/30

      650       641,843  

Series 4A-2014, Class BR, 4.36%, 01/28/30

      750       743,928  

Series 6A-2015, Class BR, 4.09%, 02/05/31

      1,500       1,477,746  

Series 7A-2015, Class CR, 4.01%, 03/15/27

      2,000       1,987,881  

Series 7A-2015, Class DR, 4.71%, 03/15/27

      1,000       978,666  

Series 8A-2016, Class DR, 5.25%, 07/20/30

      500       496,222  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%),
6.07%, 10/20/26(a)(d)

      1,000       1,002,562  

Long Point Park CLO Ltd., Series 2017-1A, Class B, 4.15%, 01/17/30(a)(b)

      1,000       988,705  

Madison Park Funding Ltd., Series 2018-27A, Class B, 4.27%, 04/20/30(a)(b)

      1,000       991,377  

Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, 4.35%, 04/19/30(a)(b)

      1,000       998,976  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.71%, 01/27/26(a)(d)

      2,000       2,003,451  

Madison Park Funding XXVII Ltd., Series 2018-27A, Class C,
5.07%, 04/20/30(a)(b)

      1,000       984,997  

Madison Park Funding XXX Ltd., Series 2018-30A, Class D,
4.94%, 04/15/29(a)(b)

      1,000       985,057  

Marble Point CLO XI Ltd., Series 2017-2A(a)(b):

     

Class A, 3.62%, 12/18/30

      1,500       1,497,146  

Class B, 3.94%, 12/18/30

      1,000       989,678  

Mill Creek II CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 4.85%),
7.32%, 04/20/28(a)(d)

      1,000       1,000,492  

MP CLO III Ltd., Series 2013-1A, Class CR, 4.47%, 10/20/30(a)(b)

      1,000       993,951  

Neuberger Berman CLO XV Ltd., Series 2013-15A, Class CR, 4.49%, 10/15/29(a)(b)

      1,000       995,544  

Neuberger Berman CLO XXI Ltd., Series 2016-21A(a)(b):

     

Class CR, 4.07%, 04/20/27

      1,000       991,793  

Class DR, 4.87%, 04/20/27

      1,000       978,200  

Neuberger Berman CLO XXII Ltd., Series 2016-22A(a)(b):

     

Class BR, 4.10%, 10/17/30

      400       399,923  

Class CR, 4.65%, 10/17/30

      1,000       999,169  

Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A(a)(b):

     

Class A, 3.61%, 10/18/30

      2,000       2,003,416  
 

 

 

14    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

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

Class B, 3.94%, 10/18/30

    USD       1,000     $ 990,431  

Class C, 5.12%, 10/18/30

      1,500       1,475,714  

Neuberger Berman Loan Advisers CLO 27 Ltd., Series 2018-27A, Class D, 5.04%, 01/15/30(a)(b)

      1,000       983,081  

Oak Hill Credit Partners XII Ltd., Series 2015-12A, Class DR, 5.38%, 07/23/30(a)(b)

      600       596,999  

OCP CLO Ltd.(a)(b):

     

Series 2015-8A, Class CR, 5.25%, 04/17/27

      1,000       1,001,050  

Series 2017-14A, Class B, 4.27%, 11/20/30

      1,000       982,177  

Octagon Investment Partners Ltd.(a)(b):

     

Series 2016-1A, Class DR, 5.29%, 07/15/30

      500       500,093  

Series 2017-1A, Class B1, 3.87%, 01/20/30

      1,000       990,234  

Series 2017-1A, Class C, 5.22%, 01/20/31

      1,000       995,003  

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class A1AR, (3 mo. LIBOR US + 1.17%), 3.61%, 07/15/29(a)(d)

      1,000       1,000,765  

Octagon Investment Partners XVII Ltd., Series 2013-1A(a)(b):

     

Class BR2, 3.89%, 01/25/31

      1,000       993,279  

Class CR2, 4.19%, 01/25/31

      1,000       985,888  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 4.37%, 01/22/30(a)(b)

      900       892,500  

OHA Credit Partners XIV Ltd., Series 2017-14A, Class C, 4.27%, 01/21/30(a)(b)

      1,250       1,236,000  

OZLM Funding IV Ltd., 4.67%, 10/22/30(a)(b)

      1,000       1,001,763  

OZLM VI Ltd., Series 2014-6A, Class CS, 5.58%, 04/17/31(a)(b)

      500       503,445  

OZLM XIX Ltd., Series 2017-19A, Class C, 5.54%, 11/22/30(a)(b)

      1,000       1,002,692  

OZLM XXI Ltd., Series 2017-21A, Class B, 4.37%, 01/20/31(a)(b)

      1,800       1,796,747  

Palmer Square CLO Ltd.(a)(b):

     

Series 2013-2A, Class A2RR, 4.20%, 10/17/31(e)

      650       649,935  

Series 2013-2A, Class BRR, 4.65%, 10/17/31(e)

      750       750,000  

Series 2013-2A, Class CRR, 5.65%, 10/17/31(e)

      250       250,000  

Series 2018-1A, Class A2, 3.89%, 04/18/31

      1,500       1,480,058  

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

     

Class CR, 4.17%, 10/20/27

      1,500       1,487,567  

Class DR, 5.22%, 10/20/27

      1,000       996,735  

Rockford Tower CLO Ltd.,
Series 2017-3A(a)(b):

     

Class A, 3.66%, 10/20/30

      2,000       2,001,483  

Class D, 5.12%, 10/20/30

      1,000       977,748  

Sound Point Clo XXI Ltd., Series 2018-3A, Class A1A, 3.59%, 10/26/31(a)(b)

      1,400       1,399,189  

Stewart Park CLO Ltd., Series 2015-1A(a)(b):

     

Class CR, 4.24%, 01/15/30

      1,500       1,480,693  

Class DR, 5.04%, 01/15/30

      1,500       1,482,291  

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

     

Class CR, (3 mo. LIBOR US + 2.20%), 4.65%, 10/17/26

      2,500       2,497,007  

Class DR, (3 mo. LIBOR US + 3.35%), 5.80%, 10/17/26

      1,000       1,002,129  

Tiaa CLO III Ltd., Series 2017-2A, Class A, 3.59%, 01/16/31(a)(b)

      2,500       2,494,401  

Voya CLO Ltd., Series 2018-1A, Class C, 4.94%, 04/19/31(a)(b)

      1,000       980,100  

York CLO 1 Ltd., Series 2014-1A, Class ARR, 3.29%, 10/22/29(a)(b)

      2,000       1,996,705  

York CLO-2 Ltd., Series 2015-1A(a)(b):

     

Class CR, 4.32%, 01/22/31

      1,500       1,484,295  

Class DR, 5.07%, 01/22/31

      1,800       1,752,572  
     

 

 

 

Total Asset-Backed Securities — 8.6%
(Cost — $124,689,930)

 

    123,762,343  
     

 

 

 
Security   Par
(000)
    Value  

Corporate Bonds — 109.0%

 

Aerospace & Defense — 2.1%  

Arconic, Inc.:

     

5.13%, 10/01/24

    USD       3,551     $ 3,517,976  

5.90%, 02/01/27

      1,877       1,862,922  

BBA US Holdings, Inc., 5.38%, 05/01/26(a)

      672       664,440  

Bombardier, Inc.(a):

     

7.75%, 03/15/20

      354       367,275  

8.75%, 12/01/21

      2,034       2,186,550  

5.75%, 03/15/22

      286       282,783  

6.00%, 10/15/22

      14       13,738  

6.13%, 01/15/23

      629       621,138  

7.50%, 12/01/24

      992       1,008,120  

7.50%, 03/15/25

      3,592       3,590,922  

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

      2,165       2,229,950  

Northrop Grumman Corp., 4.03%, 10/15/47

      6,425       5,729,935  

TransDigm UK Holdings PLC,
6.88%, 05/15/26(a)

      500       498,750  

TransDigm, Inc.:

     

6.00%, 07/15/22

      3,765       3,783,825  

6.50%, 07/15/24

      1,260       1,273,658  

6.38%, 06/15/26

      395       387,100  

United Technologies Corp., 4.63%, 11/16/48

      2,805       2,698,381  
     

 

 

 
        30,717,463  
Air Freight & Logistics — 0.1%  

XPO Logistics, Inc., 6.50%, 06/15/22(a)

      1,174       1,203,350  
     

 

 

 
Airlines — 1.0%  

American Airlines Group, Inc.:

 

4.63%, 03/01/20(a)

      692       692,000  

5.18%, 08/15/23

      2,945       2,952,363  

5.18%, 10/15/23

      2,830       2,829,881  

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 07/02/24

      2,728       2,898,160  

Turkish Airlines Pass-Through Trust, Series 2015-1 Class A, 4.20%, 09/15/28(a)

      2,398       2,169,815  

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

      2,854       2,875,932  

Virgin Australia Trust, Series 2013-1, Class B, 6.00%, 04/23/22(a)

      300       303,074  
     

 

 

 
        14,721,225  
Auto Components — 0.6%  

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

      68       66,002  

General Motors Co., 5.95%, 04/01/49

      3,455       3,207,681  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

      535       486,850  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

      3,108       3,135,195  

6.38%, 12/15/25

      388       385,575  

Tesla, Inc., 5.30%, 08/15/25(a)

      1,043       926,966  
     

 

 

 
        8,208,269  
Automobiles — 0.5%  

Ford Motor Co., 7.45%, 07/16/31

      3,660       3,851,910  

General Motors Co.:

     

4.88%, 10/02/23

      1,875       1,897,771  

6.25%, 10/02/43

      940       899,618  
     

 

 

 
        6,649,299  
Banks — 6.4%  

Barclays PLC:

     

4.84%, 05/09/28

      4,000       3,691,778  

4.97%, 05/16/29(b)

      3,220       3,124,892  

CIT Group, Inc.:

     

5.00%, 08/01/23

      370       370,925  

5.25%, 03/07/25

      925       930,781  
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Banks (continued)  

City National Corp., 5.25%, 09/15/20

    USD       2,900     $ 2,987,197  

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

      3,775       3,739,522  

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

      6,000       6,338,304  

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

      748       785,333  

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

      5,000       4,762,500  

HSBC Finance Corp., 6.68%, 01/15/21(f)

      5,150       5,444,737  

Intesa Sanpaolo SpA, 5.71%, 01/15/26(a)

      9,840       8,735,856  

Lloyds Banking Group PLC(f):

     

4.45%, 05/08/25

      3,665       3,645,499  

4.65%, 03/24/26

      8,650       8,371,230  

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

      10,080       10,357,586  

Santander Holdings USA, Inc., 4.40%, 07/13/27

      830       774,633  

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

      5,270       5,093,982  

Wells Fargo & Co.(f):

     

4.13%, 08/15/23

      4,000       4,009,584  

4.10%, 06/03/26

      15,000       14,610,560  

5.61%, 01/15/44

      4,119       4,385,128  
     

 

 

 
        92,160,027  
Beverages — 1.0%  

Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46

      6,170       5,812,094  

Anheuser-Busch InBev Worldwide, Inc., 4.75%, 04/15/58

      4,000       3,568,593  

Keurig Dr. Pepper, Inc., 4.60%, 05/25/28(a)

      3,215       3,168,419  

Molson Coors Brewing Co., 4.20%, 07/15/46

      1,665       1,405,859  
     

 

 

 
        13,954,965  
Biotechnology — 0.8%  

Amgen, Inc., 4.66%, 06/15/51(f)

      6,709       6,211,790  

Baxalta, Inc., 5.25%, 06/23/45

      6,000       6,029,417  
     

 

 

 
        12,241,207  
Building Products — 0.3%  

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

      371       366,363  

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

      1,832       1,802,230  

Masonite International Corp.(a):

     

5.63%, 03/15/23

      488       484,950  

5.75%, 09/15/26

      382       362,900  

Standard Industries, Inc.(a):

     

5.50%, 02/15/23

      335       328,300  

5.38%, 11/15/24

      410       393,600  

USG Corp., 4.88%, 06/01/27(a)

      445       445,973  
     

 

 

 
        4,184,316  
Capital Markets — 3.6%  

Goldman Sachs Group, Inc.:

     

7.50%, 02/15/19(f)

      5,165       5,231,017  

5.25%, 07/27/21

      1,175       1,222,021  

5.75%, 01/24/22(f)

      5,500       5,811,740  

6.25%, 02/01/41(f)

      15,000       17,412,649  

Morgan Stanley(f):

     

5.63%, 09/23/19

      6,770       6,915,171  

5.00%, 11/24/25

      15,000       15,337,156  

NFP Corp., 6.88%, 07/15/25(a)

      222       215,340  
     

 

 

 
        52,145,094  
Chemicals — 1.4%  

Axalta Coating Systems LLC, 4.88%, 08/15/24(a)

      715       674,781  

Basell Finance Co. BV, 8.10%, 03/15/27(a)(f)

      6,000       7,302,954  

Chemours Co., 5.38%, 05/15/27

      207       192,510  
Security   Par
(000)
    Value  
Chemicals (continued)  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(a)

    USD       448     $ 433,440  

Huntsman International LLC, 5.13%, 11/15/22

      2,495       2,516,831  

NOVA Chemicals Corp., 4.88%, 06/01/24(a)

      956       878,325  

Olin Corp.:

     

5.13%, 09/15/27

      270       251,438  

5.00%, 02/01/30

      297       266,656  

Platform Specialty Products Corp.(a):

     

6.50%, 02/01/22

      3,006       3,047,332  

5.88%, 12/01/25

      2,718       2,582,100  

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

      935       963,050  

WR Grace & Co-Conn, 5.63%, 10/01/24(a)

      1,660       1,689,050  
     

 

 

 
        20,798,467  
Commercial Services & Supplies — 3.2%  

ADT Corp.:

     

3.50%, 07/15/22

      53       49,158  

4.13%, 06/15/23

      810       751,275  

4.88%, 07/15/32(a)

      884       696,150  

Aviation Capital Group Corp.(a):

     

7.13%, 10/15/20(f)

      31,000       32,966,435  

6.75%, 04/06/21

      7,850       8,360,707  

Avolon Holdings Funding Ltd., 5.13%, 10/01/23(a)

      918       900,788  

CD&R Waterworks Merger Sub LLC, 6.13%, 08/15/25(a)

      1,061       994,687  

KAR Auction Services, Inc.,
5.13%, 06/01/25(a)

      595       559,300  

Park Aerospace Holdings Ltd., 5.50%, 02/15/24(a)

      356       352,529  
     

 

 

 
        45,631,029  
Communications Equipment — 0.2%  

CommScope Technologies LLC(a):

     

6.00%, 06/15/25

      467       454,157  

5.00%, 03/15/27

      677       604,338  

CommScope, Inc., 5.50%, 06/15/24(a)

      254       245,428  

Zayo Group LLC/Zayo Capital, Inc.:

     

6.38%, 05/15/25

      750       766,875  

5.75%, 01/15/27(a)

      1,360       1,333,072  
     

 

 

 
        3,403,870  
Construction & Engineering — 0.3%  

BlueLine Rental Finance Corp., 9.25%, 03/15/24(a)

      2,320       2,421,500  

Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25(a)

      714       703,290  

Engility Corp., 8.88%, 09/01/24

      727       786,069  

Pisces Midco, Inc., 8.00%, 04/15/26(a)

      422       409,867  
     

 

 

 
        4,320,726  
Construction Materials — 0.3%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(a)

      537       520,890  

HD Supply, Inc., 5.38%, 10/15/26(a)

      4,222       4,037,287  
     

 

 

 
        4,558,177  
Consumer Discretionary — 0.1%  

Viking Cruises Ltd., 5.88%, 09/15/27(a)

      2,159       2,045,652  
     

 

 

 
Consumer Finance — 2.0%  

Ally Financial, Inc.:

     

5.13%, 09/30/24

      590       599,588  

8.00%, 11/01/31(f)

      3,832       4,607,980  

Capital One Bank USA NA, 3.38%, 02/15/23(f)

      2,000       1,933,174  

Capital One Financial Corp., 3.75%, 03/09/27

      6,500       6,015,973  

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

      3,252       3,188,779  

Financial & Risk US Holdings, Inc.(a):

     

6.25%, 05/15/26

      4,037       4,016,815  

8.25%, 11/15/26

      1,294       1,258,415  

Navient Corp.:

     

6.63%, 07/26/21

      461       474,254  
 

 

 

16    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Consumer Finance (continued)  

6.50%, 06/15/22

    USD       434     $ 441,595  

7.25%, 09/25/23

      996       1,030,860  

6.75%, 06/15/26

      516       492,780  

Springleaf Finance Corp., 7.13%, 03/15/26

      1,039       984,452  

Total System Services, Inc.,
3.80%, 04/01/21

      1,630       1,632,912  

Verscend Escrow Corp., 9.75%, 08/15/26(a)

      1,634       1,638,085  
     

 

 

 
        28,315,662  
Containers & Packaging — 0.6%  

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

     

4.63%, 05/15/23

      760       739,100  

7.25%, 05/15/24

      944       948,720  

Crown Americas LLC/Crown Americas Capital Corp.:

     

4.75%, 02/01/26(a)

      947       893,731  

4.25%, 09/30/26

      724       657,030  

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

     

5.75%, 10/15/20

      2,777       2,777,463  

6.88%, 02/15/21

      37       36,659  

5.13%, 07/15/23(a)

      222       217,005  

7.00%, 07/15/24(a)

      1,593       1,593,996  

Sealed Air Corp., 6.88%, 07/15/33(a)

      182       187,460  
     

 

 

 
    8,051,164  
Diversified Consumer Services — 0.7%  

Prime Security Services Borrower LLC/Prime Finance, Inc.,
9.25%, 05/15/23(a)

      6,034       6,376,128  

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

      4,382       4,373,784  
     

 

 

 
    10,749,912  
Diversified Financial Services — 6.9%  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 02/01/22

      1,500       1,484,381  

Air Lease Corp., 3.75%, 02/01/22

      5,000       4,971,515  

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

      3,937       4,046,055  

Bank of America Corp.(f):

     

5.00%, 05/13/21

      17,100       17,701,451  

4.45%, 03/03/26

      11,765       11,636,812  

BNP Paribas SA, 4.38%, 03/01/33(a)(b)

      4,000       3,712,941  

Citigroup, Inc.:

     

4.04%, 06/01/24(b)

      4,000       3,989,800  

3.70%, 01/12/26(f)

      6,000       5,737,295  

6.68%, 09/13/43(f)

      4,125       4,858,508  

Ford Motor Credit Co. LLC,
5.88%, 08/02/21(f)

      9,420       9,750,436  

General Motors Financial Co., Inc.:

     

4.38%, 09/25/21

      2,260       2,280,075  

4.25%, 05/15/23

      1,681       1,659,538  

4.35%, 01/17/27

      4,710       4,374,924  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 04/01/20(a)

      1,705       1,722,050  

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

      4,000       4,137,163  

Macquarie Group Ltd., 4.15%, 03/27/24(a)(b)

      4,000       3,961,954  

Resparcs Funding LP I, 8.00%(h)(i)(j)

      4,000       1,420,000  

Royal Bank of Scotland Group PLC:

     

6.10%, 06/10/23

      2,500       2,574,927  

5.13%, 05/28/24(f)

      5,250       5,174,096  

UniCredit SpA (5 year USD ICE Swap + 3.70%), 5.86%, 06/19/32(a)(g)

      4,000       3,422,192  

Vantiv LLC/Vanity Issuer Corp., 4.38%, 11/15/25(a)

      464       437,900  
     

 

 

 
    99,054,013  
Diversified Telecommunication Services — 5.5%  

AT&T, Inc.:

     

6.30%, 01/15/38(f)

      12,000       12,827,561  
Security   Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

5.15%, 03/15/42

    USD       250     $ 230,027  

4.35%, 06/15/45

      367       300,930  

CenturyLink, Inc.:

     

5.63%, 04/01/25(f)

      1,318       1,265,280  

Series S, 6.45%, 06/15/21

      1,176       1,202,460  

Series U, 7.65%, 03/15/42

      121       104,060  

Series Y, 7.50%, 04/01/24

      824       865,200  

Embarq Corp., 8.00%, 06/01/36

      1,048       998,220  

Frontier Communications Corp.:

     

10.50%, 09/15/22

      551       458,708  

11.00%, 09/15/25

      3,846       2,817,195  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      2,095       2,100,237  

5.13%, 05/01/23

      1,183       1,174,128  

5.38%, 01/15/24

      754       746,460  

5.38%, 05/01/25

      2,003       1,955,429  

5.25%, 03/15/26

      320       307,200  

Telecom Italia Capital SA, 6.00%, 09/30/34

      960       866,400  

Telefonica Emisiones SAU, 5.21%, 03/08/47

      6,000       5,596,464  

Verizon Communications, Inc.(f):

     

5.15%, 09/15/23

      8,775       9,310,878  

6.40%, 09/15/33

      9,475       10,860,846  

6.55%, 09/15/43

      13,225       15,239,861  

5.01%, 04/15/49

      10,578       10,294,578  
     

 

 

 
    79,522,122  
Electric Utilities — 5.0%  

AES Corp., 5.50%, 04/15/25

      304       304,760  

CMS Energy Corp., 5.05%, 03/15/22(f)

      9,900       10,289,898  

DPL, Inc., 7.25%, 10/15/21

      94       99,817  

Duke Energy Corp., 3.55%, 09/15/21

      3,650       3,647,627  

Emera, Inc., Series 16-A, (3 mo. LIBOR US + 5.44%), 6.75%, 06/15/76(g)

      7,500       7,800,000  

Evergy Inc., 5.29%, 06/15/22(f)(k)

      5,550       5,749,927  

Midland Cogeneration Venture LP,
5.25%, 03/15/25(a)(f)

      3,307       3,188,157  

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

      5,000       4,500,000  

NextEra Energy Operating Partners LP(a):

     

4.25%, 09/15/24

      290       275,500  

4.50%, 09/15/27

      31       28,598  

Oncor Electric Delivery Co. LLC(f):

     

4.10%, 06/01/22

      4,150       4,229,396  

5.30%, 06/01/42

      2,750       3,066,035  

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

      12,000       14,846,720  

Puget Energy, Inc.:

     

6.00%, 09/01/21

      275       290,954  

5.63%, 07/15/22(f)

      5,550       5,840,856  

Southern Co., 4.40%, 07/01/46(f)

      7,500       6,891,040  

TerraForm Power Operating LLC(a):

     

4.25%, 01/31/23

      470       445,325  

5.00%, 01/31/28

      470       420,063  
     

 

 

 
    71,914,673  
Electronic Equipment, Instruments & Components — 0.3%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23

      306       304,470  

5.50%, 12/01/24

      2,517       2,542,170  

Energizer Gamma Acquisition, Inc.,
6.38%, 07/15/26(a)

      222       222,000  

Sanmina Corp., 4.38%, 06/01/19(a)

      1,415       1,413,231  
     

 

 

 
    4,481,871  
Energy Equipment & Services — 0.7%  

Ensco PLC:

     

4.50%, 10/01/24

      196       159,250  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Energy Equipment & Services (continued)  

7.75%, 02/01/26

    USD       956     $ 891,470  

Halliburton Co., 5.00%, 11/15/45(f)

      6,615       6,643,893  

Noble Holding International Ltd., 5.25%, 03/15/42

      118       82,010  

Oceaneering International, Inc., 4.65%, 11/15/24

      196       181,980  

Precision Drilling Corp., 7.13%, 01/15/26(a)

      112       111,160  

Transocean, Inc., 9.00%, 07/15/23(a)

      670       702,662  

USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 04/01/26(a)

      855       863,550  

Weatherford International Ltd.:

     

7.75%, 06/15/21

      775       643,250  

8.25%, 06/15/23

      150       114,375  

6.50%, 08/01/36

      521       346,465  
     

 

 

 
    10,740,065  
Environmental, Maintenance, & Security Service — 0.0%  

Waste Pro USA, Inc., 5.50%, 02/15/26(a)

      622       589,345  
     

 

 

 
Equity Real Estate Investment Trusts (REITs) — 2.3%  

American Tower Corp.:

     

5.05%, 09/01/20

      500       512,644  

5.90%, 11/01/21(f)

      3,770       3,991,395  

3.60%, 01/15/28

      4,000       3,679,799  

AvalonBay Communities, Inc., 6.10%, 03/15/20(f)

      10,000       10,371,068  

Hilton Domestic Operating Co., Inc.:

     

4.25%, 09/01/24

      1,133       1,088,020  

5.13%, 05/01/26(a)

      1,185       1,158,338  

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

      3,600       3,500,824  

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

     

5.63%, 05/01/24

      4,627       4,632,784  

4.50%, 09/01/26

      2,750       2,488,750  

4.50%, 01/15/28

      464       412,380  

MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27

      459       431,322  

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

      627       623,865  
     

 

 

 
    32,891,189  
Food & Staples Retailing — 0.9%  

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

     

6.63%, 06/15/24

      775       732,375  

5.75%, 03/15/25

      1,120       985,600  

General Mills, Inc., 4.20%, 04/17/28

      620       598,488  

H.J. Heinz Finance Co., 7.13%, 08/01/39(a)

      4,415       5,131,057  

Wal-Mart Stores, Inc., 5.25%, 09/01/35(f)

      5,150       5,770,569  
     

 

 

 
    13,218,089  
Food Products — 0.5%  

Aramark Services, Inc.:

     

5.13%, 01/15/24

      1,470       1,462,650  

5.00%, 02/01/28(a)

      228       216,315  

JBS USA LUX SA/JBS USA Finance, Inc.(a):

     

5.88%, 07/15/24

      390       382,785  

5.75%, 06/15/25

      1,947       1,869,120  

6.75%, 02/15/28

      827       797,021  

Kraft Heinz Foods Co., 4.38%, 06/01/46

      2,475       2,059,206  

Post Holdings, Inc., 5.63%, 01/15/28(a)

      428       402,449  
     

 

 

 
    7,189,546  
Health Care Equipment & Supplies — 1.3%  

Avantor, Inc.(a):

     

6.00%, 10/01/24(f)

      6,054       6,038,865  

9.00%, 10/01/25

      1,514       1,526,687  

DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(a)

      3,343       3,365,398  
Security   Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

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

     

4.88%, 04/15/20

    USD       517     $ 510,538  

5.75%, 08/01/22

      2,312       2,063,460  

5.63%, 10/15/23

      108       92,610  

5.50%, 04/15/25

      33       26,565  

Medtronic, Inc., 4.63%, 03/15/45(f)

      4,565       4,624,162  
     

 

 

 
    18,248,285  
Health Care Providers & Services — 4.5%  

Acadia Healthcare Co., Inc., 5.13%, 07/01/22

      191       190,523  

Aetna, Inc., 3.88%, 08/15/47

      3,500       2,953,009  

Anthem, Inc., 4.55%, 03/01/48

      5,000       4,637,180  

Centene Corp.:

     

6.13%, 02/15/24

      1,370       1,431,650  

5.38%, 06/01/26(a)

      3,456       3,507,840  

CHS/Community Health Systems, Inc., 8.63%, 01/15/24(a)

      980       991,025  

DaVita, Inc., 5.13%, 07/15/24

      761       726,755  

HCA, Inc.:

     

7.50%, 02/15/22

      2,214       2,402,190  

4.75%, 05/01/23(f)

      5,628       5,684,280  

5.00%, 03/15/24

      3,451       3,491,981  

5.25%, 04/15/25

      3,966       4,050,277  

5.38%, 09/01/26

      861       854,542  

5.63%, 09/01/28

      911       901,890  

5.50%, 06/15/47

      3,970       3,906,480  

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

      637       635,408  

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

      144       143,820  

MPH Acquisition Holdings LLC, 7.13%, 06/01/24(a)

      829       842,115  

NVA Holdings, Inc., 6.88%, 04/01/26(a)

      793       783,087  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(a)(l)

      2,124       2,177,100  

Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(a)

      398       420,388  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20

      4,102       4,200,653  

7.50%, 01/01/22(a)

      394       410,745  

8.13%, 04/01/22

      2,645       2,754,106  

6.75%, 06/15/23

      1,561       1,551,244  

4.63%, 07/15/24

      1,145       1,103,608  

6.88%, 11/15/31

      320       281,600  

UnitedHealth Group, Inc., 6.88%, 02/15/38(f)

      10,000       12,962,651  

WellCare Health Plans, Inc.,
5.38%, 08/15/26(a)

      757       755,108  
     

 

 

 
    64,751,255  
Health Care Technology — 0.0%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.,
5.75%, 03/01/25(a)

      466       455,515  
     

 

 

 
Hotels, Restaurants & Leisure — 1.4%  

Boyd Gaming Corp., 6.00%, 08/15/26

      472       456,070  

Churchill Downs, Inc., 4.75%, 01/15/28(a)

      190       172,900  

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

      886       824,534  

Delta Merger Sub, Inc., 6.00%, 09/15/26(a)

      277       271,294  

ESH Hospitality, Inc., 5.25%, 05/01/25(a)

      1,278       1,209,307  

International Game Technology PLC, 6.25%, 01/15/27(a)

      338       331,663  

IRB Holding Corp., 6.75%, 02/15/26(a)

      156       149,370  

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

     

5.00%, 06/01/24

      600       591,750  

5.25%, 06/01/26

      650       638,625  

4.75%, 06/01/27

      817       767,980  
 

 

 

18    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Melco Resorts Finance Ltd.,
4.88%, 06/06/25(a)

    USD       444     $ 407,011  

MGM Resorts International:

     

6.63%, 12/15/21

      4,805       5,031,748  

7.75%, 03/15/22

      104       111,670  

New Red Finance, Inc.(a):

     

4.25%, 05/15/24

      1,577       1,482,380  

5.00%, 10/15/25

      2,910       2,728,125  

Sabre GLBL, Inc.(a):

     

5.38%, 04/15/23

      594       594,000  

5.25%, 11/15/23

      294       290,290  

Scientific Games International, Inc.,
5.00%, 10/15/25(a)

      914       850,020  

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

      1,137       1,056,000  

Wyndham Destinations, Inc.:

     

5.40%, 04/01/24

      883       849,887  

5.75%, 04/01/27

      308       285,285  

Wyndham Hotels & Resorts, Inc.,
5.38%, 04/15/26(a)

      453       439,410  
     

 

 

 
    19,539,319  
Household Durables — 0.9%  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(a)

      1,314       1,281,150  

Lennar Corp.:

     

2.95%, 11/29/20

      520       505,700  

8.38%, 01/15/21

      3,015       3,248,662  

4.75%, 11/15/22

      1,805       1,787,311  

4.88%, 12/15/23

      466       454,932  

5.25%, 06/01/26

      176       168,091  

Newell Brands, Inc.:

     

4.00%, 12/01/24

      3,000       2,851,861  

4.20%, 04/01/26

      955       877,360  

PulteGroup, Inc., 5.50%, 03/01/26

      734       719,320  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.:

     

4.38%, 06/15/19

      717       717,000  

5.88%, 06/15/24

      572       534,105  
     

 

 

 
        13,145,492  
Household Products — 0.2%  

Spectrum Brands, Inc.:

     

6.63%, 11/15/22

      1,110       1,133,587  

6.13%, 12/15/24

      231       229,845  

5.75%, 07/15/25

      1,002       974,445  
     

 

 

 
        2,337,877  
Independent Power and Renewable Electricity Producers — 0.8%  

AES Corp.:

     

4.50%, 03/15/23

      400       394,500  

4.88%, 05/15/23

      32       31,680  

6.00%, 05/15/26

      843       861,967  

5.13%, 09/01/27

      777       767,288  

Calpine Corp.:

     

6.00%, 01/15/22(a)

      1,858       1,867,290  

5.38%, 01/15/23

      742       703,045  

5.88%, 01/15/24(a)

      628       628,000  

5.25%, 06/01/26(a)

      2,719       2,498,081  

Clearway Energy Operating LLC, 5.75%, 10/15/25(a)

      1,044       1,028,340  

NRG Energy, Inc.:

     

6.63%, 01/15/27

      2,746       2,842,110  

5.75%, 01/15/28

      650       648,375  
     

 

 

 
        12,270,676  
Industrial Conglomerates — 0.1%  

BWX Technologies, Inc., 5.38%, 07/15/26(a)

      746       747,865  

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

      1,193       1,187,035  
     

 

 

 
        1,934,900  
Security   Par
(000)
    Value  
Insurance — 3.6%  

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

    USD       8,710     $ 9,193,270  

Aon Corp., 5.00%, 09/30/20(f)

      7,700       7,925,052  

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

      6,500       5,735,407  

Forethought Financial Group, Inc.,
8.63%, 04/15/21(a)

      3,400       3,738,138  

HUB International Ltd., 7.00%, 05/01/26(a)

      1,373       1,340,048  

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

      2,520       2,244,288  

Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40(a)(f)

      12,000       14,389,893  

Progressive Corp., Series B, 5.38%(b)(h)

      5,000       4,912,500  

Wand Merger Corp.(a):

     

8.13%, 07/15/23

      871       886,243  

9.13%, 07/15/26

      447       453,705  

Wayne Merger Sub LLC, 8.25%, 08/01/23(a)

      1,040       1,074,975  
     

 

 

 
        51,893,519  
Internet Software & Services — 0.7%  

Alibaba Group Holding Ltd., 4.20%, 12/06/47

      1,470       1,272,295  

Booking Holdings, Inc., 3.55%, 03/15/28

      3,375       3,156,531  

Equinix, Inc., 5.88%, 01/15/26

      1,061       1,079,567  

Netflix, Inc.:

     

5.50%, 02/15/22

      563       574,198  

4.38%, 11/15/26

      905       831,469  

5.88%, 11/15/28(a)

      1,550       1,522,875  

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

      402       377,880  

Symantec Corp., 5.00%, 04/15/25(a)

      347       326,403  

Uber Technologies, Inc., 7.50%, 11/01/23(a)(e)

      290       288,823  
     

 

 

 
        9,430,041  
IT Services — 1.0%  

Banff Merger Sub, Inc., 9.75%, 09/01/26(a)

      560       537,600  

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

      538       561,002  

First Data Corp.(a):

     

5.38%, 08/15/23

      1,509       1,522,204  

7.00%, 12/01/23

      4,908       5,089,596  

5.75%, 01/15/24(f)

      5,700       5,735,625  

Gartner, Inc., 5.13%, 04/01/25(a)

      399       396,007  

WEX, Inc., 4.75%, 02/01/23(a)

      760       756,200  
     

 

 

 
        14,598,234  
Life Sciences Tools & Services — 0.9%  

Life Technologies Corp., 6.00%, 03/01/20(f)

      12,000       12,382,328  
     

 

 

 
Machinery — 0.1%  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(a)

      558       523,125  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(a)

      1,209       1,006,492  
     

 

 

 
        1,529,617  
Media — 9.7%  

21st Century Fox America, Inc., 6.15%, 03/01/37(f)

      9,575       11,476,577  

A&E Television Networks LLC, 3.11%, 08/22/19(e)

      5,000       4,961,000  

Altice Financing SA(a):

     

6.63%, 02/15/23

      400       395,920  

7.50%, 05/15/26

      1,772       1,665,680  

Altice France SA(a):

     

7.38%, 05/01/26

      3,616       3,461,199  

8.13%, 02/01/27

      825       816,750  

Altice Luxembourg SA, 7.75%, 05/15/22(a)

      5,426       5,052,962  

Altice US Finance I Corp.(a):

     

5.38%, 07/15/23

      2,432       2,431,538  

5.50%, 05/15/26

      2,866       2,791,656  

AMC Networks, Inc.:

     

4.75%, 12/15/22

      685       674,725  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

4.75%, 08/01/25

    USD       978     $ 909,149  

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

     

4.00%, 03/01/23

      1,216       1,158,240  

5.13%, 05/01/27(f)

      5,664       5,331,240  

5.00%, 02/01/28

      404       376,478  

Cequel Communications Holdings I LLC / Cequel Capital Corp.(a):

     

7.75%, 07/15/25

      4,129       4,366,417  

7.50%, 04/01/28

      1,200       1,243,764  

Charter Communications Operating LLC/Charter Communications Operating Capital:

     

6.38%, 10/23/35

      479       494,674  

6.48%, 10/23/45

      9,584       9,729,275  

5.38%, 05/01/47

      1,500       1,350,067  

6.83%, 10/23/55

      3,540       3,688,480  

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

      349       349,873  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      2,758       2,768,342  

6.50%, 11/15/22(f)

      7,431       7,543,951  

Comcast Corp., 4.95%, 10/15/58

      3,795       3,716,156  

Cox Communications, Inc.(a):

     

8.38%, 03/01/39(f)

      5,000       6,276,436  

4.60%, 08/15/47

      625       556,434  

CSC Holdings LLC:

     

8.63%, 02/15/19

      4,005       4,045,050  

5.25%, 06/01/24

      1,054       1,015,792  

6.63%, 10/15/25(a)

      1,072       1,122,920  

10.88%, 10/15/25(a)

      620       715,325  

Discovery Communications LLC:

     

3.95%, 03/20/28(f)

      8,515       7,927,262  

4.88%, 04/01/43

      4,000       3,534,544  

DISH DBS Corp.:

     

5.88%, 07/15/22

      1,732       1,636,740  

5.88%, 11/15/24

      338       287,300  

7.75%, 07/01/26

      818       732,110  

Grupo Televisa SAB, 5.00%, 05/13/45(f)

      3,345       2,885,065  

Hughes Satellite Systems Corp., 5.25%, 08/01/26

      1,017       966,150  

Inmarsat Finance PLC, 4.88%, 05/15/22(a)

      228       223,331  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

      268       239,860  

8.50%, 10/15/24(a)

      1,336       1,312,620  

9.75%, 07/15/25(a)

      3,003       3,145,642  

Interpublic Group of Cos., Inc.:

     

3.75%, 02/15/23(f)

      6,025       5,939,059  

5.40%, 10/01/48

      2,215       2,086,052  

MDC Partners, Inc., 6.50%, 05/01/24(a)

      1,036       849,520  

Meredith Corp., 6.88%, 02/01/26(a)

      396       396,000  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(a)

      1,081       1,052,624  

Sirius XM Radio, Inc., 5.00%, 08/01/27(a)

      597       560,995  

TEGNA, Inc., 5.50%, 09/15/24(a)

      351       350,561  

Telenet Finance Luxembourg Notes Sarl,
5.50%, 03/01/28(a)

      1,400       1,298,500  

Time Warner Cable LLC, 6.55%, 05/01/37

      3,519       3,645,866  

Tribune Media Co., 5.88%, 07/15/22

      1,308       1,324,350  

Univision Communications, Inc.(a):

     

5.13%, 05/15/23

      5,293       4,986,006  

5.13%, 02/15/25

      375       342,750  

UPCB Finance IV Ltd., 5.38%, 01/15/25(a)

      420       408,660  

Viacom, Inc., 5.85%, 09/01/43

      1,300       1,283,988  

Videotron Ltd., 5.13%, 04/15/27(a)

      1,099       1,041,302  

Virgin Media Secured Finance PLC, 5.50%, 08/15/26(a)

      487       458,998  
Security   Par
(000)
    Value  
Media (continued)  

Warner Media LLC:

     

4.65%, 06/01/44

    USD       28     $ 24,120  

4.85%, 07/15/45

      97       86,789  

Ziggo Secured Finance BV,
5.50%, 01/15/27(a)

      663       608,303  
   

 

 

 
        140,121,137  
Metals & Mining — 2.7%  

Alcoa Nederland Holding BV(a):

     

7.00%, 09/30/26

      291       307,005  

6.13%, 05/15/28

      236       235,410  

AngloGold Ashanti Holdings PLC, 5.13%, 08/01/22

      5,000       5,037,500  

Commercial Metals Co., 4.88%, 05/15/23

      2,194       2,139,150  

Constellium NV:

     

4.63%, 05/15/21

    EUR       490       559,772  

6.63%, 03/01/25(a)

    USD       609       596,820  

5.88%, 02/15/26(a)

      1,451       1,353,057  

First Quantum Minerals Ltd.(a):

     

7.25%, 05/15/22

      912       870,960  

6.50%, 03/01/24

      311       272,125  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      500       486,875  

3.55%, 03/01/22

      236       223,315  

3.88%, 03/15/23

      6,250       5,781,250  

5.40%, 11/14/34

      2,250       1,968,750  

5.45%, 03/15/43

      4,056       3,437,460  

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

      725       744,937  

Novelis Corp.(a):

     

6.25%, 08/15/24

      2,369       2,345,310  

5.88%, 09/30/26

      2,190       2,064,075  

Southern Copper Corp., 5.88%, 04/23/45

      3,870       4,033,421  

Steel Dynamics, Inc.:

     

5.13%, 10/01/21

      1,105       1,110,525  

5.25%, 04/15/23

      309       309,772  

5.50%, 10/01/24

      240       241,500  

4.13%, 09/15/25

      1,808       1,690,480  

5.00%, 12/15/26

      35       34,213  

Teck Resources Ltd.:

     

4.50%, 01/15/21

      89       89,223  

8.50%, 06/01/24(a)

      1,623       1,760,955  

United States Steel Corp., 6.25%, 03/15/26

      813       766,252  
   

 

 

 
        38,460,112  
Oil, Gas & Consumable Fuels — 18.1%  

Aker BP ASA, 5.88%, 03/31/25(a)

      570       574,988  

Antero Resources Corp., 5.00%, 03/01/25

      600       582,750  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, 11/01/26(a)

      948       919,560  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(a)

      131       129,847  

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

      1,671       1,487,190  

Calumet Specialty Products Partners LP/Calumet Finance Corp., 6.50%, 04/15/21

      87       83,520  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23

      279       274,118  

8.25%, 07/15/25

      1,047       1,086,262  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24

      1,916       2,071,675  

5.13%, 06/30/27

      2,981       2,921,380  

Cheniere Energy Partners LP, Series WI, 5.25%, 10/01/25

      596       584,825  

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

      704       725,120  

4.88%, 04/15/22

      2,682       2,547,900  

8.00%, 12/15/22(a)

      830       866,935  
 

 

 

20    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

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

7.00%, 10/01/24

    USD       2,445     $ 2,393,044  

8.00%, 01/15/25

      944       955,800  

7.50%, 10/01/26

      407       398,860  

CNX Resources Corp., 5.88%, 04/15/22(f)

      8,704       8,546,284  

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

      3,815       3,605,943  

CONSOL Energy, Inc., 11.00%, 11/15/25(a)

      328       368,180  

Continental Resources, Inc., 4.90%, 06/01/44

      3,500       3,258,186  

Covey Park Energy LLC/Covey Park Finance Corp.,
7.50%, 05/15/25(a)

      426       418,545  

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

      2,880       2,739,600  

DCP Midstream LLC(a):

     

6.45%, 11/03/36

      247       255,028  

6.75%, 09/15/37

      1,527       1,588,080  

DCP Midstream Operating LP, 5.38%, 07/15/25

      246       249,456  

Denbury Resources, Inc., 9.25%, 03/31/22(a)

      1,136       1,184,280  

Devon Energy Corp., 5.85%, 12/15/25

      4,000       4,252,443  

Diamond Offshore Drilling, Inc., 5.70%, 10/15/39

      695       524,725  

Diamondback Energy, Inc.,
4.75%, 11/01/24(a)

      1,380       1,342,050  

El Paso LLC:

     

7.80%, 08/01/31

      197       239,139  

7.75%, 01/15/32

      4,586       5,627,761  

El Paso Natural Gas Co. LLC, 8.63%, 01/15/22

      2,345       2,664,937  

El Paso Pipeline Partners Operating Co. LLC,
6.50%, 04/01/20(f)

      5,075       5,287,539  

Enbridge Energy Partners LP, 9.88%, 03/01/19(f)

      6,000       6,136,960  

Enbridge, Inc., 6.25%, 03/01/78(b)

      5,000       4,678,578  

Endeavor Energy Resources LP/EER Finance, Inc.(a):

     

5.50%, 01/30/26

      1,268       1,302,870  

5.75%, 01/30/28

      249       257,093  

Energy Transfer Equity LP:

     

7.50%, 10/15/20

      598       633,132  

4.25%, 03/15/23

      553       547,470  

5.88%, 01/15/24

      3,366       3,538,507  

5.50%, 06/01/27

      406       412,719  

Energy Transfer Partners LP:

     

5.20%, 02/01/22(f)

      10,200       10,547,567  

6.13%, 12/15/45

      3,579       3,554,595  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      613       590,707  

4.15%, 06/01/25

      66       61,349  

4.85%, 07/15/26

      92       87,015  

5.05%, 04/01/45

      203       160,611  

5.45%, 06/01/47

      239       201,373  

Ensco PLC, 5.75%, 10/01/44

      512       358,400  

Enterprise Products Operating LLC:

     

4.90%, 05/15/46(f)

      5,375       5,218,993  

Series E, 5.25%, 08/16/77(b)

      4,800       4,299,485  

EP Energy LLC/Everest Acquisition Finance, Inc.(a):

     

9.38%, 05/01/24

      351       266,760  

8.00%, 11/29/24

      673       649,445  

7.75%, 05/15/26

      762       762,000  

Extraction Oil & Gas, Inc.(a):

     

7.38%, 05/15/24

      72       67,500  

5.63%, 02/01/26

      1,392       1,176,240  

Gulfport Energy Corp., 6.00%, 10/15/24

      361       337,535  

Hess Corp., 5.80%, 04/01/47

      5,000       4,841,939  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(a)

      611       612,528  

Indigo Natural Resources LLC, 6.88%, 02/15/26(a)

      239       225,855  

Jagged Peak Energy LLC,
5.88%, 05/01/26(a)

      176       171,600  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Kinder Morgan Energy Partners LP:

     

6.85%, 02/15/20(f)

    USD       12,000     $ 12,514,982  

4.25%, 09/01/24

      2,170       2,172,328  

5.40%, 09/01/44

      3,615       3,503,652  

Marathon Petroleum Corp.(a):

     

4.75%, 12/15/23

      1,230       1,266,976  

5.13%, 12/15/26

      937       961,595  

Matador Resources Co., 5.88%, 09/15/26(a)

      1,289       1,259,997  

MEG Energy Corp.(a):

     

6.38%, 01/30/23

      309       298,185  

6.50%, 01/15/25

      1,968       2,036,880  

Midcontinent Express Pipeline LLC,
6.70%, 09/15/19(a)

      3,500       3,569,038  

MPLX LP:

     

4.13%, 03/01/27

      825       787,091  

5.20%, 03/01/47

      3,500       3,310,273  

4.70%, 04/15/48(f)

      5,000       4,391,072  

Nabors Industries, Inc., 5.75%, 02/01/25

      395       364,556  

Newfield Exploration Co., 5.38%, 01/01/26

      480       484,502  

Nexen Energy ULC, 6.40%, 05/15/37

      2,000       2,368,722  

NGPL PipeCo LLC(a):

     

4.38%, 08/15/22

      509       502,638  

4.88%, 08/15/27

      931       896,087  

7.77%, 12/15/37

      1,370       1,602,900  

Noble Energy, Inc., 5.05%, 11/15/44

      3,500       3,219,203  

Noble Holding International Ltd.:

     

7.75%, 01/15/24(f)

      1,259       1,175,591  

7.88%, 02/01/26(a)

      1,545       1,533,412  

Oasis Petroleum, Inc., 6.88%, 01/15/23

      57       57,499  

ONEOK Partners LP, 8.63%, 03/01/19(f)

      10,000       10,178,410  

Pacific Drilling First Lien Escrow Issuer Ltd., 8.38%, 10/01/23(a)

      1,424       1,441,800  

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

     

5.25%, 08/15/25

      780       753,675  

5.63%, 10/15/27

      1,289       1,270,658  

Petroleos Mexicanos:

     

3.50%, 01/30/23(f)

      5,000       4,595,000  

4.63%, 09/21/23

      3,965       3,780,588  

4.88%, 01/18/24(f)

      2,000       1,902,620  

Plains All American Pipeline LP,
Series B, 6.13%(b)(f)(h)

      2,215       2,076,562  

Plains All American Pipeline LP/PAA Finance Corp.:

     

4.70%, 06/15/44

      1,498       1,294,812  

4.90%, 02/15/45

      2,102       1,837,162  

QEP Resources, Inc.:

     

5.38%, 10/01/22

      1,927       1,898,095  

5.63%, 03/01/26

      1,040       978,900  

Range Resources Corp.:

     

5.00%, 08/15/22

      32       31,440  

4.88%, 05/15/25

      175       162,313  

Rockies Express Pipeline LLC(a):

     

5.63%, 04/15/20

      295       301,402  

6.88%, 04/15/40

      580       630,750  

Rowan Cos., Inc., 4.88%, 06/01/22

      1,446       1,384,545  

Ruby Pipeline LLC, 6.00%, 04/01/22(a)(f)

      8,409       8,715,579  

Sabine Pass Liquefaction LLC:

     

5.63%, 02/01/21

      405       419,065  

5.63%, 04/15/23(f)

      10,510       11,064,192  

5.75%, 05/15/24

      2,575       2,727,020  

5.88%, 06/30/26

      1,481       1,572,264  
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

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

Sanchez Energy Corp.:

     

7.75%, 06/15/21

    USD       982     $ 491,000  

6.13%, 01/15/23

      847       313,390  

Seven Generations Energy Ltd.,
5.38%, 09/30/25(a)

      1,110       1,035,075  

SM Energy Co.:

     

5.00%, 01/15/24

      297       282,893  

5.63%, 06/01/25(f)

      350       336,875  

6.75%, 09/15/26

      682       683,705  

6.63%, 01/15/27

      463       465,315  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      725       705,062  

7.50%, 04/01/26

      890       905,575  

7.75%, 10/01/27

      259       262,238  

Sunoco LP/Sunoco Finance Corp.(a):

     

4.88%, 01/15/23

      1,071       1,032,176  

5.88%, 03/15/28

      317       295,603  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a):

     

5.50%, 09/15/24

      145       145,906  

5.50%, 01/15/28

      1,388       1,372,121  

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

     

5.25%, 05/01/23

      37       36,908  

6.75%, 03/15/24

      184       192,740  

5.88%, 04/15/26(a)

      848       852,240  

5.00%, 01/15/28

      1,009       956,027  

TransCanada PipeLines Ltd.:

     

4.88%, 01/15/26(f)

      4,485       4,621,880  

4.88%, 05/15/48

      4,000       3,862,357  

TransCanada Trust(3 mo. LIBOR US + 3.53%), 5.63%, 05/20/75(g)

      2,755       2,622,402  

Transocean Guardian Ltd., 5.88%, 01/15/24(a)

      648       641,520  

Transocean Pontus Ltd.,
6.13%, 08/01/25(a)

      769       764,194  

Transocean, Inc., 7.25%, 11/01/25(a)

      750       729,375  

Western Gas Partners LP,
5.38%, 06/01/21(f)

      5,125       5,285,264  

Whiting Petroleum Corp., 6.63%, 01/15/26

      700       699,125  

Williams Cos., Inc.:

     

3.70%, 01/15/23

      2,245       2,203,178  

4.55%, 06/24/24

      527       530,737  

8.75%, 03/15/32

      2,478       3,244,071  

5.10%, 09/15/45(f)

      5,075       4,795,754  

WPX Energy, Inc.:

     

6.00%, 01/15/22

      72       73,620  

5.25%, 09/15/24

      22       21,725  
   

 

 

 
        260,208,858  
Paper & Forest Products — 1.8%  

International Paper Co.(f):

     

7.50%, 08/15/21

      7,209       7,940,746  

8.70%, 06/15/38

      4,000       5,351,738  

7.30%, 11/15/39

      10,000       12,021,285  
   

 

 

 
        25,313,769  
Pharmaceuticals — 4.0%  

Abbott Laboratories, 4.90%, 11/30/46

      5,500       5,667,151  

AbbVie, Inc., 4.70%, 05/14/45

      3,255       2,934,469  

Allergan Funding SCS, 4.75%, 03/15/45

      5,485       5,140,196  

Allergan Sales LLC, 5.00%, 12/15/21(a)

      1,631       1,682,244  

Allergan, Inc., 2.80%, 03/15/23

      3,000       2,846,876  

Bausch Health Cos., Inc.(a):

     

6.13%, 04/15/25

      815       749,555  

5.50%, 11/01/25

      869       851,620  

8.50%, 01/31/27

      1,186       1,206,755  
Security   Par
(000)
    Value  
Pharmaceuticals (continued)  

Bayer US Finance II LLC, 4.88%, 06/25/48(a)

    USD       7,500     $ 6,994,431  

Charles River Laboratories International, Inc.,
5.50%, 04/01/26(a)

      317       316,207  

CVS Health Corp.:

     

4.75%, 12/01/22

      289       298,028  

5.00%, 12/01/24

      183       189,499  

5.13%, 07/20/45

      3,879       3,804,833  

5.05%, 03/25/48(f)

      8,205       8,000,377  

Elanco Animal Health, Inc.(a):

     

4.27%, 08/28/23

      314       312,556  

4.90%, 08/28/28

      336       331,929  

Endo Finance LLC/Endo Finco, Inc.,
6.00%, 07/15/23(a)

      1,514       1,302,040  

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

      297       312,593  

Merck & Co., Inc., 6.50%, 12/01/33(f)

      6,420       8,071,862  

Valeant Pharmaceuticals International, Inc.(a):

     

7.50%, 07/15/21

      41       41,615  

5.63%, 12/01/21

      643       632,551  

6.50%, 03/15/22

      829       858,015  

5.50%, 03/01/23

      2,365       2,240,837  

5.88%, 05/15/23

      622       593,232  

7.00%, 03/15/24

      1,303       1,364,489  

9.00%, 12/15/25

      316       329,430  

9.25%, 04/01/26

      176       184,580  
   

 

 

 
        57,257,970  
Real Estate Management & Development — 0.4%  

Greystar Real Estate Partners LLC,
5.75%, 12/01/25(a)

      460       446,200  

Northwest Florida Timber Finance LLC,
4.75%, 03/04/29(a)(f)

      4,485       4,095,164  

Realogy Group LLC/Realogy Co-Issuer Corp.,
4.50%, 04/15/19(a)

      803       798,985  
   

 

 

 
        5,340,349  
Road & Rail — 1.2%  

Norfolk Southern Corp., 6.00%, 03/15/05

      12,700       13,431,827  

United Rentals North America, Inc.:

     

4.63%, 07/15/23

      1,616       1,601,860  

4.63%, 10/15/25

      1,034       957,743  

5.88%, 09/15/26

      274       268,520  

4.88%, 01/15/28

      877       790,133  
   

 

 

 
        17,050,083  
Semiconductors & Semiconductor Equipment — 1.0%  

Broadcom Corp./Broadcom Cayman Finance Ltd.,
3.88%, 01/15/27(f)

      7,500       6,886,795  

NXP BV/NXP Funding LLC,
4.63%, 06/15/22(a)

      490       486,937  

QUALCOMM, Inc.:

     

3.25%, 05/20/27(f)

      2,500       2,311,988  

4.30%, 05/20/47

      3,500       3,137,568  

Sensata Technologies BV(a):

     

5.63%, 11/01/24

      695       691,525  

5.00%, 10/01/25

      772       744,980  
   

 

 

 
        14,259,793  
Software — 1.1%  

CDK Global, Inc., 5.88%, 06/15/26

      378       380,835  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(a)

      988       1,071,980  

Infor US, Inc., 6.50%, 05/15/22

      8,585       8,563,537  

Informatica LLC, 7.13%, 07/15/23(a)

      1,599       1,631,476  

Nuance Communications, Inc.,
5.38%, 08/15/20(a)

      1,267       1,267,792  
 

 

 

22    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Software (continued)  

PTC, Inc., 6.00%, 05/15/24

    USD       313     $ 320,043  

Solera LLC/Solera Finance, Inc.,
10.50%, 03/01/24(a)

      2,040       2,213,461  

Sophia LP/Sophia Finance, Inc.,
9.00%, 09/30/23(a)

      740       765,900  
   

 

 

 
        16,215,024  
Specialty Retail — 0.4%  

L Brands, Inc.:

     

7.00%, 05/01/20

      3,050       3,172,000  

6.88%, 11/01/35

      1,119       951,150  

Penske Automotive Group, Inc.,
5.50%, 05/15/26

      1,160       1,102,000  
   

 

 

 
        5,225,150  
Technology Hardware, Storage & Peripherals — 0.5%  

Dell International LLC/EMC Corp.(a):

     

5.88%, 06/15/21

      615       623,469  

7.13%, 06/15/24

      747       790,561  

8.35%, 07/15/46

      2,355       2,736,681  

Western Digital Corp., 4.75%, 02/15/26

      2,900       2,678,875  
   

 

 

 
        6,829,586  
Textiles, Apparel & Luxury Goods — 0.1%  

Levi Strauss & Co., 5.00%, 05/01/25

      699       688,515  

William Carter Co., 5.25%, 08/15/21

      1,406       1,411,272  
   

 

 

 
        2,099,787  
Thrifts & Mortgage Finance — 0.1%  

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

     

5.25%, 03/15/22

      480       477,600  

5.25%, 10/01/25

      268       247,900  
   

 

 

 
        725,500  
Tobacco — 2.2%  

Altria Group, Inc., 10.20%, 02/06/39(f)

      13,392       20,854,664  

BAT Capital Corp., 4.54%, 08/15/47(a)

      8,000       6,965,763  

Reynolds American, Inc.:

     

4.85%, 09/15/23

      1,120       1,155,748  

5.85%, 08/15/45

      2,335       2,398,305  
   

 

 

 
        31,374,480  
Trading Companies & Distributors — 0.2%  

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

     

Class A, 5.25%, 05/30/25

      1,732       1,770,571  

Class B, 6.13%, 11/30/21

      1,122       1,139,144  
   

 

 

 
        2,909,715  
Transportation Infrastructure — 0.7%  

Penske Truck Leasing Co. LP/PTL Finance Corp.,
4.88%, 07/11/22(a)(f)

      10,500       10,791,812  
   

 

 

 
Utilities — 0.1%  

Vistra Operations Co. LLC,
5.50%, 09/01/26(a)

      747       735,795  
   

 

 

 
Wireless Telecommunication Services — 1.9%  

Crown Castle International Corp.:

     

4.88%, 04/15/22

      2,500       2,575,321  

3.65%, 09/01/27(f)

      8,000       7,396,715  

CyrusOne LP/CyrusOne Finance Corp.,
5.38%, 03/15/27

      129       128,033  

Digicel Group Ltd., 8.25%, 09/30/20(a)

      200       143,002  

Digicel Ltd., 6.00%, 04/15/21(a)

      1,285       1,166,137  

Frontier Communications Corp., 8.50%, 04/01/26(a)

      711       660,341  

SBA Communications Corp.:

     

4.00%, 10/01/22

      1,045       1,000,588  
Security   Par
(000)
    Value  
Wireless Telecommunication Services (continued)  

4.88%, 09/01/24

    USD       1,708     $ 1,648,220  

Sprint Capital Corp.:

     

6.88%, 11/15/28

      841       827,334  

8.75%, 03/15/32

      1,197       1,307,722  

Sprint Communications, Inc.(a):

     

9.00%, 11/15/18

      1,576       1,579,152  

7.00%, 03/01/20

      389       403,101  

Sprint Corp.:

     

7.88%, 09/15/23

      884       943,670  

7.13%, 06/15/24

      3,442       3,519,445  

7.63%, 02/15/25

      36       37,395  

7.63%, 03/01/26

      1,929       2,006,160  

T-Mobile USA, Inc.:

     

6.50%, 01/15/26

      960       1,010,400  

4.50%, 02/01/26

      815       762,791  

4.75%, 02/01/28

      1,076       995,300  
   

 

 

 
        28,110,827  
   

 

 

 

Total Corporate Bonds — 109.0%
(Cost — $1,561,359,738)

 

    1,569,207,592  
   

 

 

 

Foreign Agency Obligations — 2.3%

 

Argentine Republic Government International Bond, 5.63%, 01/26/22

      6,485       5,820,287  

Brazilian Government International Bond, 5.00%, 01/27/45

      6,525       5,448,375  

Colombia Government International Bond, 5.63%, 02/26/44

      4,000       4,096,000  

Indonesia Government International Bond, 5.88%, 01/15/24(a)

      4,400       4,628,378  

Mexico Government International Bond:

     

4.75%, 03/08/44

      5,800       5,141,758  

4.60%, 02/10/48

      5,000       4,337,600  

Uruguay Government International Bond, 5.10%, 06/18/50

      3,500       3,316,250  
   

 

 

 

Total Foreign Agency Obligations — 2.3%
(Cost — $35,090,454)

 

    32,788,648  
   

 

 

 

Municipal Bonds — 1.2%

 

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

      5,000       5,192,050  

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

      10,000       12,008,900  
   

 

 

 

Total Municipal Bonds — 1.2%
(Cost — $14,845,121)

 

    17,200,950  
   

 

 

 

Preferred Securities — 25.0%

 

Capital Trusts — 22.5%                  
Banks — 6.3%                  

BNP Paribas SA(a)(g)(h):

     

7.20%

      5,000       5,209,200  

7.38%

      4,535       4,659,712  

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

      5,000       5,050,000  

CIT Group, Inc., Series A, 5.80%(g)(h)

      3,000       2,950,500  

Citigroup, Inc., 5.90%(g)(h)

      2,210       2,210,000  

Credit Suisse Group AG(a)(g)(h):

     

6.25%

      7,255       7,059,957  

7.50%

      3,250       3,383,770  

HSBC Capital Funding LP, 10.18%(a)(f)(g)(h)

      11,835       17,397,450  

Lloyds Banking Group PLC, 7.50%(b)(h)

      8,285       8,326,425  

Macquarie Bank Ltd., 6.13%(a)(g)(h)

      1,885       1,691,787  

Nordea Bank AB, 6.13%(a)(g)(h)

      5,540       5,318,400  
 

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Banks (continued)                  

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

    USD       10,415     $ 10,180,662  

Wells Fargo & Co.(g)(h):

     

Series K, 6.10%

      809       815,068  

Series Q, 5.85%

      551       14,092,800  

Series S, 5.90%

      281       283,108  

Series U, 5.88%

      2,655       2,734,650  
   

 

 

 
        91,363,489  
Capital Markets — 2.9%  

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

      6,805       6,750,560  

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

      2,950       2,957,375  

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

      8,675       8,752,034  

State Street Corp:

     

3.33%, 06/01/77(d)(f)

      17,845       15,670,765  

Series D, 5.90%(g)(h)

      220       5,741,690  

Series F, 5.25%(g)(h)

      1,855       1,875,869  
   

 

 

 
        41,748,293  
Commercial Services & Supplies — 0.4%  

AerCap Global Aviation Trust, 6.50%, 06/15/45(a)(g)

      5,000       5,125,000  
   

 

 

 
Consumer Finance — 0.3%  

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

      4,510       4,493,088  
   

 

 

 
Diversified Financial Services — 5.6%  

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

     

Series AA, 6.10%

      8,630       8,856,537  

Series U, 5.20%

      5,785       5,640,375  

Barclays PLC, 6.63%(g)(h)

      3,135       3,154,594  

Barclays PLC, 7.75%(b)(h)

      4,135       4,125,490  

BNP Paribas SA, 6.75%(a)(g)(h)

      5,000       5,056,250  

Credit Agricole SA, 8.13%(a)(g)(h)

      5,000       5,362,830  

Credit Suisse Group AG, 7.50%(a)(b)(h)

      1,865       1,897,638  

HSBC Holdings PLC:

     

6.00%(g)(h)

      1,550       1,426,000  

6.50%(b)(h)

      2,615       2,454,831  

JPMorgan Chase & Co.:

     

8.75%, 09/01/30

      2,000       2,710,355  

Series 1, 5.99%(g)(h)

      2,618       2,632,032  

Series Q, 5.15%(g)(h)

      4,000       3,926,400  

Series R, 6.00%(f)(g)(h)

      14,130       14,200,650  

Series S, 6.75%(f)(g)(h)

      9,775       10,425,037  

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

     

8.00%

      970       1,000,919  

8.63%

      5,135       5,398,169  

Societe Generale SA, 7.38%(a)(g)(h)

      1,980       2,007,225  
   

 

 

 
        80,275,332  
Electric Utilities — 0.6%  

PPL Capital Funding, Inc., Series A, 5.05%, 03/30/67(g)

      8,300       8,051,000  
   

 

 

 
Equity Real Estate Investment Trusts (REITs) — 0.5%  

Sovereign Real Estate Investment Trust, 12.00%(a)(h)

      7       7,787,500  
   

 

 

 
Industrial Conglomerates — 0.5%  

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

      7,502       6,948,727  
   

 

 

 
Insurance — 2.8%  

ACE Capital Trust II, 9.70%, 04/01/30

      7,000       9,741,410  

Allstate Corp., Series B, 5.75%, 08/15/53(g)

      5,000       5,050,500  

American International Group, Inc.,
8.18%, 05/15/68(g)

      3,755       4,609,262  

Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 04/01/27

      5,000       5,348,635  

Farmers Exchange Capital II,
6.15%, 11/01/53(a)(g)

      4,890       5,207,842  

MetLife, Inc., 6.40%, 12/15/36

      5,000       5,185,000  

Principal Financial Group, Inc., 4.70%, 05/15/55(g)

      5,000       4,950,000  
   

 

 

 
        40,092,649  
Security   Par
(000)
    Value  
Media — 0.1%  

Viacom, Inc., 5.88%, 02/28/57(g)

    USD       2,111     $ 2,028,144  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.9%  

Enbridge, Inc., Series 16-A,
6.00%, 01/15/77(g)

      5,880       5,497,542  

Energy Transfer Partners LP, Series B, 6.63%(b)(h)

      5,000       4,600,000  

Enterprise Products Operating LLC, 5.10%, 06/01/67(g)

      2,500       2,469,067  
   

 

 

 
        12,566,609  
Road & Rail — 0.5%  

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

      6,125       6,691,563  
   

 

 

 
Wireless Telecommunication Services — 1.1%  

Centaur Funding Corp.,
9.08%, 04/21/20(a)

      15       16,278,725  
   

 

 

 

Total Capital Trusts — 22.5%
(Cost — $320,332,083)

 

    323,450,119  
   

 

 

 
            Shares         

Preferred Stocks — 2.0%

 

Banks — 0.9%  

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

      488,320       13,345,786  
   

 

 

 
Capital Markets — 0.3%  

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

      162,450       4,100,238  

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

      31,650       795,364  
   

 

 

 
        4,895,602  
Electric Utilities — 0.2%  

Entergy Louisiana LLC, 5.25%, 07/01/52

      90,000       2,146,500  
   

 

 

 
Equity Real Estate Investment Trusts (REITs) — 0.2%  

Ventas Realty LP/Ventas Capital Corp., 5.45%, 03/15/43

      75,000       1,785,000  

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

      50,000       1,181,500  
   

 

 

 
        2,966,500  
Media — 0.4%  

NBCUniversal Enterprise, Inc.,
5.25%(a)(h)

      5,600,000       5,670,000  
   

 

 

 

Total Preferred Stocks — 2.0%
(Cost — $27,930,653)

 

    29,024,388  
   

 

 

 

Trust Preferred – 0.5%

 

Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2,
8.10%, 02/15/40(g)

      300,141       7,881,703  
   

 

 

 

Total Trust Preferred — 0.5%
(Cost — $7,299,341)

 

    7,881,703  
   

 

 

 

Total Preferred Securities — 25.0%
(Cost — $355,562,077)

 

    360,356,210  
   

 

 

 
            Par
(000)
        

U.S. Government Sponsored Agency Securities — 0.3%

 

Agency Obligations — 0.3%  

Fannie Mae, 0.00%, 10/09/19(f)(m)

    USD       3,945       3,842,515  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 0.3%
(Cost — $3,793,489)

 

    3,842,515  
   

 

 

 

Total Long-Term Investments — 146.4%
(Cost — $2,095,340,809)

 

    2,107,158,258  
   

 

 

 
 

 

 

24    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Security         
Shares
    Value  

Short-Term Securities — 0.5%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.07%(n)(o)

      7,903,560     $ 7,903,560  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost — $7,903,560)

 

    7,903,560  
   

 

 

 

Options Purchased — 0.1%
(Cost — $2,221,037)

 

    1,711,826  
   

 

 

 

Total Investments Before Options Written — 147.0%
(Cost — $2,105,465,406)

 

    2,116,773,644  
   

 

 

 

Options Written — (0.0)%
(Premiums Received — $64,068)

 

    (10,964
   

 

 

 

Total Investments, Net of Options Written — 147.0%
(Cost — $2,105,401,338)

 

    2,116,762,680  

Liabilities in Excess of Other Assets — (47.0)%

 

    (676,809,125
   

 

 

 

Net Assets — 100.0%

 

  $ 1,439,953,555  
   

 

 

 
(a) 

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.

(b) 

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.

(c) 

When-issued security.

(d) 

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

(e) 

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

(f) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) 

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.

(h) 

Perpetual security with no stated maturity date.

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

Non-income producing security.

(k) 

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(l) 

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.

(m) 

Zero-coupon bond.

(n) 

Annualized 7-day yield as of period end.

 
(o) 

During the year ended October 31, 2018, 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
10/31/17
     Net
Activity
     Shares
Held at
10/31/18
     Value at
10/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     9,139,477        (1,235,917      7,903,560      $ 7,903,560      $ 137,025      $ 32      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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)

Deutsche Bank Securities, Inc.

    2.37     05/08/18       Open     $ 3,806,000     $ 3,841,781     U.S. Government Sponsored Agency Securities   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       07/16/18       Open       3,007,813       3,025,734     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       07/16/18       Open       3,661,226       3,683,041     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       07/16/18       Open       5,297,906       5,329,473     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       07/16/18       Open       13,062,500       13,140,331     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.55       07/16/18       Open       3,194,125       3,213,631     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.55       07/16/18       Open       4,721,483       4,750,316     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       7,896,600       7,953,385     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       2,212,500       2,228,410     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       5,012,500       5,048,545     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       4,887,500       4,922,647     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       7,320,000       7,372,639     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       4,925,000       4,960,736     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/16/18       Open       2,857,500       2,878,234     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.85       07/16/18       Open       3,717,040       3,746,642     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.85       07/16/18       Open       4,675,000       4,712,231     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.85       07/16/18       Open       4,075,000       4,107,453     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.84       07/17/18       Open       6,957,274       7,010,379     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.84       07/17/18       Open       7,787,100       7,846,539     Corporate Bonds   Open/Demand

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (continued)

October 31, 2018

  

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)

BNP Paribas S.A.

    2.84     07/17/18       Open     $ 8,083,840     $ 8,145,544     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       8,880,000       8,943,280     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       7,584,500       7,638,548     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       14,310,000       14,411,975     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       7,095,188       7,145,749     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       6,075,000       6,118,291     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       4,204,688       4,234,651     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       5,300,000       5,337,768     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       3,330,000       3,353,730     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       3,180,113       3,202,774     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       4,015,125       4,043,737     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       4,724,775       4,758,444     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       16,929,000       17,049,638     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       21,125,880       21,276,425     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       3,850,000       3,877,436     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/17/18       Open       7,012,500       7,062,472     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       5,793,750       5,830,967     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       15,274,875       15,372,995     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       5,656,313       5,692,646     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       4,882,969       4,914,335     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       3,086,250       3,106,075     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       4,930,750       4,962,423     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       6,753,075       6,796,454     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       10,128,435       10,193,496     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       10,175,000       10,240,360     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       07/23/18       Open       9,082,125       9,140,465     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.60       07/23/18       Open       10,137,500       10,203,746     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.60       07/23/18       Open       10,275,000       10,342,144     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.62       07/23/18       Open       10,048,500       10,114,722     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.63       07/23/18       Open       9,749,700       9,814,224     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       10,809,094       10,873,903     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       9,568,781       9,626,154     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       16,184,363       16,281,401     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       9,921,625       9,981,113     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       14,062,500       14,146,816     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       13,299,863       13,379,606     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.45       07/25/18       Open       13,350,000       13,430,044     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/25/18       Open       5,522,250       5,558,731     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/25/18       Open       8,131,000       8,184,714     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.85       07/25/18       Open       4,347,120       4,378,914     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.85       07/25/18       Open       4,617,000       4,650,768     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       07/31/18       Open       5,505,000       5,539,578     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       08/20/18       Open       2,840,800       2,853,944     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50       09/07/18       Open       332,655       333,293     Corporate Bonds   Open/Demand

Barclays Bank PLC

    3.05       09/10/18       Open       1,585,000       1,591,298     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/10/18       Open       12,179,213       12,223,294     Capital Trusts   Open/Demand

RBC Capital Markets LLC

    2.59       09/10/18       Open       8,840,650       8,872,044     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/10/18       Open       5,703,750       5,724,005     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/10/18       Open       7,230,000       7,255,675     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/10/18       Open       3,595,688       3,608,456     Corporate Bonds   Open/Demand

Citigroup Global Markets, Inc.

    0.25       09/11/18       Open       283,150       283,217     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       6,747,300       6,768,629     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       9,775,000       9,805,900     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       4,440,150       4,454,186     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       10,290,000       10,322,528     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       9,925,000       9,956,374     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       12,480,000       12,519,451     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       14,340,000       14,385,330     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       5,573,125       5,590,742     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       5,555,000       5,572,560     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       11,730,000       11,767,080     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       1,835,000       1,840,801     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       10,375,000       10,407,797     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       11,880,000       11,917,554     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/14/18       Open       17,137,500       17,191,674     Corporate Bonds   Open/Demand

 

 

26    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

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)

Barclays Bank PLC

    1.75 %       09/19/18       Open     $ 1,813,531     $ 1,816,718     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    (1.00     09/19/18       Open       877,133       875,610     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.31       09/19/18       Open       1,895,000       1,900,107     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.31       09/19/18       Open       2,964,506       2,972,496     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.31       09/19/18       Open       4,518,750       4,530,928     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       5,022,957       5,036,152     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       2,939,688       2,947,404     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/20/18       Open       6,656,250       6,675,561     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25       09/27/18       Open       1,077,465       1,078,662     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.59       09/27/18       Open       7,700,000       7,717,571     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.80       09/28/18       Open       5,652,923       5,666,552     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.80       09/28/18       Open       5,311,425       5,324,231     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.56       09/28/18       Open       7,120,000       7,137,214     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.55       10/01/18       Open       4,535,781       4,545,741     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.55       10/01/18       Open       4,700,000       4,710,320     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.55       10/01/18       Open       4,337,500       4,347,024     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.00       10/26/18       Open       5,444,000       5,444,907     Capital Trusts   Open/Demand
       

 

 

   

 

 

     
  $ 703,308,404     $ 707,102,433      
 

 

 

   

 

 

     

 

  (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:

                 

2-Year U.S. Treasury Note

     533          12/31/18        $ 112,280        $ (17,296

5-Year U.S. Treasury Note

     385          12/31/18          43,267          (315,305
                 

 

 

 
                    (332,601
                 

 

 

 

Short Contracts:

                 

10-Year U.S. Treasury Note

     1,643          12/19/18          194,593          1,646,889  

10-Year U.S. Ultra Long Treasury Note

     342          12/19/18          42,787          1,093,653  

Long U.S. Treasury Bond

     493          12/19/18          68,096          3,085,040  

U.S. Ultra Bond

     128          12/19/18          19,100          1,125,041  
                 

 

 

 
                    6,950,623  
                 

 

 

 
                  $ 6,618,022  
                 

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  
Call                                                   

iShares Russell 2000 ETF

     7,309          11/16/18        USD     166.00        USD     1,097        $ 32,890  
Put                                                   

10-Year US Treasury Note

     1,849          11/23/18        USD     118.00        USD     218,182          548,922  

10-Year US Treasury Note

     1,193          11/23/18        USD     117.00        USD     139,581          93,203  
                          

 

 

 
                             642,125  
                          

 

 

 
                           $ 675,015  
                          

 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

 

OTC Interest Rate Swaptions Purchased

 

  

 

  Paid by the Trust   Received by the Trust     

 

    

 

      

 

      

 

      

 

 
Description   Rate     Frequency   Rate     Frequency   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Put                                                      

30-Year Interest Rate Swap, 06/08/49

    3.50   Semi-Annual     3-Month LIBOR, 2.56 %,    Quarterly   JPMorgan Chase Bank N.A.     06/06/19       3.50     USD       22,700     $ 490,019  

30-Year Interest Rate Swap, 06/08/49

    3.50     Semi-Annual     3-Month LIBOR 2.56   Quarterly   Goldman Sachs Bank USA     06/06/19       3.50       USD       25,330       546,792  
                   

 

 

 
                    $ 1,036,811  
                   

 

 

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  
Call                                                   

iShares Russell 2000 ETF

     7,309          11/16/18        USD     170.00        USD     1,097        $ (10,964

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)
 

CDX.NA.IG.30.V1

     1.00    Quarterly      06/20/23      BBB+      USD        100,000      $ 1,705,567      $ 1,572,884      $ 132,683  
                    

 

 

    

 

 

    

 

 

 

 

  (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.

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust

   Received by the Trust    Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency
3-Month LIBOR 2.56%    Quarterly    1.79%    Semi-annual      09/30/19      USD      100,370      $ (1,051,715    $ 224      $ (1,051,939
                    

 

 

    

 

 

    

 

 

 

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     03/20/19     USD     16,700     $ (67,853   $ (5,742   $ (62,111

Prudential Financial, Inc.

     1.00     Quarterly   Citibank N.A.     06/20/21     USD     1,920       (36,013     14,853       (50,866

Prudential Financial, Inc.

     1.00     Quarterly   Goldman Sachs International     06/20/21     USD     1,155       (21,664     9,504       (31,168

Prudential Financial, Inc.

     1.00     Quarterly   JPMorgan Chase Bank N.A.     06/20/21     USD     9,500       (178,190     64,306       (242,496
              

 

 

   

 

 

   

 

 

 
  $ (303,720   $ 82,921     $ (386,641
    

 

 

   

 

 

   

 

 

 

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)
 

Bank of America Corp.

     1.00     Quarterly     Deutsche Bank AG     03/20/19     A-     USD       16,700     $ 74,020     $ 10,237     $ 63,783  

American Tower Corp.

     1.00       Quarterly     Morgan Stanley & Co. International PLC     06/20/21     BBB-     USD       10,000       (25,084     (219,075     193,991  
                

 

 

   

 

 

   

 

 

 
  $ 48,936     $ (208,838   $ 257,774  
                

 

 

   

 

 

   

 

 

 

 

  (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.

 

 

 

28    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
       Unrealized
Appreciation
  Unrealized
Depreciation
       Value  

Centrally Cleared Swaps(a)

   $1,573,108      $        $132,683   $ (1,051,939      $  

OTC Swaps

   98,900        (224,817      257,774     (386,641         

Options Written

   N/A        N/A        53,104              (10,964

 

  (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 Statememts of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

 

Derivative Financial Instruments Categorized by Risk Exposure

 

As of year 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)

   $      $      $      $      $ 6,950,623      $      $ 6,950,623  

Options purchased

                    

Investments at value — unaffiliated(b)

                   32,890               1,678,936               1,711,826  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

            132,683                                    132,683  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            356,674                                    356,674  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 489,357      $ 32,890      $      $ 8,629,559      $      $ 9,151,806  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 332,601      $      $ 332,601  

Options written

                    

Options written at value

                   10,964                         10,964  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

                                 1,051,939               1,051,939  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            611,458                                    611,458  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 611,458      $ 10,964      $      $ 1,384,540      $      $ 2,006,962  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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, 2018, 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

   $      $      $      $      $ 10,634,400      $      $ 10,634,400  

Options purchased(a)

                   (335,043             516,364               181,321  

Options written

           120,877                 120,877  

Swaps

            235,417                      (409,159             (173,742
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 235,417      $ (214,166    $      $ 10,741,605      $      $ 10,762,856  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 5,009,796      $      $ 5,009,796  

Options purchased(b)

               (173,474             (11,575             (185,049

Options written

                   53,104                             53,104  

Swaps

            242,161                      (948,708             (706,547
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 242,161      $ (120,370    $      $ 4,049,513      $      $ 4,171,304  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

(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

   $ 65,040,246  

Average notional value of contracts — short

   $ 394,890,506  

Options:

 

Average value of option contracts purchased

   $ 168,754  

Average value of option contracts written

   $ 2,741  

Average notional value of swaption contracts purchased

   $ 48,030,000  

Credit default swaps:

 

Average notional value — buy protection

   $ 29,579,755  

Average notional value — sell protection

   $ 102,456,250  

Interest rate swaps:

 

Average notional value — receives fixed rate

   $ 131,340,000  

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  

Futures contracts

   $ 1,262,251      $ 150,844  

Options

     1,711,826 (a)        10,964  

Swaps — Centrally cleared

            992  

Swaps — OTC(b)

     356,674        611,458  
  

 

 

    

 

 

 

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

   $ 3,330,751      $ 774,258  

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

     (1,937,266      (162,800
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 1,393,485      $ 611,458  
  

 

 

    

 

 

 

 

  (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 (c)
 

Citibank N.A.

   $ 14,853        $ (14,853      $        $        $  

Deutsche Bank AG

     74,020          (67,853                          6,167  

Goldman Sachs Bank USA

     546,792                            (300,000        246,792  

Goldman Sachs International

     9,504          (9,504                           

JPMorgan Chase Bank N.A.

     554,325          (242,496                 (311,829         

Morgan Stanley & Co. International PLC

     193,991          (193,991                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,393,485        $ (528,697      $        $ (611,829      $ 252,959  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
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 (d)
 

Citibank N.A.

   $ 50,866        $ (14,853      $        $        $ 36,013  

Deutsche Bank AG

     67,853          (67,853                           

Goldman Sachs International

     31,168          (9,504                          21,664  

JPMorgan Chase Bank N.A.

     242,496          (242,496                           

Morgan Stanley & Co International PLC

     219,075          (193,991                          25,084  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 611,458        $ (528,697      $        $        $ 82,761  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 

 

 

30    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

 

  (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 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.

 

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

   $        $ 120,712,408        $ 3,049,935        $ 123,762,343  

Corporate Bonds

              1,563,957,769          5,249,823          1,569,207,592  

Foreign Agency Obligations

              32,788,648                   32,788,648  

Municipal Bonds

              17,200,950                   17,200,950  

Preferred Securities

     51,070,581          309,285,629                   360,356,210  

U.S. Government Sponsored Agency Securities

              3,842,515                   3,842,515  

Short-Term Securities

     7,903,560                            7,903,560  

Options Purchased:

                 

Equity contracts

     32,890                            32,890  

Interest rate contracts

     642,125          1,036,811                   1,678,936  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 59,649,156        $ 2,048,824,730        $ 8,299,758        $ 2,116,773,644  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Assets:

 

Credit contracts

   $        $ 390,457        $        $ 390,457  

Interest rate contracts

     6,950,623                            6,950,623  

Liabilities:

 

Credit contracts

              (386,641                 (386,641

Equity contracts

     (10,964                          (10,964

Interest rate contracts

     (332,601        (1,051,939                 (1,384,540
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,607,058        $ (1,048,123      $        $ 5,558,935  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

 

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 $ 707,102,433 are categorized as Level 2 within the disclosure hierarchy.

During the year ended October 31, 2018, 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
       Total  

Assets:

            

Opening balance, as of October 31, 2017

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

Transfers into Level 3

                        

Transfers out of Level 3(a)

     (7,500,000                 (7,500,000

Accrued discounts/premiums

                        

Net realized gain (loss)

                        

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

     (65        (47,177        (47,242

Purchases

     3,050,000          290,000          3,340,000  

Sales

                        
  

 

 

      

 

 

      

 

 

 

Closing Balance, as of October 31, 2018

   $ 3,049,935        $ 5,249,823        $ 8,299,758  
  

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2018(c)

   $ (65      $ (47,177      $ (47,242
  

 

 

      

 

 

      

 

 

 

 

  (a) 

As of October 31, 2017, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2018, 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.

 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Credit Allocation Income Trust (BTZ)

 

  (c) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at October 31, 2018 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.

See notes to financial statements.

 

 

32    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security              
Shares
    Value  

Common Stocks — 0.2%

 

Auto Components — 0.0%  

Lear Corp.

      89     $ 11,828  
     

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(a)

      9,191       533  
     

 

 

 
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment Corp.(a)

      11,672       100,263  
     

 

 

 
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(a)(b)

      6,155        
     

 

 

 
Internet Software & Services — 0.1%  

New Holdings LLC(a)(b)

      365       118,625  
     

 

 

 
Metals & Mining — 0.0%  

Ameriforge Group, Inc.(a)

      832       49,088  
     

 

 

 
Software — 0.0%  

Avaya Holdings Corp.(a)

      38       525  
     

 

 

 
Utilities — 0.1%  

Texgen LLC(a)(b)

      10,393       410,524  
     

 

 

 

Total Common Stocks — 0.2%
(Cost — $986,989)

 

    691,386  
     

 

 

 
            Par
(000)
        

Asset-Backed Securities — 6.2%

 

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%),
5.14%, 10/15/28(c)(d)

    USD       250       251,250  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%),
6.53%, 12/09/26(c)(d)

      250       251,606  

Anchorage Capital CLO Ltd., Series 2018-10A, Class A1A, 3.63%, 10/15/31(c)(e)

      1,000       1,000,263  

Apidos CLO XXX Ltd., Series XXXA, Class A1A, 3.56%, 10/18/31(c)(e)

      250       249,836  

Ares XLVII CLO Ltd., Series 2018-48A, Class C, 4.14%, 07/20/30(c)(e)

      375       371,850  

Ares XLVIII CLO, Series 2018-48A, Class D, 5.04%, 07/20/30(c)(e)

      250       246,735  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.95%), 4.27%, 12/05/25(c)(d)

      300       300,183  

Atlas Senior Loan Fund X Ltd., Series 2018-10A, Class B, 3.94%, 01/15/31(c)(e)

      500       493,506  

Atrium XIV LLC, Series 14A, Class C,
4.26%, 08/23/30(c)(e)

      500       497,216  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, 5.49%, 10/15/30(c)(e)

      250       250,174  

Benefit Street Partners CLO XV Ltd., Series 2018-15A, Class A1, 3.31%, 07/18/31(c)(e)

      250       249,715  

Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class A2R,
4.11%, 07/28/28(c)(e)

      500       498,561  

Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 3.56%, 06/09/30(c)(d)

      500       500,676  

CIFC Funding Ltd.(c)(e):

     

Series 2014-4RA, Class C,
5.66%, 10/17/30(b)

      250       250,000  

Series 2018-1A, Class B, 3.84%, 04/18/31

      375       371,184  

Series 2018-1A, Class C, 4.19%, 04/18/31

      375       373,350  

Series 2018-4A, Class B, 4.53%, 10/17/31

      425       422,343  

Series 2018-4A, Class D, 8.33%, 10/17/31

      300       295,335  

Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1,
3.44%, 07/15/31(c)(e)

      1,000       996,885  

Galaxy XVIII CLO, Ltd., Series 2018-28A, Class D,
5.34%, 07/15/31(c)(e)

      500       495,749  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, 3.62%, 10/29/29(b)(c)(e)

    USD       400     $ 400,000  

GoldentTree Loan Management US CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.20%), 4.67%, 04/20/29(c)(d)

      250       250,612  

Highbridge Loan Management Ltd., Series 12A-18(c)(e):

     

Class B, 4.22%, 07/18/31

      250       247,593  

Class C, 5.12%, 07/18/31

      250       242,294  

Jay Park CLO Ltd., Series 2016-1A, Class CR, 5.18%, 10/20/27(c)(e)

      250       250,000  

LCM XVIII LP(c)(e):

     

Series 18A, Class INC, 1.00%, 04/20/31

      1,000       613,128  

Series 27A, Class A1, 3.53%, 07/16/31

      500       499,003  

LCM XXIV Ltd., Series 24A, Class C, (3 mo. LIBOR US + 2.25%), 4.72%, 03/20/30(c)(d)

      500       499,615  

Octagon Investment Partners XVI Ltd., Series 2013-1A, Class CR, 4.19%, 07/17/30(c)(e)

      500       495,013  

Octagon Investment Partners XVII Ltd., Series 2013-1A(c)(e):

     

Class BR2, 3.89%, 01/25/31

      350       347,648  

Class CR2, 4.19%, 01/25/31

      350       345,061  

Class ER2, 7.64%, 01/25/31

      250       242,471  

Palmer Square CLO Ltd.(c):

     

Series 2013-2A, Class BRR, 4.65%, 10/17/31(b)(e)

      700       700,000  

Series 2013-2A, Class CRR, 5.65%, 10/17/31(b)(e)

      400       400,000  

Series 2015-2A, Class A1AR, (3 mo. LIBOR US + 1.27%), 3.74%, 07/20/30(d)

      250       250,389  

Series 2018-1A, Class A2, 3.89%, 04/18/31(e)

      250       246,676  

Series 2018-1A, Class B, 4.19%, 04/18/31(e)

      250       246,197  

Series 2018-1A, Class D, 7.59%, 04/18/31(e)

      250       247,809  

Rockford Tower CLO Ltd., Series 2018-2A, Class A, 3.59%, 10/20/31(c)(e)

      500       498,871  

RR 5 Ltd., Series 2018-5A, Class B, 4.68%, 10/15/31(b)(c)(e)

      250       249,975  

Sound Point Clo XXI Ltd., Series 2018-3A, Class A1A, 3.59%, 10/26/31(c)(e)

      750       749,565  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3 mo. LIBOR US + 2.20%), 4.71%, 12/21/29(c)(d)

      250       250,821  

TICP CLO VI Ltd., Series 2016-5A, Class ER,
8.20%, 07/17/31(c)(e)

      500       491,391  

TICP CLO XI Ltd., Series 2018-11A, Class A, 3.62%, 10/20/31(c)(e)

      500       499,735  

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

     

Class D, (3 mo. LIBOR US + 3.86%),
6.33%, 04/20/27(d)

      700       702,147  

Class DRR, 1.00%, 10/20/28(b)(e)(f)

      700       700,000  

Voya CLO Ltd., Series 2014-4A, Class BR2, 4.53%, 07/14/31(c)(e)

      400       398,214  

Webster Park CLO Ltd., Series 2015-1A, Class CR, 5.37%, 07/20/30(c)(e)

      250       249,501  

York CLO 1 Ltd., Series 2014-1A(c)(e):

     

Class ARR, 3.29%, 10/22/29

      1,000       998,353  

Class BRR, 3.82%, 10/22/29

      300       299,734  
     

 

 

 

Total Asset-Backed Securities — 6.2%
(Cost — $21,205,743)

 

    20,978,233  
   

 

 

 

Corporate Bonds — 3.1%

 

Aerospace & Defense — 0.2%  

Bombardier, Inc., 7.50%, 03/15/25(c)

      713       712,786  
   

 

 

 
Capital Markets — 0.3%  

Blackstone CQP Holdco LP(c):

     

6.50%, 03/20/21

      941       943,190  

6.00%, 08/18/21

      153       152,799  
   

 

 

 
        1,095,989  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals — 0.3%  

Chemours Co., 6.63%, 05/15/23

    USD       175     $ 178,938  

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

      665       713,212  
   

 

 

 
        892,150  
Diversified Consumer Services — 0.4%  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(c)

      1,251       1,321,932  
   

 

 

 
Diversified Telecommunication Services — 0.1%  

Level 3 Financing, Inc., 6.13%, 01/15/21

      337       337,843  
   

 

 

 
Electric Utilities — 0.0%  

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

      654        
   

 

 

 
Equity Real Estate Investment Trusts (REITs) — 0.0%  

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

      29       31,331  
   

 

 

 
Health Care Providers & Services — 0.1%  

NVA Holdings, Inc., 6.88%, 04/01/26(c)

      188       185,650  
   

 

 

 
Health Care Services — 0.0%  

Aveta Inc. Escrow, 7.00%, 04/01/19(b)(c)

      827        
   

 

 

 
Hotels, Restaurants & Leisure — 0.2%  

New Red Finance, Inc., 5.00%, 10/15/25(c)

      600       562,500  
   

 

 

 
Household Products — 0.0%  

Berkline Benchcraft LLC,
4.50%, 06/01/19(b)(g)

      400        
   

 

 

 
Media — 0.3%  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      602       611,150  

Series B, 7.63%, 03/15/20

      335       334,581  

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

      65       74,994  
   

 

 

 
        1,020,725  
Metals & Mining — 0.2%  

Freeport-McMoRan, Inc.:

     

3.10%, 03/15/20

      350       344,312  

3.88%, 03/15/23

      375       346,875  
   

 

 

 
        691,187  
Oil, Gas & Consumable Fuels — 0.7%  

CNX Resources Corp., 5.88%, 04/15/22

      1,380       1,354,994  

CONSOL Energy, Inc., 11.00%, 11/15/25(c)

      605       679,113  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c)

      540       513,000  
   

 

 

 
        2,547,107  
Software — 0.3%  

Infor US, Inc., 6.50%, 05/15/22

      720       718,200  

Informatica LLC, 7.13%, 07/15/23(c)

      405       413,226  
   

 

 

 
        1,131,426  

Total Corporate Bonds — 3.1%
(Cost — $10,642,552)

 

    10,530,626  
   

 

 

 

Floating Rate Loan Interests (d) — 133.5%

 

Aerospace & Defense — 1.4%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 08/18/24

      2,194       2,185,380  

DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 07/07/22

      312       312,609  

TransDigm, Inc., 2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.80%, 06/09/23

      2,042       2,030,816  

WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%), 6.28%, 04/30/25

      246       246,718  
   

 

 

 
        4,775,523  
Security          Par
(000)
    Value  
Air Freight & Logistics — 0.2%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 4.28%, 01/15/25

    USD       397     $ 396,086  

XPO Logistics, Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.51%, 02/24/25

      163       163,030  
   

 

 

 
        559,116  
Auto Components — 0.3%  

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

     

12.25%, 12/31/49

      274        

PIK, 0.13%, 12/31/49(h)

      5        

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.39%, 05/16/24

      976       969,970  
   

 

 

 
        969,970  
Auto Parts — 0.1%  

Mavis Tire Express Services Corp.(b):

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.53%, 03/20/25

      273       236,848  

2018 Delayed Draw Term Loan, (3 mo. LIBOR + 3.25%), 1.25%, 03/20/25

      44       6,170  
   

 

 

 
        243,018  
Automobiles — 0.3%  

CH Hold Corp.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 02/01/24

      783       782,762  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.55%, 02/01/25(b)

      150       150,750  
   

 

 

 
        933,512  
Banks — 0.3%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.78%, 11/01/24

      997       993,105  
   

 

 

 
Beverages — 0.1%  

Jacobs Douwe Egberts International BV, 2018 USD Term Loan B, 10/18/25(i)

      500       499,935  
   

 

 

 
Building Materials — 0.3%  

Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.14%, 07/28/22

      510       505,211  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (2 mo. LIBOR + 8.50%, 1.00% Floor), 10.79%, 07/28/23

      395       389,569  
   

 

 

 
        894,780  
Building Products — 1.2%  

Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.55%, 08/18/23

      239       238,555  

CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 05/05/24

      885       886,408  

Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.39%, 12/14/24

      737       734,314  

Reece Ltd., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.40%, 07/02/25(b)

      618       619,223  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.64%, 12/19/23

      1,612       1,608,823  
   

 

 

 
        4,087,323  
Capital Markets — 1.6%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 02/13/25

      527       526,253  

EIG Management Co. LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 02/22/25(b)

      1,043       1,042,829  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 12/27/22

      822       820,718  

Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 10/12/22

      934       938,092  
 

 

 

34    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Capital Markets (continued)  

GreenSky Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.56%, 03/31/25(b)

    USD       657     $ 658,342  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 4.39%, 03/27/23

      1,608       1,607,933  
   

 

 

 
        5,594,167  
Chemicals — 5.4%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 01/31/24

      1,956       1,954,527  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.14%, 06/01/24

      2,182       2,175,090  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.05%, 05/16/24

      884       881,789  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 04/03/25

      552       549,866  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 06/28/24

      377       378,093  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 11/07/24

      637       638,125  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.22%, 07/09/19

      269       259,568  

Invictus US LLC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 03/28/25

      1,006       1,009,378  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.05%, 03/25/26(b)

      265       263,013  

MacDermid, Inc.:

     

Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 06/07/23

      800       800,010  

Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.80%, 06/07/20

      1,178       1,178,378  

Messer Industries LLC, 2018 USD Term Loan, 10/01/25(i)

      2,626       2,625,343  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%),
5.94%, 10/11/24(b)

      2,243       2,248,739  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 5.03%, 02/08/25

      1,679       1,676,348  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.51%, 10/01/25

      785       782,056  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.19%, 08/07/20

      254       252,957  

Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 03/08/25

      683       681,292  
   

 

 

 
        18,354,572  
Commercial Services & Supplies — 8.2%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.46%, 11/10/23

      1,909       1,907,528  

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.05%, 03/11/25

      168       168,439  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.80%, 08/04/25

      1,406       1,442,204  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.30%, 08/04/22

      1,167       1,168,411  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.30%, 11/03/23

      1,838       1,838,852  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.30%, 11/03/24

      721       721,582  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 10/03/23

      1,086       1,084,542  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.55%, 05/20/24

      1,408       1,412,586  
Security          Par
(000)
    Value  
Commercial Services & Supplies (continued)  

Creative Artists Agency LLC, 2018 Term Loan B, (Prime + 3.00%), 5.29%, 02/15/24

    USD       1,870     $ 1,872,406  

Dealer Tire LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.62%, 12/22/21

      510       506,655  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.14%, 05/09/25

      358       360,119  

Garda World Security Corp., 2017 Term Loan, (PRIME + 3.50%), 5.82%, 05/24/24

      561       562,643  

GFL Environmental Inc.:

     

2018 Term Loan, 7.00%, 05/30/25

      77       76,155  

2018 USD Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.14%, 05/30/25

      1,937       1,905,145  

Harland Clarke Holdings Corp., Term Loan, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.14%, 11/03/23

      560       523,333  

KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 4.94%, 03/09/23

      1,538       1,538,910  

Multi Color Corporation, 2017 Term Loan B, 10/31/24(i)

      470       470,748  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 05/02/22

      1,700       1,698,999  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.80%, 08/27/25

      3,895       3,922,984  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.53%, 10/10/24

      2,049       2,037,517  

Wrangler Buyer Corp., Term Loan B, (3 mo. LIBOR + 2.75%), 5.01%, 09/27/24

      2,428       2,428,383  
   

 

 

 
        27,648,141  
Communications Equipment — 1.1%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.30%, 11/21/24

      1,986       1,998,764  

Avaya, Inc.:

     

2018 Term Loan B, (1 mo. LIBOR + 4.25%), 6.53%, 12/15/24

      895       897,694  

Exit Term Loan B, 05/29/20(i)

      152        

Ciena Corp., 2018 Term Loan B, 09/26/25(i)

      332       332,209  

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 4.30%, 12/29/22

      218       218,249  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.80%, 11/01/24

      180       180,147  
   

 

 

 
        3,627,063  
Construction & Engineering — 2.1%  

AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 03/13/25

      447       446,717  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.73%, 06/21/24

      4,025       4,038,888  

Engility Corp., Term Loan B1, (1 mo. LIBOR + 2.25%), 4.55%, 08/12/20

      115       114,684  

Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.81%, 03/23/25

      680       683,249  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 05/23/25

      1,419       1,386,986  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 12/08/23

      563       563,645  
   

 

 

 
        7,234,169  
Construction Materials — 1.5%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.32%, 08/01/24(b)

      1,693       1,690,784  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 03/29/25

      3,010       3,020,620  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Construction Materials (continued)  

GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 06/01/25

    USD       481     $ 473,431  
   

 

 

 
        5,184,835  
Consumer Finance — 1.2%  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 10/01/25

      4,156       4,110,991  
   

 

 

 
Containers & Packaging — 1.5%  

Berry Global, Inc., Term Loan Q, (1 mo. LIBOR + 2.00%), 4.28%, 10/01/22

      2,723       2,720,561  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.66%, 04/03/24

      1,089       1,082,176  

Flex Acquisition Co., Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.25%), 5.51%, 06/29/25

      1,130       1,130,778  
   

 

 

 
        4,933,515  
Distributors — 1.1%                  

American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 10/31/23

      1,769       1,749,043  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.81%, 08/28/24

      2,020       1,946,063  
   

 

 

 
        3,695,106  
Diversified Consumer Services — 4.5%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 12/13/23

      1,277       1,271,519  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 07/12/24

      708       708,296  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 0.75%), 4.05%, 11/07/23

      1,980       1,979,611  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 03/31/25(b)

      429       427,316  

Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.54%, 05/20/24

      1,366       1,365,552  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.14%, 07/12/25

      859       860,615  

J.D. Power and Associates, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 09/07/23

      853       856,466  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.53%, 05/15/24

      1,036       1,030,850  

Serta Simmons Bedding LLC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.77%, 11/08/23

      1,704       1,533,133  

2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 10.28%, 11/08/24

      591       457,325  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.80%, 11/08/23

      589       591,525  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.69%, 11/14/22

      1,106       1,106,149  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.28%, 04/04/25

      798       797,338  

Wand Intermediate I LP, 2017 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 09/17/21

      778       778,998  

Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%), 7.15%, 11/29/24

      1,655       1,662,760  
   

 

 

 
        15,427,453  
Diversified Financial Services — 2.3%  

AL Alpine AT Bidco GmbH, 2018 Term Loan B, 09/30/25(b)(i)

      433       433,000  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 04/04/24

    USD       2,475     $ 2,475,381  

CRCI Holdings Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.78%, 08/08/25

      449       450,122  

Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.69%, 07/21/25

      482       483,509  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.39%, 02/07/25

      1,131       1,130,288  

Global Business Travel Holdings Limited, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 07/20/25

      260       260,975  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.81%, 07/03/24

      1,010       1,014,311  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.80%, 09/06/25

      634       633,207  

Oryx Southern Delaware Holdings LLC, Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 02/28/25

      428       421,621  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.77%, 07/30/25(b)

      449       449,000  
   

 

 

 
        7,751,414  
Diversified Telecommunication Services — 4.7%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 5.05%, 11/01/22

      379       377,747  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 01/31/25

      1,775       1,754,472  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.31%, 10/04/23

      254       249,949  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 5.06%, 03/31/21

      1,590       1,540,630  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 05/16/24

      918       916,538  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.53%, 02/22/24

      1,753       1,754,078  

MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 11/15/24

      1,185       1,184,629  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.81%, 02/02/24

      1,758       1,756,572  

TDC A/S, Term Loan, (EURIBOR + 3.50%), 3.50%, 05/31/25

    EUR       820       931,817  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.53%, 08/15/26

    USD       2,640       2,630,100  

Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 4.89%, 11/17/23

      501       501,180  

Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR — GBP + 3.25%), 3.97%, 01/15/27

    GBP       600       765,003  

Zayo Group LLC:

     

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.55%, 01/19/24

    USD       175       175,082  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.30%, 01/19/21

      1,448       1,448,229  
   

 

 

 
        15,986,026  
Electric Utilities — 1.1%  

Dayton Power & Light Co., Term Loan B, (1 mo. LIBOR + 2.00%), 4.31%, 08/24/22

      316       315,618  

TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 08/04/23

      1,245       1,241,507  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan,
5.03%, 11/10/18(b)

      1,050        
 

 

 

36    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric Utilities (continued)  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.29%, 12/31/25

    USD       1,920     $ 1,913,198  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.55%, 12/14/23

      224       224,427  
   

 

 

 
        3,694,750  
Electrical Equipment — 1.0%  

EXC Holdings III Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
5.89%, 12/02/24(b)

      571       572,114  

Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 04/01/24

      2,438       2,439,749  

MLN US HoldCo LLC, 2018 1st Lien Term Loan, 07/11/25(i)

      524       527,013  
   

 

 

 
        3,538,876  
Energy Equipment & Services — 1.1%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.28%, 03/01/24

      999       930,608  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 02/12/25(b)

      1,101       1,101,062  

Ocean Rig UDW, Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24

      63       65,981  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.03%, 11/08/22(b)

      520       529,100  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 8.39%, 02/21/21

      382       353,358  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 1.43%), 3.73%, 07/13/20(b)

      711       689,379  
   

 

 

 
        3,669,488  
Equity Real Estate Investment Trusts (REITs) — 2.3%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.81%, 03/24/24

      466       465,850  

Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 01/02/26

      519       510,787  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 03/21/25

      2,810       2,799,688  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.44%, 05/11/24

      827       825,745  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.28%, 12/20/24

      3,293       3,282,885  
   

 

 

 
        7,884,955  
Food & Staples Retailing — 1.2%  

Albertsons LLC:

     

2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 5.05%, 08/25/21

      516       515,425  

Term Loan B7, 10/29/25(i)

      720       714,380  

Hearthside Food Solutions LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.30%, 05/23/25

      358       350,917  

Hostess Brands LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 2.25%), 4.69%, 08/03/22

      1,487       1,478,019  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 06/27/23

      983       980,584  
   

 

 

 
        4,039,325  
Food Products — 2.2%  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.01%, 10/01/25

      353       355,647  

CFSP Acquisition Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.29%, 03/20/25

      330       325,598  
Security          Par
(000)
    Value  
Food Products (continued)  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 10/10/23

    USD       2,009     $ 1,960,255  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 10/30/22

      3,084       3,082,366  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 5.05%, 02/05/23

      1,690       1,690,110  
   

 

 

 
        7,413,976  
Gas Utilities — 0.3%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.50%), 7.89%, 07/31/25

      880       877,770  
   

 

 

 
Health Care Equipment & Supplies — 3.4%  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.64%, 12/02/24

      1,121       1,125,035  

DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.60%, 06/08/20

      4,031       4,021,758  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.39%, 06/15/21

      2,183       2,215,332  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.14%, 09/24/24

      893       880,509  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.54%, 06/30/25

      3,279       3,266,746  
   

 

 

 
        11,509,380  
Health Care Providers & Services — 7.5%  

Acadia Healthcare Co., Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.50%), 4.80%, 02/11/22

      276       276,596  

2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.80%, 02/16/23

      1,258       1,259,413  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.80%, 06/30/25

      507       508,473  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 01/17/22(b)

      1,479       1,477,224  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.45%, 06/07/23

      2,068       2,073,128  

Concentra Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.03%, 06/01/22

      1,164       1,165,455  

2018 2nd Lien Term Loan, 06/01/23(i)

      850       858,500  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 06/24/21

      506       506,582  

DentalCorp Perfect Smile ULC(b):

     

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 4.52%, 06/06/25

      133       44,705  

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 06/06/25

      530       531,866  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.81%, 12/20/24

      614       615,534  

DuPage Medical Group Ltd.:

     

2018 Term Loan, (1 mo. LIBOR + 2.75%), 5.05%, 08/15/24

      526       521,758  

2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.28%, 08/15/25(b)

      245       245,000  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 10/10/25

      2,216       2,168,223  

Explorer Holdings, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.14%, 05/02/23

      657       657,017  

Gentiva Health Services, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.06%, 07/02/25(b)

      669       671,603  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.31%, 07/02/26

    USD       164     $ 167,099  

HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.05%, 04/07/22

      868       869,111  

HCA, Inc.:

     

2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.30%, 03/13/25

      592       594,245  

Term Loan B11, (1 mo. LIBOR + 1.75%), 4.05%, 03/18/23

      1,387       1,391,486  

Lifescan Global Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 6.00%), 8.40%, 09/27/24

      221       215,568  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.14%, 06/07/23

      1,884       1,877,338  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 5.39%, 01/31/21

      290       290,232  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.80%, 10/20/22

      1,093       1,095,489  

NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 02/02/25(b)

      1,112       1,100,574  

ScribeAmerica Intermediate Holdco LLC, 2018 Term Loan, 04/03/25(i)

      643       638,981  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 02/06/24

      1,164       1,098,713  

Universal Health Services, Inc., Term Loan B, 10/18/25(b)(i)

      285       285,538  

Universal Hospital Services, Inc., Term Loan, 10/18/25(b)(i)

      452       454,260  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 02/13/23

      377       378,209  

WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.89%, 06/07/24

      644       643,449  

Zotec Partners, LLC, 2018 Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.28%, 02/14/24(b)

      746       745,563  
   

 

 

 
        25,426,932  
Health Care Services — 0.2%  

Sound Inpatient Physicians:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 06/27/25

      431       432,670  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.05%, 06/26/26

      234       234,000  
   

 

 

 
        666,670  
Health Care Technology — 1.0%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 03/01/24

      1,518       1,515,286  

GoodRx, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.28%, 10/10/25

      354       355,476  

Press Ganey Holdings, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.05%, 10/23/23

      1,174       1,174,011  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.80%, 10/21/24(b)

      139       140,023  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.39%, 03/07/24

      306       306,940  
   

 

 

 
        3,491,736  
Hotels, Restaurants & Leisure — 8.1%  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.22%, 10/19/24

      806       802,634  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.47%, 09/15/23

      1,126       1,126,216  
Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.78%, 08/14/23

    USD       399     $ 398,798  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.55%, 02/16/24

      4,419       4,400,523  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 12/22/24

      2,712       2,712,123  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.55%, 08/08/21

      987       987,455  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 02/14/21

      355       338,232  

ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 08/30/23

      1,869       1,865,188  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.30%, 11/30/23

      138       137,476  

Gateway Casinos & Entertainment Limited, 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.39%, 12/01/23

      95       94,910  

GVC Holdings PLC, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.80%, 03/29/24

      577       578,254  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 4.03%, 10/25/23

      962       962,905  

IRB Holding Corp., 1st Lien Term Loan, (2 mo. LIBOR + 3.25%, 1.00% Floor), 5.46%, 02/05/25

      1,730       1,725,003  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.04%, 04/03/25

      882       881,195  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 12/15/24

      648       649,898  

Marriott Ownership Resorts, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.55%, 08/29/25

      756       757,890  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 10/15/25(i)

      370       370,925  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 04/29/24

      880       866,807  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 02/22/24

      1,554       1,552,353  

Scientific Games International, Inc., 2018 Term Loan B5, (2 mo. LIBOR + 2.75%), 5.05%, 08/14/24

      1,482       1,466,861  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.89%, 07/10/25

      3,928       3,942,336  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 05/30/25

      970       968,991  
   

 

 

 
        27,586,973  
Household Products — 1.1%  

Energizer Holdings, Inc., 2018 Term Loan B, 06/20/25(i)

      435       435,274  

Mastronardi Produce Ltd., Term Loan B, (1 mo. LIBOR + 3.25%), 5.51%, 05/01/25

      359       360,896  

SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.54%, 06/15/25(b)

      539       538,650  

Spectrum Brands, Inc., 2017 Term Loan B, (2 mo. LIBOR + 2.00%), 4.35%, 06/23/22

      2,328       2,327,044  
   

 

 

 
        3,661,864  
Independent Power and Renewable Electricity Producers — 1.8%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.07%, 05/31/22

      645       644,724  

Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.80%, 05/27/22(b)

      665       664,616  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.80%, 01/15/25

      769       768,016  

Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.89%, 01/15/23

      1,120       1,117,859  
 

 

 

38    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 12/20/24

    USD       723     $ 726,455  

EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.56%, 05/03/25

      274       275,277  

Granite Acquisition, Inc.:

     

Term Loan B, (3 mo. LIBOR + 3.50%), 5.90%, 12/19/21

      1,257       1,258,941  

Term Loan C, (3 mo. LIBOR + 3.50%), 5.89%, 12/19/21

      166       165,977  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.56%, 12/09/21(b)

      607       507,148  
   

 

 

 
        6,129,013  
Industrial Conglomerates — 1.0%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.31%, 11/30/23

      2,469       2,440,865  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.41%, 11/28/21

      948       935,063  
   

 

 

 
        3,375,928  
Insurance — 3.2%  

Achilles Acquisition LLC, 2018 Term Loan, (1 mo. LIBOR + 4.00%), 6.31%, 10/03/25(b)

      505       507,525  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.28%, 05/09/25

      1,830       1,827,651  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 01/25/24

      1,622       1,623,171  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 10/22/24

      964       960,414  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 12/02/24

      1,127       1,123,534  

Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.49%, 04/25/25

      989       986,116  

Sedgwick Claims Management Services, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75%,, 1.00% Floor), 5.05%, 03/01/21

      1,870       1,869,062  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 1.00% Floor), 8.05%, 02/28/22

      1,595       1,595,000  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 06/22/23

      509       510,157  
   

 

 

 
        11,002,630  
Internet & Direct Marketing Retail — 0.3%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.80%, 08/18/23

      892       876,182  
   

 

 

 
Internet Software & Services — 2.1%  

Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.55%, 02/15/24

      2,287       2,289,011  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 05/01/24

      642       643,749  

Intralinks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 6.31%, 11/14/24

      658       658,695  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.35%, 11/03/23

      1,520       1,472,723  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 05/06/24

      845       828,785  

ZPG PLC, 2018 Term Loan B, (LIB-GBP, 4.75%), 5.47%, 06/30/25

    GBP       1,000       1,278,839  
   

 

 

 
        7,171,802  
Security          Par
(000)
    Value  
IT Services — 6.2%  

Access CIG LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 02/27/25

    USD       323     $ 323,710  

2018 2nd Lien Incremental Term Loan, (1 mo. LIBOR + 7.75%), 10.05%, 02/27/26

      10       10,000  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.05%, 02/27/26

      140       140,209  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 02/27/25

      45       44,853  

Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 4.59%, 03/20/25

      413       412,719  

Blackhawk Network Holdings, Inc, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.39%, 06/15/25

      1,011       1,011,720  

First Data Corp., 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.29%, 04/26/24

      4,952       4,922,850  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.89%, 08/01/24

      832       818,086  

Global Payments Inc.(i):

     

2018 Term Loan B3, 04/21/23

      525       524,344  

2018 Term Loan B4, 10/10/25

      175       174,454  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.80%, 12/01/23

      1,370       1,374,908  

Optiv Security, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.25%,, 1.00% Floor), 5.55%, 02/01/24

      1,320       1,278,991  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%,, 1.00% Floor), 9.55%, 02/01/25

      371       356,583  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.59%, 08/01/25

      995       973,856  

TKC Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.06%, 02/01/23

      1,407       1,406,187  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 10.31%, 02/01/24

      985       981,306  

Trans Union LLC:

     

2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.30%, 06/19/25

      11       10,943  

Term Loan B3, (1 mo. LIBOR + 2.00%), 4.30%, 04/10/23

      3,241       3,233,561  

Vantiv LLC, 2018 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 4.03%, 10/14/23

      545       543,370  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.55%, 06/30/23

      2,397       2,398,651  
   

 

 

 
        20,941,301  
Leisure Products — 0.2%  

MND Holdings III Corp, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.89%, 06/19/24(b)

      637       638,902  
   

 

 

 
Life Sciences Tools & Services — 0.2%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 08/30/24

      340       340,049  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.30%, 08/30/25

      240       240,199  
   

 

 

 
        580,248  
Machinery — 2.3%  

Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.38%, 05/18/24

      544       542,392  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.89%, 01/31/24(b)

      111       111,431  

CPM Holdings, Inc., 2018 1st Lien Term Loan,
10/24/25(i)

      295       295,982  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Machinery (continued)  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 07/30/24

    USD       1,350     $ 1,351,925  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.79%, 08/05/24

      996       996,884  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 05/27/22

      1,195       1,197,741  

Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 3.50%), 5.78%, 05/01/24

      992       992,305  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.30%, 03/28/25

      1,897       1,784,127  

Welbilt, Inc., 2018 Term Loan B, 10/11/25(b)(i)

      636       634,410  
   

 

 

 
        7,907,197  
Media — 11.1%  

Altice Financing SA:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.04%, 01/31/26

      427       416,016  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.04%, 07/15/25

      166       161,571  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 2.75%), 6.28%, 08/14/26

      3,270       3,198,485  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 4.55%, 07/28/25

      1,814       1,809,855  

Charter Communications Operating LLC:

     

2017 Term Loan A2, (1 mo. LIBOR + 1.50%), 3.81%, 03/31/23

      1,706       1,704,668  

2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.31%, 04/30/25

      3,095       3,094,250  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.53%, 07/17/25

      2,145       2,138,482  

2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.78%, 01/25/26

      1,040       1,037,498  

Getty Images, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.80%, 10/18/19

      251       247,385  

Gray Television, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.52%, 02/07/24

      371       370,671  

Hubbard Radio LLC, 2015 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.31%, 03/28/25

      136       135,664  

iHeartCommunications, Inc.(g):

     

Extended Term Loan E, 9.74%, 07/30/19

      315       226,362  

Term Loan D, 8.99%, 01/30/19

      2,569       1,850,173  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.79%, 01/02/24

      1,123       1,161,995  

Learfield Communications LLC(b):

     

2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.56%, 12/01/23

      1,153       1,152,664  

2017 1st Lien Term Loan, 12/01/23(i)

      387       386,355  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.55%, 03/24/25

      746       742,865  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 4.06%, 10/31/23

      290       290,100  

MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 3.97%, 02/15/24

      490       488,266  

Meredith Corporation, Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 01/31/25

      676       674,732  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.03%, 09/13/24

      516       517,380  

Mission Broadcasting, Inc., 2018 Term Loan B3,
01/17/24(i)

      179       179,109  

Nexstar Broadcasting, Inc., 2018 Term Loan B3,
01/17/24(i)

      1,121       1,119,656  

Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.00%), 5.97%, 01/31/26

      335       325,907  
Security          Par
(000)
    Value  
Media (continued)  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.57%, 03/01/25

    USD       631     $ 626,066  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 02/01/24

      625       620,115  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.56%, 01/03/24

      623       623,919  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.29%, 09/28/23

      1,859       1,854,448  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.30%, 01/27/24

      2,255       2,259,104  

Unitymedia Finance LLC:

     

Term Loan B, (1 mo. LIBOR + 2.25%), 4.53%, 09/30/25

      1,245       1,242,983  

USD Term Loan D, (1 mo. LIBOR + 2.25%), 4.53%, 01/15/26

      225       224,564  

Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%), 4.28%, 06/01/23

      599       597,595  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 03/15/24

      728       698,312  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.78%, 01/15/26

      2,416       2,413,222  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 5.28%, 05/18/25

      1,534       1,530,444  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.78%, 04/15/25

      1,646       1,613,170  
   

 

 

 
        37,734,051  
Metals & Mining — 0.3%  

AMG Advanced Metallurgical Group NV, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.29%, 02/01/25

      588       588,434  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, 6.80%, 07/24/25

      439       441,095  

Preferred Proppants LLC, Term Loan B2, (3 mo. LIBOR + 7.75%), 10.14%, 07/27/20(b)

      135       81,006  
   

 

 

 
        1,110,535  
Multiline Retail — 0.8%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.31%, 08/04/24

      599       598,698  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.54%, 09/30/22

      1,361       1,331,923  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.53%, 10/25/20

      743       675,849  
   

 

 

 
        2,606,470  
Oil & Gas Equipment & Services — 0.5%  

Kestrel Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.56%, 06/02/25

      748       752,487  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.30%, 05/10/25

      978       964,493  
   

 

 

 
        1,716,980  
Oil, Gas & Consumable Fuels — 3.1%  

BCP Raptor II LLC, 1st Lien Term Loan, 11/03/25(b)(i)

      733       727,503  

BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.25%, 1.00% Floor), 6.64%, 06/24/24

      823       810,693  

California Resources Corp.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 7.04%, 12/31/22

      1,492       1,511,888  

Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.67%, 12/31/21

      1,327       1,476,815  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.56%, 11/26/21(b)

      181       180,688  
 

 

 

40    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

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

1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.31%, 11/28/22

    USD       1,306     $ 1,334,644  

EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 6.39%, 02/07/25

      493       492,402  

EWT Holdings III Corp., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 12/20/24

      481       479,468  

Keane Group Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.06%, 05/25/25

      699       680,867  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.28%, 02/17/25

      1,035       1,016,049  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 10/30/24

      327       324,450  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.81%, 12/31/23

      260       260,661  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.54%, 09/29/25

      453       455,831  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.30%, 01/17/25

      920       910,021  
   

 

 

 
        10,661,980  
Personal Products — 0.8%  

Clover Merger Sub, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.80%, 09/26/24

      1,248       1,192,334  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.05%, 09/26/25

      875       776,195  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.30%, 01/26/24

      595       595,664  
   

 

 

 
        2,564,193  
Pharmaceuticals — 3.7%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 7.81%, 04/16/21

      855       788,835  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.81%, 05/04/25

      2,114       2,124,253  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.56%, 04/29/24

      1,322       1,326,498  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.47%, 01/31/25

      2,480       2,480,909  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.80%, 08/18/22

      2,371       2,362,393  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.27%, 06/01/25

      3,643       3,642,235  
   

 

 

 
        12,725,123  
Professional Services — 1.2%  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 5.06%, 09/27/24

      1,493       1,493,307  

Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.57%, 01/18/24

      473       472,407  

ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 04/02/25

      721       721,675  

PricewaterhouseCoopers LLP, 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 05/01/25(b)

      584       582,079  

SIRVA Worldwide, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.81%, 07/20/25(b)

      700       700,875  
   

 

 

 
        3,970,343  
Real Estate Management & Development — 1.9%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.55%, 04/18/24

      2,636       2,628,312  
Security          Par
(000)
    Value  
Real Estate Management & Development (continued)  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.55%, 08/21/25

    USD       1,663     $ 1,661,437  

Forest City Enterprises LP, Term Loan B, 10/24/25(i)

      1,056       1,059,516  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.53%, 02/08/25

      487       485,341  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 01/23/25

      740       739,267  
   

 

 

 
        6,573,873  
Road & Rail — 0.2%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 06/13/23

      755       739,508  
   

 

 

 
Semiconductors & Semiconductor Equipment — 1.0%  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.78%, 05/12/24(b)

      168       171,854  

Microchip Technology Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.31%, 05/29/25

      2,236       2,226,835  

ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 03/31/23

      314       313,199  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.39%, 09/29/23

      578       578,564  
   

 

 

 
        3,290,452  
Software — 13.7%  

Almonde, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.89%, 06/13/24

      1,157       1,150,091  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.39%, 09/19/24

      1,273       1,276,985  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.39%, 09/19/25

      301       305,873  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.64%, 12/20/22

      402       401,989  

BMC Software Finance, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.65%, 10/02/25

      2,970       2,977,128  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.31%, 04/26/24

      559       558,892  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.05%, 04/27/25

      496       498,480  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.31%, 09/07/23

      1,523       1,521,138  

Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 5.57%, 05/28/24

      1,014       969,613  

DTI Holdco, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.75%, 1.00% Floor), 7.28%, 09/30/23

      883       840,791  

Flexera Software LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.56%, 02/26/25

      378       379,832  

Help/Systems Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 03/28/25(b)

      723       726,803  

Hyland Software, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 07/01/24

      335       336,254  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.14%, 02/01/22

      2,246       2,236,596  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 08/05/22

      1,717       1,723,080  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.40%, 04/01/21

      785       725,613  

Kronos, Inc.:

     

2017 Term Loan B, (3 mo. LIBOR + 3.00%), 5.34%, 11/01/23

      2,793       2,794,848  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Software (continued)  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 10.59%, 11/01/24

    USD       1,045     $ 1,058,209  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.50%), 4.80%, 06/21/24

      97       96,413  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.79%, 09/30/24

      1,998       2,002,140  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 11/29/24

      3,415       3,397,990  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.54%, 12/01/25

      785       786,962  

PowerSchool, 2018 Term Loan B, (1 wk. LIBOR + 3.25%), 5.52%, 08/01/25

      619       617,855  

Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 05/30/25

      434       431,634  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.30%, 02/05/24

      2,275       2,278,456  

Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 03/03/23

      2,767       2,760,938  

SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.82%, 05/16/25

      350       350,221  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.64%, 09/30/22

      2,709       2,712,686  

SS&C Technologies Holdings Europe SARL, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      1,171       1,164,701  

SS&C Technologies, Inc.:

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.55%, 07/08/22

      1,865       1,859,723  

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      3,022       3,005,112  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      1,101       1,094,317  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 05/01/24

      2,024       2,023,869  

Tibco Software, Inc., Repriced Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 12/04/20

      1,473       1,474,255  
   

 

 

 
        46,539,487  
Specialty Retail — 2.0%  

Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.26%, 07/01/22

      847       629,250  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.59%, 11/07/24

      1,499       1,500,548  

CD&R Firefly Bidco Ltd., 2018 Term Loan B1, (LIBOR - GBP + 4.50%), 5.32%, 06/23/25

    GBP       1,000       1,276,603  

Leslie’s Poolmart, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 08/16/23

    USD       755       752,366  

National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.50%), 4.80%, 11/20/24

      153       153,570  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.78%, 01/26/23

      527       406,529  

Research Now Group, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.80%, 12/20/24

      774       775,443  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 09/12/24

      516       514,320  

TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.29%, 04/13/23

      706       709,213  
   

 

 

 
        6,717,842  
Technology Hardware, Storage & Peripherals — 0.9%  

Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.50%), 4.80%, 06/21/24

      653       651,099  

Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.04%, 04/29/23

      2,507       2,488,943  
   

 

 

 
        3,140,042  
Security          Par
(000)
    Value  
Textiles, Apparel & Luxury Goods — 0.5%                  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.64%, 08/12/22

    USD       1,463     $ 1,463,147  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 12/15/24

      328       327,732  
   

 

 

 
        1,790,879  
Thrifts & Mortgage Finance — 0.6%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.84%, 05/23/25

      1,977       1,982,278  
   

 

 

 
Trading Companies & Distributors — 1.3%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.53%, 01/02/25

      735       726,942  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.53%, 08/13/25(b)

      664       656,530  

HD Supply, Inc., Term Loan B5, (3 mo. LIBOR + 1.75%), 4.03%, 10/17/23

      2,426       2,423,686  

Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 5.66%, 06/09/23

      152       152,295  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.50%), 5.80%, 01/04/23

      168       169,490  

United Rentals, Inc., Term Loan B, 10/01/25(i)

      138       138,231  
   

 

 

 
        4,267,174  
Transportation — 0.5%  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.89%, 08/18/22

      477       481,380  

Safe Fleet Holdings LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.28%, 02/01/25

      796       786,385  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.03%, 02/01/26(b)

      325       318,500  
   

 

 

 
        1,586,265  
Utilities — 0.1%        

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.32%, 11/28/24(b)

      299       301,357  
   

 

 

 
Wireless Telecommunication Services — 2.1%  

Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.31%, 03/22/24

      1,225       1,220,057  

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

      3,252       2,392,626  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.31%, 04/11/25

      2,635       2,627,801  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.39%, 09/09/21(b)

      816       817,875  
   

 

 

 
        7,058,359  
   

 

 

 

Total Floating Rate Loan Interests — 133.5%
(Cost — $455,888,192)

 

    452,666,823  
   

 

 

 
            Shares         

Investment Companies — 1.6%

     
United States — 1.6%                  

Invesco Senior Loan ETF

      245,000       5,637,450  
   

 

 

 

Total Investment Companies — 1.6%
(Cost — $5,673,500)

 

    5,637,450  
   

 

 

 
 

 

 

42    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Security          Beneficial
Interests (000)
    Value  

Other Interests(j) — 0.0%

     
Afghanistan — 0.0%                  

Lear Corp. Escrow(b)

    USD       500     $ 5  
   

 

 

 
United States — 0.0%                  

Millennium Corp.(b)

      991        

Millennium Lender Claims(b)

      930        
   

 

 

 
         
   

 

 

 

Total Other Interests — 0.0%
(Cost — $0)

 

    5  
   

 

 

 

Warrants — 0.0%

     
Chemicals — 0.0%                  

British Vita Holdings Co. (Non-Expiring)(b)

      166        
   

 

 

 
Metals & Mining — 0.0%                  

AFGlobal Corp. (Expires 12/20/20)(b)

      2,642        
   

 

 

 
Software — 0.0%                  

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        
   

 

 

 
         
   

 

 

 

Total Warrants — 0.0%
(Cost — $49,118)

 

     
   

 

 

 

Total Long-Term Investments — 144.6%
(Cost — $494,446,094)

 

    490,504,523  
   

 

 

 
                
Shares
    Value  

Short-Term Securities — 0.1%

     

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.07%(k)(l)

      282,908     $ 282,908  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $282,908)

 

    282,908  
   

 

 

 

Options Purchased — 0.0%
(Cost — $25,422)

 

     
   

 

 

 

Total Investments — 144.7%
(Cost — $494,754,424)

 

    490,787,431  

Liabilities in Excess of Other Assets — (44.7)%

 

    (151,691,640
   

 

 

 

Net Assets — 100.0%

 

  $ 339,095,791  
   

 

 

 

 

(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) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

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

(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) 

Issuer filed for bankruptcy and/or is in default.

(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) 

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

(j) 

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, 2018, 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
10/31/17
 

 
    
Shares
Purchased

 
    
Shares
Sold

 
   

Shares
Held at
10/31/18
 

 
    
Value at
10/31/18
 
 
     Income       
Net Realized
Gain (Loss)
 
 
(a)  
   


Change in
Unrealized
Appreciation
(Depreciation)
 
 
 
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     1,895,053               (1,612,145 ) (b)      282,908      $ 282,908      $ 27,439      $ 8     $  

iShares iBoxx USD High Yield Corporate Bond ETF

     19,000        70,000        (89,000                   60,813        (42,986     (1,767
             

 

 

    

 

 

    

 

 

   

 

 

 
              $ 282,908      $ 88,252      $ (42,978   $ (1,767
             

 

 

    

 

 

    

 

 

   

 

 

 

 

  (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.

 

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
EUR      980,000        USD      1,109,360        JPMorgan Chase Bank N.A.        11/05/18        $ 893  
GBP      2,574,000        USD      3,282,880        Barclays Bank PLC        11/05/18          7,616  
USD      1,145,804        EUR      987,000        UBS AG        11/05/18          27,621  
USD      3,382,117        GBP      2,589,000        Citibank N.A.        11/05/18          72,446  
                         

 

 

 
                            108,576  
                         

 

 

 
USD      1,111,929        EUR      980,000        JPMorgan Chase Bank N.A.        12/05/18          (978
USD      3,287,073        GBP      2,574,000        Barclays Bank PLC        12/05/18          (7,833
                         

 

 

 
                            (8,811
                         

 

 

 
                          $ 99,765  
                         

 

 

 

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 Total Return Swaps

 

Paid by the Trust

   Received by the Trust   

Counterparty

  

Termination
Date

    

Notional
Amount (000)

    

Value

     Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Reference    Frequency    Rate      Frequency

3-Month LIBOR,

2.56%,

   Quarterly     



Markit iboxx
USDLiquid
Leveraged Loans
Total Return
Index
 
 
 
 
 
  

Quarterly

   Credit Suisse International      12/20/18        USD       5,015      $ 10,889      $      $ 10,889  

3-Month LIBOR,

2.56%,

  

Quarterly

    



Markit iboxx
USDLiquid
Leveraged Loans
Total Return
Index
 
 
 
 
 
  

At Termination

   Credit Suisse International      12/20/18        USD       5,015        (8,389             (8,389
                      

 

 

    

 

 

    

 

 

 
                       $ 2,500      $      $ 2,500  
                      

 

 

    

 

 

    

 

 

 

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

 

      Swap Premiums
Paid
       Swap Premiums
Received
       Unrealized
Appreciation
       Unrealized
Depreciation
 

OTC Swaps

   $        $        $ 10,889        $ (8,389
  

 

 

      

 

 

      

 

 

      

 

 

 

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

   $      $      $      $ 108,576      $      $      $ 108,576  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

                                 10,889               10,889  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $ 108,576      $ 10,889      $      $ 119,465  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

44    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

 

 

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

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 8,811      $      $      $ 8,811  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

                                 8,389               8,389  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $ 8,811      $ 8,389      $      $ 17,200  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the year ended October 31, 2018, 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

   $      $      $      $ 100,014      $      $      $ 100,014  

Options purchased(a)

                                 93,782               93,782  

Swaps

            (2,682                    (4,542             (7,224
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (2,682    $      $ 100,014      $ 89,240      $      $ 186,572  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Forward foreign currency exchange contracts

   $      $      $      $ 91,222      $      $      $ 91,222  

Options purchased(b)

                                 7,800               7,800  

Swaps

            36,737                      2,500               39,237  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 36,737      $      $ 91,222      $ 10,300      $      $ 138,259  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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

   $ 4,444,668  

Average amounts sold — in USD

   $ 1,837,036  

Options:

  

Average notional value of swaption contracts purchased

   $ 5,775,000  

Credit default swaps:

  

Average notional value — buy protection

   $ 582,250  

Average notional value — sell protection

   $ (a)  

Total return swaps:

  

Average notional value

   $ 2,507,500  

 

  (a) 

Derivative not held at quarter-end. The amount shown in the Statements of Operations reflect the results of activity during the period.

 

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

   $ 108,576        $ 8,811  

Swaps — OTC(a)

     10,889          8,389  
  

 

 

      

 

 

 

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

   $ 119,465        $ 17,200  

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

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 119,465        $ 17,200  
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

 

The following tables present the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under a 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
       Net Amount
of Derivative
Assets
  (b)
 

Barclays Bank PLC

   $ 7,616        $ (7,616      $        $        $  

Citibank N.A.

     72,446                                     72,446  

Credit Suisse International

     10,889          (8,389                          2,500  

JPMorgan Chase Bank N.A.

     893          (893                           

UBS AG

     27,621                                     27,621  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 119,465        $ (16,898      $        $        $ 102,567  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
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)(d)
 

Barclays Bank PLC

   $ 7,833        $ (7,616      $        $        $ 217  

Credit Suisse International

     8,389          (8,389                           

JPMorgan Chase Bank N.A.

     978          (893                          85  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 17,200        $ (16,898      $        $        $ 302  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets 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.

 
  (d) 

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments 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

   $        $ 18,278,258        $ 2,699,975        $ 20,978,233  

Common Stocks

     112,616          49,621          529,149          691,386  

Corporate Bonds

              10,530,626                   10,530,626  

Floating Rate Loan Interests

              425,446,027          27,220,796          452,666,823  

Investment Companies

     5,637,450                            5,637,450  

Other Interests

                       5          5  

Short-Term Securities

     282,908                            282,908  

Liabilities:

                 

Unfunded Floating Rate Loan Interests(a)

              (676        (138        (814
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,032,974        $ 454,303,856        $ 30,449,787        $ 490,786,617  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Forward foreign currency contracts

   $        $ 108,576        $        $ 108,576  

Interest Rate Contracts

              10,889                   10,889  

Liabilities:

                 

Forward foreign currency contracts

              (8,811                 (8,811

Interest Rate Contracts

              (8,389                 (8,389
  

 

 

      

 

 

      

 

 

      

 

 

 
   $          $ 102,265        $          $ 102,265  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

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.

 

 

 

 

46    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Floating Rate Income Trust (BGT)

 

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 $142,000,000 are categorized as Level 2 within the disclosure hierarchy.

During the year ended October 31, 2018, 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
    Common
Stocks
    Floating Rate
Loan
Interests
    Rights     Other
Interests
    Unfunded
Floating Rate
Loan Interests
    Warrants     Total  

Assets:

               

Opening balance, as of October 31, 2017

  $     $ 6     $ 17,889,778     $ 27,272     $ 5     $     $ 45     $ 17,917,106  

Transfers into Level 3(a)

          125,925       8,629,734                               8,755,659  

Transfers out of Level 3(b)

                (5,187,437                             (5,187,437

Accrued discounts/premiums

                56,113                               56,113  

Net realized gain (loss)

                (410,428     18,947                   (937     (392,418

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

    (25     75,610       238,481       (27,272           (138     892       287,548  

Purchases

    2,700,000       327,608       20,125,144                               23,152,752  

Sales

                (14,120,589     (18,947                       (14,139,536
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing Balance, as of October 31, 2018

  $ 2,699,975     $ 529,149     $ 27,220,796     $     $ 5     $ (138   $     $ 30,449,787  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2018(d)

  $ (25   $ 75,616     $ (67,316   $     $     $ (138   $ (45   $ 8,092  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

As of October 31, 2017, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2018, 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, 2017, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2018, 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, 2018 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.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      47  


Consolidated Schedule of Investments

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security         
Shares
    Value  

Common Stocks 0.4%

 

Aerospace & Defense 0.4%  

United Technologies Corp.

      25,647     $ 3,185,987  
     

 

 

 

Total Common Stocks — 0.4%
(Cost — $2,968,841)

        3,185,987  
     

 

 

 
            Par
(000)
        

Asset-Backed Securities 23.4%

     

Ajax Mortgage Loan Trust, Series 2017-D(b):

     

Class A, 3.75%, 12/25/57

    USD       3,458       3,418,346  

Class B, 0.01%, 12/25/57(a)(c)

      951       465,925  

ALM Loan Funding, 5.14%, 07/15/26(b)(c)

      1,010       1,003,531  

ALM VI Ltd., Series 2012-6A, Class BR3,
4.19%, 07/15/26(b)(c)

      1,200       1,187,119  

ALM XII Ltd., Series 2015-12A, Class C1R2, 5.09%, 04/16/27(b)(c)

      545       540,920  

American Homes 4 Rent Trust, Series 2014-SFR2, Class E, 6.23%, 10/17/36(b)

      2,000       2,147,548  

AMMC CLO 19 Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.00%), 9.44%, 10/15/28(b)(d)

      1,000       1,009,187  

Anchorage Capital CLO Ltd.(b):

     

Series 2014-3RA, Class C, 4.36%, 01/28/31(c)

      1,000       983,739  

Series 2014-5RA, Class E, 7.84%, 01/15/30(c)

      1,140       1,145,789  

Series 2015-6A, Class DR, (3 mo. LIBOR US + 3.55%), 5.99%, 07/15/30(d)

      1,000       1,005,626  

Series 2016-8A, Class DR, 5.51%, 07/28/28(c)

      1,000       998,839  

Ares CLO Ltd.(b)(d):

     

Series 2015-1A, Class D, (3 mo. LIBOR US + 6.23%), 8.55%, 12/05/25

      1,000       1,024,669  

Series 2016-41A, Class D, (3 mo. LIBOR US + 4.20%), 6.64%, 01/15/29

      900       910,356  

Ares XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.60%), 9.04%, 10/15/27(b)(d)

      500       501,193  

Battalion CLO XI Ltd., Series 2017-11A, Class E, 8.47%, 10/24/29(b)(c)

      1,175       1,181,018  

Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, (1 mo. LIBOR US + 0.14%), 2.42%, 11/25/36(d)

      3,124       3,038,301  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, (3 mo. LIBOR US + 3.70%), 6.14%, 07/15/29(b)(d)

      1,750       1,761,989  

Benefit Street Partners CLO VI Ltd., Series 2015-VIA(b)(c):

     

Class BR, 4.84%, 10/18/29

      1,000       1,003,094  

Class CR, 5.89%, 10/18/29

      1,000       1,008,786  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, 8.85%, 10/15/30(b)(c)

      500       504,485  

C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.16%), 2.44%, 10/25/36(d)

      7,115       5,479,692  

Carrington Mortgage Loan Trust, Series 2006-FRE2(d):

     

Class A2, (1 mo. LIBOR US + 0.12%), 2.40%, 10/25/36

      4,727       3,558,274  

Class A5, (1 mo. LIBOR US + 0.08%), 2.36%, 10/25/36

      9,737       7,304,022  

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

      3,530       3,488,865  

Elevation CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR + 4.68%), 6.99%, 11/15/28(b)(d)

      800       802,185  

Fremont Home Loan Trust(d):

 

   

Series 2006-A, Class 2A3, (1 mo. LIBOR US + 0.16%), 2.44%, 05/25/36

      23,502       15,445,633  

Series 2006-D, Class 2A3, (1 mo. LIBOR US + 0.15%), 2.43%, 11/25/36

      21,386       10,276,514  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)                  

Galaxy CLO Ltd., Series 2015-21A, 7.72%, 04/20/31(b)(c)

    USD       500     $ 486,242  

Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 4.71%, 11/15/26(b)(c)

      530       527,693  

GSAMP Trust(d):

     

Series 2006-FM2, Class A2C, (1 mo. LIBOR US + 0.15%), 2.43%, 09/25/36

      10,746       5,255,955  

Series 2007-FM2, Class A2B, (1 mo. LIBOR US + 0.09%), 2.37%, 01/25/37

      7,042       4,722,880  

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

     

Series 4A-2014, Class BR, 4.36%, 01/28/30

      1,750       1,735,832  

Series 8A-2016, Class ER, 7.85%, 07/20/30

      1,000       987,300  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, (1 mo. LIBOR US + 0.17%), 2.45%, 04/25/37(d)

      11,230       8,585,149  

HPS Loan Management Ltd., Series 10A-16(b)(d):

     

Class C, (3 mo. LIBOR US + 3.65%), 6.12%, 01/20/28

      2,500       2,510,443  

Class D, (3 mo. LIBOR US + 6.50%), 8.97%, 01/20/28

      1,000       1,007,001  

Invitation Homes Trust, Series 2018-SFR2, Class E, 4.28%, 06/17/37(b)(c)(e)

      3,000       3,017,231  

Long Beach Mortgage Loan Trust(d):

     

Series 2006-10, Class 2A3, (1 mo. LIBOR US + 0.16%), 2.44%, 11/25/36

      12,100       5,417,808  

Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 2.44%, 08/25/36

      6,711       3,664,323  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%),
10.09%, 01/20/29(b)(d)

      1,500       1,521,246  

Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 8.93%, 07/23/29(b)(c)

      750       750,307  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%),
6.17%, 04/20/26(b)(d)

      1,000       1,004,291  

Mastr Asset-Backed Securities Trust(d):

     

Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.15%), 2.43%, 06/25/36

      10,230       5,804,117  

Series 2006-WMC2, Class A5, (1 mo. LIBOR US + 0.25%), 2.53%, 04/25/36

      7,624       3,020,321  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR, (3 mo. LIBOR US + 7.75%), 10.07%, 11/14/27(b)(d)

      1,000       1,007,289  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, 7.44%, 01/15/28(b)(c)

      1,250       1,243,665  

Oaktree CLO Ltd., Series 2015-1A, Class DR, 7.67%, 10/20/27(b)(c)

      1,000       1,000,339  

Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%),
8.77%, 07/20/30(b)(d)

      500       505,024  

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.65%),
5.97%, 11/14/26(b)(d)

      1,000       1,002,296  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, 5.22%, 01/22/30(b)(c)

      500       495,300  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 9.62%, 01/21/30(b)(d)

      405       409,218  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 07/18/25(b)

      5,000       5,014,192  

OZLM XIV Ltd., Series 2015-14A, Class CR,
5.44%, 01/15/29(b)(c)

      1,000       999,446  

OZLM XIX Ltd., Series 2017-19A, Class D,
9.04%, 11/22/30(b)(c)

      500       507,844  

OZLM XV Ltd., Series 2016-15A, Class D, (3 mo. LIBOR US + 7.15%), 9.62%, 01/20/29(b)(d)

      1,000       1,012,953  

OZLM XXI, Series 2017-21A, Class D,
8.01%, 01/20/31(b)(c)

      250       240,622  
 

 

 

48    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

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

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, 8.54%, 11/14/29(b)(c)

    USD       1,750     $ 1,763,085  

Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 09/25/37

      4,255       2,518,387  

Rockford Tower CLO Ltd., Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 5.89%, 10/15/29(b)(d)

      500       501,868  

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, (1 mo. LIBOR US + 0.40%), 2.68%, 09/25/47(d)

      5,000       4,702,238  

Scholar Funding Trust, Series 2013-A, Class R, 0.00%(a)

      (f)       1,726,434  

Sound Point CLO X Ltd., Series 2015-3A, Class ER, 7.72%, 01/20/28(b)(c)

      1,000       1,001,773  

Sound Point CLO XII Ltd., Series 2016-2A, Class D, (3 mo. LIBOR US + 4.25%), 6.72%, 10/20/28(b)(d)

      285       285,468  

Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR US + 6.65%), 9.13%, 01/23/29(b)(d)

      1,000       1,011,822  

Symphony CLO XV Ltd., Series 2014-15A, Class DR, (3 mo. LIBOR US + 3.35%), 5.80%, 10/17/26(b)(d)

      3,500       3,507,451  

Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.10%), 8.57%, 04/20/29(b)(d)

      500       502,992  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%), 8.95%, 07/15/29(b)(d)

      500       504,147  

Treman Park CLO Ltd., Series 2015-1A(b):

     

Class D, (3 mo. LIBOR US + 3.86%), 6.33%, 04/20/27(d)

      1,500       1,504,601  

Class DRR, 6.00%, 10/20/28(a)(c)(e)

      1,500       1,500,000  

Venture XXVI CLO Ltd., Series 2017-26A, Class E, (3 mo. LIBOR US + 6.80%), 9.27%, 01/20/29(b)(d)

      500       507,412  

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%),
2.52%, 05/25/47(d)

      9,204       7,742,357  

Wellfleet CLO Ltd., Series 2017-3A, Class B, 4.40%, 01/17/31(b)(c)

      500       494,365  

York CLO Ltd., Series 2015-1A, Class ER, 8.12%, 01/22/31(b)(c)

      750       745,766  

York CLO-3 Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 6.40%), 8.87%, 10/20/29(b)(d)

      1,000       1,009,150  
   

 

 

 

Total Asset-Backed Securities — 23.4%
(Cost — $158,605,691)

 

    166,181,288  
   

 

 

 

Corporate Bonds 63.9%

 

Aerospace 0.1%  

Axtel SAB de CV, 6.38%, 11/14/24(b)(g)

      525       502,031  

SoftBank Group Corp., 4.00%, 04/20/23

    EUR       100       117,371  
   

 

 

 
    619,402  
Aerospace & Defense 1.6%  

Arconic, Inc.:

     

5.87%, 02/23/22(g)

    USD       1,065       1,080,442  

5.13%, 10/01/24(g)

      554       548,848  

5.90%, 02/01/27

      211       209,418  

BBA US Holdings, Inc., 5.38%, 05/01/26(b)

      322       318,378  

Bombardier, Inc.(b):

     

7.75%, 03/15/20

      204       211,650  

8.75%, 12/01/21(g)

      801       861,075  

5.75%, 03/15/22

      113       111,729  

6.00%, 10/15/22(g)

      25       24,531  

6.13%, 01/15/23(g)

      1,153       1,138,587  

7.50%, 12/01/24

      852       865,845  

7.50%, 03/15/25(g)

      1,093       1,092,672  

7.45%, 05/01/34

      209       202,730  

Harris Corp., 3.83%, 04/27/25(g)

      750       730,189  

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

      935       963,050  
Security          Par
(000)
    Value  
Aerospace & Defense (continued)  

Koppers, Inc., 6.00%, 02/15/25(b)(g)

    USD       218     $ 208,800  

Kratos Defense & Security Solutions, Inc.,
6.50%, 11/30/25(b)(g)

      236       243,788  

Lockheed Martin Corp., 4.09%, 09/15/52(g)

      451       407,736  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(b)(g)

      192       196,320  

TransDigm UK Holdings PLC, 6.88%, 05/15/26(b)

      631       629,422  

TransDigm, Inc.:

     

6.00%, 07/15/22(g)

      643       646,215  

6.50%, 07/15/24

      143       144,550  

6.50%, 05/15/25

      114       113,573  

United Technologies Corp., 3.75%, 11/01/46(g)

      700       582,499  
   

 

 

 
    11,532,047  
Air Freight & Logistics 0.2%  

FedEx Corp.(g):

     

3.90%, 02/01/35

      500       453,557  

4.75%, 11/15/45

      500       474,834  

XPO Logistics, Inc.,
6.50%, 06/15/22(b)(g)

      228       233,700  
   

 

 

 
    1,162,091  
Airlines 2.3%  

Air Canada Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/22(b)

      2,225       2,266,282  

American Airlines Pass-Through Trust:

     

Series 2013-2, Class A, 4.95%, 07/15/24(g)

      1,666       1,702,082  

Series 2017-1, Class B, 4.95%, 08/15/26

      1,522       1,535,855  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20

      865       862,846  

Continental Airlines Pass-Through Trust, Class B:

     

Series 2007-1, 6.90%, 10/19/23(g)

      168       172,644  

Series 2012-1, 6.25%, 10/11/21

      255       260,783  

Delta Air Lines Pass-Through Trust, Class B:

     

Series 2007-1, 8.02%, 02/10/24

      1,316       1,443,719  

Series 2012-1, 6.88%, 05/07/19(b)(g)

      2,098       2,134,937  

Latam Finance Ltd., 6.88%, 04/11/24(b)

      737       717,469  

United Airlines Pass-Through Trust(g):

     

Series 2014-2, Class B, 4.63%, 03/03/24

      1,976       1,980,871  

Series 2015-1, Class A, 3.70%, 06/01/24

      3,570       3,525,018  
   

 

 

 
    16,602,506  
Auto Components 0.6%  

Adient Global Holdings Ltd., 3.50%, 08/15/24

    EUR       111       110,090  

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

    USD       38       36,884  

Aptiv PLC(g):

     

4.25%, 01/15/26

      400       393,808  

4.40%, 10/01/46

      280       242,785  

Federal-Mogul LLC/Federal-Mogul Financing Corp., 5.00%, 07/15/24

    EUR       177       210,940  

Fiat Chrysler Finance Europe, 4.75%, 07/15/22

      131       164,119  

GKN Holdings PLC, 3.38%, 05/12/32

    GBP       100       119,727  

Goodyear Dunlop Tires Europe BV, 3.75%, 12/15/23

    EUR       100       113,925  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

    USD       77       70,070  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

    EUR       100       108,734  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

    USD       115       116,006  

6.25%, 02/01/22(g)

      341       344,260  

6.75%, 02/01/24(g)

      392       393,960  

6.38%, 12/15/25(g)

      284       282,225  

IHO Verwaltungs GmbH(j):

     

(2.75% Cash or 3.50% PIK), 2.75%, 09/15/21

    EUR       100       113,689  

(3.25% Cash or 4.00% PIK), 3.25%, 09/15/23

      100       113,407  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      49  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Auto Components (continued)  

(3.75% Cash or 4.50% PIK), 3.75%, 09/15/26

    EUR       100     $ 112,280  

(4.13% Cash or 4.88% PIK), 4.13%, 09/15/21(b)(g)

    USD       214       207,580  

(4.50% Cash or 5.25% PIK), 4.50%, 09/15/23(b)(g)

      229       213,256  

Tesla, Inc., 5.30%, 08/15/25(b)(g)

      558       495,923  

Volvo Car AB, 2.00%, 01/24/25

    EUR       100       106,752  
   

 

 

 
        4,070,420  
Automobiles — 0.3%                  

General Motors Co., 6.25%, 10/02/43

    USD       2,194       2,099,747  
   

 

 

 
Banks — 1.1%                  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(h)

    EUR       100       118,362  

Banco BPM SpA, 1.75%, 04/24/23

      100       102,196  

Banco Popolare, 2.75%, 07/27/20

      100       112,983  

Bank of Ireland(5 year EUR Swap + 3.55%), 4.25%, 06/11/24(h)

      100       115,394  

Bankia SA:

     

(5 year EUR Swap + 3.17%), 4.00%, 05/22/24(h)

      200       229,645  

(5 year EUR Swap + 3.35%), 3.38%, 03/15/27(h)

      100       115,836  

Barclays PLC:

     

4.38%, 09/11/24(g)

    USD       720       687,027  

5.20%, 05/12/26

      200       194,125  

CaixaBank SA(5 year EUR Swap + 3.35%),
3.50%, 02/15/27(h)

    EUR       100       118,533  

CIT Group, Inc.:

     

5.00%, 08/01/23(g)

    USD       847       849,118  

5.25%, 03/07/25

      151       151,944  

6.13%, 03/09/28

      116       120,060  

HSBC Holdings PLC, 4.38%, 11/23/26(g)

      370       358,790  

Northwest Florida Timber Finance LLC, 4.75%, 03/04/29(b)(g)

      4,360       3,981,029  

Standard Chartered PLC, 4.87%, 03/15/33(b)(c)(g)

      500       477,980  
   

 

 

 
        7,733,022  
Beverages — 0.4%                  

Anheuser-Busch InBev Finance, Inc.,
4.90%, 02/01/46(g)

      2,160       2,034,704  

Central American Bottling Corp., 5.75%, 01/31/27(b)

      637       627,770  

Horizon Parent Holdings Sarl, (8.25% Cash or 9.00% PIK), 8.25%, 02/15/22(j)

    EUR       100       117,173  

OI European Group BV, 4.00%, 03/15/23(b)

    USD       209       195,676  
   

 

 

 
        2,975,323  
Biotechnology — 0.3%                  

Amgen, Inc., 4.40%, 05/01/45(g)

      1,100       1,000,786  

Gilead Sciences, Inc., 4.75%, 03/01/46(g)

      700       676,748  

Illumina, Inc., 0.50%, 06/15/21(k)

      359       483,628  
   

 

 

 
        2,161,162  
Building Materials — 0.0%                  

Jeld-Wen, Inc.(b):

     

4.63%, 12/15/25

      163       146,089  

4.88%, 12/15/27

      23       20,010  
   

 

 

 
        166,099  
Building Products — 0.3%                  

American Builders & Contractors Supply Co., Inc.(b):

     

5.75%, 12/15/23

      136       134,300  

5.88%, 05/15/26

      281       272,570  

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

      247       242,986  

Masonite International Corp.(b):

     

5.63%, 03/15/23(g)

      373       370,669  

5.75%, 09/15/26

      188       178,600  
Security          Par
(000)
    Value  
Building Products (continued)                  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(b)

    USD       125     $ 128,750  

Standard Industries, Inc.(b):

     

5.50%, 02/15/23

      72       70,560  

5.38%, 11/15/24

      136       130,560  

USG Corp.(b)(g):

     

5.50%, 03/01/25

      299       301,990  

4.88%, 06/01/27

      366       366,801  
   

 

 

 
    2,197,786  
Cable Television Services 0.0%  

CB Escrow Corp.,
8.00%, 10/15/25(b)(g)

      173       157,430  
   

 

 

 
Capital Markets 0.5%  

Blackstone CQP Holdco LP(b):

     

6.50%, 03/20/21(g)

      2,427       2,432,648  

6.00%, 08/18/21

      395       394,481  

Lions Gate Capital Holdings LLC, 5.88%, 11/01/24(b)

      101       101,505  

NFP Corp., 6.88%, 07/15/25(b)

      102       98,940  

Raymond James Financial, Inc., 4.95%, 07/15/46(g)

      400       385,042  

Stevens Holding Co., Inc., 6.13%, 10/01/26(b)

      225       224,183  
   

 

 

 
    3,636,799  
Chemicals 1.8%  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(j)

      306       305,235  

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(b)(g)

      1,100       1,049,125  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25

    EUR       100       111,603  

Axalta Coating Systems LLC, 4.88%, 08/15/24(b)(g)

    USD       265       250,094  

Blue Cube Spinco, Inc.(g):

     

9.75%, 10/15/23

      502       558,475  

10.00%, 10/15/25

      344       389,580  

CF Industries, Inc.:

     

5.15%, 03/15/34

      69       62,790  

4.95%, 06/01/43

      191       161,395  

Chemours Co.:

     

6.63%, 05/15/23

      172       175,870  

7.00%, 05/15/25

      66       67,980  

4.00%, 05/15/26

    EUR       100       108,401  

5.38%, 05/15/27(g)

    USD       309       287,370  

Cydsa SAB de CV, 6.25%, 10/04/27(b)(g)

      914       849,572  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(b)

      188       181,890  

Hexion, Inc., 10.38%, 02/01/22(b)(g)

      102       91,163  

Huntsman International LLC, 5.13%, 11/15/22

      165       166,444  

INEOS Finance PLC, 4.00%, 05/01/23

    EUR       115       132,697  

INEOS Group Holdings SA, 5.38%, 08/01/24

    USD       100       115,934  

Mexichem SAB de CV, 5.50%, 01/15/48(b)(g)

      526       462,622  

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

      959       1,028,528  

NOVA Chemicals Corp., 4.88%, 06/01/24(b)(g)

      319       293,081  

Olin Corp., 5.00%, 02/01/30

      135       121,207  

Platform Specialty Products Corp.(b)(g):

     

6.50%, 02/01/22

      2,322       2,353,927  

5.88%, 12/01/25

      1,425       1,353,750  

PQ Corp.(b)(g):

     

6.75%, 11/15/22

      437       450,110  

5.75%, 12/15/25

      629       606,199  

PSPC Escrow Corp., 6.00%, 02/01/23

    EUR       153       179,647  

Sherwin-Williams Co., 4.50%, 06/01/47(g)

    USD       310       278,278  

Starfruit Finco BV/ tarfruit US Holdco LLC, 6.50%, 10/01/26

    EUR       100       110,694  
 

 

 

50    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals (continued)  

Versum Materials, Inc., 5.50%, 09/30/24(b)

    USD       54     $ 53,460  

WR Grace & Co-Conn(b)(g):

     

5.13%, 10/01/21

      277       279,078  

5.63%, 10/01/24

      300       305,250  
   

 

 

 
    12,941,449  
Commercial Services & Supplies 1.7%  

ADT Corp.(g):

     

6.25%, 10/15/21

      234       241,020  

3.50%, 07/15/22

      367       340,393  

4.13%, 06/15/23

      188       174,370  

4.88%, 07/15/32(b)

      491       386,662  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(b)(g)

      191       186,225  

Aviation Capital Group Corp., 6.75%, 04/06/21(b)(g)

      5,000       5,325,291  

Avolon Holdings Funding Ltd., 5.13%, 10/01/23(b)

      456       447,450  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(b)(g)

      241       235,276  

CD&R Waterworks Merger Sub LLC,
6.13%, 08/15/25(b)(g)

      485       454,687  

Fortress Transportation & Infrastructure Investors LLC(b):

     

6.75%, 03/15/22

      85       86,913  

6.50%, 10/01/25

      92       90,390  

GFL Environmental, Inc., 5.38%, 03/01/23(b)

      70       64,225  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(b)(g)

      488       440,420  

KAR Auction Services, Inc., 5.13%, 06/01/25(b)(g)

      359       337,460  

Mobile Mini, Inc., 5.88%, 07/01/24(g)

      585       587,925  

Paprec Holding SA, 4.00%, 03/31/25

    EUR       100       113,055  

Park Aerospace Holdings Ltd.(b)

     

3.63%, 03/15/21

    USD       269       258,240  

5.25%, 08/15/22(g)

      438       434,715  

5.50%, 02/15/24

      14       13,864  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b)(g)

      188       185,180  

United Rentals North America, Inc.:

     

5.75%, 11/15/24(g)

      342       342,855  

4.63%, 10/15/25(g)

      453       419,591  

5.88%, 09/15/26

      151       147,980  

5.50%, 05/15/27

      465       441,169  

Wrangler Buyer Corp., 6.00%, 10/01/25(b)

      278       298,155  
   

 

 

 
        12,053,511  
Communications Equipment 0.4%  

CommScope Technologies LLC(b):

     

6.00%, 06/15/25

      5       4,863  

5.00%, 03/15/27

      107       95,516  

CommScope, Inc.(b)(g):

     

5.00%, 06/15/21

      170       169,447  

5.50%, 06/15/24

      530       512,112  

Nokia OYJ(g):

     

3.38%, 06/12/22

      126       120,645  

4.38%, 06/12/27

      177       166,469  

6.63%, 05/15/39

      245       255,412  

Zayo Group LLC/Zayo Capital, Inc.(g):

     

6.38%, 05/15/25

      206       210,635  

5.75%, 01/15/27(b)

      1,486       1,456,577  
   

 

 

 
        2,991,676  
Construction & Engineering 0.7%  

Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27(b)(g)

      1,061       992,046  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)(g)

      1,061       1,058,347  

BlueLine Rental Finance Corp., 9.25%, 03/15/24(b)(g)

      1,311       1,368,356  

Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25(b)(g)

      335       329,975  

Engility Corp., 8.88%, 09/01/24(g)

      298       322,213  

frontdoor, Inc., 6.75%, 08/15/26(b)

      174       177,480  
Security          Par
(000)
    Value  
Construction & Engineering (continued)  

Pisces Midco, Inc., 8.00%, 04/15/26(b)

    USD       111     $ 107,809  

SPIE SA, 3.13%, 03/22/24

    EUR       100       114,186  

SRS Distribution, Inc., 8.25%, 07/01/26(b)(g)

    USD       220       206,250  

Tutor Perini Corp., 6.88%, 05/01/25(b)(g)

      260       260,325  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25

      73       68,985  
   

 

 

 
        5,005,972  
Construction Materials 0.5%  

HD Supply, Inc., 5.38%, 10/15/26(b)

      2,100       2,008,125  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

    EUR       102       119,968  

Navistar International Corp., 6.63%, 11/01/25(b)(g)

    USD       319       325,380  

New Enterprise Stone & Lime Co., Inc.(b):

     

10.13%, 04/01/22

      190       198,550  

6.25%, 03/15/26

      88       85,800  

Rexel SA, 3.50%, 06/15/23

    EUR       223       259,704  

Williams Scotsman International, Inc.(b):

     

7.88%, 12/15/22

    USD       129       132,547  

6.88%, 08/15/23

      220       218,350  
   

 

 

 
        3,348,424  
Consumer Discretionary 0.3%  

AA Bond Co. Ltd., 4.88%, 07/31/43

    GBP       125       159,772  

Blitz F18-674 GmbH, 6.00%, 07/30/26

    EUR       100       114,398  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(b)(g)

    USD       104       101,108  

Staples, Inc., 8.50%, 09/15/25(b)(g)

      311       281,455  

Viking Cruises Ltd.(b)(g):

     

6.25%, 05/15/25

      238       238,523  

5.88%, 09/15/27

      925       876,437  
   

 

 

 
        1,771,693  
Consumer Finance 1.2%  

Ally Financial, Inc., 8.00%, 11/01/31(g)

      1,617       1,944,442  

Credivalores-Crediservicios SAS,
9.75%, 07/27/22(b)

      457       446,489  

Financial & Risk US Holdings, Inc.(b):

     

6.25%, 05/15/26

      361       359,195  

8.25%, 11/15/26

      748       727,430  

Iron Mountain UK PLC, 3.88%, 11/15/25

    GBP       100       120,455  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(j)

    EUR       144       162,595  

Navient Corp.:

     

5.00%, 10/26/20(g)

    USD       370       372,035  

6.63%, 07/26/21(g)

      141       145,054  

6.50%, 06/15/22(g)

      460       468,050  

5.50%, 01/25/23

      162       159,079  

7.25%, 09/25/23(g)

      306       316,710  

5.88%, 10/25/24

      71       66,917  

6.75%, 06/25/25(g)

      123       119,925  

6.75%, 06/15/26

      252       240,660  

5.63%, 08/01/33

      105       85,384  

Nexi Capital SpA, 3.63%, 05/01/23(c)

    EUR       100       113,147  

Refinitiv US Holdings, Inc.:

     

4.50%, 05/15/26

      118       133,653  

4.50%, 05/15/26(b)

      480       543,672  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

    USD       85       85,425  

5.63%, 03/15/23

      9       8,708  

6.88%, 03/15/25

      368       352,360  

7.13%, 03/15/26

      502       475,645  

Verscend Escrow Corp., 9.75%, 08/15/26(b)

      732       733,830  
   

 

 

 
        8,180,860  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      51  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Containers & Packaging — 1.1%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.63%, 05/15/23(b)

    USD       912     $ 886,920  

6.75%, 05/15/24

    EUR       156       187,304  

7.25%, 05/15/24(b)(g)

    USD       949       953,745  

4.75%, 07/15/27

    GBP       100       121,301  

4.75%, 07/15/27(b)

      100       121,301  

BWAY Holding Co.:

     

4.75%, 04/15/24

    EUR       100       114,047  

5.50%, 04/15/24(b)(g)

    USD       842       808,320  

Crown Americas LLC/Crown Americas Capital Corp.:

     

4.75%, 02/01/26(b)

      290       273,687  

4.25%, 09/30/26

      265       240,487  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(b)

      144       144,000  

Mercer International, Inc.:

     

6.50%, 02/01/24

      134       135,340  

5.50%, 01/15/26

      139       134,788  

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

     

5.75%, 10/15/20(g)

      906       906,116  

5.13%, 07/15/23(b)

      48       46,920  

7.00%, 07/15/24(b)

      839       839,524  

Sappi Papier Holding GmbH, 4.00%, 04/01/23

    EUR       200       232,760  

Sealed Air Corp.:

     

4.88%, 12/01/22(b)(g)

    USD       268       265,320  

4.50%, 09/15/23

    EUR       100       125,387  

6.88%, 07/15/33(b)

    USD       44       45,320  

Silgan Holdings, Inc., 3.25%, 03/15/25

    EUR       100       115,669  

Smurfit Kappa Acquisitions ULC, 2.88%, 01/15/26

      117       135,336  

Suzano Austria GmbH, 6.00%, 01/15/29(b)

    USD       1,201       1,223,519  
   

 

 

 
        8,057,111  
Diversified Consumer Services — 0.4%  

APX Group, Inc.(g):

     

8.75%, 12/01/20

      312       304,200  

7.88%, 12/01/22

      185       185,925  

Ascend Learning LLC, 6.88%, 08/01/25(b)(g)

      324       322,380  

Carriage Services, Inc., 6.63%, 06/01/26(b)

      36       36,090  

Graham Holdings Co., 5.75%, 06/01/26(b)

      204       205,530  

Laureate Education, Inc., 8.25%, 05/01/25(b)

      138       147,315  

Matthews International Corp., 5.25%, 12/01/25(b)

      72       67,500  

Pinnacle Bidco PLC, 6.38%, 02/15/25

    GBP       100       130,402  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(b)

    USD       1,236       1,306,081  

ServiceMaster Co. LLC, 5.13%, 11/15/24(b)(g)

      288       277,200  
   

 

 

 
        2,982,623  
Diversified Financial Services — 1.2%  

Banca IFIS SpA, 4.50%, 10/17/27(c)

    EUR       100       90,216  

Controladora Mabe SA de C.V.,
5.60%, 10/23/28(b)

    USD       624       599,040  

Docuformas SAPI de C.V., 9.25%, 10/11/22(b)(g)

      508       449,580  

Ford Motor Credit Co. LLC, 4.39%, 01/08/26(g)

      1,250       1,146,559  

FS Energy & Power Fund, 7.50%, 08/15/23(b)

      308       312,312  

Garfunkelux Holdco 3 SA, 4.50%, 09/01/23(c)

    EUR       100       103,332  

General Motors Financial Co., Inc., 4.25%, 05/15/23(g)

    USD       326       321,838  

Gilex Holding Sarl, 8.50%, 05/02/23(b)(e)

      256       259,843  

HSBC Holdings PLC 6.25%(c)(g)(i)

      510,000       495,338  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(b)(g)

      2,888       2,546,073  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)  

Intrum Justitia AB (3 mo. Euribor + 2.63%),
2.63%, 07/15/22(d)

    EUR       100     $ 110,704  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 04/01/20(b)

    USD       845       853,450  

LHC3 PLC, (4.13% Cash or 4.88% PIK),
4.13%, 08/15/24(j)

    EUR       101       113,510  

MSCI, Inc., 5.25%, 11/15/24(b)

    USD       127       127,952  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(b)(g)

      584       556,085  

Travelport Corporate Finance PLC, 6.00%, 03/15/26(b)

      204       204,510  

UniCredit SpA:

     

6.95%, 10/31/22

    EUR       100       126,023  

(5 year EUR Swap + 4.10%),
5.75%, 10/28/25(h)

      100       117,242  

Vantiv LLC/Vanity Issuer Corp.(b):

     

3.88%, 11/15/25

    GBP       100       124,587  

4.38%, 11/15/25

    USD       211       199,131  

Verisure Midholding AB, 5.75%, 12/01/23

    EUR       100       114,256  

WMG Acquisition Corp.:

     

4.13%, 11/01/24

      90       105,975  

5.50%, 04/15/26(b)

    USD       143       139,425  
   

 

 

 
        9,216,981  
Diversified Telecommunication Services — 2.7%  

AT&T, Inc., 4.75%, 05/15/46(g)

      2,545       2,197,628  

CenturyLink, Inc.:

     

Series P, 7.60%, 09/15/39

      61       52,460  

Series S, 6.45%, 06/15/21(g)

      516       527,610  

Series U, 7.65%, 03/15/42(g)

      563       484,180  

Series W, 6.75%, 12/01/23(g)

      386       393,720  

Series Y, 7.50%, 04/01/24(g)

      435       456,750  

Cincinnati Bell, Inc., 7.00%, 07/15/24(b)(g)

      480       430,800  

Embarq Corp., 8.00%, 06/01/36

      507       482,917  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      380       380,950  

10.50%, 09/15/22

      203       168,997  

11.00%, 09/15/25

      1,373       1,005,722  

8.50%, 04/01/26(b)

      447       415,151  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      108       108,270  

5.63%, 02/01/23

      280       281,050  

5.13%, 05/01/23(g)

      360       357,300  

5.38%, 01/15/24(g)

      414       409,860  

5.38%, 05/01/25(g)

      482       470,552  

5.25%, 03/15/26(g)

      950       912,000  

Oi SA, (8.00% Cash or 4.00% PIK),
10.00%, 07/27/25(j)

      507       534,733  

OTE PLC, 3.50%, 07/09/20

    EUR       100       117,591  

SoftBank Group Corp.(5 year USD ICE Swap + 4.85%), 6.88%(h)(i)

    USD       345       298,684  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

      128       117,120  

6.00%, 09/30/34(g)

      912       823,080  

7.72%, 06/04/38

      62       62,775  

Telecom Italia Finance SA, 7.75%, 01/24/33

    EUR       81       117,042  

Telecom Italia SpA:

     

1.13%, 03/26/22(k)

      100       107,186  

3.25%, 01/16/23

      100       116,296  

Telecom Italia SpA/Milano, 2.88%, 01/28/26

      100       108,584  

Verizon Communications, Inc., 6.55%, 09/15/43(g)

    USD       6,500       7,490,291  
   

 

 

 
        19,429,299  
 

 

 

52    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric Utilities — 1.3%  

Celeo Redes Operacion Chile SA,
5.20%, 06/22/47(b)

    USD       1,177     $ 1,148,823  

Centrais Eletricas Brasileiras SA,
5.75%, 10/27/21(b)

      1,300       1,305,200  

DPL, Inc., 7.25%, 10/15/21

      34       36,104  

Duke Energy Corp., 4.80%, 12/15/45(g)

      1,500       1,487,603  

Emera US Finance LP, 4.75%, 06/15/46(g)

      200       187,033  

Enel Finance International NV,
3.63%, 05/25/27(b)(g)

      1,250       1,085,319  

Energuate Trust, 5.88%, 05/03/27(b)(g)

      575       544,100  

Eskom Holdings SOC Ltd., 6.35%, 08/10/28(b)

      1,137       1,095,556  

Inkia Energy Ltd., 5.88%, 11/09/27(b)(g)

      455       429,866  

NextEra Energy Operating Partners LP(b):

     

4.25%, 09/15/24

      119       113,050  

4.50%, 09/15/27

      12       11,070  

Southern Co., 4.40%, 07/01/46(g)

      1,000       918,805  

Talen Energy Supply LLC, 6.50%, 06/01/25

      209       155,705  

Virginia Electric & Power Co., Series A, 6.00%, 05/15/37(g)

      750       886,633  
   

 

 

 
        9,404,867  
Electrical Equipment — 0.0%  

Areva SA, 4.88%, 09/23/24

    EUR       100       117,195  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.4%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23(g)

    USD       325       323,375  

5.50%, 12/01/24(g)

      306       309,060  

5.00%, 09/01/25

      127       123,825  

Corning, Inc., 4.38%, 11/15/57(g)

      1,915       1,556,464  

Energizer Gamma Acquisition BV, 4.63%, 07/15/26

    EUR       100       115,984  

Energizer Gamma Acquisition, Inc., 6.38%, 07/15/26(b)

    USD       89       89,000  

Itron, Inc., 5.00%, 01/15/26(b)

      29       27,006  
   

 

 

 
        2,544,714  
Energy Equipment & Services — 1.0%  

Calfrac Holdings LP, 8.50%, 06/15/26(b)

      195       175,500  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(b)

      391       391,977  

Ensco PLC:

     

4.50%, 10/01/24

      34       27,625  

5.20%, 03/15/25

      364       298,480  

7.75%, 02/01/26(g)

      752       701,240  

5.75%, 10/01/44

      39       27,300  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(b)(g)

      601       597,995  

McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.63%, 05/01/24(b)

      129       117,068  

Oceaneering International, Inc., 4.65%, 11/15/24

      52       48,280  

Odebrecht Oil & Gas Finance Ltd., 0.00%(b)(i)(l)

    BRL       155       2,799  

Pattern Energy Group, Inc., 5.88%, 02/01/24(b)

    USD       263       260,370  

Pioneer Energy Services Corp., 6.13%, 03/15/22(g)

      233       198,632  

Precision Drilling Corp.:

     

G29

     

6.50%, 12/15/21

      65       66,001  

7.75%, 12/15/23

      90       93,600  

7.13%, 01/15/26(b)

      13       12,903  

Transocean, Inc.:

     

8.38%, 12/15/21

      47       50,290  

5.80%, 10/15/22(g)

      619       601,977  

9.00%, 07/15/23(b)(g)

      956       1,002,605  

7.25%, 11/01/25(b)

      380       369,550  

7.50%, 01/15/26(b)

      144       141,480  

Trinidad Drilling Ltd., 6.63%, 02/15/25(b)(g)

      314       314,000  
Security          Par
(000)
    Value  
Energy Equipment & Services (continued)  

USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 04/01/26(b)(g)

    USD       329     $ 332,290  

Weatherford International Ltd.:

     

7.75%, 06/15/21(g)

      770       639,100  

8.25%, 06/15/23

      153       116,663  

6.50%, 08/01/36(g)

      144       95,760  

7.00%, 03/15/38(g)

      197       132,975  

5.95%, 04/15/42

      256       165,120  
   

 

 

 
    6,981,580  
Environmental, Maintenance, & Security Service — 0.1%  

Hulk Finance Corp., 7.00%, 06/01/26(b)

      238       220,150  

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

      465       471,975  

Waste Pro USA, Inc., 5.50%, 02/15/26(b)

      260       246,350  
   

 

 

 
    938,475  
Equity Real Estate Investment Trusts (REITs) — 1.0%  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)(g)

      171       169,410  

GEO Group, Inc.:

     

5.13%, 04/01/23(g)

      337       316,359  

5.88%, 10/15/24(g)

      285       264,280  

6.00%, 04/15/26

      12       10,980  

Hilton Domestic Operating Co., Inc.(g):

     

4.25%, 09/01/24

      304       291,931  

5.13%, 05/01/26(b)

      351       343,102  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

      34       32,980  

iStar, Inc.:

     

4.63%, 09/15/20

      40       39,700  

6.00%, 04/01/22(g)

      96       96,000  

5.25%, 09/15/22(g)

      81       78,368  

Marriott Ownership Resorts, Inc., 6.50%, 09/15/26(b)

      169       170,690  

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

     

5.63%, 05/01/24

      1,547       1,548,934  

4.50%, 09/01/26

      741       670,605  

MPT Operating Partnership LP/MPT Finance Corp.:

     

6.38%, 03/01/24

      48       49,680  

5.50%, 05/01/24

      60       60,600  

5.00%, 10/15/27

      286       268,754  

NH Hotel Group SA, 3.75%, 10/01/23

    EUR       129       150,707  

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

    USD       278       276,610  

Trust F/1401, 6.95%, 01/30/44

      1,738       1,728,024  

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

      168       184,051  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(b)

      148       143,560  
   

 

 

 
    6,895,325  
Food & Staples Retailing — 0.2%  

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

     

6.63%, 06/15/24(g)

      206       194,670  

5.75%, 03/15/25

      134       117,920  

B&M European Value Retail SA, 4.13%, 02/01/22

    GBP       100       127,903  

Casino Guichard Perrachon SA, 4.56%, 01/25/23

    EUR       100       110,132  

Rite Aid Corp., 6.13%, 04/01/23(b)

    USD       132       112,118  

Walgreens Boots Alliance, Inc.,
4.80%, 11/18/44(g)

      750       692,073  
   

 

 

 
        1,354,816  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      53  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Food Products — 0.8%  

Aramark Services, Inc.:

     

5.13%, 01/15/24

    USD       111     $ 110,445  

5.00%, 04/01/25(b)

      14       13,790  

4.75%, 06/01/26(g)

      252       240,030  

5.00%, 02/01/28(b)(g)

      440       417,450  

Arcor SAIC, 6.00%, 07/06/23(b)

      539       528,220  

B&G Foods, Inc., 5.25%, 04/01/25

      61       58,103  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(b)(g)

      317       271,035  

JBS USA LUX SA/JBS USA Finance, Inc.(b):

     

5.88%, 07/15/24

      503       493,694  

5.75%, 06/15/25(g)

      1,007       966,720  

6.75%, 02/15/28(g)

      380       366,225  

MARB BondCo PLC:

     

7.00%, 03/15/24

      229       219,485  

6.88%, 01/19/25(b)

      637       598,589  

Minerva Luxembourg SA, 6.50%, 09/20/26(b)

      637       588,429  

Post Holdings, Inc.(b):

     

5.50%, 03/01/25(g)

      273       264,127  

5.75%, 03/01/27(g)

      294       280,770  

5.63%, 01/15/28

      86       80,866  

Simmons Foods, Inc., 7.75%, 01/15/24(b)

      159       160,590  
   

 

 

 
        5,658,568  
Health Care Equipment & Supplies — 0.9%  

Avantor, Inc.(b)(g):

     

6.00%, 10/01/24

      1,645       1,640,887  

9.00%, 10/01/25

      615       620,154  

Crimson Merger Sub, Inc., 6.63%, 05/15/22(b)(g)

      1,764       1,695,204  

DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(b)(g)

      998       1,004,687  

Immucor, Inc., 11.13%, 02/15/22(b)

      112       114,940  

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

     

5.75%, 08/01/22

      388       346,290  

5.63%, 10/15/23(g)

      164       140,630  

5.50%, 04/15/25(g)

      95       76,475  

Medtronic, Inc., 4.50%, 03/15/42(g)

      1,000       979,499  

Teleflex, Inc., 4.88%, 06/01/26

      63       61,425  
   

 

 

 
        6,680,191  
Health Care Providers & Services — 2.9%  

Acadia Healthcare Co., Inc.:

     

5.63%, 02/15/23(g)

      210       210,263  

6.50%, 03/01/24

      565       574,322  

AHP Health Partners, Inc., 9.75%, 07/15/26(b)

      164       166,870  

Centene Corp.:

     

4.75%, 05/15/22(g)

      402       402,503  

6.13%, 02/15/24

      40       41,800  

5.38%, 06/01/26(b)(g)

      1,675       1,700,125  

CHS/Community Health Systems, Inc.,
8.63%, 01/15/24(b)

      495       500,569  

DaVita, Inc., 5.13%, 07/15/24(g)

      276       263,580  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(b)(g)(j)

      219       220,095  

HCA, Inc.:

     

4.75%, 05/01/23(g)

      224       226,240  

5.00%, 03/15/24(g)

      1,158       1,171,751  

5.25%, 04/15/25(g)

      1,683       1,718,764  

5.25%, 06/15/26(g)

      440       447,700  

5.38%, 09/01/26

      425       421,812  

5.63%, 09/01/28

      450       445,500  

5.50%, 06/15/47(g)

      1,550       1,525,200  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

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

    USD       76     $ 75,810  

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

      143       142,821  

Molina Healthcare, Inc., 4.88%, 06/15/25(b)

      126       120,330  

MPH Acquisition Holdings LLC,
7.13%, 06/01/24(b)(g)

      590       599,334  

Northwell Healthcare, Inc., 4.26%, 11/01/47(g)

      686       623,593  

NVA Holdings, Inc., 6.88%, 04/01/26(b)

      287       283,413  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(b)(g)(j)

      1,046       1,072,150  

Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(b)(g)

      222       234,488  

Sterigenics-Nordion Holdings LLC,
6.50%, 05/15/23(b)

      218       213,095  

Surgery Center Holdings, Inc.(b):

     

8.88%, 04/15/21

      162       166,455  

6.75%, 07/01/25(g)

      324       304,560  

Team Health Holdings, Inc., 6.38%, 02/01/25(b)(g)

      496       427,800  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20(g)

      806       825,384  

7.50%, 01/01/22(b)

      206       214,755  

8.13%, 04/01/22(g)

      1,538       1,601,442  

6.75%, 06/15/23

      531       527,681  

4.63%, 07/15/24(g)

      419       403,853  

6.88%, 11/15/31

      8       7,040  

Thermo Fisher Scientific, Inc., 2.95%, 09/19/26(g)

      1,000       913,173  

UnitedHealth Group, Inc., 4.38%, 03/15/42(g)

      750       732,897  

Vizient, Inc., 10.38%, 03/01/24(b)(g)

      382       415,425  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      101       100,748  

5.38%, 08/15/26(b)

      372       371,070  
   

 

 

 
        20,414,411  
Health Care Technology 0.1%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b)

      284       277,610  

Quintiles IMS, Inc.:

     

3.25%, 03/15/25(b)

    EUR       100       114,444  

3.25%, 03/15/25

      194       222,021  
   

 

 

 
        614,075  
Hotels, Restaurants & Leisure 4.0%  

Boyd Gaming Corp., 6.00%, 08/15/26

    USD       231       223,204  

Boyne USA, Inc., 7.25%, 05/01/25(b)

      94       97,995  

Churchill Downs, Inc., 4.75%, 01/15/28(b)

      82       74,620  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

    EUR       100       106,756  

CPUK Finance Ltd., 4.25%, 02/28/47

    GBP       100       128,295  

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

    USD       353       328,511  

Delta Merger Sub, Inc., 6.00%, 09/15/26(b)

      138       135,157  

Eldorado Resorts, Inc., 6.00%, 04/01/25

      106       104,675  

Enterprise Inns PLC, 6.00%, 10/06/23

    GBP       3,320       4,581,468  

ESH Hospitality, Inc., 5.25%, 05/01/25(b)(g)

    USD       242       228,992  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      148       151,836  

5.25%, 06/01/25

      54       54,271  

5.75%, 06/01/28

      19       19,202  

Golden Nugget, Inc., 6.75%, 10/15/24(b)(g)

      619       617,452  

International Game Technology PLC:

     

4.75%, 02/15/23

    EUR       107       129,402  

6.25%, 01/15/27(b)

    USD       264       259,050  

IRB Holding Corp., 6.75%, 02/15/26(b)

      81       77,558  
 

 

 

54    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

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

     

5.00%, 06/01/24

    USD       45     $ 44,381  

5.25%, 06/01/26(g)

      406       398,895  

4.75%, 06/01/27

      9       8,460  

Ladbrokes Group Finance PLC, 5.13%, 09/08/23

    GBP       200       265,975  

McDonald’s Corp., 3.70%, 01/30/26(g)

    USD       750       731,734  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(b)(g)

      245       224,589  

MGM Resorts International:

     

6.63%, 12/15/21(g)

      1,390       1,455,594  

7.75%, 03/15/22(g)

      180       193,275  

4.63%, 09/01/26

      38       34,295  

New Red Finance, Inc.(b)(g):

     

4.25%, 05/15/24

      291       273,540  

5.00%, 10/15/25

      2,160       2,025,000  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 04/15/21(g)

      460       459,425  

Scientific Games International, Inc.:

     

10.00%, 12/01/22(g)

      600       627,000  

5.00%, 10/15/25 (b)(g)

      520       483,600  

3.38%, 02/15/26

    EUR       300       314,548  

Six Flags Entertainment Corp.,
4.88%, 07/31/24(b)(g)

    USD       1,045       987,525  

Stars Group Holdings BV/Stars Group US Co-Borrower LLC, 7.00%, 07/15/26(b)

      216       219,240  

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

      343       318,565  

Stonegate Pub Co. Financing PLC,
4.88%, 03/15/22

    GBP       100       125,322  

Unique Pub Finance Co. PLC:

     

Series A3, 6.54%, 03/30/21

      1,163       1,553,167  

Series M, 7.40%, 03/28/24

      6,400       9,015,750  

Vue International Bidco PLC, 7.88%, 07/15/20

      117       149,549  

Wyndham Destinations, Inc.:

     

4.15%, 04/01/24

    USD       16       15,400  

4.50%, 04/01/27

      76       70,395  

Wyndham Worldwide Corp., 3.90%, 03/01/23

      202       186,850  

Wynn Macau Ltd., 5.50%, 10/01/27(b)(g)

      600       541,500  

Yum! Brands, Inc.:

     

3.88%, 11/01/23

      110       103,950  

5.35%, 11/01/43

      7       6,090  
   

 

 

 
        28,152,058  
Household Durables 0.9%  

Algeco Scotsman Global Finance PLC, 8.00%, 02/15/23(b)

      761       764,805  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(b)(g)

      599       584,025  

Century Communities, Inc., 6.88%, 05/15/22(g)

      569       566,155  

K Hovnanian Enterprises, Inc.,
10.00%, 07/15/22(b)

      242       233,530  

Lennar Corp.:

     

8.38%, 01/15/21

      144       155,160  

6.25%, 12/15/21(g)

      450       464,625  

4.88%, 12/15/23

      146       142,532  

4.75%, 05/30/25(g)

      410       390,525  

5.25%, 06/01/26

      32       30,562  

4.75%, 11/29/27(g)

      425       397,375  

Mattamy Group Corp.(b):

     

6.88%, 12/15/23

      169       164,564  

6.50%, 10/01/25

      205       192,700  

MDC Holdings, Inc., 6.00%, 01/15/43

      144       115,200  

Meritage Homes Corp., 5.13%, 06/06/27

      91       80,080  
Security          Par
(000)
    Value  
Household Durables (continued)  

Newell Brands, Inc., 4.20%, 04/01/26(g)

    USD       1,000     $ 918,702  

PulteGroup, Inc.:

     

6.38%, 05/15/33(g)

      469       434,997  

6.00%, 02/15/35

      48       43,440  

Tempur Sealy International, Inc.,
5.50%, 06/15/26(g)

      191       174,765  

TRI Pointe Group, Inc.:

     

4.88%, 07/01/21

      124       122,760  

5.25%, 06/01/27(g)

      46       39,273  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.:

     

4.38%, 06/15/19(g)

      225       225,000  

5.88%, 06/15/24

      207       193,286  
   

 

 

 
        6,434,061  
Household Products 0.0%  

ACCO Brands Corp., 5.25%, 12/15/24(b)

      102       94,860  
   

 

 

 
Independent Power and Renewable Electricity Producers 1.0%  

AES Corp.:

     

4.50%, 03/15/23

      227       223,879  

4.88%, 05/15/23(g)

      204       201,960  

5.50%, 04/15/25

      97       97,242  

6.00%, 05/15/26(g)

      352       359,920  

5.13%, 09/01/27

      316       312,050  

Calpine Corp.:

     

5.38%, 01/15/23

      440       416,900  

5.88%, 01/15/24(b)(g)

      481       481,000  

5.75%, 01/15/25

      110       98,290  

5.25%, 06/01/26(b)(g)

      921       846,169  

Clearway Energy Operating LLC,
5.75%, 10/15/25(b)

      423       416,655  

Dynegy, Inc.:

     

7.38%, 11/01/22

      43       44,613  

7.63%, 11/01/24

      148       156,510  

Genneia SA, 8.75%, 01/20/22(b)(g)

      1,061       986,741  

NRG Energy, Inc.(g):

     

6.63%, 01/15/27

      1,080       1,117,800  

5.75%, 01/15/28

      237       236,407  

NRG Yield Operating LLC, 5.38%, 08/15/24(g)

      254       251,301  

QEP Resources, Inc., 5.38%, 10/01/22(g)

      516       508,260  

TerraForm Power Operating LLC(b):

     

4.25%, 01/31/23

      214       202,765  

6.63%, 06/15/25(m)

      35       36,488  

5.00%, 01/31/28

      214       191,262  
   

 

 

 
        7,186,212  
Industrial Conglomerates 0.3%  

Algeco Global Finance PLC, 6.50%, 02/15/23

    EUR       100       116,940  

Apergy Corp., 6.38%, 05/01/26(b)(e)

    USD       119       120,488  

BWX Technologies, Inc., 5.38%, 07/15/26(b)

      181       181,452  

Colfax Corp., 3.25%, 05/15/25

    EUR       100       113,282  

General Electric Co., 4.13%, 10/09/42(g)

    USD       750       618,683  

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

      728       724,360  
   

 

 

 
        1,875,205  
Insurance 0.9%  

American International Group, Inc.,
4.80%, 07/10/45(g)

      500       465,215  

AmWINS Group, Inc., 7.75%, 07/01/26(b)

      226       232,215  

Aon PLC, 3.88%, 12/15/25(g)

      1,280       1,255,077  

Assicurazioni Generali SpA(h):

     

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

    EUR       100       131,027  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

      100       117,549  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      55  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Insurance (continued)  

AssuredPartners, Inc., 7.00%, 08/15/25(b)

    USD       18     $ 17,707  

Groupama SA, 6.00%, 01/23/27

    EUR       100       131,387  

HUB International Ltd., 7.00%, 05/01/26(b)

    USD       656       640,256  

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

      690       614,507  

Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b)(g)

      700       655,578  

USIS Merger Sub, Inc., 6.88%, 05/01/25(b)

      72       70,560  

Wand Merger Corp.(b):

     

8.13%, 07/15/23

      322       327,635  

9.13%, 07/15/26

      220       223,300  

Wayne Merger Sub LLC, 8.25%, 08/01/23(b)(g)

      1,174       1,213,482  
   

 

 

 
        6,095,495  
Internet Software & Services 0.4%  

Equinix, Inc.:

     

2.88%, 03/15/24

    EUR       100       114,681  

2.88%, 10/01/25

      100       110,968  

5.88%, 01/15/26(g)

    USD       566       575,905  

Netflix, Inc.:

     

5.50%, 02/15/22

      15       15,298  

4.38%, 11/15/26(g)

      119       109,331  

5.88%, 11/15/28(b)(g)

      596       585,570  

4.63%, 05/15/29

    EUR       100       113,548  

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

    USD       182       171,080  

Sabre GLBL, Inc., 5.25%, 11/15/23(b)(g)

      269       265,605  

Symantec Corp., 5.00%, 04/15/25(b)(g)

      187       175,900  

Uber Technologies, Inc., 7.50%, 11/01/23(a)(b)

      146       145,407  

United Group BV(3 mo. Euribor + 4.38%), 4.38%, 07/01/23(d)

    EUR       100       113,653  
   

 

 

 
        2,496,946  
IT Services 1.0%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      130       145,728  

9.75%, 09/01/26(b)

    USD       1,493       1,433,280  

Fidelity National Information Services, Inc., 3.00%, 08/15/26(g)

      1,000       909,149  

First Data Corp.(b):

     

7.00%, 12/01/23(g)

      1,335       1,384,395  

5.00%, 01/15/24

      160       158,000  

5.75%, 01/15/24(g)

      2,668       2,684,675  

Gartner, Inc., 5.13%, 04/01/25(b)(g)

      207       205,447  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       100       118,079  

WEX, Inc., 4.75%, 02/01/23(b)

    USD       108       107,460  
   

 

 

 
        7,146,213  
Leisure Products 0.1%  

Mattel, Inc.:

     

6.75%, 12/31/25(b)

      385       368,638  

6.20%, 10/01/40

      80       65,200  

5.45%, 11/01/41

      47       37,600  
   

 

 

 
        471,438  
Machinery 0.3%  

Mueller Water Products, Inc., 5.50%, 06/15/26(b)

      201       198,990  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       118       129,476  

RBS Global, Inc./Rexnord LLC,
4.88%, 12/15/25(b)(g)

    USD       255       239,062  

SPX FLOW, Inc.(b):

     

5.63%, 08/15/24(g)

      330       320,100  

5.88%, 08/15/26

      153       146,880  

Terex Corp., 5.63%, 02/01/25(b)(g)

      419       398,574  
Security          Par
(000)
    Value  
Machinery (continued)  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b)(g)

    USD       632     $ 526,140  

Wabash National Corp., 5.50%, 10/01/25(b)(g)

      286       257,400  
   

 

 

 
        2,216,622  
Media 6.5%  

Altice Financing SA(b)(g):

     

6.63%, 02/15/23

      400       395,920  

7.50%, 05/15/26

      613       576,220  

Altice France SA(b):

     

7.38%, 05/01/26(g)

      951       910,288  

8.13%, 02/01/27

      1,400       1,386,000  

Altice Luxembourg SA, 7.75%, 05/15/22(b)(g)

      1,199       1,116,569  

Altice US Finance I Corp.(b):

     

5.38%, 07/15/23(g)

      980       979,814  

5.50%, 05/15/26

      800       779,248  

AMC Networks, Inc., 4.75%, 08/01/25(g)

      610       567,056  

Cablevision SA, 6.50%, 06/15/21(b)

      637       622,667  

Cablevision Systems Corp., 8.00%, 04/15/20(g)

      286       299,228  

CBS Radio, Inc., 7.25%, 11/01/24(b)

      18       16,943  

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

     

5.13%, 02/15/23

      709       705,455  

4.00%, 03/01/23(b)

      421       401,002  

5.13%, 05/01/23(b)

      145       144,275  

5.13%, 05/01/27(b)

      2,425       2,282,531  

5.00%, 02/01/28(b)

      328       305,655  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(b):

     

5.13%, 12/15/21

      760       757,933  

7.75%, 07/15/25

      830       877,725  

7.50%, 04/01/28

      569       589,751  

Charter Communications Operating LLC/Charter Communications Operating Capital,
6.48%, 10/23/45(g)

      3,000       3,045,474  

Clear Channel International BV,
8.75%, 12/15/20(b)(g)

      906       924,120  

Clear Channel Worldwide Holdings, Inc.(g):

     

6.50%, 11/15/22

      2,938       2,979,669  

Series B, 7.63%, 03/15/20

      837       835,954  

Comcast Corp.(g):

     

4.60%, 08/15/45

      1,750       1,672,914  

4.70%, 10/15/48

      2,750       2,674,619  

CSC Holdings LLC:

     

10.13%, 01/15/23(b)(g)

      1,388       1,510,005  

5.25%, 06/01/24(g)

      755       727,631  

6.63%, 10/15/25(b)

      288       301,680  

10.88%, 10/15/25(b)(g)

      1,603       1,849,461  

Discovery Communications LLC,
4.95%, 05/15/42(g)

      400       359,284  

DISH DBS Corp.:

     

6.75%, 06/01/21(g)

      343       346,430  

5.88%, 07/15/22(g)

      1,037       979,965  

5.00%, 03/15/23(g)

      303       265,125  

5.88%, 11/15/24(g)

      268       227,800  

7.75%, 07/01/26

      102       91,290  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       181       219,873  

eircom Finance DAC, 4.50%, 05/31/22

      100       115,611  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

    USD       113       119,837  

5.25%, 08/01/26(g)

      564       535,800  
 

 

 

56    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

Inmarsat Finance PLC, 4.88%, 05/15/22(b)

    USD       100     $ 97,952  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

      954       853,830  

8.50%, 10/15/24(b)

      1,249       1,227,142  

9.75%, 07/15/25(b)

      1,077       1,128,157  

Intelsat SA, 4.50%, 06/15/25(b)(k)

      28       47,095  

Interpublic Group of Cos., Inc.,
4.20%, 04/15/24(g)

      1,000       993,573  

Level 3 Parent LLC, 5.75%, 12/01/22

      99       98,732  

LGE HoldCo VI BV, 7.13%, 05/15/24

    EUR       177       213,200  

Live Nation Entertainment, Inc.,
4.88%, 11/01/24(b)

    USD       34       32,555  

MDC Partners, Inc.,
6.50%, 05/01/24(b)(g)

      404       331,280  

Meredith Corp., 6.88%, 02/01/26(b)

      184       184,000  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(b)(g)

      282       293,985  

Nielsen Finance LLC/Nielsen Finance Co.,
5.00%, 04/15/22(b)

      397       386,579  

Qualitytech LP/QTS Finance Corp.,
4.75%, 11/15/25(b)

      172       160,390  

Radiate Holdco LLC/Radiate Finance, Inc.(b):

     

6.88%, 02/15/23

      71       68,160  

6.63%, 02/15/25(g)

      256       239,360  

Sirius XM Radio, Inc., 5.00%, 08/01/27(b)(g)

      270       253,716  

TEGNA, Inc., 5.50%, 09/15/24 (b)

      79       78,901  

Telenet Finance Luxembourg Notes Sarl,
5.50%, 03/01/28(b)

      600       556,500  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

    EUR       90       109,867  

Telesat Canada/Telesat LLC,
8.88%, 11/15/24(b)(g)

    USD       286       304,590  

Tribune Media Co., 5.88%, 07/15/22

      361       365,513  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

3.50%, 01/15/27

    EUR       100       119,070  

6.25%, 01/15/29

      90       114,645  

Univision Communications, Inc.(b):

     

5.13%, 05/15/23(g)

    USD       556       523,752  

5.13%, 02/15/25

      70       63,980  

UPCB Finance IV Ltd.:

     

5.38%, 01/15/25(b)

      200       194,600  

4.00%, 01/15/27

    EUR       103       120,235  

Viacom, Inc., 5.85%, 09/01/43(g)

    USD       645       637,055  

Videotron Ltd., 5.13%, 04/15/27(b)(g)

      387       366,682  

Virgin Media Finance PLC, 5.75%, 01/15/25(b)(g)

      1,050       1,011,937  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

    GBP       200       254,062  

Virgin Media Receivables Financing Notes II DAC, 5.75%, 04/15/23

      100       130,057  

Virgin Media Secured Finance PLC:

     

4.88%, 01/15/27

      130       161,804  

6.25%, 03/28/29

      175       231,718  

Warner Media LLC(g):

     

4.65%, 06/01/44

    USD       111       95,619  

4.85%, 07/15/45

      389       348,050  

Ziggo Secured Finance BV, 5.50%, 01/15/27(b)(g)

      328       300,940  
   

 

 

 
        46,196,105  
Metals & Mining 1.8%  

Alcoa Nederland Holding BV(b):

     

7.00%, 09/30/26

      200       211,000  

6.13%, 05/15/28

      200       199,500  
Security          Par
(000)
    Value  
Metals & Mining (continued)  

BHP Billiton Finance USA Ltd.,
4.13%, 02/24/42(g)

    USD       250     $ 238,084  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(b)

      209       217,883  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(b)

      220       210,100  

Constellium NV(b):

     

5.75%, 05/15/24

      250       237,813  

6.63%, 03/01/25

      300       294,000  

5.88%, 02/15/26(g)

      743       692,847  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      276       268,755  

3.55%, 03/01/22

      754       713,472  

3.88%, 03/15/23

      1,126       1,041,550  

4.55%, 11/14/24

      177       163,946  

5.40%, 11/14/34

      250       218,750  

5.45%, 03/15/43

      1,458       1,235,655  

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

      571       586,702  

Joseph T Ryerson & Son, Inc.,
11.00%, 05/15/22(b)

      192       205,440  

Kaiser Aluminum Corp., 5.88%, 05/15/24

      124       124,155  

Novelis Corp.(b):

     

6.25%, 08/15/24

      968       958,320  

5.88%, 09/30/26

      617       581,522  

Rio Tinto Finance USA PLC, 4.75%, 03/22/42(g)

      400       411,629  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23(g)

      525       526,313  

4.13%, 09/15/25(g)

      231       215,985  

5.00%, 12/15/26

      15       14,663  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(b)(g)

      332       337,810  

Teck Resources Ltd.:

     

4.50%, 01/15/21

      20       20,050  

5.20%, 03/01/42(g)

      615       545,812  

5.40%, 02/01/43(g)

      174       158,340  

United States Steel Corp.:

     

6.88%, 08/15/25(g)

      309       302,820  

6.25%, 03/15/26

      383       360,978  

Vale Overseas Ltd., 6.25%, 08/10/26(g)

      680       726,764  

VM Holdings SA, 5.38%, 05/04/27(b)(g)

      857       833,441  
   

 

 

 
        12,854,099  
Multi-Utilities 0.1%  

NGL Energy Partners LP/NGL Energy Finance Corp., 5.13%, 07/15/19(g)

      150       150,375  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(b)

      371       370,073  
   

 

 

 
        520,448  
Multiline Retail 0.1%  

Neiman Marcus Group Ltd.,
8.00%, 10/15/21(b)(g)

      257       154,200  

Target Corp., 4.00%, 07/01/42(g)

      300       279,519  
   

 

 

 
        433,719  
Offshore Drilling & Other Services 0.0%  

Entegris, Inc., 4.63%, 02/10/26(b)

      225       209,039  
   

 

 

 
Oil, Gas & Consumable Fuels 8.2%  

Anadarko Petroleum Corp., 4.50%, 07/15/44(g)

      500       437,035  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27(g)

      235       223,651  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      57  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

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

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

    USD       65     $ 63,375  

Antero Resources Corp.:

     

5.13%, 12/01/22

      92       91,368  

5.63%, 06/01/23

      123       123,000  

5.00%, 03/01/25

      420       407,925  

Apache Corp., 4.75%, 04/15/43(g)

      800       710,452  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b):

     

10.00%, 04/01/22

      161       177,301  

7.00%, 11/01/26

      238       230,860  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(b)

      350       346,920  

Bruin E&P Partners LLC, 8.88%, 08/01/23(b)

      504       496,440  

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

      459       408,510  

Callon Petroleum Co.:

     

6.13%, 10/01/24(g)

      242       235,950  

Series WI, 6.38%, 07/01/26

      128       127,040  

Calumet Specialty Products Partners LP/Calumet Finance Corp., 6.50%, 04/15/21

      10       9,600  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23(g)

      286       280,995  

8.25%, 07/15/25

      309       320,587  

Chaparral Energy, Inc., 8.75%, 07/15/23(b)

      327       313,626  

Cheniere Corpus Christi Holdings LLC(g):

     

7.00%, 06/30/24

      578       624,962  

5.88%, 03/31/25

      428       440,840  

5.13%, 06/30/27

      830       813,400  

Cheniere Energy Partners LP, Series WI,
5.25%, 10/01/25(g)

      377       369,931  

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

      184       189,520  

4.88%, 04/15/22

      50       47,500  

7.00%, 10/01/24

      1,165       1,140,244  

8.00%, 01/15/25

      407       412,087  

7.50%, 10/01/26

      204       199,920  

8.00%, 06/15/27(g)

      651       646,931  

Citgo Holding, Inc., 10.75%, 02/15/20(b)

      170       176,800  

CNX Resources Corp., 5.88%, 04/15/22(g)

      2,199       2,159,154  

Comstock Escrow Corp., 9.75%, 08/15/26(b)

      246       237,390  

CONSOL Energy, Inc., 11.00%, 11/15/25(b)(g)

      444       498,390  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(b)(g)

      362       355,665  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

      35       35,700  

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

      1,020       970,275  

DCP Midstream LLC(b):

     

4.75%, 09/30/21

      160       160,400  

6.45%, 11/03/36(g)

      254       262,255  

6.75%, 09/15/37(g)

      396       411,840  

DCP Midstream Operating LP, 5.38%, 07/15/25

      110       111,546  

DEA Finance SA, 7.50%, 10/15/22

    EUR       100       120,072  

Denbury Resources, Inc.(b):

     

9.25%, 03/31/22(g)

    USD       475       495,187  

7.50%, 02/15/24

      242       236,555  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      218       214,730  

5.70%, 10/15/39

      38       28,690  

4.88%, 11/01/43

      340       231,200  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

    USD       137     $ 133,233  

5.38%, 05/31/25(g)

      130       129,350  

Eclipse Resources Corp., 8.88%, 07/15/23

      80       79,600  

Enbridge, Inc., 6.25%, 03/01/78(c)

      1,865       1,745,109  

Endeavor Energy Resources LP/EER Finance, Inc.(b):

     

5.50%, 01/30/26

      422       433,605  

5.75%, 01/30/28

      242       249,865  

Energy Transfer Partners LP(g):

     

6.13%, 12/15/45

      500       496,591  

5.30%, 04/15/47

      350       314,662  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      281       270,781  

4.15%, 06/01/25

      28       26,027  

4.85%, 07/15/26

      46       43,508  

5.05%, 04/01/45

      91       71,998  

5.45%, 06/01/47

      244       205,586  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24(k)

      868       792,652  

Enterprise Products Operating LLC, 5.38%, 02/15/78(c)(g)

      420       374,529  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      10       9,775  

9.38%, 05/01/24(b)(g)

      547       415,720  

7.75%, 05/15/26(b)

      494       494,000  

Extraction Oil & Gas, Inc.(b):

     

7.38%, 05/15/24

      91       85,313  

5.63%, 02/01/26(g)

      676       571,220  

Frontera Energy Corp., 9.70%, 06/25/23(b)

      697       737,426  

Genesis Energy LP/Genesis Energy Finance Corp.(g):

     

6.50%, 10/01/25

      111       102,398  

6.25%, 05/15/26

      188       169,670  

Geopark Ltd., 6.50%, 09/21/24(b)

      228       226,860  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(b)(g)

      649       616,550  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      228       228,000  

6.00%, 10/15/24

      66       61,710  

6.38%, 01/15/26

      132       123,090  

Halcon Resources Corp., 6.75%, 02/15/25(g)

      495       450,450  

Hess Corp., 4.30%, 04/01/27(g)

      750       703,354  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(b)(g)

      313       313,782  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(d)

      1,700       1,652,897  

Jagged Peak Energy LLC, 5.88%, 05/01/26(b)

      16       15,600  

Kinder Morgan Energy Partners LP,
4.25%, 09/01/24(g)

      2,500       2,502,682  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b)

      133       131,338  

Matador Resources Co., 5.88%, 09/15/26(b)

      460       449,650  

MEG Energy Corp.(b):

     

6.38%, 01/30/23

      129       124,485  

6.50%, 01/15/25(g)

      409       423,315  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 01/15/28

      338       300,397  

Nabors Industries, Inc., 5.75%, 02/01/25(g)

      185       170,741  
 

 

 

58    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

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

Newfield Exploration Co., 5.38%, 01/01/26

    USD       253     $ 255,373  

NGPL PipeCo LLC(b):

     

4.88%, 08/15/27

      301       289,712  

7.77%, 12/15/37(g)

      421       492,570  

Noble Holding International Ltd.:

     

7.75%, 01/15/24(g)

      228       212,895  

7.88%, 02/01/26(b)(g)

      1,104       1,095,720  

5.25%, 03/15/42

      140       97,300  

Northern Oil and Gas, Inc., (9.50% Cash or 8.50% PIK), 9.50%, 05/15/23(b)(j)

      338       349,407  

Odebrecht Offshore Drilling Finance(b):

     

6.72%, 12/01/22(g)

    BRL       293       279,303  

7.72%, 12/01/26(j)

      29       8,823  

Pacific Drilling First Lien Escrow Issuer Ltd.,
8.38%, 10/01/23(b)

    USD       633       640,912  

Paramount Resources Ltd., 6.88%, 06/30/23(b)(g)

      499       513,970  

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

     

6.25%, 06/01/24

      79       81,173  

5.38%, 01/15/25(g)

      361       353,780  

5.25%, 08/15/25

      91       87,929  

5.63%, 10/15/27

      469       462,326  

PBF Holding Co. LLC/ PBF Finance Corp., 7.25%, 06/15/25(g)

      252       259,560  

PDC Energy, Inc.:

     

1.13%, 09/15/21(k)

      1,047       984,180  

6.13%, 09/15/24

      42       40,110  

5.75%, 05/15/26

      133       122,028  

Petrobras Global Finance BV:

     

8.38%, 05/23/21(g)

      126       137,120  

6.13%, 01/17/22(g)

      310       321,237  

5.30%, 01/27/25

      1,008       961,380  

8.75%, 05/23/26

      637       711,433  

6.00%, 01/27/28(g)

      1,093       1,037,257  

Petroleos Mexicanos:

     

5.38%, 03/13/22

      47       46,911  

6.50%, 03/13/27(g)

      424       410,432  

5.35%, 02/12/28(b)

      199       177,289  

QEP Resources, Inc.:

     

6.88%, 03/01/21

      57       59,280  

5.63%, 03/01/26

      514       483,802  

Range Resources Corp.:

     

5.88%, 07/01/22(g)

      263       264,644  

5.00%, 08/15/22(g)

      91       89,408  

5.00%, 03/15/23

      91       88,043  

4.88%, 05/15/25(g)

      177       164,168  

Resolute Energy Corp., 8.50%, 05/01/20(g)

      492       490,770  

Rockies Express Pipeline LLC, 6.88%, 04/15/40(b)

      309       336,037  

Rowan Cos., Inc.:

     

4.88%, 06/01/22

      281       269,057  

4.75%, 01/15/24

      13       11,278  

7.38%, 06/15/25

      139       132,050  

Sabine Pass Liquefaction LLC, 5.75%, 05/15/24

      10       10,590  

Sanchez Energy Corp.:

     

7.75%, 06/15/21(g)

      1,353       676,500  

7.25%, 02/15/23(b)

      139       127,359  

SESI LLC:

     

7.13%, 12/15/21

      100       99,250  

7.75%, 09/15/24

      247       242,677  

Seven Generations Energy Ltd., 5.38%, 09/30/25(b)

      125       116,563  

Shell International Finance BV, 4.38%, 05/11/45(g)

      450       443,080  

SM Energy Co.:

     

5.00%, 01/15/24

      227       216,217  

5.63%, 06/01/25(g)

      412       396,550  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

6.75%, 09/15/26

    USD       42     $ 42,105  

6.63%, 01/15/27

      178       178,890  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      203       197,418  

7.50%, 04/01/26(g)

      207       210,622  

7.75%, 10/01/27(g)

      466       471,825  

Suncor Energy, Inc.,
6.50%, 06/15/38(g)

      800       939,669  

Sunoco LP/Sunoco Finance Corp.(b):

     

4.88%, 01/15/23

      392       377,790  

5.50%, 02/15/26

      120       114,300  

5.88%, 03/15/28

      147       137,078  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b):

     

4.75%, 10/01/23

      31       30,671  

5.50%, 09/15/24(g)

      572       575,575  

5.50%, 01/15/28(g)

      1,161       1,147,718  

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

     

5.25%, 05/01/23

      16       15,960  

5.13%, 02/01/25

      87       84,608  

5.88%, 04/15/26(b)(g)

      402       404,010  

5.00%, 01/15/28(g)

      424       401,740  

Transocean Guardian Ltd., 5.88%, 01/15/24(b)

      319       315,810  

Transocean Pontus Ltd., 6.13%, 08/01/25(b)

      376       373,650  

W&T Offshore, Inc., 2018 Term Loan,
9.75%, 11/01/23(b)

      180       174,186  

Whiting Petroleum Corp., 6.63%, 01/15/26(g)

      395       394,506  

WildHorse Resource Development Corp., 6.88%, 02/01/25

      188       187,060  

Williams Partners LP, 4.50%, 11/15/23(g)

      1,750       1,774,479  

WPX Energy, Inc.:

     

8.25%, 08/01/23

      101       113,499  

5.25%, 09/15/24(g)

      184       181,700  

5.75%, 06/01/26

      200       199,000  

YPF SA, 8.50%, 07/28/25

      906       858,208  
   

 

 

 
        58,092,868  
Paper & Forest Products 0.0%  

Norbord, Inc., 6.25%, 04/15/23(b)

      182       184,730  
   

 

 

 
Pharmaceuticals 2.1%  

AbbVie, Inc.(g):

     

3.20%, 05/14/26

      775       709,301  

4.45%, 05/14/46

      1,000       874,894  

Allergan Funding SCS(g):

     

3.80%, 03/15/25

      1,000       963,589  

4.75%, 03/15/45

      500       468,568  

Allergan Sales LLC, 5.00%, 12/15/21(b)(g)

      718       740,559  

Bausch Health Cos., Inc.(b):

     

6.13%, 04/15/25(g)

      446       410,186  

5.50%, 11/01/25(g)

      677       663,460  

8.50%, 01/31/27

      566       575,905  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(b)

      150       149,625  

CVS Health Corp., 5.05%, 03/25/48(g)

      1,110       1,082,318  

Elanco Animal Health, Inc.(b):

     

4.27%, 08/28/23

      154       153,292  

4.90%, 08/28/28

      166       163,989  

Endo Finance LLC/Endo Finco, Inc.,
5.38%, 01/15/23(b)(g)

      620       528,550  

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

      190       199,975  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      59  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(b)(g)

    USD       1,166     $ 1,165,650  

Mylan NV, 3.95%, 06/15/26(g)

      650       596,443  

Rossini Sarl, 6.75%, 10/30/25

    EUR       216       248,934  

Synlab Bondco PLC, 6.25%, 07/01/22

      145       169,367  

Synlab Unsecured Bondco PLC, 8.25%, 07/01/23

      100       120,514  

Valeant Pharmaceuticals International, Inc.:

     

7.50%, 07/15/21(b)

    USD       10       10,150  

5.63%, 12/01/21(b)(g)

      554       544,997  

6.50%, 03/15/22(b)(g)

      408       422,280  

5.50%, 03/01/23(b)(g)

      2,119       2,007,752  

4.50%, 05/15/23

    EUR       452       495,340  

5.88%, 05/15/23(b)(g)

    USD       500       476,875  

7.00%, 03/15/24(b)(g)

      566       592,709  

9.00%, 12/15/25(b)

      170       177,225  

9.25%, 04/01/26(b)

      257       269,529  
   

 

 

 
        14,981,976  
Real Estate Management & Development 0.2%  

ADLER Real Estate AG:

     

1.88%, 04/27/23

    EUR       100       109,726  

2.13%, 02/06/24

      100       109,561  

3.00%, 04/27/26

      100       109,600  

Greystar Real Estate Partners LLC,
5.75%, 12/01/25(b)

    USD       208       201,760  

Howard Hughes Corp., 5.38%, 03/15/25(b)(g)

      256       245,760  

Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 04/15/19(b)(g)

      205       203,975  

RESIDOMO Sro, 3.38%, 10/15/24

    EUR       100       113,661  
   

 

 

 
        1,094,043  
Road & Rail 1.0%  

Ashtead Capital, Inc.,
5.25%, 08/01/26(b)

    USD       278       273,580  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,
5.13%, 06/01/22(b)(g)

      462       473,841  

Avis Budget Finance PLC, 4.75%, 01/30/26

    EUR       177       194,465  

Burlington Northern Santa Fe LLC,
4.38%, 09/01/42(g)

    USD       500       488,291  

CMA CGM SA, 5.25%, 01/15/25

    EUR       100       95,709  

EC Finance PLC, 2.38%, 11/15/22

      200       224,503  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(b)

    USD       203       168,490  

Herc Rentals, Inc.(b):

     

7.50%, 06/01/22

      59       61,360  

7.75%, 06/01/24(g)

      199       209,945  

Hertz Corp., 7.63%, 06/01/22(b)(g)

      478       457,900  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

    EUR       100       113,386  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(g)

    USD       4,000       4,030,000  

Loxam SAS, 3.50%, 05/03/23

    EUR       100       115,966  

Union Pacific Corp.,
4.05%, 11/15/45(g)

    USD       500       455,919  
   

 

 

 
        7,363,355  
Semiconductors & Semiconductor Equipment 0.7%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

      89       97,455  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27(g)

      2,600       2,387,422  

Microchip Technology, Inc., 1.63%, 02/15/25(k)

      570       742,410  

ON Semiconductor Corp., 1.00%, 12/01/20(k)

      594       665,684  

Qorvo, Inc., 5.50%, 07/15/26(b)

      500       501,250  

QUALCOMM, Inc., 4.65%, 05/20/35(g)

      400       393,235  

Sensata Technologies BV,
5.00%, 10/01/25(b)

      84       81,060  
Security          Par
(000)
    Value  
Semiconductors & Semiconductor Equipment (continued)  

Sensata Technologies UK Financing Co. PLC, 6.25%, 02/15/26(b)

    USD       222     $ 225,885  
   

 

 

 
        5,094,401  
Software 1.9%  

ACI Worldwide, Inc.,
5.75%, 08/15/26(b)

      656       656,000  

CA, Inc., 3.60%, 08/15/22(g)

      660       652,640  

CDK Global, Inc., 4.88%, 06/01/27(g)

      580       543,025  

Citrix Systems, Inc.,
0.50%, 04/15/19(k)

      166       235,182  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(b)(g)

      889       964,565  

Infor US, Inc., 6.50%, 05/15/22(g)

      2,142       2,136,645  

Informatica LLC, 7.13%, 07/15/23(b)(g)

      1,047       1,068,265  

Microsoft Corp., 3.70%, 08/08/46(g)

      1,750       1,610,693  

Nuance Communications, Inc.:

     

5.38%, 08/15/20(b)(g)

      31       31,019  

6.00%, 07/01/24(g)

      238       240,975  

5.63%, 12/15/26

      153       149,940  

Oracle Corp., 4.00%, 07/15/46(g)

      1,500       1,351,553  

PTC, Inc., 6.00%, 05/15/24(g)

      269       275,053  

RP Crown Parent LLC, 7.38%, 10/15/24(b)(g)

      544       557,600  

Solera LLC/Solera Finance, Inc.,
10.50%, 03/01/24(b)(g)

      1,792       1,944,374  

TIBCO Software, Inc., 11.38%, 12/01/21(b)(g)

      929       984,740  
   

 

 

 
        13,402,269  
Specialty Retail 0.3%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24(g)

      395       388,087  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(b)(g)

      384       360,000  

Group 1 Automotive, Inc., 5.25%, 12/15/23(b)

      53       51,013  

Hexion US Finance Corp., 6.63%, 04/15/20

      129       114,165  

L Brands, Inc.:

     

6.88%, 11/01/35(g)

      478       406,300  

6.75%, 07/01/36

      79       65,274  

Lowe’s Cos., Inc., 4.65%, 04/15/42(g)

      400       397,744  

Masaria Investments SAU, 5.00%, 09/15/24

    EUR       100       105,333  

Penske Automotive Group, Inc., 5.50%, 05/15/26

    USD       32       30,400  

PVH Corp., 3.13%, 12/15/27

    EUR       114       126,042  

Shop Direct Funding PLC, 7.75%, 11/15/22

    GBP       100       113,443  
   

 

 

 
        2,157,801  
Technology Hardware, Storage & Peripherals 0.6%  

Apple, Inc., 4.65%, 02/23/46(g)

    USD       1,500       1,547,337  

Dell International LLC/EMC Corp.(b):

     

4.42%, 06/15/21

      25       25,208  

7.13%, 06/15/24(g)

      774       819,135  

6.02%, 06/15/26(g)

      170       176,162  

8.35%, 07/15/46(g)

      100       116,207  

Western Digital Corp.,
4.75%, 02/15/26(g)

      1,288       1,189,790  
   

 

 

 
        3,873,839  
Textiles, Apparel & Luxury Goods 0.0%  

BiSoho SAS, 5.88%, 05/01/23

    EUR       49       57,657  
   

 

 

 
Thrifts & Mortgage Finance 0.1%  

Bracken MidCo1 PLC,
8.88%, 10/15/23(j)

    GBP       100       125,929  

Jerrold Finco PLC, 6.25%, 09/15/21

      100       130,696  

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

     

5.25%, 03/15/22

    USD       27       26,865  
 

 

 

60    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Thrifts & Mortgage Finance (continued)  

5.25%, 10/01/25

    USD       338     $ 312,650  
   

 

 

 
        596,140  
Tobacco 0.3%  

Altria Group, Inc., 4.50%, 05/02/43(g)

      750       684,449  

Philip Morris International, Inc., 4.38%, 11/15/41(g)

      900       822,247  

Reynolds American, Inc., 5.85%, 08/15/45(g)

      715       734,384  
   

 

 

 
        2,241,080  
Trading Companies & Distributors 0.0%  

Doric Nimrod Air Alpha Ltd. Pass-Through Trust, Series 2012-1, Class B, 6.50%, 05/30/21(b)

      151       151,708  
   

 

 

 
Transportation 0.0%  

JB Poindexter & Co., Inc., 7.13%, 04/15/26(b)

      73       75,190  
   

 

 

 
Transportation Infrastructure 0.2%  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(b)(g)

      1,061       1,098,135  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(b)(g)

      520       507,463  
   

 

 

 
        1,605,598  
Utilities 0.3%  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

    EUR       100       111,238  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(b)

    USD       1,061       893,903  

Stoneway Capital Corp., 10.00%, 03/01/27(b)(g)

      1,022       950,840  

Vistra Operations Co. LLC, 5.50%, 09/01/26(b)

      249       245,265  
   

 

 

 
        2,201,246  
Wireless Telecommunication Services 2.2%  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(b)

      5,000       5,114,375  

CoreCivic, Inc., 4.75%, 10/15/27

      200       170,500  

CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27

      78       77,415  

Iron Mountain, Inc., 3.00%, 01/15/25

    EUR       100       111,181  

Matterhorn Telecom SA (3 mo. Euribor + 3.25%), 3.25%, 02/01/23(d)

      14       16,181  

SBA Communications Corp.(g):

     

4.00%, 10/01/22

    USD       475       454,813  

4.88%, 09/01/24

      392       378,280  

Sprint Capital Corp.:

     

6.90%, 05/01/19

      155       157,029  

6.88%, 11/15/28

      455       447,606  

8.75%, 03/15/32

      751       820,468  

Sprint Communications, Inc., 7.00%, 03/01/20(b)(g)

      1,302       1,349,197  

Sprint Corp.:

     

7.88%, 09/15/23

      1,123       1,198,802  

7.13%, 06/15/24(g)

      1,658       1,695,305  

7.63%, 02/15/25

      299       310,586  

7.63%, 03/01/26(g)

      1,210       1,258,400  

T-Mobile USA, Inc.:

     

4.00%, 04/15/22(g)

      234       231,075  

6.38%, 03/01/25

      220       226,875  

6.50%, 01/15/26

      286       301,015  

4.50%, 02/01/26(g)

      556       520,383  

4.75%, 02/01/28(g)

      490       453,250  

Wind Tre SpA, 3.13%, 01/20/25

    EUR       200       206,142  
   

 

 

 
        15,498,878  
   

 

 

 

Total Corporate Bonds — 63.9%
(Cost — $467,671,595)

 

    453,752,949  
   

 

 

 
Security          Par
(000)
    Value  

Floating Rate Loan Interests(d) — 15.0%

 

Aerospace & Defense 0.1%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 08/18/24

    USD       526     $ 524,358  

WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.28%, 04/30/25

      62       62,181  
   

 

 

 
        586,539  
Auto Components 0.0%  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.39%, 05/16/24

      214       213,057  
   

 

 

 
Auto Parts 0.0%  

Mavis Tire Express Services Corp.(a):

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.53%, 03/20/25

      86       85,196  

2018 Delayed Draw Term Loan, (1 mo. LIBOR + 3.25%), 1.25%, 03/20/25

      14       752  
   

 

 

 
        85,948  
Building Products 0.1%  

Ply Gem Industries, Inc., 2018 Term Loan, (3 mo. LIBOR + 3.75%), 6.18%, 04/12/25

      520       518,007  
   

 

 

 
Chemicals 0.4%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.39%, 01/31/24

      358       357,884  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 06/28/24

      61       60,694  

Invictus US LLC:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 03/28/25

      125       125,317  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.05%, 03/25/26(a)

      68       67,490  

Messer Industries LLC, 2018 USD Term Loan, 10/01/25(n)

      1,005       1,004,749  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.51%, 10/01/25

      1,339       1,333,979  
   

 

 

 
        2,950,113  
Commercial Services & Supplies 0.5%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.80%, 08/04/25

      514       527,235  

GFL Environmental Inc., 2018 USD Term Loan B, 05/30/25(n)

      800       787,000  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.80%, 08/27/25

      1,565       1,576,547  

West Corp.,

     

2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.53%, 10/10/24

      585       581,902  

2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.03%, 10/10/24

      86       84,701  
   

 

 

 
    3,557,385  
Construction & Engineering 0.3%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.73%, 06/21/24

      1,780       1,786,516  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 05/23/25

      442       431,764  
   

 

 

 
    2,218,280  
Construction Materials 0.0%  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 03/29/25

      67       66,903  
   

 

 

 
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      61  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Consumer Finance 0.5%  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 10/01/25

    USD       3,592     $ 3,553,099  
   

 

 

 
Diversified Consumer Services 0.1%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 07/12/24

      71       71,325  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 03/31/25(a)

      129       128,195  

Laureate Education, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.03%, 04/26/24

      146       146,289  
   

 

 

 
    345,809  
Diversified Financial Services 9.0%  

Aviron Capital LLC, 2017 Term Loan, (3 mo. LIBOR + 5.00%), 5.00%, 07/17/20(a)

      63,318       63,083,736  

Lone Star LSPT Future Funding, Mezzanine Term Loan, (1 mo. LIBOR + 4.35%), 6.63%, 09/09/20(a)

      508       507,562  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.80%, 09/06/25

      161       160,799  
   

 

 

 
        63,752,097  
Diversified Telecommunication Services 0.1%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 01/31/25

      902       892,033  
   

 

 

 
Energy Equipment & Services 0.2%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.28%, 03/01/24

      174       161,740  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
10.03%, 11/08/22(a)

      865       880,137  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 1.43%), 3.73%, 07/13/20(a)

      237       230,232  
   

 

 

 
    1,272,109  
Food Products 0.0%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 10/10/23

      70       68,231  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 10/30/22

      111       110,682  
   

 

 

 
        178,913  
Gas Utilities 0.0%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (2 mo. LIBOR + 5.50%), 7.89%, 07/31/25

      306       305,364  
   

 

 

 
Health Care Equipment & Supplies 0.3%  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.60%, 06/08/20

      924       921,827  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.39%, 06/15/21

      850       862,343  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.54%, 06/30/25

      220       219,341  
   

 

 

 
    2,003,511  
Health Care Providers & Services 0.5%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.80%, 06/30/25

      174       174,162  

Concentra Inc., 2018 2nd Lien Term Loan, 06/01/23(n)

      262       264,620  

DentalCorp Perfect Smile ULC(a):

     

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 06/06/25

      10       9,538  

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 06/06/25

      113       113,474  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 10/10/25

      1,487       1,454,940  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

Gentiva Health Services, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.06%, 07/02/25(a)

    USD       455     $ 456,818  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.31%, 07/02/26

      67       68,594  

Quorum Health Corporation, Term Loan B, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.05%, 04/29/22

      251       253,425  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 02/06/24

      282       265,662  

Universal Hospital Services, Inc., Term Loan, 10/18/25(a)(n)

      99       99,495  
   

 

 

 
        3,160,728  
Health Care Technology 0.0%  

GoodRx, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.28%, 10/10/25

      103       103,429  
   

 

 

 
Hotels, Restaurants & Leisure 0.4%  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.78%, 08/14/23

      39       39,508  

IRB Holding Corp., 1st Lien Term Loan, 02/05/25(n)

      287       286,162  

Las Vegas Sands LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.05%, 03/27/25

      697       693,575  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 10/15/25(n)

      84       84,210  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.89%, 07/10/25

      1,732       1,737,911  
   

 

 

 
        2,841,366  
Household Products 0.0%  

Energizer Holdings, Inc., 2018 Term Loan B,
06/20/25(n)

      73       73,046  
   

 

 

 
Industrial Conglomerates 0.1%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.31%, 11/30/23

      361       356,874  

Sequa Mezzanine Holdings LLC:

     

1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.41%, 11/28/21

      200       197,706  

2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 11.52%, 04/28/22

      73       71,358  
   

 

 

 
        625,938  
Insurance 0.1%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.28%, 05/09/25

      61       60,763  

Sedgwick Claims Management Services, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.05%, 03/01/21

      786       785,476  

2nd Lien Term Loan, (3 mo. LIBOR + 5.75%, 1.00% Floor), 8.05%, 02/28/22

      109       109,000  
   

 

 

 
        955,239  
Internet Software & Services 0.0%  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.05%, 05/06/24

      173       169,791  
   

 

 

 
IT Services 0.1%  

Access CIG LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 02/27/25

      74       73,816  

2018 2nd Lien Incremental Term Loan, (1 mo. LIBOR + 7.75%), 10.05%, 02/27/26

      3       3,000  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 10.05%, 02/27/26

      27       26,608  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 6.05%, 02/27/25

      11       10,964  
 

 

 

62    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
IT Services (continued)  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.89%, 08/01/24

    USD       176     $ 173,357  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.59%, 08/01/25

      75       73,406  
   

 

 

 
        361,151  
Life Sciences Tools & Services 0.0%  

Albany Molecular Research, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 08/30/24

      101       100,697  
   

 

 

 
Machinery 0.2%  

Altra Industrial Motion Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.30%, 10/01/25

      212       211,735  

Brookfield WEC Holdings Inc., 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.05%, 08/03/26

      105       106,417  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.30%, 03/28/25

      762       716,753  
   

 

 

 
        1,034,905  
Media 0.7%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.28%, 08/14/26

      780       762,941  

Charter Communications Operating LLC, 2017 Term Loan A2, (1 mo. LIBOR + 1.50%), 3.81%, 03/31/23

      1,543       1,541,345  

Intelsat Jackson Holdings SA:

     

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.04%, 11/27/23

      107       107,100  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.79%, 01/02/24

      330       341,384  

2017 Term Loan B5, (Fixed + 6.63%), 6.63%, 01/02/24

      1,841       1,885,448  

PSAV Holdings LLC:

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.57%, 03/01/25

      150       149,055  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.78%, 09/01/25

      122       119,865  
   

 

 

 
        4,907,138  
Multiline Retail 0.0%  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.53%, 10/25/20

      324       294,291  
   

 

 

 
Oil & Gas Equipment & Services 0.3%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.30%, 05/10/25

      1,855       1,829,186  
   

 

 

 
Oil, Gas & Consumable Fuels 0.2%  

BCP Raptor II LLC, 1st Lien Term Loan,
11/03/25(a)(n)

      103       102,227  

California Resources Corp.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 7.04%, 12/31/22

      826       837,011  

Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.67%, 12/31/21

      321       357,789  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.31%, 11/28/22

      359       366,422  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.55%, 10/30/24

      39       38,669  
   

 

 

 
        1,702,118  
Security          Par
(000)
    Value  
Pharmaceuticals 0.2%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.81%, 05/04/25

    USD       365     $ 367,011  

Auris Luxembourg III Sarl, 2018 USD Term Loan B, 07/20/25(n)

      182       182,986  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.56%, 04/29/24

      649       651,441  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.27%, 06/01/25

      179       178,536  
     

 

 

 
        1,379,974  
Real Estate Management & Development — 0.0%  

Forest City Enterprises LP, Term Loan B, 10/24/25(n)

      104       104,346  
     

 

 

 
Software — 0.5%  

Applied Systems, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.39%, 09/19/25

      34       34,493  

BMC Software Finance, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.65%, 10/02/25

      550       551,320  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.31%, 04/26/24

      132       131,695  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.05%, 04/27/25

      40       40,200  

Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 5.57%, 05/28/24

      264       252,926  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.59%, 11/01/24

      624       631,381  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.79%, 09/30/24

      321       321,504  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 11/29/24

      242       241,028  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.54%, 12/01/25

      168       163,618  

PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.52%, 08/01/25

      111       110,795  

Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.55%, 05/30/25

      129       128,002  

SS&C Technologies Holdings Europe SARL, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      149       148,254  

SS&C Technologies, Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      419       416,855  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.55%, 04/16/25

      269       267,367  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.30%, 05/01/24

      154       154,356  
     

 

 

 
        3,593,794  
Specialty Retail — 0.0%  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 11/07/24

      143       143,099  
     

 

 

 
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.64%, 08/12/22

      306       306,327  
     

 

 

 
Trading Companies & Distributors — 0.0%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.53%, 01/02/25

      152       150,637  
     

 

 

 
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      63  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Transportation — 0.0%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 6.00%), 8.53%, 06/15/23(a)

    USD       30     $ 29,883  
     

 

 

 
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.32%, 11/28/24(a)

      91       91,889  
     

 

 

 
Wireless Telecommunication Services — 0.1%  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.39%, 09/09/21(a)

      343       344,263  
     

 

 

 

Total Floating Rate Loan Interests — 15.0%
(Cost — $106,915,104)

 

    106,802,402  
     

 

 

 

Foreign Agency Obligations — 5.2%

 

Argentine Republic Government International Bond:

     

7.50%, 04/22/26

      3,437       2,998,782  

7.63%, 04/22/46

      2,767       2,165,177  

Colombia Government International Bond:

     

4.38%, 07/12/21(g)

      247       250,211  

4.50%, 01/28/26(g)

      715       715,000  

3.88%, 04/25/27

      1,216       1,157,632  

4.50%, 03/15/29

      826       814,444  

Cyprus Government International Bond, 4.63%, 02/03/20(b)

    EUR       2,950       3,519,344  

Egypt Government International Bond:

     

5.75%, 04/29/20

    USD       2,360       2,374,113  

5.58%, 02/21/23(b)

      400       381,752  

Iceland Government International Bond, 5.88%, 05/11/22

      3,415       3,700,021  

Indonesia Government International Bond:

     

4.75%, 01/08/26

      670       662,159  

4.10%, 04/24/28(g)

      774       727,025  

Indonesia Treasury Bond:

     

7.88%, 04/15/19

    IDR       35,807,000       2,366,296  

8.38%, 09/15/26

      17,965,000       1,164,280  

Mexico Government International Bond:

     

4.15%, 03/28/27

    USD       730       694,135  

3.75%, 01/11/28

      1,156       1,064,688  

Portugal Government International Bond, 5.13%, 10/15/24(b)

      3,680       3,822,710  

Qatar Government International Bond:

     

4.63%, 06/02/46

      519       516,405  

5.10%, 04/23/48(b)

      330       334,950  

Republic of South Africa Government International Bond(g):

     

5.88%, 05/30/22

      2,698       2,752,769  

4.88%, 04/14/26

      843       779,775  

Russian Federal Bond - OFZ, 7.05%, 01/19/28

    RUB       124,934       1,732,268  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

    USD       400       394,600  

4.25%, 06/23/27

      600       568,012  

Turkey Government International Bond:

     

6.25%, 09/26/22

      467       452,394  

4.88%, 04/16/43

      450       319,131  

5.75%, 05/11/47

      365       276,487  
   

 

 

 

Total Foreign Agency Obligations — 5.2%
(Cost — $39,250,912)

 

    36,704,560  
   

 

 

 
Security          Par
(000)
    Value  

Non-Agency Mortgage-Backed Securities — 16.6%

 

Collateralized Mortgage Obligations — 15.9%  

American Home Mortgage Assets Trust, Series 2006-5, Class A1, (12 mo. MTA + 0.92%),
2.87%, 11/25/46(d)

    USD       5,545     $ 2,933,977  

CHL Mortgage Pass-Through Trust:

     

Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.24%), 2.52%, 03/25/36(d)

      9,519       9,145,345  

Series 2007-J2, Class 2A1, (1 mo. LIBOR US + 0.65%), 2.93%, 07/25/37(d)

      4,111       2,252,411  

Series 2007-J2, Class 2A8, 6.00%, 07/25/37

      2,270       1,621,592  

CIM Trust, Series 2017-6, Class A1,
3.02%, 06/25/57 (a)(b)(c)

      8,995       8,631,474  

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 4.28%, 11/25/36(c)

      4,824       4,550,409  

Countrywide Alternative Loan Trust:

     

Series 2005-9CB, Class 1A3, (1 mo. LIBOR US + 0.45%), 2.73%, 05/25/35(d)

      3,043       2,807,173  

Series 2006-40T1, Class 2A5, (1 mo. LIBOR US + 0.40%), 2.68%, 12/25/36(d)

      2,393       708,194  

Series 2006-7CB, Class 2A1, 6.50%, 05/25/36

      2,532       1,806,822  

Series 2006-J7, Class 2A1, (11th District Cost of Funds + 1.50%), 2.52%, 11/20/46(d)

      5,851       4,127,913  

Series 2006-J8, Class A5, 6.00%, 02/25/37

      1,811       1,279,869  

Series 2006-OA14, Class 3A1, (12 mo. MTA + 0.85%), 2.80%, 11/25/46(d)

      8,377       7,333,802  

Series 2006-OA16, Class A2, (1 mo. LIBOR US + 0.19%), 2.47%, 10/25/46(d)

      5,774       5,664,308  

Series 2006-OA18, Class A1, (1 mo. LIBOR US + 0.12%), 2.40%, 12/25/46(d)

      3,542       3,422,191  

Series 2006-OA6, Class 1A1A, (1 mo. LIBOR US + 0.21%), 2.49%, 07/25/46(d)

      6,962       5,952,890  

Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.19%), 2.47%, 07/25/46(d)

      2,548       2,456,313  

Series 2007-12T1, Class A22, 5.75%, 06/25/37

      5,040       3,662,465  

Series 2007-12T1, Class A5, 6.00%, 06/25/37

      2,445       1,826,357  

Series 2007-22, Class 2A16, 6.50%, 09/25/37

      9,071       6,250,005  

Series 2007-23CB, Class A1, 6.00%, 09/25/37

      6,495       5,301,741  

Series 2007-4CB, Class 1A3, (1 mo. LIBOR US + 0.35%), 2.63%, 04/25/37(d)

      3,656       2,915,962  

Series 2007-OA2, Class 1A1, (12 mo. MTA + 0.84%), 2.79%, 03/25/47(d)

      4,254       3,561,712  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.20%), 2.48%, 04/25/46(d)

      7,892       7,334,909  

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 3.23%, 05/26/37(a)(b)

      10,622       8,816,249  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 05/25/36(c)

      8,150       3,120,422  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, (1 mo. LIBOR US + 0.60%), 2.88%, 08/25/36(d)(e)

      6,674       1,914,888  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 2.72%, 05/25/47(d)

      4,174       3,937,945  
   

 

 

 
        113,337,338  
Commercial Mortgage-Backed Securities 0.7%  

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT(b)(d):

     

Class E, (1 mo. LIBOR + 3.15%), 5.43%, 08/13/27

      1,000       1,010,593  
 

 

 

64    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

Class F, (1 mo. LIBOR + 2.44%), 4.72%, 08/13/27

    USD       3,000     $ 3,012,626  

Class G, (1 mo. LIBOR + 1.59%), 3.87%, 08/13/27

      1,040       1,036,126  
   

 

 

 
        5,059,345  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 16.6%
(Cost — $116,828,978)

 

    118,396,683  
   

 

 

 

Preferred Securities — 16.0%

 

Capital Trusts 11.7%  
Banks(i)  4.2%  

ABN AMRO Bank NV, 5.75%(c)

      200       237,290  

Banco Bilbao Vizcaya Argentaria SA(c):

     

6.13%

      2,000       1,722,500  

8.88%

      200       251,732  

Banco Santander SA, 6.25%(c)

      100       112,699  

Bankia SA 6.38%(c)

      200       223,698  

BNP Paribas SA, 7.20%(b)(c)(g)

      4,000       4,167,360  

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

      3,500       3,535,000  

CIT Group, Inc., Series A, 5.80%(c)(g)

      282       277,347  

Citigroup, Inc.(c)(g):

     

5.90%

      2,250       2,250,000  

Series P, 5.95%

      3,700       3,646,812  

Cooperatieve Rabobank UA, 6.63%(c)

      200       248,664  

Fifth Third Bancorp, Series J, 4.90%(c)

      3,000       2,958,750  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.56%

      100       75,900  

Intesa Sanpaolo SpA, 7.00%(c)

      234       269,843  

Wells Fargo & Co.(c)(g):

     

Series S, 5.90%

      8,905       8,971,787  

Series U, 5.88%

      700       721,000  
   

 

 

 
        29,670,382  
Capital Markets(c)(i) 1.1%  

Goldman Sachs Group, Inc., Series P, 5.00%(g)

      278       255,760  

Morgan Stanley, Series H, 5.45%(g)

      5,007       5,051,462  

State Street Corp., Series F, 5.25%(g)

      1,875       1,896,094  

UBS Group AG, 5.75%

      200       246,068  

UBS Group Funding Switzerland AG, 5.00%

      200       171,222  
   

 

 

 
        7,620,606  
Chemicals 0.0%  

Solvay Finance SA, 5.12%(c)(i)

      100       122,836  
   

 

 

 
Diversified Financial Services(i) 4.4%  

ATF Netherlands BV, 3.75%(c)

      100       112,696  

Banco Santander SA, 6.75%(c)

      200       241,189  

Bank of America Corp.(c):

     

Series AA, 6.10%

      3,820       3,920,275  

Series U, 5.20%

      1,750       1,706,250  

Series V, 5.13%(g)

      705       703,238  

Series X, 6.25%(g)

      6,175       6,360,250  

Bank of New York Mellon Corp., Series D, 4.50%(c)(g)

      4,567       4,315,815  

Credit Agricole SA, 6.50%(c)

      100       122,043  

Credit Suisse Group AG, 7.50%(b)(c)

      200       203,500  

HBOS Capital Funding LP, 6.85%

      200       201,392  

HSBC Holdings PLC(g):

     

6.00%(c)

      695       639,400  

6.50%(c)

      655       614,881  

JPMorgan Chase & Co.(c):

     

Series Q, 5.15%(g)

      5,500       5,398,800  
Security          Par
(000)
    Value  
Diversified Financial Services(i) (continued)  

Series R, 6.00%

    USD       228     $ 229,140  

Series V, 5.00%(g)

      3,830       3,830,000  

Royal Bank of Scotland Group PLC, 8.63%(c)

      200       210,250  

Societe Generale SA, 6.75%(b)(c)(g)

      3,000       2,647,500  
   

 

 

 
        31,456,619  
Diversified Telecommunication Services 0.1%  

Telefonica Europe BV(c)(i):

     

3.75%

      100       115,728  

4.20%

      300       349,989  

5.88%

      100       124,798  
   

 

 

 
        590,515  
Electric Utilities(c) 1.1%  

Electricite de France SA, 5.25%(b)(g)(i)

      7,500       7,265,625  

Enel SpA, 7.75%, 09/10/75

      100       136,947  

Gas Natural Fenosa Finance BV, 4.13%(i)

      100       118,220  

RWE AG, 2.75%, 04/21/75

      20       22,966  
   

 

 

 
        7,543,758  
Electronic Equipment, Instruments & Components 0.0%  

Belden, Inc., 4.13%, 10/15/26

      100       116,852  
   

 

 

 
Industrial Conglomerates 0.4%  

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

      3,000       2,778,750  
   

 

 

 
Insurance(c)(g) 0.4%  

Allstate Corp., Series B, 5.75%, 08/15/53

      2,000       2,020,200  

Voya Financial, Inc., 5.65%, 05/15/53

      1,090       1,073,650  
   

 

 

 
        3,093,850  
   

 

 

 

Total Capital Trusts — 11.7%
(Cost — $83,832,350)

 

    82,994,168  
   

 

 

 
            Shares         
Preferred Stocks 4.3%  
Banks 0.3%  

Citigroup, Inc., Series K, 6.88%(c)

      75,000       2,049,750  
   

 

 

 
Capital Markets 2.0%  

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

      395,017       9,970,229  

Morgan Stanley(c)

     

Series F, 6.88%

      100,000       2,681,000  

Series K, 5.85%

      60,125       1,515,150  

SCE Trust III, Series H, 5.75%(c)

      23,730       596,335  
   

 

 

 
        14,762,714  
Equity Real Estate Investment Trusts (REITs) 1.9%  

Firstar Realty LLC, 8.88%(b)(i)

      10,000       11,600,000  

SunTrust Real Estate Investment Corp., 9.00%(a)(b)(i)

      15       1,637,441  
   

 

 

 
        13,237,441  
Machinery 0.1%  

Stanley Black & Decker, Inc., 5.38%(k)

      4,170       382,597  
   

 

 

 

Total Preferred Stocks — 4.3%
(Cost — $31,860,863)

 

    30,432,502  
   

 

 

 

Total Preferred Securities — 16.0%
(Cost — $115,693,213)

 

    113,426,670  
   

 

 

 
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      65  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
U.S. Government Sponsored Agency Securities 9.5%  
Collateralized Mortgage Obligations 0.8%  

Fannie Mae Connecticut Avenue Securities, Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.25%), 6.53%, 04/25/29(d)

    USD       545     $ 615,583  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44(g)

      5,141       4,977,828  
   

 

 

 
        5,593,411  
Mortgage-Backed Securities 8.7%  

Fannie Mae Mortgage-Backed Securities(g):

     

4.00%, 11/01/47 — 04/01/56

      20,190       20,294,840  

4.50%, 09/01/48 — 07/01/55(e)

      40,507       41,833,744  
   

 

 

 
        62,128,584  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 9.5%
(Cost — $70,088,966)

 

    67,721,995  
   

 

 

 

U.S. Treasury Obligations 2.7%

 

U.S. Treasury Note:

     

2.75%, 09/30/20(g)

      2,700       2,693,672  

2.88%, 10/31/20

      5,000       4,999,609  

2.75%, 08/31/25(g)

      7,000       6,860,547  

3.00%, 09/30/25(g)

      4,500       4,478,731  
   

 

 

 

Total U.S. Treasury Obligations — 2.7%
(Cost — $19,087,463)

 

    19,032,559  
   

 

 

 
       Shares         

Warrants 0.0%

 

Diversified Financial Services 0.0%  

Aviron Capital LLC(o)

      10        
   

 

 

 

Total Warrants — 0.0%
(Cost — $—)

 

     
   

 

 

 

Total Long-Term Investments — 152.7%
(Cost — $1,097,110,763)

 

    1,085,205,093  
   

 

 

 
Security     Par
(000)
    Value  
Short-Term Securities 0.3%  

Egypt Treasury Bills, 0.00%, 04/02/19(l)

    EGP       40,125     $ 2,072,629  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $2,072,649)

 

    2,072,629  
   

 

 

 

Total Investments — 153.0%
(Cost — $1,099,183,412)

 

    1,087,277,722  

Liabilities in Excess of Other Assets — (53.0)%

 

    (376,446,192
   

 

 

 

Net Assets — 100.0%

 

  $ 710,831,530  
   

 

 

 

 

(a) 

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

(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) 

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

(e) 

When-issued security.

(f) 

Amount is less than $500.

(g) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(h) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(i) 

Perpetual security with no stated maturity date.

(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) 

Convertible security.

(l) 

Zero-coupon bond.

(m) 

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.

(n) 

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.

(o) 

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.

 

During the year ended October 31, 2018, investments in issuers considered to 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
10/31/17
     Net
Activity
     Shares
Held at
10/31/18
     Value at
10/31/18
     Income     

Net

Realized

Gain (Loss) (b)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class(a)

     347,225        (347,225           $      $ 111,086      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

No longer held by the Trust.

 
  (b) 

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)

BNP Paribas S.A.

     2.87     07/11/18        Open      $ 280,638      $ 282,927      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

     2.85       07/11/18        Open        367,901        370,991      Corporate Bonds    Open/Demand

 

 

66    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.85 %       07/12/18       Open     $ 171,140     $ 172,565     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.75       07/16/18       Open       411,810       414,873     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.75       07/16/18       Open       128,048       129,000     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.80       07/16/18       Open       1,012,833       1,020,448     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       229,133       230,871     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       225,600       227,311     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       268,898       270,937     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       247,903       249,783     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       242,110       243,947     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       245,520       247,383     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/16/18       Open       232,825       234,591     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/16/18       Open       945,000       951,888     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/16/18       Open       688,125       693,141     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/16/18       Open       470,625       474,055     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.85       07/16/18       Open       450,450       453,934     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.85       07/16/18       Open       676,875       682,110     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.85       07/16/18       Open       1,021,355       1,029,255     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.88       07/16/18       Open       132,224       133,258     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.88       07/16/18       Open       151,800       152,988     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.95       07/16/18       Open       752,378       758,421     Foreign Agency Obligations   Open/Demand

Deutsche Bank Securities, Inc.

    2.80       07/16/18       Open       1,785,000       1,798,541     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    2.80       07/16/18       Open       2,320,000       2,337,600     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.80       07/16/18       Open       1,901,000       1,915,421     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/16/18       Open       267,000       269,145     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/16/18       Open       198,000       199,590     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/16/18       Open       141,000       142,133     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.70       07/16/18       Open       538,000       541,921     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       07/16/18       Open       2,176,200       2,191,849     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       520,830       524,978     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       487,335       491,216     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       435,070       438,535     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       266,230       268,350     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       153,755       154,979     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       366,818       369,739     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       464,313       468,010     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       727,575       733,369     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       93,240       93,983     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       985,725       993,575     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       378,730       381,746     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       165,600       166,919     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       187,200       188,691     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       370,450       373,400     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       259,260       261,325     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       436,050       439,523     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       694,200       699,729     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       172,010       173,380     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       87,413       88,109     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       250,400       252,394     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/16/18       Open       509,220       513,275     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/17/18       Open       348,735       351,356     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/17/18       Open       492,069       495,767     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.80       07/17/18       Open       827,038       833,253     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.80       07/17/18       Open       2,156,250       2,172,455     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.90       07/17/18       Open       293,693       295,986     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/17/18       Open       316,030       318,552     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/17/18       Open       260,925       262,809     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.85       07/17/18       Open       669,375       674,504     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       07/17/18       Open       285,289       287,525     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/17/18       Open       2,008,000       2,023,978     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/17/18       Open       671,000       676,339     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/17/18       Open       2,528,000       2,548,115     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/17/18       Open       297,000       299,363     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/17/18       Open       750,000       755,968     Corporate Bonds   Open/Demand

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      67  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.85 %       07/17/18       Open     $ 729,125     $ 734,879     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       257,400       259,431     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       330,750       333,360     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       299,700       302,065     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       164,730       166,030     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       190,390       191,892     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       268,800       270,921     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       268,000       270,115     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       256,500       258,524     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       321,850       324,390     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       412,300       415,554     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/17/18       Open       34,270       34,540     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/18/18       Open       213,030       214,696     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/18/18       Open       199,650       201,211     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.66       07/20/18       Open       319,125       321,349     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/23/18       Open       207,863       209,279     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/23/18       Open       241,870       243,518     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/23/18       Open       272,483       274,339     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/23/18       Open       248,105       249,795     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       07/23/18       Open       249,840       251,542     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       1,274,000       1,283,564     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       2,016,000       2,031,134     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       440,000       443,303     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       873,000       879,554     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       2,666,000       2,686,014     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       296,000       298,222     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       07/23/18       Open       490,000       493,678     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/24/18       Open       359,100       361,752     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    (1.00     07/25/18       Open       48,191       48,060     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/25/18       Open       300,544       302,632     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/25/18       Open       162,240       163,367     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.85       07/25/18       Open       102,638       103,365     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       07/25/18       Open       250,013       251,825     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/25/18       Open       503,010       506,689     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/25/18       Open       149,850       150,946     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       07/25/18       Open       307,545       309,794     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/30/18       Open       233,761       235,319     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       07/31/18       Open       241,349       242,941     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/01/18       Open       128,760       129,637     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/01/18       Open       78,720       79,256     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       08/02/18       Open       2,209,550       2,223,249     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.80       08/02/18       Open       2,148,750       2,162,615     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.92       08/02/18       Open       239,080       240,678     Capital Trusts   Open/Demand

RBC Capital Markets, LLC

    2.85       08/02/18       Open       1,287,877       1,296,552     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.05       08/13/18       Open       190,380       191,286     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/14/18       Open       434,730       437,282     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/15/18       Open       415,625       418,034     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/16/18       Open       2,194,430       2,206,993     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/17/18       Open       150,880       151,631     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.30       08/20/18       Open       8,107,000       8,144,292     Capital Trusts   Open/Demand

Barclays Bank PLC

    2.55       08/20/18       Open       4,054,406       4,075,084     Capital Trusts   Open/Demand

Barclays Bank PLC

    2.55       08/20/18       Open       567,665       570,560     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.55       08/20/18       Open       3,251,375       3,267,957     Capital Trusts   Open/Demand

Barclays Bank PLC

    2.55       08/20/18       Open       3,093,125       3,108,900     Capital Trusts   Open/Demand

Barclays Bank PLC

    2.75       08/20/18       Open       792,895       796,865     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.95       08/20/18       Open       1,859,546       1,868,867     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.56       08/20/18       Open       7,702,500       7,738,139     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.65       08/20/18       Open       455,648       457,838     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       08/20/18       Open       5,355,625       5,381,905     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.70       08/20/18       Open       280,720       282,097     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       08/20/18       Open       387,600       389,502     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       08/20/18       Open       226,528       227,639     Corporate Bonds   Open/Demand

 

 

68    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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)

BNP Paribas S.A.

    2.94 %       08/20/18       Open     $ 1,262,479     $ 1,269,280     Capital Trusts   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       08/20/18       Open       811,714       815,372     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.55       08/20/18       Open       745,388       748,821     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       08/20/18       Open       934,000       939,050     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       08/20/18       Open       517,000       519,795     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.70       08/20/18       Open       273,000       274,340     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       08/20/18       Open       613,800       616,818     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       08/20/18       Open       324,625       326,221     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/20/18       Open       175,055       176,007     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       08/20/18       Open       59,940       60,266     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.55       08/21/18       Open       179,975       180,781     Capital Trusts   Open/Demand

Barclays Bank PLC

    2.75       08/21/18       Open       648,795       651,998     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.75       08/21/18       Open       480,844       483,218     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.75       08/21/18       Open       322,455       324,047     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.80       08/21/18       Open       939,103       943,765     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.55       08/21/18       Open       363,863       365,492     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    2.75       08/21/18       Open       207,025       208,033     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       08/21/18       Open       482,183       484,496     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       08/21/18       Open       81,218       81,607     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       08/21/18       Open       1,310,128       1,316,414     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       08/21/18       Open       842,906       846,951     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       08/21/18       Open       333,568       335,168     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25       09/07/18       Open       150,605       150,893     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25       09/07/18       Open       40,885       40,944     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/07/18       Open       179,314       179,975     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       09/07/18       Open       28,362       28,479     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.75       09/10/18       Open       479,719       481,421     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.80       09/10/18       Open       1,548,756       1,554,362     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.80       09/10/18       Open       402,675       404,132     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.85       09/10/18       Open       405,765       407,262     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/10/18       Open       266,430       267,394     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       955,000       958,391     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       271,500       272,464     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       945,000       948,356     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       697,500       699,977     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       701,250       703,740     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       406,000       407,442     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       731,250       733,847     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       351,000       352,246     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       484,900       486,622     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       902,500       905,705     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       930,000       933,303     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       1,455,000       1,460,167     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       511,250       513,066     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       433,125       434,663     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       585,000       587,077     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       242,500       243,361     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       383,000       384,360     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       492,500       494,249     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       1,134,375       1,138,403     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       676,875       679,279     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       885,000       888,143     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       915,000       918,249     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       1,417,500       1,422,534     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       452,500       454,107     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       456,250       457,870     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       1,022,500       1,026,131     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       821,250       824,166     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       689,750       692,199     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       985,000       988,498     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       439,875       441,437     Corporate Bonds   Open/Demand

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      69  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.59 %       09/10/18       Open     $ 701,250     $ 703,740     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       690,000       692,450     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       547,500       549,444     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       475,000       476,687     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       872,500       875,598     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       502,500       504,284     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       353,000       354,254     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       902,500       905,705     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       1,350,000       1,354,794     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/10/18       Open       864,375       867,444     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       225,863       226,748     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       914,338       917,921     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       216,213       217,060     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       214,475       215,316     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       226,448       227,335     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       164,500       165,145     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       218,400       219,256     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       408,688       410,289     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       188,940       189,681     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       209,528       210,349     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       318,835       320,085     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       183,180       183,898     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       193,200       193,957     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       217,283       218,134     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       292,410       293,556     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       183,150       183,868     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       288,090       289,219     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       229,323       230,221     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       157,590       158,208     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       422,300       423,955     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       375,000       376,470     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       2,955,000       2,966,582     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       291,555       292,698     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       483,923       485,819     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       191,625       192,376     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       171,293       171,964     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       558,000       560,187     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       429,260       430,942     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/10/18       Open       217,035       217,886     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/11/18       Open       484,270       485,988     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       09/11/18       Open       288,135       289,202     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       09/11/18       Open       330,240       331,462     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       09/11/18       Open       614,378       616,652     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       09/11/18       Open       299,130       300,237     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.91       09/11/18       Open       368,510       369,874     Corporate Bonds   Open/Demand

Citigroup Global Markets, Inc.

    0.25       09/11/18       Open       22,652       22,657     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       385,000       386,342     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       188,500       189,157     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       1,385,720       1,390,551     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       1,209,600       1,213,817     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       283,650       284,639     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/11/18       Open       652,750       655,026     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       1,153,680       1,158,118     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       2,151,560       2,159,838     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       172,270       172,933     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       180,910       181,606     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       180,180       180,873     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       230,850       231,738     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       229,500       230,383     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       209,925       210,733     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       435,750       437,426     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       227,960       228,837     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       325,718       326,971     Corporate Bonds   Open/Demand

 

 

70    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.85 %       09/11/18       Open     $ 221,253     $ 222,104     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       173,775       174,444     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       296,140       297,279     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       351,323       352,674     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       335,200       336,490     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       245,180       246,123     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       124,603       125,082     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       665,125       667,684     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       300,120       301,275     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/11/18       Open       253,530       254,505     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/12/18       Open       273,880       274,852     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       09/12/18       Open       280,884       281,881     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/12/18       Open       313,320       314,525     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.00       09/13/18       Open       184,110       184,327     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    0.75       09/13/18       Open       91,160       91,225     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/13/18       Open       816,140       819,162     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    (0.75     09/14/18       Open       295,740       295,366     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/14/18       Open       173,400       173,948     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/14/18       Open       118,750       119,125     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       378,840       380,161     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       200,340       201,038     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       255,000       255,889     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       167,983       168,568     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       332,500       333,659     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       285,548       286,543     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       273,600       274,554     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       194,560       195,238     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       252,395       253,275     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       498,550       500,288     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       694,450       696,871     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       98,910       99,255     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       217,350       218,108     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       281,325       282,306     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       539,200       541,080     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       166,250       166,830     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       178,500       179,122     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       209,990       210,722     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       409,078       410,504     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       681,120       683,494     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       285,830       286,826     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       1,536,668       1,542,024     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       282,900       283,886     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       190,325       190,989     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       335,340       336,509     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       236,338       237,161     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       473,123       474,772     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       116,188       116,593     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       397,500       398,886     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       109,855       110,238     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       244,833       245,686     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       115,900       116,304     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       161,195       161,757     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       206,815       207,536     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       140,250       140,739     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       324,815       325,947     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       675,315       677,669     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       215,970       216,723     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       349,200       350,417     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       248,820       249,687     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       583,255       585,288     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       130,900       131,356     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       216,645       217,400     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       210,013       210,745     Corporate Bonds   Open/Demand

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      71  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.85 %       09/14/18       Open     $ 20,563     $ 20,634     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       298,150       299,189     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       822,165       825,031     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       199,565       200,261     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       333,325       334,487     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       172,200       172,800     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       233,373       234,186     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       240,470       241,308     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       946,890       950,191     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       431,950       433,456     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       323,850       324,979     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       247,350       248,212     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       729,605       732,148     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       1,947,668       1,954,457     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       119,145       119,560     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       357,870       359,118     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       83,363       83,653     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       403,425       404,831     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       1,238,790       1,243,109     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       266,985       267,916     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       137,618       138,097     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       678,615       680,981     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       267,300       268,232     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/14/18       Open       404,250       405,659     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.25       09/19/18       Open       167,929       168,370     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.55       09/19/18       Open       393,975       395,147     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.39       09/19/18       Open       460,625       461,909     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.39       09/19/18       Open       697,125       699,069     Foreign Agency Obligations   Open/Demand

BNP Paribas S.A.

    2.60       09/19/18       Open       111,930       112,270     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.63       09/19/18       Open       405,150       406,393     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       648,735       650,756     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       466,613       468,066     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       476,545       478,029     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       351,500       352,595     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       175,873       176,420     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.67       09/19/18       Open       1,549,586       1,554,413     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       09/19/18       Open       2,522,630       2,530,576     Foreign Agency Obligations   Open/Demand

HSBC Securities (USA), Inc.

    2.20       09/19/18       Open       3,381,000       3,389,678     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.20       09/19/18       Open       2,807,000       2,814,205     Capital Trusts   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       341,348       342,279     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       581,750       583,338     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       441,250       442,455     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       240,800       241,457     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       463,750       465,016     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       400,263       401,355     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       230,625       231,255     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       960,000       962,621     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       471,250       472,537     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       272,250       272,993     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       654,375       656,161     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       450,000       451,229     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       605,475       607,128     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       395,000       396,078     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       579,250       580,831     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       241,875       242,535     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       345,950       346,894     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       374,000       375,021     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.34       09/19/18       Open       94,628       94,886     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.45       09/19/18       Open       385,875       386,978     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       809,933       812,389     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       265,688       266,493     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       696,658       698,771     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       882,750       885,428     Corporate Bonds   Open/Demand

 

 

72    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.60 %       09/19/18       Open     $ 560,298     $ 561,997     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       208,098       208,729     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       71,775       71,993     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       63,990       64,184     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       168,100       168,610     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       1,885,438       1,891,157     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       165,430       165,932     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       287,200       288,071     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       379,500       380,651     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       684,125       686,200     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       244,110       244,850     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       633,955       635,878     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       1,220,625       1,224,328     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       21,803       21,869     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       346,040       347,090     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       460,750       462,148     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       201,825       202,437     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/19/18       Open       891,938       894,643     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       3,860,000       3,870,133     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       355,380       356,313     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       4,950,000       4,962,994     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.25       09/19/18       Open       7,162,500       7,181,302     Capital Trusts   Open/Demand

UBS Securities LLC

    2.30       09/19/18       Open       325,350       326,223     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.35       09/19/18       Open       376,950       377,983     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       396,031       397,186     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       406,100       407,284     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       3,738,700       3,749,605     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       946,943       949,704     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       152,625       153,070     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       410,320       411,517     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       1,831,253       1,836,594     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       417,410       418,627     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       348,446       349,463     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       498,550       500,004     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       654,881       656,791     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       511,523       513,014     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       270,593       271,382     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       134,365       134,757     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       363,810       364,871     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       322,763       323,704     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       252,079       252,814     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       757,485       759,694     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       466,715       468,076     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.50       09/19/18       Open       3,924,800       3,936,247     Capital Trusts   Open/Demand

UBS Securities LLC

    2.60       09/19/18       Open       830,233       832,751     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       09/20/18       Open       335,000       336,032     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       09/20/18       Open       266,000       266,820     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    2.95       09/20/18       Open       788,000       790,429     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.59       09/20/18       Open       2,307,500       2,314,194     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       459,103       460,570     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       145,230       145,694     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       363,800       364,963     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       202,880       203,529     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       804,000       806,571     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       118,793       119,172     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       151,810       152,295     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       135,725       136,159     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       756,000       758,417     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       172,890       173,443     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       1,068,930       1,072,348     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       118,538       118,916     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       310,545       311,538     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       141,930       142,384     Corporate Bonds   Open/Demand

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      73  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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

    2.85 %       09/20/18       Open     $ 1,544,630     $ 1,549,569     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       159,125       159,634     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       318,565       319,584     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       332,910       333,974     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       415,800       417,129     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       200,175       200,815     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       150,068       150,547     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       219,050       219,750     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       151,368       151,851     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       130,615       131,033     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       359,013       360,160     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       228,790       229,521     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       205,105       205,761     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       370,880       372,066     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       323,400       324,434     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       137,250       137,689     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       843,670       846,367     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/20/18       Open       350,960       352,082     Corporate Bonds   Open/Demand

UBS Ltd.

    2.60       09/20/18       Open       3,410,731       3,420,665     Capital Trusts   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       283,511       284,385     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       3,468,400       3,479,094     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       273,700       274,544     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       320,744       321,733     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       768,400       770,769     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       379,225       380,394     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       355,260       356,355     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       279,650       280,512     Corporate Bonds   Open/Demand

UBS Ltd.

    2.75       09/20/18       Open       405,350       406,600     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.75       09/24/18       Open       912,655       915,070     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.75       09/25/18       Open       283,125       283,269     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/25/18       Open       839,125       841,313     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.89       09/26/18       Open       559,860       561,301     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.92       09/26/18       Open       1,577,173       1,581,278     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.60       09/27/18       Open       811,665       813,658     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/27/18       Open       302,270       303,084     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       09/27/18       Open       389,610       390,659     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.80       09/28/18       Open       1,564,806       1,568,579     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.80       09/28/18       Open       208,880       209,384     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/01/18       Open       143,019       143,370     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.65       10/03/18       Open       234,650       235,134     Foreign Agency Obligations   Open/Demand

RBC Capital Markets, LLC

    2.85       10/04/18       Open       145,700       146,011     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/04/18       Open       276,223       276,813     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/04/18       Open       250,920       251,456     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.70       10/09/18       Open       289,835       290,313     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.45       10/09/18       Open       2,545,000       2,548,984     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.70       10/09/18       Open       566,000       566,976     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/09/18       Open       254,312       254,748     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.29       10/10/18       11/13/18       4,146,000       4,151,538     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

    2.33       10/10/18       11/13/18       4,960,000       4,966,741     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

    2.33       10/10/18       11/13/18       10,586,000       10,600,388     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

    2.33       10/10/18       11/13/18       15,569,000       15,590,161     U.S. Government Sponsored Agency Securities   Up to 30 Days

BNP Paribas S.A.

    2.55       10/12/18       Open       1,012,095       1,013,242     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       213,038       213,302     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       1,417,460       1,419,218     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       540,960       541,631     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       489,375       489,982     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       111,471       111,609     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       527,461       528,115     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       127,410       127,568     Corporate Bonds   Open/Demand

 

 

74    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

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)

BNP Paribas S.A.

    2.79 %       10/12/18       Open     $ 188,700     $ 188,934     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       550,078       550,760     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.79       10/12/18       Open       1,061,524       1,062,840     Corporate Bonds   Open/Demand

Barclays Bank PLC

    2.65       10/15/18       Open       669,800       669,935     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.65       10/15/18       Open       114,660       115,498     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.21       10/15/18       Open       2,696,625       2,699,427     U.S. Treasury Obligations   Open/Demand

HSBC Securities (USA), Inc.

    2.26       10/15/18       Open       6,877,500       6,884,932     U.S. Treasury Obligations   Open/Demand

RBC Capital Markets, LLC

    2.59       10/15/18       Open       630,487       631,258     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/15/18       Open       182,125       182,370     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50       10/16/18       Open       175,175       175,284     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.89       10/16/18       Open       136,069       136,233     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.66       10/17/18       Open       370,470       370,881     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/17/18       Open       172,220       172,411     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.80       10/18/18       Open       480,425       480,948     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.75       10/18/18       Open       637,583       638,016     Foreign Agency Obligations   Open/Demand

RBC Capital Markets, LLC

    2.85       10/18/18       Open       800,022       800,909     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/18/18       Open       177,076       177,273     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/18/18       Open       347,650       348,008     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.58       10/18/18       Open       792,059       792,854     Capital Trusts   Open/Demand

BNP Paribas S.A.

    2.79       10/22/18       Open       547,336       547,718     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.84       10/22/18       Open       470,000       470,334     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/22/18       Open       390,600       390,878     Corporate Bonds   Open/Demand

Royal Bank of Canada

    2.35       10/23/18       11/26/18       4,824,000       4,826,519     U.S. Government Sponsored Agency Securities   Up to 30 Days

RBC Capital Markets, LLC

    2.85       10/25/18       Open       137,175       137,240     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.28       10/29/18       Open       4,500,000       4,500,855     U.S. Government Sponsored Agency Securities   Open/Demand

RBC Capital Markets, LLC

    2.85       10/30/18       Open       182,865       182,879     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/30/18       Open       78,030       78,036     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/30/18       Open       271,350       271,371     Corporate Bonds   Open/Demand

UBS Securities LLC

    2.70       10/30/18       Open       2,272,148       2,272,318     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    2.85       10/31/18       Open       195,540       195,556     Corporate Bonds   Open/Demand
       

 

 

   

 

 

     
  $ 374,908,062     $ 376,301,922      
 

 

 

   

 

 

     

 

  (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:

                 

10-Year U.S. Treasury Note

     12          12/19/18        $ 1,421        $ (19,692

10-Year U.S. Ultra Long Treasury Note

     13          12/19/18          1,626          (20,533

Ultra Long U.S. Treasury Bond

     39          12/19/18          5,820          (64,023

Euro STOXX 600 Index

     1          12/21/18          8          (670
                 

 

 

 
                    (104,918
                 

 

 

 

Short Contracts:

                 

Euro-Bobl Future

     1          12/06/18          149          158  

Euro Bund Futures

     1          12/06/18          182          (624

Long Gilt Future

     1          12/27/18          156          (436

2-Year U.S. Treasury Note

     24          12/31/18          5,056          8,405  

5-Year U.S. Treasury Note

     15          12/31/18          1,686          (956
                 

 

 

 
                    6,547  
                 

 

 

 
                  $ (98,371
                 

 

 

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      75  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
EUR     11,000        USD     12,452        JPMorgan Chase Bank N.A.        11/05/18        $ 10  
EUR     765,000        USD     865,980        JPMorgan Chase Bank N.A.        11/05/18          697  
GBP     176,000        USD     224,611        BNP Paribas S.A.        11/05/18          380  
GBP     173,000        USD     220,644        Barclays Bank PLC        11/05/18          512  
GBP     1,362,000        USD     1,737,095        Barclays Bank PLC        11/05/18          4,030  
GBP     1,958,000        USD     2,500,758        Citibank N.A.        11/05/18          2,269  
GBP     10,962,000        USD     14,000,666        Citibank N.A.        11/05/18          12,703  
GBP     93,000        USD     118,660        Deutsche Bank AG        11/05/18          227  
GBP     303,000        USD     386,603        Deutsche Bank AG        11/05/18          740  
USD     1,439,669        EUR     1,222,000        BNP Paribas S.A.        11/05/18          55,251  
USD     4,430,353        EUR     3,760,774        Citibank N.A.        11/05/18          169,729  
USD     16,927,038        EUR     14,368,778        Citibank N.A.        11/05/18          648,482  
USD     739,474        EUR     650,000        Deutsche Bank AG        11/05/18          3,082  
USD     1,043,228        EUR     917,000        Deutsche Bank AG        11/05/18          4,348  
USD     625,106        EUR     531,000        JPMorgan Chase Bank N.A.        11/05/18          23,530  
USD     12,770        EUR     11,000        UBS AG        11/05/18          308  
USD     797,536        EUR     687,000        UBS AG        11/05/18          19,225  
USD     232,273        GBP     176,000        BNP Paribas S.A.        11/05/18          7,282  
USD     676,685        GBP     518,000        Citibank N.A.        11/05/18          14,495  
USD     1,784,462        GBP     1,366,000        Citibank N.A.        11/05/18          38,224  
USD     2,584,266        GBP     1,958,000        Citibank N.A.        11/05/18          81,240  
USD     14,468,196        GBP     10,962,000        Citibank N.A.        11/05/18          454,826  
USD     122,715        GBP     93,000        Deutsche Bank AG        11/05/18          3,827  
USD     399,812        GBP     303,000        Deutsche Bank AG        11/05/18          12,470  
USD     1,673,260        MXN     31,843,000        Goldman Sachs International        11/05/18          105,663  
ZAR     16,314,373        USD     1,098,500        BNP Paribas S.A.        11/13/18          5,916  
USD     1,392,515        EUR     1,222,000        BNP Paribas S.A.        12/05/18          4,789  
USD     4,288,956        EUR     3,760,774        Citibank N.A.        12/05/18          18,150  
USD     16,386,801        EUR     14,368,778        Citibank N.A.        12/05/18          69,346  
                       

 

 

 
                          1,761,751  
                       

 

 

 
EUR     1,222,000        USD     1,389,292        BNP Paribas S.A.        11/05/18          (4,874
EUR     3,760,774        USD     4,279,009        Citibank N.A.        11/05/18          (18,384
EUR     14,368,778        USD     16,348,796        Citibank N.A.        11/05/18          (70,239
EUR     650,000        USD     765,838        Deutsche Bank AG        11/05/18          (29,446
EUR     917,000        USD     1,080,421        Deutsche Bank AG        11/05/18          (41,541
IDR     16,628,547,540        USD     1,091,828        JPMorgan Chase Bank N.A.        11/13/18          (143
USD     1,076,769        IDR     16,628,547,540        Bank of America N.A.        11/13/18          (14,916
USD     1,098,500        ZAR     17,175,840        Bank of America N.A.        11/13/18          (64,234
EUR     650,000        USD     741,196        Deutsche Bank AG        12/05/18          (3,043
EUR     917,000        USD     1,045,656        Deutsche Bank AG        12/05/18          (4,294
USD     12,481        EUR     11,000        JPMorgan Chase Bank N.A.        12/05/18          (11
USD     867,985        EUR     765,000        JPMorgan Chase Bank N.A.        12/05/18          (763
USD     224,904        GBP     176,000        BNP Paribas S.A.        12/05/18          (389
USD     220,926        GBP     173,000        Barclays Bank PLC        12/05/18          (527
USD     1,739,314        GBP     1,362,000        Barclays Bank PLC        12/05/18          (4,145
USD     2,504,008        GBP     1,958,000        Citibank N.A.        12/05/18          (2,373
USD     14,018,863        GBP     10,962,000        Citibank N.A.        12/05/18          (13,286
USD     118,814        GBP     93,000        Deutsche Bank AG        12/05/18          (233
USD     387,103        GBP     303,000        Deutsche Bank AG        12/05/18          (758
USD     1,406,438        RUB     93,756,000        Bank of America N.A.        12/19/18          (8,841
USD     1,079,145        IDR     16,628,547,540        JPMorgan Chase Bank N.A.        01/11/19          (663
                       

 

 

 
                          (283,103
                       

 

 

 
    Net Unrealized Appreciation        $ 1,478,648  
                       

 

 

 

 

 

76    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

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        319      $ 22,572      $ (8,425    $ 30,997  

 

  (a) 

Using Standard & Poor’s (“S&P”) 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

   Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency
1.50%    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/02/19      USD     8,000      $ 40,670      $ 14      $ 40,656  
1.62    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      04/04/19      USD     7,600        38,061               38,061  
3-Month
LIBOR,
2.56%
   Quarterly    2.39%    Semi-annual      02/12/20      USD     193,500        (1,452,436      1,718        (1,454,154
3-Month
LIBOR,
2.56%
   Quarterly    2.36%    Semi-annual      02/13/20      USD     150,000        (1,183,299      1,333        (1,184,632
2.01    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/02/22      USD     15,000        531,680        140        531,540  
2.01    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      07/12/22      USD     3,000        102,970               102,970  
1.46    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      06/28/26      USD     1,427        163,294        16        163,278  
1.46    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      06/28/26      USD     357        40,802        4        40,798  
2.47    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      12/29/26      USD     3,000        136,107        41        136,066  
2.25    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      01/19/27      USD     3,400        218,841        45        218,796  
2.42    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      04/04/27      USD     18,300        1,080,037        247        1,079,790  
2.30    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      05/02/27      USD     3,000        190,086               190,086  
2.28    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      05/17/27      USD     1,700        110,636               110,636  
2.18    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      06/05/27      USD     2,300        168,960               168,960  
2.90    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/06/28      USD     57,000        1,479,411        942        1,478,469  
2.92    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      03/26/28      USD     10,500        268,180        176        268,004  
2.70    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      04/04/47      USD     13,200        1,587,497               1,587,497  
3.01    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/13/48      USD     18,000        1,103,877        433        1,103,444  
2.98    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/13/48      USD     9,000        599,804        216        599,588  
3.01    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/14/48      USD     6,500        399,714        156        399,558  
3.03    Semi-annual    3-Month LIBOR, 2.56%    Quarterly      02/20/48      USD     4,300        242,916        103        242,813  
                   

 

 

    

 

 

    

 

 

 
                    $ 5,867,808      $ 5,584      $ 5,862,224  
                   

 

 

    

 

 

    

 

 

 

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      $ (2,940   $ 1,962      $ (4,902

United Mexican States

    1.00       Quarterly        Bank of America N.A.        09/20/20        USD        604        (3,022     2,930        (5,952

Republic of Colombia

    1.00       Quarterly        Citibank N.A.        12/20/23        USD        511        5,910       4,041        1,869  

CMBX NA.7

    3.00       Monthly        Deutsche Bank AG        01/17/47        USD        25,000        1,488,050       1,865,272        (377,222
                  

 

 

   

 

 

    

 

 

 
                   $ 1,487,998     $ 1,874,205        $        (386,207
                  

 

 

   

 

 

    

 

 

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      77  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

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)
 

United Mexican States

    1.00     Quarterly       Bank of America N.A.       06/20/20     BBB+     USD       604     $ 2,941     $ (2,056   $ 4,997  

United Mexican States

    1.00       Quarterly       Citibank N.A.       09/20/20     BBB+     USD       604       3,022       2,778       244  

Casino Guichard Perrachon SA

    1.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/22     BB     EUR       50       (7,638     (1,821     (5,817

Telecom Italia SpA/Milano

    1.00       Quarterly       Citibank N.A.       12/20/22     BB+     EUR       30       (1,635     (522     (1,113

Casino Guichard Perrachon SA

    1.00       Quarterly       BNP Paribas S.A.       06/20/23     BB     EUR       10       (1,732     (950     (782

Casino Guichard Perrachon SA

    1.00       Quarterly       BNP Paribas S.A.       06/20/23     BB     EUR       10       (1,732     (950     (782

Casino Guichard Perrachon SA

    1.00       Quarterly       JPMorgan Chase Bank N.A.       06/20/23     BB     EUR       10       (1,731     (940     (791

Casino Guichard Perrachon SA

    1.00       Quarterly       Bank of America N.A.       06/20/23     BB     EUR       12       (2,135     (1,793     (342

Casino Guichard Perrachon SA

    1.00       Quarterly       Citibank N.A.       06/20/23     BB     EUR       28       (4,790     (3,793     (997

Casino Guichard Perrachon SA

    1.00       Quarterly       JPMorgan Chase Bank N.A.       06/20/23     BB     EUR       7       (1,256     (903     (353

Casino Guichard Perrachon SA

    1.00       Quarterly       Citibank N.A.       06/20/23     BB     EUR       12       (2,092     (1,607     (485

Casino Guichard Perrachon SA

    1.00       Quarterly       JPMorgan Chase Bank N.A.       06/20/23     BB     EUR       12       (2,094     (1,608     (486

Casino Guichard Perrachon SA

    1.00       Quarterly       JPMorgan Chase Bank N.A.       06/20/23     BB     EUR       5       (838     (602     (236

Casino Guichard Perrachon SA

    1.00       Quarterly       Barclays Bank PLC       06/20/23     BB     EUR       13       (2,242     (1,550     (692

Casino Guichard Perrachon SA

    1.00       Quarterly       Barclays Bank PLC       06/20/23     BB     EUR       47       (8,146     (5,800     (2,346

Intrum Justitia AB

    5.00       Quarterly       Credit Suisse International       06/20/23     BB+     EUR       20       999       1,892       (893

Intrum Justitia AB

    5.00       Quarterly       Credit Suisse International       06/20/23     BB+     EUR       50       2,499       5,010       (2,511

Intrum Justitia AB

    5.00       Quarterly       Credit Suisse International       06/20/23     BB+     EUR       7       342       767       (425

Intrum Justitia AB

    5.00       Quarterly       Morgan Stanley & Co. International PLC       06/20/23     BB+     EUR       23       1,156       2,587       (1,431

Intrum Justitia AB

    5.00       Quarterly       Citibank N.A.       06/20/23     BB+     EUR       9       466       440       26  

Intrum Justitia AB

    5.00       Quarterly       Citibank N.A.       06/20/23     BB+     EUR       21       1,033       975       58  

Thomas Cook Finance 2 PLC

    5.00       Quarterly       Citibank N.A.       06/20/23     B+     EUR       50       3,352       6,350       (2,998

Thomas Cook Finance 2 PLC

    5.00       Quarterly       Morgan Stanley & Co. International PLC       06/20/23     B+     EUR       60       4,023       7,603       (3,580

Casino Guichard-Perrachon SA

    1.00       Quarterly       Barclays Bank PLC       12/20/23     BB     EUR       80       (15,498     (13,015     (2,483

Chesapeake Energy Corp.

    5.00       Quarterly       Barclays Bank PLC       12/20/23     B-     USD       94       553       185       368  

Garfunkelux Holdco 2 SA

    5.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/23     B-     EUR       13       (222     (94     (128

Garfunkelux Holdco 2 SA

    5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       6       (97     110       (207

Garfunkelux Holdco 2 SA

    5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       24       (423     481       (904

Vougeot Bidco PLC

    5.00       Quarterly       Citibank N.A.       12/20/23     B     EUR       15       1,605       1,577       28  

Vougeot Bidco PLC

    5.00       Quarterly       Citibank N.A.       12/20/23     B     EUR       36       3,744       3,638       106  

CMBX NA.7

    3.00       Monthly       Barclays Bank PLC       01/17/47     BBB-     USD       10,000       (616,053     (519,062     (96,991

CMBX NA.7

    3.00       Monthly       Barclays Bank PLC       01/17/47     BBB-     USD       5,000       (308,026     (259,167     (48,859

CMBX NA.7

    3.00       Monthly       Barclays Bank PLC       01/17/47     BBB-     USD       10,000       (616,054     (251,341     (364,713

CMBX NA.8

    2.00       Monthly       Morgan Stanley & Co. International PLC       10/17/57     A     USD       5,000       (69,050     (562,531     493,481  

CMBX NA.9

    2.00       Monthly       Morgan Stanley & Co. International PLC       09/17/58     A     USD       2,500       (27,318     (344,317     316,999  

CMBX NA.9

    2.00       Monthly       Credit Suisse International       09/17/58     A     USD       2,500       (27,319     (347,675     320,356  

CMBX NA.9

    2.00       Monthly       Morgan Stanley & Co. International PLC       09/17/58     BBB-     USD       5,000       (54,637     (682,222     627,585  

CMBX NA.9

    3.00       Monthly       Morgan Stanley & Co. International PLC       09/17/58     BBB-     USD       2,500       (191,882     (556,480     364,598  

CMBX NA.9

    3.00       Monthly       Deutsche Bank AG       09/17/58     BBB-     USD       25,000       (1,918,817     (2,481,704     562,887  

CMBX NA.9

    3.00       Monthly       Goldman Sachs International       09/17/58     BBB-     USD       5,000       (383,764     (532,556     148,792  

CMBX NA.9

    3.00       Monthly       Credit Suisse International       09/17/58     BBB-     USD       5,000       (383,763     (548,102     164,339  

CMBX NA.9

    3.00       Monthly       Morgan Stanley & Co. International PLC       09/17/58     BBB-     USD       5,000       (383,764     (547,468     163,704  
               

 

 

   

 

 

   

 

 

 
                $ (5,009,013   $ (7,636,236   $ 2,627,223  
               

 

 

   

 

 

   

 

 

 

 

  (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.

 

OTC Interest Rate Swaps

 

Paid by the Trust    Received by the Trust    Counterparty   Termination
Date
    Notional
Amount (000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate   Frequency
MXIBTIIE 28-day    Monthly    6.26%   Monthly    Bank of America N.A.     06/15/26     MXN     38,640     $ (288,061   $     $ (288,061
                  

 

 

   

 

 

   

 

 

 

 

 

 

78    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

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

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 5,584      $ (8,425    $ 8,532,007      $ (2,638,786

OTC Swaps

   $ 1,908,598      $ (7,670,629    $ 3,170,437      $ (1,217,482

 

  (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 Consolidated 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 Consolidated Statement 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)

   $      $      $      $      $ 8,563      $      $ 8,563  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          1,761,751                      1,761,751  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

            30,997                      8,501,010               8,532,007  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            5,079,035                                    5,079,035  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 5,110,032      $      $ 1,761,751      $ 8,509,573      $      $ 15,381,356  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $ 670      $      $ 106,264      $      $ 106,934  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          283,103                      283,103  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

                                 2,638,786               2,638,786  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            8,600,050                      288,061               8,888,111  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 8,600,050      $ 670      $ 283,103      $ 3,033,111      $      $ 11,916,934  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 Consolidated Statement of Assets and Liabilities.

 

For the year ended October 31, 2018, the effect of derivative financial instruments in the Consolidated Statement 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

   $      $      $ (1,617    $      $ 1,549,253      $      $ 1,547,636  

Forward foreign currency exchange contracts

                          1,488,235                      1,488,235  

Options purchased(a)

                          (72,378      (1,662             (74,040

Options written

                          37,307                      37,307  

Swaps

            3,401,408                      (162,864             3,238,544  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 3,401,408      $ (1,617    $ 1,453,164      $ 1,384,727      $      $ 6,237,682  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      79  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

      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

   $      $      $ (670    $      $ (146,738    $      $ (147,408

Forward foreign currency exchange contracts

                          340,615                      340,615  

Options purchased(b)

                          (9,100                    (9,100

Options written

                          31,954                      31,954  

Swaps

            2,339,307                      6,024,682               8,363,989  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 2,339,307      $ (670    $ 363,469      $ 5,877,944      $      $ 8,580,050  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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

   $ 3,179,417  

Average notional value of contracts — short

   $ 25,593,435  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 112,159,563  

Average amounts sold — in USD

   $ 65,060,156  

Options:

 

Average value of option contracts purchased

   $ (a)  

Average value of option contracts written

   $ 6,327  

Credit default swaps:

 

Average notional value — buy protection

   $ 26,932,365  

Average notional value — sell protection

   $ 99,648,411  

Interest rate swaps:

 

Average notional value — pays fixed rate

   $ 161,858,386  

Average notional value — receives fixed rate

   $ 259,654,428  

 

  (a)

The risk exposure table serves as an indicator of the volume of activity.

 

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

 

      Assets        Liabilities  

Futures contracts

   $ 7,199        $ 56,529  

Forward foreign currency exchange contracts

     1,761,751          283,103  

Swaps — Centrally cleared

     738,900           

Swaps — OTC(a)

     5,079,035          8,888,111  
  

 

 

      

 

 

 

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

   $ 7,586,885        $ 9,227,743  
  

 

 

      

 

 

 

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

     (746,099        (56,529
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 6,840,786        $ 9,171,214  
  

 

 

      

 

 

 

 

  (a)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement 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
 (c)(d)
 

Bank of America N.A.

   $ 7,927        $ (7,927      $        $        $  

Barclays Bank PLC

     5,095          (5,095                           

BNP Paribas S.A.

     73,618          (8,727                          64,891  

Citibank N.A.

     1,533,556          (120,699                 (1,360,000        52,857  

Credit Suisse International

     492,955          (492,955                           

Deutsche Bank AG

     2,452,853          (2,452,853                           

Goldman Sachs International

     254,455          (254,455                           

 

 

80    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

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
 (c)(d)
 

JPMorgan Chase Bank N.A.

   $ 24,237        $ (15,359      $        $        $ 8,878  

Morgan Stanley & Co. International PLC

     1,976,557          (1,976,557                           

UBS AG

     19,533                                     19,533  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,840,786        $ (5,334,627      $        $ (1,360,000      $ 146,159  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
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.

   $ 386,195        $ (7,927      $        $        $ 378,268  

Barclays Bank PLC

     1,570,691          (5,095                 (1,530,000        35,596  

BNP Paribas S.A.

     8,727          (8,727                           

Citibank N.A.

     120,699          (120,699                           

Credit Suisse International

     900,717          (492,955                 (310,000        97,762  

Deutsche Bank AG

     2,938,241          (2,452,853                 (440,000        45,388  

Goldman Sachs International

     532,556          (254,455                 (278,101         

JPMorgan Chase Bank N.A.

     15,359          (15,359                           

Morgan Stanley & Co. International PLC

     2,698,029          (1,976,557                 (630,000        91,472  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 9,171,214        $ (5,334,627      $        $ (3,188,101      $ 648,486  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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 and currency options 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.

 

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

   $        $ 162,488,929        $ 3,692,359        $ 166,181,288  

Common Stocks

     3,185,987                            3,185,987  

Corporate Bonds

     107,186          451,847,459          1,798,304          453,752,949  

Floating Rate Loan Interests

              40,571,515          66,230,887          106,802,402  

Foreign Agency Obligations

              36,704,560                   36,704,560  

Non-Agency Mortgage-Backed Securities

              100,948,960          17,447,723          118,396,683  

Preferred Securities

     17,195,061          94,594,168          1,637,441          113,426,670  

U.S. Government Sponsored Agency Securities

              67,721,995                   67,721,995  

U.S. Treasury Obligations

              19,032,559                   19,032,559  

Short-Term Securities

              2,072,629                   2,072,629  

Unfunded Floating Rate Loan Interests(a)

              16                   16  

Liabilities:

                 

Unfunded Floating Rate Loan Interests(a)

                       (60        (60
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 20,488,234        $ 975,982,790        $ 90,806,654        $ 1,087,277,678  
  

 

 

      

 

 

      

 

 

      

 

 

 
                 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      81  


Consolidated Schedule of Investments  (continued)

October 31, 2018

  

BlackRock Multi-Sector Income Trust (BIT)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(b)

 

Assets:

 

Credit contracts

   $        $ 3,201,434        $        $ 3,201,434  

Foreign currency exchange contracts

              1,761,751                   1,761,751  

Interest rate contracts

     8,563          8,501,010                   8,509,573  

Liabilities:

 

Credit contracts

              (929,421                 (929,421

Equity contracts

     (670                          (670

Foreign currency exchange contracts

              (283,103                 (283,103

Interest rate contracts

     (106,264        (2,926,847                 (3,033,111
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (98,371      $ 9,324,824        $        $ 9,226,453  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument 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 $376,301,922 is categorized as Level 2 within the disclosure hierarchy.

During the year ended October 31, 2018, 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
       Floating Rate
Loan
Interests
      

Non-Agency

Mortgage-

Backed

Securities

      

Preferred

Securities

      

Unfunded
Floating

Rate
Loan
Interests

       Total  

Assets:

                      

Opening balance, as of October 31, 2017

   $ 3,678,179        $        $ 89,614,421        $ 16,674,165        $ 1,707,834        $        $ 111,674,599  

Transfers into Level 3(a)

                       264,852          10,658,935                            10,923,787  

Transfers out of Level 3(b)

                       (311,782                                   (311,782

Accrued discounts/premiums

     27,750                   15,409          188,797                            231,956  

Net realized gain (loss)

     6,705                   12,873          967,794                            987,372  

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

     (143,352        (47,696        (110,813        (1,000,550        (70,393        (60        (1,372,864

Purchases

     2,182,650          1,846,000          2,474,795                                     6,503,445  

Sales

     (2,059,573                 (25,728,868        (10,041,418                          (37,829,859
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing Balance, as of October 31, 2018

   $ 3,692,359        $ 1,798,304        $ 66,230,887        $ 17,447,723        $ 1,637,441        $ (60      $ 90,806,654  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 2018(d)

   $ (132,477      $ (47,696      $ (216,744      $ (989,004      $ (70,393      $ (60      $ (1,456,374
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

As of October 31, 2017, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2018, 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, 2017, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2018, 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 Consolidated Statement 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, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation methodologies used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’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 $24,432,580. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value        Valuation
Approaches
     Unobservable Inputs      Range of
Unobservable
Inputs
Utilized
 

Assets:

               

Floating Rate Loan Interests

   $ 63,083,736        Income        Discount Rate (a)        15%  

Corporate Bond

     1,652,897        Income        Credit Spread (a)        310  

Preferred Securities

     1,637,441        Market        Illiquidity Discount (a)        1
  

 

 

              
   $ 66,374,074               
  

 

 

              

 

  (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

 

See notes to financial statements.

 

 

82    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities

October 31, 2018

 

     BTZ      BGT      BIT (a)  

ASSETS

 

Investments at value — unaffiliated(b)

  $ 2,108,870,084      $ 490,504,523      $ 1,087,277,722  

Investments at value — affiliated(c)

    7,903,560        282,908         

Cash

    69,768        793,986         

Cash Pledged:

       

Centrally cleared swaps

    2,011,000               6,565,590  

Futures contracts

    3,774,000               156,329  

Collateral — OTC derivatives

                  3,320,000  

Collateral — reverse repurchase agreements

                  2,953,000  

Foreign currency at value(d)

    24,305        1,182,426        6,512,846  

Receivables:

 

Interest — unaffiliated

    27,338,850        1,248,212        11,139,012  

Investments sold

    10,090,211        11,157,048        11,992,018  

Variation margin on futures contracts

    1,262,251               7,199  

Variation margin on centrally cleared swaps

                  738,900  

Dividends — unaffiliated

    55,842               141,403  

Dividends — affiliated

    22,696        2,384        12,877  

Reverse repurchase agreements

                  5,722,088  

Swap premiums paid

    98,900               1,908,598  

Unrealized appreciation on:

 

OTC swaps

    257,774        10,889        3,170,437  

Forward foreign currency exchange contracts

           108,576        1,761,751  

Prepaid expenses

    87,100        2,703        3,768  
 

 

 

    

 

 

    

 

 

 

Total assets

    2,161,866,341        505,293,655        1,143,383,538  
 

 

 

    

 

 

    

 

 

 

LIABILITIES

 

Bank overdraft

                  220,196  

Cash Received:

       

Collateral — OTC derivatives

    670,000               1,360,000  

Collateral — reverse repurchase agreements

                  145,000  

Options written at value(e)

    10,964                

Reverse repurchase agreements at value

    707,102,433               376,301,922  

Payables:

 

Investments purchased

    2,211,551        22,713,951        35,551,845  

Reverse repurchase agreements

    7,979,458               7,700,401  

Investment advisory fees

    1,144,191        306,665        758,122  

Variation margin on centrally cleared swaps

    992                

Trustees’ and Officer’s fees

    794,882        230,359        111,285  

Capital shares redeemed

    520,521                

Other accrued expenses

    478,975        321,143        586,274  

Due to counterparty

           212,836        306,330  

Income dividend distributions

    236,517        27,530        158,149  

Variation margin on futures contracts

    150,844               56,529  

Bank borrowings

           142,000,000         

Principal paydowns

                  118,420  

Swaps

                  6,277  

Interest expense

           367,366         

Swap premiums received

    224,817               7,670,629  

Unrealized depreciation on:

 

OTC swaps

    386,641        8,389        1,217,482  

Forward foreign currency exchange contracts

           8,811        283,103  

Unfunded floating rate loan interests

           814        44  
 

 

 

    

 

 

    

 

 

 

Total liabilities

    721,912,786        166,197,864        432,552,008  
 

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 1,439,953,555      $ 339,095,791      $ 710,831,530  
 

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      83  


Statements of Assets and Liabilities  (continued)

October 31, 2018

 

     BTZ     BGT     BIT (a)  

NET ASSETS CONSIST OF

     

Paid-in capital(f)(g)(h)

  $ 1,464,856,165     $ 351,383,005     $ 715,876,112  

Accumulated loss

    (24,902,610     (12,287,214     (5,044,582
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 1,439,953,555     $ 339,095,791     $ 710,831,530  
 

 

 

   

 

 

   

 

 

 

Net asset value

  $ 13.72     $ 14.33     $ 18.79  
 

 

 

   

 

 

   

 

 

 

(a) Consolidated Statement of Assets and Liabilities

     

(b) Investments at cost — unaffiliated

  $ 2,097,561,846     $ 494,471,516     $ 1,099,183,412  

(c) Investments at cost — affiliated

  $ 7,903,560     $ 282,908     $  

(d) Foreign currency at cost

  $ 25,470     $ 1,182,459     $ 6,887,093  

(e) Premiums received

  $ 64,068     $     $  

(f)  Par Value

  $ 0.001     $ 0.001     $ 0.001  

(g) Shares outstanding

    104,922,963       23,667,022       37,821,680  

(h) Shares authorized.

    Unlimited       Unlimited       Unlimited  

See notes to financial statements.

 

 

84    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations

Year Ended October 31, 2018

 

     BTZ     BGT     BIT (a)  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 109,158,059     $ 25,254,659     $ 71,100,763  

Dividends — unaffiliated

    5,180,372       117,945       2,288,677  

Dividends — affiliated

    137,025       88,252       111,086  

Other income

          319,605       78,143  

Foreign taxes withheld

                (62,555
 

 

 

   

 

 

   

 

 

 

Total investment income

    114,475,456       25,780,461       73,516,114  
 

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    13,438,301       3,640,286       9,586,536  

Accounting services

    183,490       58,983       117,162  

Transfer agent

    128,096       38,402       67,152  

Professional

    110,748       150,664       176,251  

Trustees and Officer

    103,854       20,192       63,715  

Custodian

    95,878       170,565       160,974  

Registration

    41,495       9,431       14,757  

Printing

    33,894       21,003       29,775  

Miscellaneous

    117,337       29,649       178,933  
 

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense

    14,253,093       4,139,175       10,395,255  

Interest expense

    13,493,211       3,683,013       10,745,930  
 

 

 

   

 

 

   

 

 

 

Total expenses

    27,746,304       7,822,188       21,141,185  

Less fees waived and/or reimbursed by the Manager

    (6,500     (9,747     (5,065
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    27,739,804       7,812,441       21,136,120  
 

 

 

   

 

 

   

 

 

 

Net investment income

    86,735,652       17,968,020       52,379,994  
 

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments

    (7,388,668     (736,340     (584,830

Investments — affiliated

          (42,986      

Futures contracts

    10,634,400             1,547,636  

Forward foreign currency exchange contracts

          100,014       1,488,235  

Foreign currency transactions

    2,492       62,217       (265,350

Capital gain distributions from investment companies — affiliated

    32       8        

Options written

    120,877             37,307  

Payment from affiliate(b)

                1,943  

Swaps

    (173,742     (7,224     3,238,544  
 

 

 

   

 

 

   

 

 

 
    3,195,391       (624,311     5,463,485  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments

    (135,758,772     (4,371,957     (57,049,229

Investments — affiliated

          (1,767      

Futures contracts

    5,009,796             (147,408

Forward foreign currency exchange contracts

          91,222       340,615  

Foreign currency translations

    (3,516     (4,732     (356,300

Options written

    53,104             31,954  

Swaps

    (706,547     39,237       8,363,989  

Unfunded floating rate loan interests

          (814     (44
 

 

 

   

 

 

   

 

 

 
    (131,405,935     (4,248,811     (48,816,423
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (128,210,544     (4,873,122     (43,352,938
 

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (41,474,892   $ 13,094,898     $ 9,027,056  
 

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Operations.

(b) 

See Note 6 of the Notes to Financial Statements.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      85  


Statements of Changes in Net Assets

 

    BTZ           BGT  
    Year Ended October 31,           Year Ended October 31,  
     2018     2017            2018     2017  

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

 

     

Net investment income

  $ 86,735,652     $ 86,831,951       $ 17,968,020     $ 17,188,619  

Net realized gain (loss)

    3,195,391       7,924,929         (624,311     2,604,388  

Net change in unrealized appreciation (depreciation)

    (131,405,935     23,622,031         (4,248,811     239,045  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (41,474,892     118,378,911         13,094,898       20,032,052  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)(b)

 

     

From net investment income

    (85,614,025     (84,934,828       (16,888,787     (18,141,462

From return of capital

          (5,757,690              
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (85,614,025     (90,692,518       (16,888,787     (18,141,462
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Redemption of shares resulting from share repurchase program (including transaction costs)

    (30,991,477     (8,822,801              

Reinvestment of common distributions

                        54,996  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    (30,991,477     (8,822,801             54,996  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS(b)

 

     

Total increase (decrease) in net assets

    (158,080,394     18,863,592         (3,793,889     1,945,586  

Beginning of year

    1,598,033,949       1,579,170,357         342,889,680       340,944,094  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of year

  $ 1,439,953,555     $ 1,598,033,949       $ 339,095,791     $ 342,889,680  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

86    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Consolidated Statements of Changes in Net Assets

 

    BIT  
    Year Ended October 31,  
     2018     2017  

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

 

Net investment income

  $ 52,379,994     $ 57,681,034  

Net realized gain

    5,463,485       12,036,324  

Net change in unrealized appreciation (depreciation)

    (48,816,423     41,903,130  
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    9,027,056       111,620,488  
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)(b)

 

From net investment income

    (56,503,375     (67,788,341

From return of capital

    (1,708,837      
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (58,212,212     (67,788,341
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Redemption of shares resulting from share repurchase program (including transaction costs)

    (5,842,460     (4,354,046
 

 

 

   

 

 

 

NET ASSETS(b)

 

Total increase (decrease) in net assets

    (55,027,616     39,478,101  

Beginning of year

    765,859,146       726,381,045  
 

 

 

   

 

 

 

End of year

  $ 710,831,530     $ 765,859,146  
 

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      87  


Statements of Cash Flows

Year Ended October 31, 2018

 

     BTZ     BGT     BIT (a)  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase (decrease) in net assets resulting from operations

  $          (41,474,892   $ 13,094,898     $ 9,027,056  

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities:

        

Proceeds from sales of long-term investments and principal paydowns

    642,430,891       297,095,706       518,393,099  

Purchases of long-term investments

    (862,355,005)       (291,599,640     (420,415,952

Net proceeds from sales (purchases) of short-term securities

    1,235,917       1,612,145       (1,725,424

Amortization of premium and accretion of discount on investments and other fees

    2,827,701       (448,773     (9,884,593

Paid-in-kind income

          (472,028      

Premiums received from options written

    240,727              

Premiums paid on closing options written

    (55,783)             (15,340

Net realized loss on investments and options written

    7,504,425       953,621       530,317  

Net unrealized depreciation on investments, options written, swaps, unfunded floating rate loan interests and foreign currency translations

    135,596,189       4,244,079       54,846,299  
(Increase) Decrease in Assets:  

Receivables:

 

Interest — unaffiliated

    (2,522,659)       311,936       748,829  

Dividends — affiliated

    (15,953)       (1,076     (3,404

Dividends — unaffiliated

                (5,597

Variation margin on futures contracts

    (1,143,216)             (5,491

Variation margin on centrally cleared swaps

                (736,324

Swap premiums paid

    59,050       211,869       22,870  

Prepaid expenses

    (77,548)       593       (95
Increase (Decrease) in Liabilities:  

Cash received:

        

Collateral — OTC derivatives

    (330,000)             510,000  

Collateral — reverse repurchase agreements

    (120,000)             (2,153,000

Payables:

 

Investment advisory fees

    66,268       (5,712     (78,190

Interest expense and fees

          111,082        

Trustees’ and Officer’s

    (41,623)       (14,057     12,706  

Variation margin on futures contracts

    147,594             52,862  

Variation margin on centrally cleared swaps

    (15,485)              

Swaps

                6,277  

Other accrued expenses

    149,234       127,878       174,793  

Due to counterparty

          212,836       306,330  

Swap premiums received

    (105,987)             (2,629,440
 

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    (118,000,155)       25,435,357       146,978,588  
 

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Payments on redemption of Common Shares

    (30,470,956)             (5,842,460

Net borrowing of reverse repurchase agreements

    237,260,380             (88,475,250

Proceeds from bank borrowings

          192,000,000        

Payments for bank borrowings

          (200,000,000      

Cash dividends paid to Common Shareholders

    (85,631,463)       (16,889,850     (58,214,591

Increase (decrease) in bank overdraft

    (40,773)             133,670  
 

 

 

   

 

 

   

 

 

 

Net cash (provided by) used for financing activities

    121,117,188       (24,889,850     (152,398,631
 

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

88    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (continued)

Year Ended October 31, 2018

 

     BTZ     BGT     BIT (a)  

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

     

Cash impact from foreign exchange fluctuations

  $ (3,153   $ (485   $ (331,931
 

 

 

   

 

 

   

 

 

 

CASH

 

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    3,113,880       545,022       (5,751,974

Restricted and unrestricted cash and foreign currency at beginning of year

    2,765,193       1,431,390       25,259,739  
 

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of year

  $ 5,879,073     $ 1,976,412     $ 19,507,765  
 

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the year for interest expense

  $ 13,493,211     $ 3,571,931     $ 10,745,930  
 

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR TO THE STATEMENTS OF
ASSETS AND LIABILITIES

 

Cash

  $ 69,768     $ 793,986     $  

Cash pledged:

     

Collateral — reverse repurchase agreements

                2,953,000  

Collateral — OTC derivatives

                3,320,000  

Futures contracts

    3,774,000             156,329  

Centrally cleared swaps

    2,011,000             6,565,590  

Foreign currency at value

    24,305       1,182,426       6,512,846  
 

 

 

   

 

 

   

 

 

 
  $ 5,879,073     $ 1,976,412     $ 19,507,765  
 

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR TO THE STATEMENTS
OF ASSETS AND LIABILITIES

 

Cash

  $     $ 1,412,165     $  

Cash pledged:

     

Collateral — reverse repurchase agreements

    1,173,000              

Collateral — OTC derivatives

                8,960,000  

Futures contracts

    1,124,000             109,532  

Centrally cleared swaps

    437,000             2,798,590  

Foreign currency at value

    31,193       19,225       13,391,617  
 

 

 

   

 

 

   

 

 

 
  $ 2,765,193     $ 1,431,390     $ 25,259,739  
 

 

 

   

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      89  


Financial Highlights

(For a share outstanding throughout each period)

 

    BTZ  
    Year Ended October 31,  
    2018      2017      2016      2015      2014  

Net asset value, beginning of year

  $ 14.88      $ 14.61      $ 14.33      $ 15.36      $ 14.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.81        0.81        0.88        0.96        0.99  

Net realized and unrealized gain (loss)

    (1.17      0.30        0.32        (1.02      0.35  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.36      1.11        1.20        (0.06      1.34  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions(b)                                  

From net investment income

    (0.80      (0.79      (0.86      (0.91      (0.97

From return of capital

           (0.05      (0.06      (0.06       
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.80      (0.84      (0.92      (0.97      (0.97
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of year

  $ 13.72      $ 14.88      $ 14.61      $ 14.33      $ 15.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of year

  $ 11.72      $ 13.36      $ 12.87      $ 12.53      $ 13.54  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(c)

             

Based on net asset value

    (1.72 )%       8.53      9.61      0.48      10.11
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (6.49 )%       10.62      10.43      (0.33 )%       12.18
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

             

Total expenses

    1.82      1.23      1.20      1.16      1.11
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.82      1.23      1.20      1.15      1.11
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense

    0.94      0.87      0.95      0.97      0.96
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    5.69      5.53      6.21      6.40      6.48
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

             

Net assets, end of year (000)

  $ 1,439,954      $ 1,598,034      $ 1,579,170      $ 1,549,123      $ 1,660,442  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of year (000)

  $ 707,102      $ 477,822      $ 638,327      $ 685,716      $ 759,752  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    30      25      29      19      29
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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.

See notes to financial statements.

 

 

90    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BGT  
    Year Ended October 31,  
    2018     2017      2016      2015 (a)      2014 (a)  

Net asset value, beginning of year

  $ 14.49     $ 14.41      $ 14.18      $ 14.57      $ 14.79  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(b)

    0.76       0.73        0.74        0.78        0.84  

Net realized and unrealized gain (loss)

    (0.21     0.12        0.19        (0.36      (0.22
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net increase from investment operations

    0.55       0.85        0.93        0.42        0.62  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Distributions from net investment income(c)

    (0.71     (0.77      (0.70      (0.81      (0.84
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of year

  $ 14.33     $ 14.49      $ 14.41      $ 14.18      $ 14.57  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of year

  $ 12.72     $ 14.31      $ 13.58      $ 12.77      $ 13.18  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

            

Based on net asset value

    4.25     6.13      7.27      3.54      4.60
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (6.30 )%      11.21      12.25      3.08      (0.89 )% 
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets

            

Total expenses

    2.29 %(e)      1.92      1.58      1.55      1.52
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.29 %(e)      1.92      1.58      1.54      1.52
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.21 %(e)      1.20      1.16      1.19      1.18
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    5.27 %(e)      5.02      5.29      5.37      5.71
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

            

Net assets, end of year (000)

  $ 339,096     $ 342,890      $ 340,944      $ 335,444      $ 344,668  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of year (000)

  $ 142,000     $ 150,000      $ 148,000      $ 104,000      $ 145,000  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,389     $ 3,287      $ 3,304      $ 4,225      $ 3,377  
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    57     63      47      42      64
 

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

 

(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.

(e) 

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      91  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BIT  
    Year Ended October 31,  
    2018 (a)     2017 (a)     2016 (a)     2015     2014  

Net asset value, beginning of year

  $ 20.07     $ 18.91     $ 18.91     $ 19.87     $ 18.95  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(b)

    1.38       1.51       1.69       1.55       1.62  

Net realized and unrealized gain (loss)

    (1.13     1.42       (0.05     (1.03     0.70  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase from investment operations

    0.25       2.93       1.64       0.52       2.32  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Distributions(c)                              

From net investment income

    (1.49     (1.77     (1.64     (1.40     (1.40

From net realized gain

                      (0.08      

From return of capital

    (0.04                        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (1.53     (1.77     (1.64     (1.48     (1.40
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 18.79     $ 20.07     $ 18.91     $ 18.91 (d)     $ 19.87  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of year

  $ 16.25     $ 18.55     $ 16.76     $ 16.31     $ 17.79  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(e)

         

Based on net asset value

    2.18 %(f)      17.34 %(g)      10.51 %(f)      3.87 %(d)      13.40
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (4.40 )%      22.36     13.56     0.06     12.91
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets

         

Total expenses

    2.90     2.33     2.05 %(h)      2.09 %(h)      2.04
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    2.89     2.33     2.05 %(h)      2.09 %(h)      2.04
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense and fees

    1.42     1.39     1.43 %(h)      1.53 %(h)      1.52
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    7.17     7.86     9.24 %(h)      7.97 %(h)      8.27
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

         

Net assets, end of year (000)

  $ 710,832     $ 765,859     $ 726,381     $ 726,432     $ 763,360  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of year (000)

  $ 376,302     $ 471,082     $ 427,329     $ 510,352     $ 707,294  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    38     53     52     21     29
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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) 

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.

(e) 

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.

(f) 

Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(g) 

Includes payment received from a settlement of litigation, which impacted the Trust’s total return. Excluding the payment from a settlement of litigation, the Trust’s total return is 16.70%.

(h) 

Excludes 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.

See notes to financial statements.

 

 

92    2018 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      Diversified

 

  *

The Trust’s classification changed from non-diversified to diversified during the reporting period.

 

The Boards 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 Taxable 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, a portion 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

 

 

NOTES TO FINANCIAL STATEMENTS      93  


Notes to Financial Statements  (continued)

 

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 profits. Consequently, if distributions in any tax year are less than the 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 Trustees’ and Officer’s 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 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.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. 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.

 

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 may 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 securities and foreign exchange-traded over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

94    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

   

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.

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.

 

 

NOTES TO FINANCIAL STATEMENTS      95  


Notes to Financial Statements  (continued)

 

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.

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.

 

 

96    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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 fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a 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.

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

 

 

NOTES TO FINANCIAL STATEMENTS      97  


Notes to Financial Statements  (continued)

 

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 the following unfunded floating rate loan interests:

 

     Borrower    Par     

Commitment

Amount

     Value      Unrealized
Appreciation
(Depreciation)
 

BGT

  Access CIG LLC    $ 7,562      $ 7,562      $ 7,562      $  
  Access CIG LLC      40,439        40,439        40,510        71  
  CFSP Acquisition Corp.      74,747        74,560        73,812        (748
  DentalCorp Perfect Smile ULC      88,180        88,326        88,511        185  
    Mavis Tire Express Services Corp.      107,362        32,249        31,927        (322

BIT

  Access CIG LLC      1,444        1,444        1,444         
  Access CIG LLC      9,279        9,279        9,295        16  
  DentalCorp Perfect Smile ULC      18,813        18,813        18,884        71  
    Mavis Tire Express Services Corp.      13,083        13,083        12,952        (131

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.

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, 2018, 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

  $ 643,986,829        2.10

BIT

    467,879,150        2.30  

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 and cash as collateral 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.

 

 

98    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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
     Net
Amount
 

Barclays Bank PLC

  $ 3,408,016      $ (3,408,016   $      $  

Barclays Capital, Inc.

    121,277,888        (121,277,888             

BNP Paribas S.A.

    162,975,772        (162,975,772             

Citigroup Global Markets, Inc.

    283,217        (283,217             

Credit Suisse Securities (USA) LLC

    33,142,526        (33,142,526             

Deutsche Bank Securities, Inc.

    3,841,781        (3,841,781             

RBC Capital Markets LLC

    374,189,677        (374,189,677             

UBS Securities LLC

    7,983,556        (7,983,556             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 707,102,433      $ (707,102,433   $      $  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a) 

Net collateral, including accrued interest, with a value of $762,050,015 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

 

BIT                      
Counterparty   Reverse
Repurchase
Agreements
    

Fair Value of

Non-cash Collateral
Pledged Including

Accrued Interest (a)

    Cash Collateral
Pledged/Received
    

Net

Amount (b)

 

Barclays Bank PLC

  $ 29,666,137      $ (29,666,137   $      $  

Barclays Capital, Inc.

    10,620,386        (10,620,386             

BNP Paribas S.A.

    60,045,659        (60,045,659             

Citigroup Global Markets, Inc.

    22,657        (22,657             

Credit Suisse Securities (USA) LLC

    6,353,747        (6,353,747             

Deutsche Bank Securities, Inc.

    24,053,492        (24,053,492             

HSBC Securities (USA), Inc.

    50,877,753        (50,877,753             

RBC Capital Markets, LLC

    142,033,246        (142,033,246             

Royal Bank of Canada

    4,826,519        (4,372,428            454,091  
UBS Ltd.     9,975,051        (9,975,051             

UBS Securities LLC

    37,827,275        (37,827,275             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 376,301,922      $ (375,847,831   $      $ 454,091  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a) 

Net collateral, including accrued interest, with a value of $415,158,614 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

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), and 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

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

 

 

NOTES TO FINANCIAL STATEMENTS      99  


Notes to Financial Statements  (continued)

 

Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the 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. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

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. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

   

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)

 

 

100    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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, 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. Amounts pledged, which are considered restricted cash, are included in 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.

 

   

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

 

   

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

   

Forward swaps — Certain Trusts enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust 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.

 

 

NOTES TO FINANCIAL STATEMENTS      101  


Notes to Financial Statements  (continued)

 

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in 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.

 

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 and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative 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 the 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 Trust’s managed assets. For purposes of calculating the investment advisory fee, “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, BIT pays the Manager based on BIT’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 for that portion of BIT for which BRS acts as sub-adviser, a monthly fee that is a percentage of the investment advisory fees paid by BIT to the Manager.

Expense 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 and/or reimbursed by the Manager in the Statements of Operations. For the year ended October 31, 2018, the amounts waived were as follows:

 

     BTZ      BGT      BIT  

Amounts waived

  $ 6,500      $ 1,313      $ 5,065  

The Manager has contractually 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 through June 30, 2019. 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, 2018, BGT waived $8,434 in investment advisory fees pursuant to these arrangements.

Trustees and Officers: Certain trustees and/or officers of the Trusts are trustees and/or officers 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 Trustees and Officer in the Statements of Operations.

Other Transactions: During the year ended October 31, 2018, BIT received a reimbursement of $1,943 from an affiliate, which is included in payment by affiliate in the Consolidated Statement of Operations, related to an operating event.

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, 2018, 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

  $ 607,936      $ 917,283      $ 25,772  

 

 

102    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

7.

PURCHASES AND SALES

For the year ended October 31, 2018, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BTZ      BGT      BIT  

Non-U.S. Government Securities

  $ 698,919,282      $ 287,041,834      $ 423,718,640  

U.S. Government Securities

    144,256,128               19,087,247  
 

 

 

    

 

 

    

 

 

 

Total Purchases

  $ 843,175,410      $ 287,041,834      $ 442,805,887  
 

 

 

    

 

 

    

 

 

 
       
Sales                       

Non-U.S. Government Securities

  $ 482,948,639      $ 302,255,780      $ 524,713,820  

U.S. Government Securities

    166,233,982                
 

 

 

    

 

 

    

 

 

 

Total Sales

  $ 649,182,621      $ 302,255,780      $ 524,713,820  
 

 

 

    

 

 

    

 

 

 

 

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, 2018. 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, 2018, 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 the expiration of capital loss carryforwards were reclassified to the following accounts:

 

      BTZ     BGT     BIT  

Paid-in capital

   $ (31,756,723   $ (16,526,601   $  

Accumulated loss

     31,756,723       16,526,601        

The tax character of distributions paid was as follows:

 

             BTZ      BGT      BIT  

Ordinary income

    10/31/18      $ 85,614,025      $ 16,888,787      $ 56,503,375  
    10/31/17        84,934,828        18,141,462        67,788,341  

Return of capital

    10/31/18                      1,708,837  
    10/31/17        5,757,690                
    

 

 

    

 

 

    

 

 

 

Total

    10/31/18      $ 85,614,025      $ 16,888,787      $ 58,212,212  
    

 

 

    

 

 

    

 

 

 
    10/31/17      $ 90,692,518      $ 18,141,462      $ 67,788,341  
    

 

 

    

 

 

    

 

 

 

As of period end, the tax components of accumulated net earnings (losses) were as follows:

 

     BTZ     BGT     BIT  

Undistributed ordinary income

  $ 983,173     $ 2,313,349     $  

Capital loss carryforwards

    (37,063,666     (10,335,289     (23,849,561

Net unrealized gains (losses)(a)

    11,177,883       (4,265,274     18,804,979  
 

 

 

   

 

 

   

 

 

 
  $ (24,902,610   $ (12,287,214   $ (5,044,582
 

 

 

   

 

 

   

 

 

 

 

  (a)

The difference between book-basis and tax-basis net unrealized gains (losses) 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, options and foreign currency exchange contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies 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.

 

 

 

NOTES TO FINANCIAL STATEMENTS      103  


Notes to Financial Statements  (continued)

 

As of October 31, 2018, 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)

  $ 26,710,391      $ 9,925,865      $ 23,849,561  

2019

    10,353,275        409,424         
 

 

 

    

 

 

    

 

 

 
  $ 37,063,666      $ 10,335,289      $ 23,849,561  
 

 

 

    

 

 

    

 

 

 

 

  (a)

Must be utilized prior to losses subject to expiration.

 

During the year ended October 31, 2018, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

     BTZ      BIT  

Amount utilized

  $ 8,576,677      $ 4,772,145  

As of October 31, 2018, 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

  $ 2,103,852,041     $ 494,822,818     $ 1,075,839,010  
 

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 67,407,998     $ 1,584,042     $ 41,105,655  

Gross unrealized depreciation

    (55,333,748     (5,619,429     (21,551,532
 

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 12,074,250     $ (4,035,387   $ 19,554,123  
 

 

 

   

 

 

   

 

 

 

 

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 maximum commitment amount of $168,000,000 for BGT.

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, 2018, the average amount of bank borrowings and the daily weighted average interest rates for BGT for loans under the revolving credit agreements were $144,490,411 and 2.55%, 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) the general economy; (ii) the 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 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.

 

 

104    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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: 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 each Trust deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, 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. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

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

Each Trust is authorized to issue an unlimited numbers of shares, all of which were initially classified as Common Shares. The par value for each Trust’s shares is $0.001, respectively. The Board is authorized, however, to reclassify any unissued Common shares to Preferred shares without the 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:

 

Year Ended October 31   BGT  

2018

     

2017

    3,790  

The Trusts participate in an open market share repurchase program (the “Repurchase Program”). Under the program, each Trust may repurchase up to 5% of its outstanding common shares from December 1, 2017 through November 30, 2018, based on common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. On September 7, 2018, the Trusts announced a continuation of the Repurchase Program. Commencing on December 1, 2018, each Trust may repurchase up to 5% of its outstanding common shares through November 30, 2019, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. The total amount of the repurchase offer is reflected in each Trusts’ Statements of Changes in Net Assets.

 

 

NOTES TO FINANCIAL STATEMENTS      105  


Notes to Financial Statements  (continued)

 

For the years shown, shares repurchased and cost, including transaction costs were as follows:

 

     BTZ              BIT  
Year Ended October 31   Shares      Amount              Shares      Amount  

2018

    2,489,141      $ 30,991,477           345,071      $ 5,842,460  

2017

    676,066        8,822,801                 254,873        4,354,046  

 

12.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Trusts have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended October 31, 2017 were classified as follows:

 

     Net Investment Income      Return of Capital  

BTZ

  $ 84,934,828      $ 5,757,690  

BGT

    18,141,462         

BIT

    67,788,341         

Undistributed net investment income as of October 31, 2017 is as follows:

 

     Undistributed Net
Investment Income
 

BTZ

  $ 1,644,068  

BGT

    661,158  

BIT

    4,002,210  

 

13.

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)      Declared (c)      Declared (d)  

BTZ

  $ 0.0670      $ 0.0670      $ 0.0670      $  

BGT

    0.0618        0.0618        0.0618        0.0425  

BIT

    0.1167        0.1167        0.1167         

 

  (a) 

Net investment income dividend paid on December 3, 2018 to Common Shareholders of record on November 15, 2018.

 
  (b) 

Net investment income dividend declared on December 3, 2018, payable to Common Shareholders of record on December 13, 2018.

 
  (c) 

Net investment income dividend declared on December 19, 2018, payable to shareholders of record on December 31, 2018.

 
  (d) 

Net investment income special dividend declared on December 19, 2018, payable to shareholders of record on December 31, 2018.

 

 

 

106    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees of

BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust and BlackRock Multi-Sector Income Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BlackRock Credit Allocation Income Trust and BlackRock Floating Rate Income Trust, including the schedules of investments, as of October 31, 2018, 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, the financial highlights for each of the five years in the period then ended, and the related notes. We have also audited the accompanying consolidated statement of assets and liabilities of BlackRock Multi-Sector Income Trust (collectively with BlackRock Credit Allocation Income Trust and BlackRock Floating Rate Income Trust, the “Funds”), including the consolidated schedule of investments, as of October 31, 2018, the related consolidated statement of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of October 31, 2018, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting 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.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2018, by correspondence with the custodian, agent banks and brokers; when 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.

Deloitte & Touche LLP

Boston, Massachusetts

December 21, 2018

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

Important Tax Information  (unaudited)

During the fiscal year ended October 31, 2018, the following information is provided with respect to the ordinary income distributions paid by the Trusts:

 

     Payable Date(s)    BTZ      BGT      BIT  

Qualified Dividend Income for Individuals(a)

  November 2017      13.14           10.40
  December 2017      13.14               12.50  
  January 2018      13.14               15.00  
  February 2018 — October 2018      18.64               13.51  

Dividends Qualifying for the Dividend Received Deduction for Corporations(a)

  November 2017 — October 2018      12.41               11.15  

Interest-Related Dividends and Qualified Short-Term Gains for Non-U.S. Residents(b)

  November 2017 — January 2018      79.78        79.66        58.16  
    February 2018 — October 2018      56.23        75.91        40.26  

 

  (a) 

The Trusts 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.

 

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM      107  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

 

The Board of Trustees (the “Board,” 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 24, 2018 (the “April Meeting”) and June 6-7, 2018 (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”) among the Manager, BlackRock (Singapore) Limited (the “Sub-Advisor”) and the Trust. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreement are 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 ten individuals, eight of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Advisory Agreement for its Trust, and with respect to BIT, the Sub-Advisory Agreement, on an annual basis. Each Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. Each Board also has a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement(s) for its Trust. Each Board’s consideration of the Agreement(s) for its Trust is a year-long deliberative process, during which the Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, accounting, administrative, and shareholder services; oversight of the Trust’s service providers; marketing; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement(s) for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (d) Trust operating expenses and how BlackRock allocates expenses to the Trust; (e) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (f) the Trust’s adherence to its compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (m) 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 (n) 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. Each of BTZ and BGT has redeemed all of its outstanding auction rate preferred securities.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement(s) for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Trust in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding the Trust’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Trust’s as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of the Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement(s) and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) review of non-management fees; (f) the existence and impact and sharing of potential economies of scale, if any, and the sharing of potential economies of scale with the Trust; (g) a summary of aggregate amounts paid by the Trust to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and the Trust’s operations.

 

 

108    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement(s) for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board considered, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Trust; (d) the Trust’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

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

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

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. Each Board engaged in a review of BlackRock’s compensation structure with respect to its Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to its Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (i) responsibility for 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 Trust; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers including, among others, the Trust’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing administrative functions necessary for the operation of the Trust, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of its Trust’s performance as of December 31, 2017. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, each Board received and reviewed information regarding the investment performance of its Trust as compared to its Performance Peers and a custom peer group of funds as defined by BlackRock (“Customized Peer Group”). Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of the Trust throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be impacted by even one period of significant outperformance or underperformance, so that a single investment 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 second, second and first quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BTZ.

The Board of BGT noted that for the one-, three- and five-year periods reported, BGT ranked in the third, second and second quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BGT. The Board and BlackRock reviewed the Trust’s underperformance during the applicable period.

The Board of BIT noted that for the one-year, three-year and since-inception periods reported, BIT ranked in the second, second and first quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BIT.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENT      109  


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits 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 those of its Expense Peers. 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 its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s estimated profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2017 compared to available aggregate estimated profitability data provided for the prior two years. Each Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

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

In addition, each Board considered the estimated cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under its Trust’s Agreement(s) and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of 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 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 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 the Trust’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 the Trust’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 noted that the Trust’s actual management fee rate and total expense ratio ranked in the second and third quartiles, respectively, relative to the supplemental peer group.

D. Economies of Scale: The Board of each Trust, 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 each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with its Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement(s) for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

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

 

 

110    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement  (continued)

 

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the completion of the redemption of auction rate preferred securities for all of the BlackRock closed-end funds; 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 of each Trust 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: 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, 2019. 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 the Trust, for a one-year term ending June 30, 2019. 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 its Trust’s Agreement(s) were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement(s), 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 of each Trust were also assisted by the advice of independent legal counsel in making this determination.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB-ADVISORY AGREEMENT      111  


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.

 

 

112    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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 Company and
Other Investment Company
Directorships Held During
Past Five Years

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) from 2015 to 2018 (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 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.   73 RICs consisting of 73 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.   73 RICs consisting of 73 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.   73 RICs consisting of 73 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.   73 RICs consisting of 73 Portfolios   Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

  Trustee
(Since 2007)
  Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011.   73 RICs consisting of 73 Portfolios   None

R. Glenn Hubbard

1958

  Trustee
(Since 2007)
  Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.   73 RICs consisting of 73 Portfolios   ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014

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.   73 RICs consisting of 73 Portfolios   None

 

 

TRUSTEE AND OFFICER INFORMATION      113  


Trustee and Officer Information  (continued)

 

Independent Trustees (a) (continued)
         
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 Company and
Other Investment Company
Directorships Held During
Past Five Years

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.

 

73 RICs consisting of 73 Portfolios

 

None

Interested Trustees (a)(e)
         
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 Company and
Investment Company
Directorships Held During
Past Five Years

Robert Fairbairn

1965

  

Trustee
(Since 2018)

 

Senior Managing Director of BlackRock, Inc. since 2010; oversees BlackRock’s Strategic Partner Program and Strategic Product Management Group; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Member of the Board of Managers of BlackRock Investments, LLC since 2011; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.

 

133 RICs consisting of 309 Portfolios

 

None

John M. Perlowski

1964

  

Trustee
(Since 2015);
President and Chief Executive Officer
(Since 2010)

 

Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.

 

133 RICs consisting of 309 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; 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 73 RICs consisting of 73 Portfolios. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex.

(e) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members 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.

 

 

114    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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.

Neal J. Andrews

1966

   Chief Financial Officer
(Since 2007)
   Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife

1970

   Treasurer
(Since 2007)
   Managing Director of BlackRock, Inc. since 2007.

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)
   Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b) Officers of the Trust serve at the pleasure of the Board.

 

As of the date of this report, the portfolio managers of BGT are James Keenan, Josh Tarnow, David Delbos, Carly Wilson, Abigail Apistolas and Mitchell Garfin. Mr. Delbos, Ms. Wilson, Ms. Apistolas and Mr. Garfin each joined BGT’s portfolio management team effective August 31, 2018. Mr. Delbos has been a Managing Director of BlackRock, Inc. since 2012; a Director thereof from 2007 to 2011; and a Vice President from 2005 to 2006. Ms. Wilson has been a Director of BlackRock, Inc. since 2016; and a Vice President thereof from 2011 to 2015. Ms. Apistolas has been an Associate of BlackRock, Inc. since 2016; an Associate at Morgan Stanley from 2012 to 2016; and an Analyst thereof from 2012 to 2014. Mr. Garfin has been a Managing Director of BlackRock, Inc. since 2009.

As of the date of this report, the portfolio managers of BIT are Thomas Musmanno, Randy Robertson and Scott MacLellan. Mr. MacLellan joined BIT’s portfolio management team effective August 10, 2018. Mr. MacLellan has been a Director of BlackRock, Inc. since 2010.

 

Effective January 1, 2019, Henry Gabbay is appointed as an Independent Trustee of the Trusts.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock (Singapore) Limited(a)

079912 Singapore

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For BIT.

 

 

TRUSTEE AND OFFICER INFORMATION      115  


Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2018 for shareholders of record on May 31, 2018, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Shareholders elected the Class II Trustees & Class III Trustee as follows:

 

  

 

  Frank J. Fabozzi (a)     Robert Fairbairn (b)     Catherine A. Lynch (a)     Karen P. Robards (a)  
     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

BTZ

    94,340,171       6,818,180       96,200,439       4,957,912       96,352,248       4,806,103       96,332,330       4,826,021  

BGT

    21,284,832       569,080       21,389,760       464,152       21,387,951       465,961       21,369,081       484,831  

BIT

    34,083,702       540,842       34,091,758       532,786       34,076,133       548,411       34,068,920      

 

555,624

 

 

 

 

  (a) 

Class II Trustee.

 
  (b) 

Class III Trustee.

 

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 Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, R. Glenn Hubbard, John M. Perlowski and W. Carl Kester.

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.

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 the shareholders or in the principal risk factors associated with investment in the Trusts. Except as disclosed on page 115, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common shares in 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.

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.

 

 

116    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

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. 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) Notices

The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which is sent to shareholders shortly after calendar year end.

October 31, 2018

 

     Total Fiscal Year to Date
Cumulative Distributions by Character
    Percentage of Fiscal Year to Date
Cumulative Distributions by Character
 
Ticker   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

  $ 0.804000                       $ 0.804000       100     0     0     0     100

BIT

    1.531405                         1.531405       100       0       0       0       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 reduce the Trusts’ NAV per share.

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at http://www.blackrock.com.

BlackRock Privacy Principles

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

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

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

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

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

 

 

ADDITIONAL INFORMATION      117  


Glossary of Terms Used in this Report

 

Currency
EGP    Egyptian Pound

EUR

  

Euro

GBP

  

British Pound

IDR

  

Indonesian Rupiah

MXN

  

Mexican Peso

RUB

  

Russian Ruble

USD

  

U.S. Dollar

ZAR    South African Rand
Portfolio Abbreviations

ARB

  

Airport Revenue Bonds

CLO

  

Collateralized Loan Obligation

ETF

  

Exchange-Traded Fund

EURIBOR

  

Euro Interbank Offered Rate

LIBOR

  

London Interbank Offered Rate

MTN

  

Medium-Term Note

PIK

  

Payment-In-Kind

RB

  

Revenue Bonds

REMIC

  

Real Estate Mortgage Investment Conduit

 

 

 

118    2018 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-3-10/18-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 update certain information and to make other non-material changes. 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

Catherine A. Lynch

Karen P. Robards

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

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

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

 

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        Previous        Current        Previous        Current        Previous        Current        Previous    

 

2


      Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
   Fiscal Year  
End
BlackRock Floating Rate Income Trust    $72,828    $72,841    $0    $0    $14,500    $14,484    $0    $0

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

 

    Current Fiscal Year End   Previous Fiscal Year End
(b) Audit-Related Fees1   $0   $0
(c) Tax Fees2   $0   $0
(d) All Other Fees3   $2,274,000   $2,129,000

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 $2,274,000 and $2,129,000 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 $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

 

3


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 Floating Rate Income Trust    $14,500    $14,484

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

$2,274,000

  $2,129,000

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)):

 

Michael Castellano

Frank J. Fabozzi

Catherine A. Lynch

Karen P. Robards

 

  (b)

Not Applicable

 

4


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 registrant is managed by a team of investment professionals comprised of Joshua Tarnow, Managing Director at BlackRock, James E. Keenan, Managing Director at BlackRock, David Delbos, Managing Director at BlackRock, Mitchell S. Garfin, Managing Director at BlackRock, Carly Wilson, Director at BlackRock and Abigail Apistolas, Associate at Blackrock.. Messrs. Tarnow, Keenan, Delbos and Garfin and Mses. Wilson and Apistolas are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Keenan and Tarnow have been members of the Fund’s management team since 2007 and 2016, respectively. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas became portfolio managers to the Fund on August 31, 2018.

 

Portfolio Manager  

  

Biography

Joshua Tarnow

   Managing Director of BlackRock, Inc. since 2009; Senior Partner at R3 Capital Partners from 2008 to 2009; Managing Director at Lehman Brothers from 2006 to 2008.

 

5


James E. Keenan    Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock, Inc. from 2004 to 2005.
David Delbos    Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006.
Mitchell S. Garfin          Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 to 2008.
Carly Wilson    Director of BlackRock, Inc. since 2016; Vice President of BlackRock, Inc. from 2011 to 2015; Associate at BlackRock, Inc. from 2009 to 2010; Associate at R3 Capital Partners from 2008 to 2009; Associate at Lehman Brothers from 2004 to 2008.
Abigail Apistolas    Associate of BlackRock, Inc. since 2016; Associate at Morgan Stanley from 2012 to 2016; Analyst at Morgan Stanley from 2012 to 2014.

(a)(2) As of October 31, 2018:

 

     

(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

     

Joshua Tarnow

   5         4         1         0         0         0     
     $8.39 Billion         $88.76 Million         $395.4 Million         $0         $0         $0     

James E. Keenan

   14         19         19         0         0         5     
     $25.70 Billion         $10.44 Billion         $9.62 Billion         $0         $0         $1.04 Billion     

David Delbos

   15         8         24         0         0         5     
     $25.72 Billion         $5.84 Billion         $13.05 Billion         $0         $0         $1.04 Billion     

Mitchell S. Garfin

   16         11         25         0         0         5     
     $28.63 Billion         $5.94 Billion         $13.83 Billion         $0         $0         $1.04 Billion     

Carly Wilson

   8         14         3         0         0         0     
     $12.07 Billion         $5.60 Billion         $261.9 Billion         $0         $0         $0     

Abigail Apistolas

   8         9         10         0         0         0     
     $4.17 Billion         $3.93 Billion         $2.49 Billion         $0         $0         $0     

(iv)   Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in

 

6


the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Tarnow, Keenan, Delbos and Garfin and Mses. Wilson and Apistolas 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. Tarnow, Keenan, Delbos and Garfin and Mses. Wilson and Apistolas 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, 2018:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of October 31, 2018.

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

 

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

 

Portfolio Manager      Benchmark

James Keenan

David Delbos

Mitchell S. 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.

Joshua Tarnow

Carly Wilson

   A combination of market-based indices (e.g. Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index).

 

Abigail Apistolas

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

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually 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. 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 interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock 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 certain portfolio managers, a portion of the 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, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

 

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

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($275,000 for 2018). 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, 2018.

 

 

Portfolio Manager

      

Dollar Range of Equity Securities      

of the Fund Beneficially Owned

  
 

Joshua Tarnow

      

None

 

James E. Keenan

      

$100,001 - $500,000

 

David Delbos

      

None

 

Mitchell S. Garfin

      

None

 

Carly Wilson

      

None

 

Abigail Apistolas

      

None

(b) Not Applicable

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period

  (a) Total        (b) Average        (c) Total Number of        (d) Maximum Number of     
    Number of Shares Purchased       Price Paid per Share       Shares Purchased as Part of Publicly Announced Plans or Programs       Shares that May Yet Be Purchased Under the Plans or Programs1    
May 1-31, 2018   N/A       N/A       N/A       1,183,161    
June 1-30, 2018   N/A       N/A       N/A       1,183,161    
July 1-31, 2018   N/A       N/A       N/A       1,183,161    
August 1-31, 2018   N/A       N/A       N/A       1,183,161    
September 1-30, 2018   N/A       N/A       N/A       1,183,161    
October 1-31, 2018   N/A       N/A       N/A       1,183,161    
Total:   N/A       N/A       N/A       1,183,161    

 

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1On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, pursuant to which the Fund may repurchase through November 30, 2018 up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions. On September 7, 2018, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2018, the Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions.

 

Item 10 –

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

 

Item 11 –

Controls and Procedures

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

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

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the fiscal year ended October 31, 2018. The Fund did not engage in any securities lending activity during the fiscal year ended October 31, 2018.

 

    

BlackRock Floating Rate 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.

 

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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 Floating Rate Income Trust
   By:      /s/ John M. Perlowski                        
        John M. Perlowski
        Chief Executive Officer (principal executive officer) of
        BlackRock Floating Rate Income Trust
   Date: January 4, 2019

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 Floating Rate Income Trust
     Date: January 4, 2019
     By:      /s/ Neal J. Andrews                            
          Neal J. Andrews
          Chief Financial Officer (principal financial officer) of
          BlackRock Floating Rate Income Trust
     Date: January 4, 2019