Edgar Filing: BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

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 811-21413

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

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 Strategies Fund, Inc., 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2017

Date of reporting period: 02/28/2017

Item 1 – Report to Stockholders

FEBRUARY 28, 2017

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

Risk assets, such as stocks and high yield bonds, enjoyed strong performance in the 12 months ended February 28, 2017. It was a different story for higher-quality assets such as U.S. Treasuries, which generated muted returns after struggling in the latter part of 2016 as reflationary expectations in the United States helped drive a pick-up in global growth and investors braced for higher interest rates.

Markets showed great resilience during the period. Big surprises such as the United Kingdom’s vote to leave the European Union and the outcome of the U.S. presidential election brought spikes in equity market volatility, but they were ultimately short-lived. Instead, investors used the sell-offs to seize upon buying opportunities, allowing markets to quickly rebound. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election and continued into the beginning of 2017, stoked by expectations for an extra boost to U.S. growth via fiscal policy.

Although economic momentum is gaining traction, the capacity for rapid global growth is restrained by structural factors including an aging population, low productivity growth and excess savings. A tempered economic growth trend and high valuations across most assets have set the stage for muted investment returns going forward.

Equity markets still have room to move, although the disparity between winners and losers is widening, making selectivity increasingly important. Fixed income investors are also facing challenges as bond markets recalibrate to accommodate rising rates and higher inflation expectations. And in a world where political risk and policy uncertainty abound, there is no lack of potential catalysts for higher volatility.

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 February 28, 2017
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		10.01	%		24.98	%
U.S. small cap equities (Russell 2000^® Index)		12.61			36.11
International equities (MSCI Europe, Australasia, Far East Index)		4.90			15.75
Emerging market equities (MSCI Emerging Markets Index)		5.51			29.46
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.22			0.39
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		(6.17	)		(4.09	)
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)		(2.19	)		1.42
Tax-exempt municipal bonds (S&P Municipal Bond Index)		(2.51	)		0.76
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		5.43			21.83
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



2		THIS PAGE NOT PART OF YOUR FUND REPORT


Table of Contents


	Page
The Markets in Review		2
Semi-Annual Report:
Fund Summaries		4
The Benefits and Risks of Leveraging		10
Derivative Financial Instruments		10
Financial Statements
Schedules of Investments		11
Statements of Assets and Liabilities		68
Statements of Operations		70
Statements of Changes in Net Assets		71
Statements of Cash Flows		72
Financial Highlights		73
Notes to Financial Statements		76
Officers and Directors		90
Additional Information		91



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	3


Fund Summary as of February 28, 2017				BlackRock Defined Opportunity Credit Trust


Fund Overview

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

BHL is scheduled to terminate no later than December 31, 2017.

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


Performance and Portfolio Management Commentary

Returns for the six months ended February 28, 2017 were as follows:


	Returns Based On
	Market Price			NAV
BHL^1,2		6.26	%		4.02	%
Lipper Loan Participation Funds³		13.07	%		6.22	%

All returns reflect reinvestment of dividends and/or distributions.

The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on price and performance based on NAV.

Average return.

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

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

What factors influenced performance?

•

Floating rate loan interests (bank loans) benefited from the strong appetite for credit during the six-month period. From a sector perspective, the largest absolute contributors to performance included technology, healthcare, and consumer cyclical services. On a credit rating basis, B-rated, BB-rated and CCC-rated positions were the largest contributors over the semi-annual period. Finally, from an asset allocation standpoint, the Fund’s tactical positions in high yield bonds and collateralized loan obligations benefited performance.

•

From a sector perspective, exposure to retailers was the sole absolute detractor from Fund performance for the six-month period. From a credit rating perspective, D-rated names posted slightly negative results while all other credit-rating segments posted positive returns.

Describe recent portfolio activity.

•

During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. From a sector standpoint, the Fund reduced exposure to consumer cyclical services overall and in particular to retailers, on the view that the outlook for the space continues to deteriorate on the back of weaker revenues. By contrast, the Fund increased its allocation to the health care and pharmaceutical sectors. With the bank loan universe trading over par, the Fund selectively added to its fixed rate high yield bond allocation in order to add price appreciation potential, as well as to garner higher quality energy exposure relative to that available within bank loans.

Describe portfolio positioning at period end.

•

The Fund held a majority of its portfolio in floating rate bank loans, with a modest position in relatively conservative high yield corporate bonds. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a minimal position in loans rated CCC and below, while also avoiding the more volatile segments of that universe, such as oilfield services and retailers. Leading individual positions included Level 3 Communications, Inc. (wirelines), Altice NV (cable & satellite), and First Data Corp. (technology).

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



4	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


		BlackRock Defined Opportunity Credit Trust


Fund Information
Symbol on New York Stock Exchange (“NYSE”)		BHL
Initial Offering Date		January 31, 2008
Current Distribution Rate on Closing Market Price as of February 28, 2017 ($13.88)¹		4.41%
Current Monthly Distribution per Common Share²		$0.051
Current Annualized Distribution per Common Share²		$0.612
Economic Leverage as of February 28, 2017³		18%

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

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

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


Market Price and Net Asset Value Per Share Summary


	2/28/17		8/31/16		Change			High		Low
Market Price	$	13.88	$	13.42		3.43	%	$	13.95	$	13.24
Net Asset Value	$	13.87	$	13.70		1.24	%	$	13.91	$	13.68


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

LOGO

Overview of the Fund’s Total Investments


Portfolio Composition	2/28/17			8/31/16
Floating Rate Loan Interests		94	%		95	%
Corporate Bonds		5			4
Asset-Backed Securities		1			1
Short-Term Securities⁴		—			—
Other		—	⁵		—	⁶

⁴

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

⁵

Includes less than 1% holding in each of the following investments types: Common Stocks, Rights and Warrants.

⁶

Includes less than 1% holding in each of the following investments types: Common Stocks, Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.


Credit Quality Allocation^7,8	2/28/17			8/31/16
A⁴		—			—
BBB/Baa		6	%		11	%
BB/Ba		46			45
B		43			39
CCC/Caa		2			2
N/R		3			3

⁷

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.

⁸

Excludes Short-Term Securities.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	5


Fund Summary as of February 28, 2017				BlackRock Floating Rate Income Strategies Fund, Inc.


Fund Overview

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

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


Performance and Portfolio Management Commentary

Returns for the six months ended February 28, 2017 were as follows:


	Returns Based On
	Market Price			NAV
FRA^1,2		11.02	%		5.13	%
Lipper Loan Participation Funds³		13.07	%		6.22	%

All returns reflect reinvestment of dividends and/or distributions.

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

Average return.

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

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

What factors influenced performance?

•

Floating rate loan interests (bank loans) benefited from the strong appetite for credit during the six-month period. On a sector basis, the largest contributors included holdings within technology, health care and chemicals. From a credit-rating perspective, B-rated, BB-rated and CCC-rated names were the largest contributors, as the lower credit-quality portions of the bank loan market drove the overall rally across the asset class. The Fund’s tactical allocation to high yield bonds also contributed to performance, as the asset class benefited to a greater degree than bank loans from the rally in the energy and metals & mining sectors. Finally, an out-of-benchmark allocation to collateralized loan obligations added to returns.

•

The sole negative contributor to the Fund’s absolute performance over the six months came from exposure to retailers, as the space continued to

display fundamental weakness. All other sectors within the bank loan market provided positive returns, as did all credit rating segments within the asset class.

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

The Fund held a majority of its portfolio in floating rate bank loans, with a moderate position in relatively conservative high yield corporate bonds. The Fund maintained its highest concentration in higher coupon 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. At period-end, top issuer overweights included Ligado Networks LLC (wireless), Altice NV (cable & satellite), and Level 3 Communications, Inc. (wirelines).



6	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


				BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information


Symbol on NYSE		FRA
Initial Offering Date		October 31, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2017 ($14.74)¹		4.97%
Current Monthly Distribution per Common Share²		$0.061
Current Annualized Distribution per Common Share²		$0.732
Economic Leverage as of February 28, 2017³		28%

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


Market Price and Net Asset Value Per Share Summary


	2/28/17		8/31/16		Change		High		Low
Market Price		$14.74		$13.70		7.59%		$14.82		$13.36
Net Asset Value		$15.06		$14.78		1.89%		$15.08		$14.76


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

LOGO

Overview of the Fund’s Total Investments


Portfolio Composition	2/28/17			8/31/16
Floating Rate Loan Interests		92	%		93	%
Corporate Bonds		6			4
Asset-Backed Securities		2			3
Common Stocks⁴		—			—
Short-Term Securities		—			—	⁴
Other		—	⁵		—	⁶

⁴

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

⁵

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

⁶

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


Credit Quality Allocation^7,8	2/28/17			8/31/16
A⁴		—			—
BBB/Baa		9	%		11	%
BB/Ba		45			44
B		40			39
CCC/Caa		3			3
N/R		3			3

⁷

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

⁸

Excludes Short-Term Securities.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	7


Fund Summary as of February 28, 2017				BlackRock Limited Duration Income Trust


Fund Overview

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

•

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

•

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

•

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

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

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


Performance and Portfolio Management Commentary

Returns for the six months ended February 28, 2017 were as follows:


	Returns Based On
	Market Price			NAV
BLW^1, 2		6.64	%		5.61	%
Lipper High Yield Funds (Leveraged)³		7.08	%		7.59	%

All returns reflect reinvestment of dividends and/or distributions.

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

Average return.

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

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

What factors influenced performance?

•

The largest contributors to the Fund’s absolute performance over the period were its exposures to high yield corporate bonds, floating rate loans and asset-backed securities (“ABS”).

•

The largest detractors from the Fund’s absolute performance over the period were its allocation to sovereign plus names, as well as its duration (sensitivity to interest rate movements) and yield curve positioning.

•

The Fund held derivatives during the period, including Treasury futures, currency forwards, options and credit default swaps. The derivatives were primarily used to adjust duration (sensitivity to interest rate movements) and yield curve exposure, and to manage credit risk. The Fund’s derivative exposures had a positive impact on performance.

Describe recent portfolio activity.

•

Over the six-month period, the Fund kept its level of spread duration (sensitivity to changes in credit spreads) essentially unchanged, while rotating sector allocations to reflect the view that the economy is entering a reflationary period. The Fund’s allocations to ABS and investment grade credit were reduced and rotated into emerging market debt, high yield corporates and commercial mortgage-backed securities (“CMBS”). In addition, agency collateralized mortgage obligations were added to the portfolio.

Describe portfolio positioning at period end.

•

At period end, the Fund maintained a diversified exposure to non-government spread sectors, including high yield corporates, senior loans, investment grade corporate credit, CMBS, and ABS, as well as agency and non-agency residential mortgage-backed securities. The Fund ended the period with a shorter duration stance and a yield curve flattening bias based on the view that the Fed would raise interest rates imminently.



8	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


		BlackRock Limited Duration Income Trust


Fund Information


Symbol on NYSE		BLW
Initial Offering Date		July 30, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2017 ($15.98)¹		6.53%
Current Monthly Distribution per Common Share²		$0.087
Current Annualized Distribution per Common Share²		$1.044
Economic Leverage as of February 28, 2017³		29%

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

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


Market Price and Net Asset Value Per Share Summary


	2/28/17		8/31/16		Change			High		Low
Market Price	$	15.98	$	15.74		1.52	%	$	15.98	$	14.75
Net Asset Value	$	16.93	$	16.84		0.53	%	$	16.98	$	16.54


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

LOGO


Overview of the Fund’s Total Investments


Portfolio Composition	2/28/17			8/31/16
Corporate Bonds		46	%		42	%
Floating Rate Loan Interests		26			26
Asset-Backed Securities		9			10
Non-Agency Mortgage-Backed Securities		7			8
Preferred Securities		7			8
Foreign Agency Obligations		3			4
U.S. Government Sponsored Agency Securities		1			1
U.S. Treasury Obligations		1			1
Other		—	⁴		—	⁵

⁴

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

⁵

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


Credit Quality Allocation^6,7	2/28/17			8/31/16
AAA/Aaa⁸		4	%		4	%
AA/Aa		1			1
A		6			7
BBB/Baa		18			19
BB/Ba		34			32
B		28			25
CCC/Caa		5			4
N/R		4			8

⁶

⁷

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

⁸

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.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	9


The Benefits and Risks of Leveraging

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the [Fund’s/Funds’] portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Funds’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result,

changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue debt up to 33¹/₃% of their total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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


Derivative Financial Instruments

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

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



10	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017

Schedule of Investments February 28, 2017 (Unaudited)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)


Common Stocks			Shares		Value
Specialty Retail — 0.0%
Things Remembered, Inc. (a)				215,057		—
Total Common Stocks — 0.0%						—



Asset-Backed Securities (b)(c)	Par (000)
Asset-Backed Securities — 1.2%
ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26		USD		463	$	460,553
ALM XVII Ltd., Series 2015-17A, Class C1, 5.17%, 1/15/28				250		250,849
Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24				250		250,624
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.69%, 11/14/26				250		249,502
Webster Park CLO Ltd., Series 2015-1A, Class B1, 4.13%, 1/20/27				250		251,643
Total Asset-Backed Securities — 1.2%						1,463,171



Corporate Bonds
Airlines — 0.5%
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18				590		603,275
Communications Equipment — 0.2%
Avaya, Inc., 7.00%, 4/01/19 (a)(b)(d)				301		240,047
Consumer Finance — 0.1%
Ally Financial, Inc., 8.00%, 11/01/31				50		61,500
Containers & Packaging — 1.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c):
3.96%, 12/15/19				62		63,314
4.29%, 5/15/21				249		255,536
Reynolds Group Issuer, Inc., 4.52%, 7/15/21 (b)(c)				1,160		1,190,450

						1,509,300
Diversified Telecommunication Services — 0.4%
Level 3 Financing, Inc.:
4.76%, 1/15/18 (c)				228		228,570
6.13%, 1/15/21				127		131,604
SBA Communications Corp., 4.88%, 9/01/24 (b)				75		74,617

						434,791
Electric Utilities — 0.0%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20 (b)(a)(d)				240		—
Energy Equipment & Services — 0.2%
Transocean, Inc., 9.00%, 7/15/23 (b)				156		168,090
Weatherford International Ltd., 9.88%, 2/15/24 (b)				75		86,625

						254,715


Corporate Bonds	Par (000)			Value
Environmental, Maintenance, & Security Service — 0.1%
Tervita Escrow Corp., 7.63%, 12/01/21 (b)		USD	115	$	120,175
Health Care Providers & Services — 0.1%
HCA, Inc., 5.25%, 6/15/26			50		52,813
HealthSouth Corp., 5.75%, 11/01/24			75		76,500
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)			15		16,125

					145,438
Independent Power and Renewable Electricity Producers — 0.3%
NRG Energy, Inc., 6.25%, 7/15/22			340		345,950
Internet Software & Services — 0.0%
Equinix, Inc., 5.75%, 1/01/25			50		53,000
Media — 1.1%
Altice Financing SA, 6.63%, 2/15/23 (b)			200		210,500
Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20			50		50,375
CSC Holdings LLC, 10.88%, 10/15/25 (b)			200		241,000
SFR Group SA (b):
6.00%, 5/15/22			200		207,438
6.25%, 5/15/24			240		243,597
7.38%, 5/01/26			255		264,244
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (b)			200		202,250

					1,419,404
Metals & Mining — 0.7%
Freeport-McMoRan, Inc.:
2.38%, 3/15/18			306		304,470
3.10%, 3/15/20			250		245,000
Teck Resources Ltd.:
4.50%, 1/15/21			188		194,932
3.75%, 2/01/23			130		126,724

					871,126
Oil, Gas & Consumable Fuels — 1.0%
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)			155		173,600
CONSOL Energy, Inc., 5.88%, 4/15/22			376		366,600
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)			35		37,275
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (b)			225		237,375
NGPL PipeCo LLC, 7.12%, 12/15/17 (b)			85		88,081
Noble Holding International Ltd., 7.75%, 1/15/24			210		204,225
Rowan Cos., Inc., 7.38%, 6/15/25			80		83,000
Sanchez Energy Corp., 6.13%, 1/15/23			57		54,720

					1,244,876
Road & Rail — 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17 (c)			68		68,000
Software — 0.0%
CDW LLC/CDW Finance Corp., 5.50%, 12/01/24			50		52,500
Wireless Telecommunication Services — 0.0%
Sprint Communications, Inc., 7.00%, 8/15/20			50		53,938
Total Corporate Bonds — 6.0%					7,478,035


Portfolio Abbreviations


ABS	Asset-Backed Security	ETF	Exchange-Traded Fund	NZD	New Zealand Dollar
AUD	Australian Dollar	EUR	Euro	OTC	Over-the-Counter
BRL	Brazilian Real	GBP	British Pound	PIK	Payment-In-Kind
CAD	Canadian Dollar	JPY	Japanese Yen	S&P	Standard and Poor’s
CHF	Swiss Franc	LOC	Letter of Credit	SEK	Swedish Krona
CLO	Collateralized Loan Obligation	NOK	Norwegian Krone	USD	U.S. Dollar
DIP	Debtor-In-Possession

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	11


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Floating Rate Loan Interests (c)	Par (000)			Value
Aerospace & Defense — 2.1%
BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21		USD	507	$	508,639
Engility Corp.:
Term Loan B1, 5.03%, 8/12/20			78		78,561
Term Loan B2, 4.53%, 8/12/23			143		144,561
TransDigm, Inc.:
2015 Term Loan E, 3.78%, 5/14/22			216		217,139
2016 Extended Term Loan F, 3.78%, 6/09/23			1,403		1,409,439
Term Loan D, 4.00%, 6/04/21			257		258,225

					2,616,564
Air Freight & Logistics — 0.8%
CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21			133		115,626
CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21			136		118,646
CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21			23		19,572
CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21			185		160,496
XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21			583		587,828

					1,002,168
Airlines — 0.1%
Northwest Airlines, Inc.:
3.08%, 3/10/17			30		29,767
2.46%, 9/10/18			109		107,529

					137,296
Auto Components — 0.6%
Anchor Glass Container Corp., 2016 1st Lien Term Loan, 4.25%, 12/07/23			120		121,401
Gates Global LLC, Term Loan B, 4.25%, 7/06/21			483		483,397
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.78%, 4/30/19			133		133,333

					738,131
Automobiles — 0.1%
FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18			109		109,463
Biotechnology — 0.1%
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21			183		182,355
Building Materials — 1.0%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.54%, 7/28/23			145		146,994
2015 Term Loan, 4.79%, 7/28/22			179		178,911
2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22			97		97,687
2016 Incremental Term Loan, 5.50%, 7/28/22			799		804,141

					1,227,733
Building Products — 2.8%
Continental Building Products LLC, 2017 Term Loan B, 3.28%, 8/18/23			258		259,930
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,166		1,173,003
GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21			345		346,872
Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22			403		405,231
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			207		207,957
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23			495		500,722


Floating Rate Loan Interests (c)	Par (000)			Value
Building Products (continued)
Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23		USD	595	$	598,386

					3,492,101
Capital Markets — 0.4%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			145		144,224
RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22			308		311,877

					456,101
Chemicals — 4.2%
Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23			97		97,559
Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23			73		73,500
Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23			367		371,805
CeramTec Acquisition Corp., Term Loan B2, 4.30%, 8/30/20			26		26,214
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22			249		249,180
Chemours Co., Term Loan B, 3.79%, 5/12/22			268		269,632
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			68		60,137
Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23			500		505,219
Klockner-Pentaplast of America, Inc.:
1st Lien Term Loan, 4.25%, 4/28/20			266		268,474
German Borrower, 4.25%, 4/28/20			114		114,732
MacDermid, Inc.:
2016 Term Loan, 5.00%, 6/07/23			391		395,077
Term Loan B5, 4.50%, 6/07/20			424		428,664
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			716		707,537
PQ Corp., 2016 Term Loan, 5.29%, 11/04/22			312		316,818
Royal Holdings, Inc.:
2015 2nd Lien Term Loan, 8.50%, 6/19/23			61		60,766
2017 Term Loan B, 4.25%, 6/30/22			256		257,621
Solenis International LP:
1st Lien Term Loan, 4.30%, 7/31/21			343		344,224
2nd Lien Term Loan, 7.80%, 7/31/22			390		384,961
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			105		105,329
Versum Materials, Inc., Term Loan, 3.50%, 9/29/23			214		217,010

					5,254,459
Commercial Services & Supplies — 7.2%
ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22			260		261,457
Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23			758		765,147
Asurion LLC:
2016 Term Loan B2, 4.03%, 7/08/20			128		129,230
Term Loan B4, 4.25%, 8/04/22			441		446,645
Term Loan B5, 4.75%, 11/03/23			549		555,680
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20			633		633,346
Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23			833		842,108
Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21			821		830,790
Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21			211		214,600
Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20			84		78,470
GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23			423		427,376

See Notes to Financial Statements.



12	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Floating Rate Loan Interests (c)	Par (000)			Value
Commercial Services & Supplies (continued)
KAR Auction Services, Inc.:
Term Loan B2, 4.19%, 3/11/21		USD	300	$	302,215
Term Loan B3, 4.50%, 3/09/23			402		406,738
Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19			299		295,162
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22			315		317,597
PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21			368		373,029
Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19			802		798,586
TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23			229		231,711
US Ecology, Inc., Term Loan, 3.78%, 6/17/21			153		154,414
US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23			479		483,935
Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20			500		502,552

					9,050,788
Communications Equipment — 0.8%
Applied Systems, Inc.:
1st Lien Term Loan, 4.00%, 1/25/21			210		211,482
2nd Lien Term Loan, 7.50%, 1/24/22			84		84,702
Avaya, Inc., Term Loan B7, 6.28%, 5/29/20 (a)(d)			56		44,753
CommScope, Inc., Term Loan B5, 3.28%, 12/29/22			207		209,254
Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22			441		444,358

					994,549
Construction & Engineering — 1.0%
CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23			283		284,455
Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23			768		777,676
USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23			190		191,070

					1,253,201
Construction Materials — 0.8%
Filtration Group Corp., 1st Lien Term Loan, 4.30%, 11/21/20			791		797,345
Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22			159		159,383
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19			79		79,417

					1,036,145
Containers & Packaging — 2.1%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21			500		501,209
Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21			70		70,384
Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22			1,181		1,188,790
BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23			849		848,802

					2,609,185
Distributors — 0.8%
American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23			771		777,279
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			214		212,559

					989,838


Floating Rate Loan Interests (c)	Par (000)			Value
Diversified Consumer Services — 1.8%
Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23		USD	699	$	706,533
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21			270		255,349
J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23			284		287,130
Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24			240		244,500
ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23			440		444,400
Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20			338		296,628

					2,234,540
Diversified Financial Services — 0.8%
AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22			430		433,564
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			221		221,327
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			382		384,733

					1,039,624
Diversified Telecommunication Services — 2.4%
Consolidated Communications, Inc.:
2016 Term Loan B, 4.00%, 10/04/23			155		155,495
Term Loan B2, 4.00%, 10/05/23			105		105,600
Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19			508		507,643
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.29%, 8/14/20			502		501,868
2nd Lien Term Loan, 9.75%, 2/12/21			168		167,511
Telenet International Finance Sarl, Term Loan AF, 3.77%, 1/31/25			905		912,919
Virgin Media Investment Holdings Ltd., Term Loan I, 3.52%, 1/31/25			590		592,295

					2,943,331
Electric Utilities — 1.9%
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17			1,425		1,428,681
TEX Operations Co. LLC:
Exit Term Loan B, 3.53%, 8/04/23			614		617,171
Exit Term Loan C, 3.53%, 8/04/23			140		140,690
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17 (a)(d)			380		—
Vistra Operations Co. LLC, 2016 Term Loan B2, 4.02%, 12/14/23			170		170,983

					2,357,525
Electronic Equipment, Instruments & Components — 0.1%
CPI Acquisition, Inc., Term Loan B, 5.83%, 8/17/22			146		130,590
Food & Staples Retailing — 3.2%
Albertsons LLC:
2016 Term Loan B4, 3.78%, 8/22/21			1,009		1,020,742
2016 Term Loan B5, 4.25%, 12/22/22			82		82,749
Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22			620		627,335
Rite Aid Corp., 2nd Lien Term Loan:
5.75%, 8/21/20			278		279,174
4.88%, 6/21/21			562		563,392
US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23			1,478		1,495,675

					4,069,067

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	13


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Floating Rate Loan Interests (c)	Par (000)			Value
Food Products — 2.0%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21		USD	230	$	227,776
Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23			355		359,217
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			243		240,100
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			601		602,830
Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23			1,049		1,056,458

					2,486,381
Health Care Equipment & Supplies — 3.8%
Alere, Inc.:
2015 Term Loan A, 3.78%, 6/18/20			103		103,230
2015 Term Loan B, 4.25%, 6/18/22			430		430,329
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			552		556,436
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			854		856,005
Cotiviti Corp., Term Loan B, 3.75%, 9/28/23			589		593,370
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			516		506,482
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			510		503,376
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			690		689,751
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			508		502,851

					4,741,830
Health Care Providers & Services — 9.0%
Acadia Healthcare Co., Inc.:
Term Loan B, 3.78%, 2/11/22			110		110,537
Term Loan B2, 3.78%, 2/16/23			485		488,889
CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23			764		773,778
Community Health Systems, Inc.:
Term Loan F, 4.19%, 12/31/18			273		272,676
Term Loan G, 3.75%, 12/31/19			420		415,832
DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/21			1,362		1,378,351
Envision Healthcare Corp., 2016 Term Loan B, 4.00%, 12/01/23			1,710		1,730,657
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			325		313,157
HCA, Inc., Term Loan B6, 4.03%, 3/17/23			1,173		1,181,585
inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23			926		931,179
MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23			571		579,530
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			104		104,337
NVA Holdings, Inc.:
1st Lien Term Loan, 4.75%, 8/14/21			116		116,958
2016 Term Loan, 5.50%, 8/14/21			161		161,492
Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22			374		378,349
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			711		710,559
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20			433		435,241
Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22			564		564,860
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			305		280,879
Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23			409		414,504

					11,343,350


Floating Rate Loan Interests (c)	Par (000)			Value
Health Care Technology — 1.2%
Emdeon Business Services LLC, Term Loan B3, 3.75%, 11/02/18		USD	55	$	54,720
IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21			938		941,887
Press Ganey Holdings, Inc.:
1st Lien Term Loan, 4.25%, 10/21/23			410		410,513
2nd Lien Term Loan, 8.25%, 10/21/24			115		116,725

					1,523,845
Hotels, Restaurants & Leisure — 5.1%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			572		572,583
2nd Lien Term Loan, 8.00%, 8/01/22			227		227,199
AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23			262		263,216
Boyd Gaming Corp.:
Term Loan B, 4.00%, 8/14/20			81		81,170
Term Loan B2, 3.71%, 9/15/23			478		482,634
Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24			567		567,058
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			1,724		1,738,406
CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21			305		307,687
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22			479		484,105
ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23			728		733,090
Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23			55		55,746
La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21			188		188,633
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21			288		290,053
Sabre GLBL, Inc., Term Loan B, 3.53%, 2/08/24			93		93,469
Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21			349		354,528

					6,439,577
Household Products — 0.9%
Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.54%, 11/08/23			1,065		1,069,462
Independent Power and Renewable Electricity Producers — 2.5%
Aria Energy Operating LLC, Term Loan, 5.55%, 5/27/22			271		270,434
Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20			236		236,263
Calpine Corp.:
Term Loan B5, 3.75%, 1/15/24			253		253,790
Term Loan B6, 3.75%, 1/15/23			480		482,325
Term Loan B7, 3.75%, 5/31/23			172		173,512
Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23			717		724,287
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			746		753,095
Term Loan C, 5.00%, 12/19/21			33		33,813
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21			250		230,366

					3,157,885
Industrial Conglomerates — 0.6%
Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23			663		667,549
Sequa Corp., Term Loan B, 5.25%, 6/19/17			111		106,513

					774,062
Insurance — 1.6%
AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22			494		499,140

See Notes to Financial Statements.



14	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Floating Rate Loan Interests (c)	Par (000)			Value
Insurance (continued)
Hub International Ltd., Term Loan B, 4.03%, 10/02/20		USD	206	$	208,001
Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (e)			260		271,050
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			447		448,357
2016 1st Lien Term Loan, 4.25%, 3/01/21			204		205,378
2nd Lien Term Loan, 6.75%, 2/28/22			410		411,197

					2,043,123
Internet & Direct Marketing Retail — 0.6%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23			688		688,582
Internet Software & Services — 0.3%
GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24			86		87,182
WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19			333		333,927

					421,109
IT Services — 4.3%
Cision US, Inc., Term Loan B, 7.00%, 6/16/23			279		280,224
First Data Corp., 2016 Term Loan, 3.78%, 3/24/21			2,803		2,827,369
Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23			371		374,944
VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23			1,082		1,091,087
WEX, Inc., Term Loan B, 4.28%, 7/01/23			851		863,486

					5,437,110
Machinery — 2.2%
Faenza Acquisition GmbH:
Term Loan B1, 4.30%, 8/30/20			224		224,655
Term Loan B3, 4.30%, 8/30/20			68		68,575
Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20			254		253,648
Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22			335		336,275
Mueller Water Products, Inc., 2017 Term Loan B, 3.28%, 11/26/21			176		178,055
Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20			215		216,122
Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23			471		473,200
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			830		791,068
Wabash National Corp., 2017 Term Loan B, 3.53%, 3/18/22			199		200,360

					2,741,958
Media — 10.7%
Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25			1,116		1,128,126
AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23			165		166,733
CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23			217		219,260
Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24			1,872		1,883,270
CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24			788		795,574
Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23			119		119,718
Hemisphere Media Holdings LLC, 2017 Term Loan B, 4.27%, 2/08/24			365		364,073
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			497		461,544
iHeartCommunications, Inc.:
Extended Term Loan E, 8.28%, 7/30/19			110		95,150
Term Loan D, 7.53%, 1/30/19			1,321		1,146,276


Floating Rate Loan Interests (c)	Par (000)			Value
Media (continued)
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19		USD	874	$	867,970
Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23			409		413,349
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.52%, 1/07/22			275		274,313
Live Nation Entertainment, Inc., Term Loan B2, 3.31%, 10/31/23			111		112,570
MCC Iowa LLC, Term Loan J, 3.50%, 6/30/21			122		122,675
Mediacom Illinois LLC, Term Loan K, 3.00%, 2/15/24			248		248,917
Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24			93		94,649
Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24			982		996,671
Nielsen Finance LLC, Term Loan B3, 3.27%, 10/04/23			433		438,165
Numericable U.S. LLC:
Term Loan B10, 4.29%, 1/14/25			479		482,190
Term Loan B7, 5.29%, 1/15/24			143		144,125
SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21			517		519,423
Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24			224		223,995
Trader Corp., Term Loan, 5.00%, 9/28/23			350		351,022
Tribune Media Co., Term Loan C, 3.78%, 1/27/24			884		891,358
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			790		792,778

					13,353,894
Metals & Mining — 0.0%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			100		9,667
Multiline Retail — 0.4%
Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22			497		487,528
Oil, Gas & Consumable Fuels — 4.1%
California Resources Corp.:
Second Out Term Loan, 11.38%, 12/31/21			745		839,369
Term Loan A, 3.78%, 10/01/19			568		546,483
Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21			739		797,730
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			236		240,193
Energy Transfer Equity LP, 2017 Term Loan B, 3.53%, 2/02/24			272		272,346
EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			131		131,441
MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23			901		906,300
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			79		77,248
PowerTeam Services LLC:
1st Lien Term Loan, 4.25%, 5/06/20			113		113,259
2nd Lien Term Loan, 8.25%, 11/06/20			105		104,475
Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20			60		59,139
TPF II Power LLC, Term Loan B, 5.00%, 10/02/21			468		472,131
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			617		623,281

					5,183,395
Personal Products — 0.5%
Revlon Consumer Products Corp., 2016 Term Loan B, 4.28%, 9/07/23			678		681,949

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	15


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Floating Rate Loan Interests (c)	Par (000)			Value
Pharmaceuticals — 4.8%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21		USD	563	$	570,595
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			206		206,313
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			1,492		1,498,078
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22			512		514,314
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			1,557		1,564,813
Valeant Pharmaceuticals International, Inc.:
Series A3 Tranche A, 4.54%, 10/20/18			91		90,784
Series C2 Term Loan B, 5.28%, 12/11/19			878		882,263
Series D2 Term Loan B, 5.03%, 2/13/19			348		349,838
Series E Term Loan B, 5.27%, 8/05/20			208		208,980
Series F1 Term Loan B, 5.53%, 4/01/22			180		181,489

					6,067,467
Professional Services — 2.6%
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21			255		253,272
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			812		813,092
Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24			175		177,079
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22			365		363,635
TransUnion LLC, Term Loan B2, 3.28%, 4/09/23			1,659		1,675,862

					3,282,940
Real Estate Investment Trusts (REITs) — 1.4%
Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22			536		538,446
MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23			1,242		1,251,711

					1,790,157
Real Estate Management & Development — 1.0%
CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20			489		495,061
Realogy Corp., 2017 Term Loan B, 3.03%, 7/20/22			711		716,052

					1,211,113
Semiconductors & Semiconductor Equipment — 0.4%
Cavium, Inc., Term Loan B, 3.78%, 8/16/22			184		185,254
Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23			89		89,379
ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23			219		221,331

					495,964
Software — 6.9%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20			624		626,861
DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23			349		348,106
Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22			633		633,646
Informatica Corp., Term Loan, 4.50%, 8/05/22			918		912,716
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			168		162,878
Kronos, Inc.:
1st Lien Term Loan, 5.00%, 11/01/23			1,040		1,051,804
2nd Lien Term Loan, 9.28%, 11/01/24			385		397,786
Mitchell International, Inc.:
1st Lien Term Loan, 4.54%, 10/13/20			488		490,948
2nd Lien Term Loan, 8.50%, 10/11/21			350		349,345
RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23			501		504,813


Floating Rate Loan Interests (c)	Par (000)			Value
Software (continued)
SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23		USD	726	$	727,352
Solera LLC, Term Loan B, 5.75%, 3/03/23			238		239,491
Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22			557		558,382
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.03%, 7/08/22			1,078		1,083,467
2015 Term Loan B2, 4.03%, 7/08/22			103		103,547
Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20			426		431,061

					8,622,203
Specialty Retail — 2.7%
Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22			253		199,776
Bass Pro Group LLC:
2015 Term Loan, 4.02%, 6/05/20			81		77,673
Asset Sale Term Loan, 5.72%, 6/09/18			150		150,000
Term Loan B, 5.97%, 12/16/23			185		177,472
Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23			185		186,095
Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23			274		275,177
Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23			1,036		1,032,866
Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22			648		643,120
Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23			549		528,846
Things Remembered, Inc., 2016 Term Loan, 6.00%, 2/29/20			227		56,826

					3,327,851
Technology Hardware, Storage & Peripherals — 0.3%
Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23			274		275,986
Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23			53		53,922

					329,908
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22			549		552,880
Thrifts & Mortgage Finance — 0.5%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			616		619,736
Trading Companies & Distributors — 1.0%
Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22			315		316,762
HD Supply, Inc.:
Incremental Term Loan B1, 3.75%, 8/13/21			636		640,198
Incremental Term Loan B2, 3.75%, 10/17/23			234		236,171
Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23			60		60,013

					1,253,144
Transportation — 0.2%
Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22			287		281,358
Wireless Telecommunication Services — 2.5%
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (e)			1,761		1,722,465
LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20			1,221		1,229,974
Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24			235		236,730

					3,189,169
Total Floating Rate Loan Interests — 109.6%					137,533,351

See Notes to Financial Statements.



16	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)


Rights — 0.0%	Shares		Value
Electric Utilities — 0.0%
Tex Energy LLC (b)		10,446	$	14,102



Warrants — 0.0%
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		691		180
Total Long-Term Investments (Cost — $145,324,936) — 116.8%				146,488,839


Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.42% (f)(g)		337,646	$	337,646
Total Short-Term Securities (Cost — $337,646) — 0.3%				337,646
Total Investments (Cost — $145,662,582) — 117.1%				146,826,485
Liabilities in Excess of Other Assets — (17.1)%				(21,406,961	)

Net Assets — 100.0%			$	125,419,524

Notes to Schedule of investments

(a)

Non-income producing security.

(b)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c)

Variable rate security. Rate as of period end.

(d)

Issuer filed for bankruptcy and/or is in default.

(e)

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

(f)

During the six months ended February 28, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at August 31, 2016		Shares Purchased			Shares Sold			Shares Held at February 28, 2017		Value at February 28, 2017		Income		Net Realized Gain¹		Change in Unrealized Appreciation
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		337,646	²		—			337,646	$	337,646	$	971	$	2		—
BlackRock Liquidity Funds, TempFund, Institutional Class		220,100		—		$	(220,100	)³		—		—		—		—		—
iShares iBoxx $ High Yield Corporate Bond ETF		5,864		—			(5,864	)		—		—		6,701		1,068	$	(6,079	)
Total											$	337,646	$	7,672	$	1,070	$	(6,079	)

¹ Includes net capital gain distributions.
² Represents net shares purchased.
³ Represents net shares sold.

(g)

Current yield as of period end.

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


Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Short			Issue	Expiration	Notional Value	Unrealized Appreciation
	(4	)	10-Year U.S. Treasury Note	June 2017	$498,313	$	1,182

Forward Foreign Currency Exchange Contracts

Currency
Purchased

Currency
Sold

Counterparty

Settlement
Date

Unrealized
Appreciation

USD

817,081

GBP

654,000

Barclays Bank PLC

3/06/17

5,517

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	17


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)

Centrally Cleared Interest Rate Swaps

Fixed
Rate

Floating
Rate

Effective
Date

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation

1.92

%¹

3-Month LIBOR

N/A

12/14/21

USD

260

616

1.92

%¹

3-Month LIBOR

N/A

12/14/21

USD

390

888

1.91

%¹

3-Month LIBOR

N/A

12/16/21

USD

400

1,137

Total

2,641

¹ Fund pays a fixed rate and receives the floating rate.

Derivative Financial Instruments Categorized by Risk Exposure

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


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Futures contracts	Net unrealized appreciation¹		—		—		—		—	$	1,182		—	$	1,182
Forward foreign currency exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	5,517		—		—		5,517
Swaps — centrally cleared	Net unrealized appreciation¹		—		—		—		—		2,641		—		2,641

Total			—		—		—	$	5,517	$	3,823		—	$	9,340

¹ Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended February 28, 2017, the effect of derivative financial instruments in the Statements of Operation was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts		Total
Futures contracts		—		—		—		—		$	19,012			—	$	19,012
Forward foreign currency exchange contracts		—		—		—	$	(7,059	)		—			—		(7,059	)
Swaps		—	$	61,842		—		—			3,922			—		65,764

Total		—	$	61,842		—	$	(7,059	)	$	22,934			—	$	77,717


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—		—		—		$	1,522			—	$	1,522
Forward foreign currency exchange contracts		—		—		—	$	4,430			—			—		4,430
Swaps		—		—		—		—			(4,073	)		—		(4,073	)

Total		—		—		—	$	4,430		$	(2,551	)		—	$	1,879


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — short	$	498,188
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	1,193,679
Credit default swaps:
Average notional value — sell protection	$	592,000
Interest rate swaps:
Average notional value — pays fixed rate	$	525,000
Total return swaps:
Average notional value	$	62,500

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

See Notes to Financial Statements.



18	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Defined Opportunity Credit Trust (BHL)

Derivative Financial Instruments — Offsetting as of Period End

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


	Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	62			—
Forward foreign currency exchange contracts		5,517			—
Swaps — Centrally cleared		11			—

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	5,590			—

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)	$	(73	)		—

Total derivative assets and liabilities subject to an MNA	$	5,517			—

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


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets^1,2
Barclays Bank PLC	$	5,517		—		—		—	$	5,517
¹Net amount represents the net amount receivable from the counterparty in the event of default.
²Net 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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	1,463,171		—	$	1,463,171
Corporate Bonds		—		7,478,035		—		7,478,035
Floating Rate Loan Interests		—		130,268,982	$	7,264,369		137,533,351
Rights		—		—		14,102		14,102
Warrants		—		—		180		180
Unfunded Floating Rate Loan Interests¹		—		1,245		—		1,245
Short-Term Securities	$	337,646		—		—		337,646

Total	$	337,646	$	139,211,433	$	7,278,651	$	146,827,730


Derivative Financial Instruments²
Assets:
Foreign currency exchange contracts		—	$	5,517		—	$	5,517
Interest rate contracts	$	1,182		2,641		—		3,823

Total	$	1,182	$	8,158		—	$	9,340

¹ Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
² Derivative financial instruments are forward foreign currency exchange contracts, futures contracts, and swaps. Forward foreign currency exchange contracts, futures contracts, and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end bank borrowings payable of $28,000,000 are categorized as Level 2 within the disclosure hierarchy.

During the six months ended February 28, 2017, there were no transfers between Level 1 and Level 2.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	19


Schedule of Investments (concluded)		BlackRock Defined Opportunity Credit Trust (BHL)

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


	Asset-Backed Securities			Floating Rate Loan Interests			Rights		Warrants			Total
Assets:
Opening balance, as of August 31, 2016	$	489,393		$	7,792,714			—	$	1,408		$	8,283,515
Transfers into Level 3¹		—			3,379,601			—		—			3,379,601
Transfers out of Level 3²		(489,393	)		(4,024,602	)		—		—			(4,513,995	)
Accrued discounts/premiums		—			15,621			—		—			15,621
Net realized gain (loss)		—			14,258			—		—			14,258
Net change in unrealized appreciation (depreciation)^3,4		—			58,156		$	14,102		(1,228	)		71,030
Purchases		—			1,629,076			—		—			1,629,076
Sales		—			(1,600,455	)		—		—			(1,600,455	)

Closing Balance, as of February 28, 2017		—		$	7,264,369		$	14,102	$	180		$	7,278,651

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017⁴		—		$	42,015		$	14,102	$	(1,228	)	$	54,889

¹ As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
² As of August 31, 2016, t