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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT

FEBRUARY 28, 2017

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, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund 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.
³ Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.
⁴ Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

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

See Notes to Financial Statements.



20	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017

Consolidated Schedule of Investments February 28, 2017 (Unaudited)

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

(Percentages shown are based on Net Assets)


Common Stocks (a)		Shares		Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc.			167,777	$	33,555
Diversified Financial Services — 0.1%
Kcad Holdings I Ltd.			309,827,230		666,129
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.			14,906		15,845
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.			1,860		16,294
Specialty Retail — 0.0%
Things Remembered, Inc.			932,803		—
Total Common Stocks — 0.1%					731,823



Asset-Backed Securities (b)(c)		Par (000)
Asset-Backed Securities — 2.5%
ALM Loan Funding, Series 2012-5A, Class BR, 4.02%, 10/18/27	USD		250		250,487
ALM VII R Ltd., Series 2013-7RA, Class BR, 3.72%, 10/15/28			250		251,084
ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26			463		460,553
ALM XVII Ltd., Series 2015-17A, Class C1, 5.17%, 1/15/28			500		501,698
AMMC CLO Ltd., Series 2014-15A, Class D, 5.15%, 12/09/26			250		251,403
Ares CLO Ltd., Series 2016-40A, Class C, 4.55%, 10/15/27			250		250,872
Ares XXXII CLO, Ltd., Series 2014-32A, Class CR, 4.49%, 11/15/25			1,000		1,000,000
Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, 2.91%, 12/05/25			450		449,019
Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, 4.63%, 10/15/26			750		750,408
Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24			1,350		1,353,370
Atrium X, Series 10A, Class D, 4.52%, 7/16/25			250		250,203
Atrium XII, Series 12A, Class D, 4.94%, 10/22/26			250		249,374
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, 3.05%, 1/20/29			500		498,544
Benefit Street Partners CLO VIII Ltd., Series 2015-8A:
Class B, 4.03%, 1/20/28			500		501,405
Class C, 4.93%, 1/20/28			500		501,730
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 5.04%, 2/14/25			250		250,696
CIFC Funding Ltd.:
Series 2013-1A, Class A2, 2.92%, 4/16/25			475		475,548
Series 2013-4A, Class DR, 4.29%, 11/27/24			250		250,000
Series 2014-2A, Class A3LR, 3.28%, 5/24/26			280		280,000
Series 2014-3A, Class C1, 3.84%, 7/22/26			250		251,658
Dryden 36 Senior Loan Fund, Series 2014-36A, Class CR, 3.94%, 1/15/28			250		250,125


Asset-Backed Securities (b)(c)		Par (000)		Value
Asset-Backed Securities (continued)
Grippen Park CLO Ltd., Series 2017-1A, Class C, 3.35%, 1/20/30 (d)	USD		280	$	280,000
LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27			1,000		686,227
Seneca Park CLO Ltd., Series 2014-1A, Class C, 3.92%, 7/17/26			250		251,656
Sound Point CLO III Ltd., Series 2013-2A, Class D, 4.92%, 7/15/25			250		249,481
TCI-Cent CLO Ltd., Series 2016-1A, Class A2, 3.32%, 12/21/29			300		302,351
Treman Park CLO LLC, Series 2015-1A, Class D, 4.89%, 4/20/27			1,400		1,403,997
Venture XIX CLO Ltd., Series 2014-19A, Class BR, 3.02%, 1/15/27			250		250,625
Voya CLO Ltd., Series 2014-4A, Class C, 5.02%, 10/14/26			1,000		1,001,683
Webster Park CLO Ltd., Series 2015-1A, Class C, 5.08%, 1/20/27			500		501,858
Total Asset-Backed Securities — 2.5%					14,206,055



Corporate Bonds
Airlines — 0.5%
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18			2,605		2,663,611
Banks — 0.0%
CIT Group, Inc., 5.00%, 8/01/23			135		142,763
Capital Markets — 0.2%
Blackstone CQP Holdco LP, 9.30%, 3/19/19 (c)			1,059		1,070,806
Chemicals — 0.5%
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (c)			1,714		2,402,004
Momentive Performance Materials, Inc., 3.88%, 10/24/21			635		622,300

					3,024,304
Communications Equipment — 0.2%
Avaya, Inc., 7.00%, 4/01/19 (a)(c)(e)			1,347		1,074,233
Consumer Finance — 0.1%
Ally Financial, Inc., 8.00%, 11/01/31			300		369,000
Containers & Packaging — 1.3%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (c):
3.96%, 12/15/19(b)			340		347,007
4.29%, 5/15/21(b)			608		623,960
4.25%, 9/15/22(d)			780		791,700
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.25%, 5/15/24 (c)			300		327,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 4.52%, 7/15/21 (b)(c)			5,360		5,500,700

					7,590,367
Diversified Consumer Services — 0.1%
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (c)			300		328,125
Electric Utilities — 0.0%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20 (a)(c)			1,061		—

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	21


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Corporate Bonds	Par (000)			Value
Energy Equipment & Services — 0.4%
Transocean, Inc., 9.00%, 7/15/23 (c)		USD	1,593	$	1,716,457
Weatherford International Ltd., 9.88%, 2/15/24 (c)			325		375,375

					2,091,832
Environmental, Maintenance, & Security Service — 0.1%
Tervita Escrow Corp., 7.63%, 12/01/21 (c)			540		564,300
Health Care Providers & Services — 0.4%
CHS/Community Health Systems, Inc., 5.13%, 8/01/21			1,540		1,513,050
HCA, Inc., 5.25%, 6/15/26			325		343,281
HealthSouth Corp., 5.75%, 11/01/24			325		331,500
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (c)			70		75,250

					2,263,081
Independent Power and Renewable Electricity Producers — 0.3%
NRG Energy, Inc., 6.25%, 7/15/22			1,505		1,531,337
Internet Software & Services — 0.1%
Equinix, Inc., 5.75%, 1/01/25			325		344,500
Symantec Corp., 5.00%, 4/15/25 (c)			280		287,404

					631,904
IT Services — 0.0%
Millennium Corp., 12/31/49			3,115		—
Media — 1.2%
Altice Financing SA (c):
6.63%, 2/15/23			550		578,875
7.50%, 5/15/26			875		939,531
Altice US Finance I Corp., 5.50%, 5/15/26 (c)			350		361,812
Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20			325		327,438
CSC Holdings LLC, 10.88%, 10/15/25 (c)			275		331,375
SFR Group SA (c):
6.00%, 5/15/22			842		873,314
6.25%, 5/15/24			1,040		1,055,590
7.38%, 5/01/26			1,857		1,924,316
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (c)			350		353,938

					6,746,189
Metals & Mining — 0.9%
Constellium NV, 6.63%, 3/01/25 (c)			300		298,313
Freeport-McMoRan, Inc.:
2.38%, 3/15/18			771		767,145
3.10%, 3/15/20			1,150		1,127,000
3.88%, 3/15/23			625		575,000
Novelis Corp., 6.25%, 8/15/24 (c)			600		636,000
Teck Resources Ltd.:
4.50%, 1/15/21			839		869,938
3.75%, 2/01/23			595		580,006

					4,853,402
Oil, Gas & Consumable Fuels — 1.5%
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (c)			670		750,400
CONSOL Energy, Inc., 5.88%, 4/15/22			2,262		2,205,450
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (c)			140		149,100
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c)			995		1,049,725
Halcon Resources Corp., 6.75%, 2/15/25 (c)			1,695		1,678,050
MEG Energy Corp., 6.50%, 1/15/25 (c)			661		646,128
NGPL PipeCo LLC, 7.12%, 12/15/17 (c)			381		394,811


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Noble Holding International Ltd., 7.75%, 1/15/24		USD	280	$	272,300
Rowan Cos., Inc., 7.38%, 6/15/25			340		352,750
Sanchez Energy Corp., 6.13%, 1/15/23			820		787,200
Whiting Petroleum Corp., 5.75%, 3/15/21			290		288,550

					8,574,464
Real Estate Investment Trusts (REITs) — 0.1%
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.63%, 5/01/24 (c)			800		846,000
Road & Rail — 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17 (b)			295		295,000
Software — 0.1%
CDW LLC/CDW Finance Corp., 5.50%, 12/01/24			325		341,250
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (c)			300		342,000

					683,250
Wireless Telecommunication Services — 0.1%
Sprint Communications, Inc., 7.00%, 8/15/20			325		350,594
Total Corporate Bonds — 8.2%					45,694,562



Floating Rate Loan Interests (b)
Aerospace & Defense — 2.1%
BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21			2,217		2,225,946
Engility Corp.:
Term Loan B1, 5.03%, 8/12/20			346		348,613
Term Loan B2, 4.53%, 8/12/23			635		641,489
TransDigm, Inc.:
2015 Term Loan E, 3.78%, 5/14/22			865		868,555
2016 Extended Term Loan F, 3.78%, 6/09/23			6,351		6,381,904
Term Loan D, 4.00%, 6/04/21			1,137		1,140,739

					11,607,246
Air Freight & Logistics — 2.0%
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.50%, 1/13/22			6,299		6,407,635
CEVA Group PLC, Term Loan Synthetic LOC, 6.50%, 3/19/21			733		637,251
CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21			753		654,726
CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21			130		112,886
CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21			1,002		872,029
XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21			2,593		2,614,272

					11,298,799
Airlines — 0.1%
Northwest Airlines, Inc. Term Loan:
3.08%, 3/10/17			130		130,399
2.46%, 9/10/18			478		472,205

					602,604

See Notes to Financial Statements.



22	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Auto Components — 1.2%
Anchor Glass Container Corp.:
2016 1st Lien Term Loan, 4.25%, 12/07/23		USD	530	$	536,185
2016 2nd Lien Term Loan, 8.75%, 12/07/24			395		402,406
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,015		953,351
Gates Global LLC, Term Loan B, 4.25%, 7/06/21			4,093		4,093,411
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.78%, 4/30/19			582		581,667
GPX International Tire Corp., Term Loan (a)(e):
12.25%, 12/31/49			1,097		—
PIK, 13.00%, 12/31/49 (f)			18		—

					6,567,020
Automobiles — 0.4%
CH Hold Corp.:
1st Lien Term Loan, 4.03%, 2/01/24			1,175		1,186,608
2nd Lien Term Loan, 8.28%, 2/01/25			245		249,287
Delayed Draw Term Loan B, 0.00%, 1/18/24			120		121,346
FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18			475		475,299

					2,032,540
Biotechnology — 0.1%
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21			792		790,207
Building Materials — 1.0%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.54%, 7/28/23			645		653,869
2015 Term Loan, 4.79%, 7/28/22			838		839,243
2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22			441		443,211
2016 Incremental Term Loan, 5.50%, 7/28/22			3,627		3,648,420

					5,584,743
Building Products — 2.8%
Continental Building Products LLC, 2017 Term Loan B, 3.53%, 8/18/23			1,123		1,131,832
CPG International, Inc., Term Loan, 4.75%, 9/30/20			5,113		5,141,898
GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21			1,552		1,561,069
Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22			1,773		1,783,581
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			924		928,283
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23			2,215		2,240,605
Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23			2,748		2,763,698

					15,550,966
Capital Markets — 0.4%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			639		636,674
RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22			1,385		1,400,736

					2,037,410
Chemicals — 4.2%
Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23			421		424,668


Floating Rate Loan Interests (b)	Par (000)			Value
Chemicals (continued)
Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23		USD	317	$	319,941
Atotech BV, 2017 Term Loan B1, 4.00%, 1/31/24			1,025		1,035,250
Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23			1,618		1,637,347
CeramTec Acquisition Corp., Term Loan B2, 4.30%, 8/30/20			114		114,050
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22			934		936,731
Chemours Co., Term Loan B, 3.79%, 5/12/22			1,189		1,196,860
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			302		267,520
Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23			2,151		2,173,196
Klockner-Pentaplast of America, Inc.:
1st Lien Term Loan, 4.25%, 4/28/20			1,138		1,146,901
German Borrower, 4.25%, 4/28/20			486		490,128
MacDermid, Inc.:
2016 Term Loan, 5.00%, 6/07/23			1,709		1,727,146
Term Loan B5, 4.50%, 6/07/20			1,916		1,939,435
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			3,025		2,987,634
PQ Corp., 2016 Term Loan, 5.29%, 11/04/22			1,385		1,404,495
Royal Holdings, Inc.:
2015 2nd Lien Term Loan, 8.50%, 6/19/23			257		256,872
2017 Term Loan B, 4.25%, 6/30/22			1,118		1,124,616
Solenis International LP:
1st Lien Term Loan, 4.30%, 7/31/21			1,493		1,498,103
2nd Lien Term Loan, 7.80%, 7/31/22			1,725		1,702,713
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			460		460,328
Versum Materials, Inc., Term Loan, 3.50%, 9/29/23			953		963,930

					23,807,864
Commercial Services & Supplies — 8.0%
ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22			1,157		1,161,718
Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23			3,350		3,383,229
Aramark Services, Inc.:
Term Loan E, 3.28%, 9/07/19			1,776		1,793,161
Term Loan F, 3.50%, 2/24/21			845		853,294
Asurion LLC:
2016 Term Loan B2, 4.03%, 7/08/20			572		577,874
Term Loan B4, 4.25%, 8/04/22			2,041		2,065,232
Term Loan B5, 4.75%, 11/03/23			2,130		2,157,050
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20			2,818		2,818,123
Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23			2,135		2,158,217
Casella Waste Systems, Inc., Term Loan B, 4.00%, 10/17/23			940		944,700
Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21			3,634		3,676,538
Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24			2,090		2,109,604
Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21			1,000		1,015,065
Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20			374		348,063

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	23


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Commercial Services & Supplies (continued)
GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23		USD	1,870	$	1,888,405
Harland Clarke Holdings Corp., Term Loan B6, 7.00%, 2/02/22			95		95,594
KAR Auction Services, Inc.:
Term Loan B2, 4.19%, 3/11/21			1,315		1,325,845
Term Loan B3, 4.50%, 3/09/23			1,757		1,777,595
Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19			1,312		1,294,906
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22			2,332		2,353,408
PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21			1,617		1,641,328
Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19			3,608		3,593,019
TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23			1,010		1,022,549
US Ecology, Inc., Term Loan, 3.78%, 6/17/21			648		651,971
US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23			2,121		2,144,840
Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20			2,094		2,104,437

					44,955,765
Communications Equipment — 0.8%
Applied Systems, Inc.:
1st Lien Term Loan, 4.00%, 1/25/21			910		915,726
2nd Lien Term Loan, 7.50%, 1/24/22			376		378,668
Avaya, Inc.:
DIP Term Loan, 8.50%, 1/24/18			60		61,908
Term Loan B7, 6.28%, 5/29/20 (a)(e)			249		198,422
CommScope, Inc., Term Loan B5, 3.28%, 12/29/22			904		911,749
Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22			1,963		1,977,783

					4,444,256
Construction & Engineering — 1.0%
CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23			1,325		1,332,447
Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23			3,387		3,428,844
USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23			850		854,786

					5,616,077
Construction Materials — 0.8%
Filtration Group Corp., 1st Lien Term Loan, 4.30%, 11/21/20			3,542		3,569,337
Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22			712		713,758
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19			350		352,079

					4,635,174
Containers & Packaging — 2.4%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21			1,809		1,813,331
Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21			588		592,678
Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22			5,801		5,840,016
BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23			3,771		3,771,851
Flex Acquisition Company, Inc., 1st Lien Term Loan, 4.25%, 12/29/23			1,185		1,192,999


Floating Rate Loan Interests (b)	Par (000)			Value
Containers & Packaging (continued)
Prolampac Intermediate Inc., 2016 1st Lien Term Loan, 5.06%, 11/18/23		USD	380	$	385,890

					13,596,765
Distributors — 0.6%
American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23			2,681		2,703,078
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			935		930,417

					3,633,495
Diversified Consumer Services — 3.4%
Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23			2,955		2,984,943
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21			1,184		1,118,968
J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23			1,257		1,269,419
Serta Simmons Bedding LLC, 1st Lien Term Loan, 9.54%, 11/08/23			4,750		4,769,902
Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24			1,065		1,084,969
ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23			4,190		4,231,900
Wand Intermediate I LP, 1st Lien Term Loan, 4.75%, 9/17/21			1,386		1,397,948
Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20			2,231		1,956,869

					18,814,918
Diversified Financial Services — 1.3%
AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22			1,896		1,913,662
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			956		959,083
Jefferies Finance LLC, Term Loan, 4.56%, 5/14/20			2,733		2,712,875
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			1,674		1,687,866

					7,273,486
Diversified Telecommunication Services — 6.6%
Consolidated Communications, Inc.:
2016 Term Loan B, 4.00%, 10/04/23			673		677,157
Term Loan B2, 4.00%, 10/05/23			455		457,598
Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19			2,648		2,648,362
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.29%, 8/14/20			2,244		2,244,698
2nd Lien Term Loan, 9.75%, 2/12/21			750		749,393
Level 3 Financing Inc., 2017 Term Loan B, 2.50%, 2/14/24			11,590		11,643,777
Sprint Communications, Inc., 1st Lien Term Loan B, 3.31%, 2/02/24			2,905		2,909,154
Telenet International Finance Sarl, Term Loan AF, 3.77%, 1/31/25			4,035		4,070,306
Telesat Canada, 2017 Term Loan B, 3.85%, 11/17/23			1,144		1,155,574
Virgin Media Investment Holdings Ltd.:
Term Loan I, 3.52%, 1/31/25			2,585		2,595,056
Term Loan J, 3.72%, 1/31/26		GBP	2,830		3,543,479
Zayo Group LLC:
3.53%, 1/19/24		USD	4,125		4,163,610

					36,858,164

See Notes to Financial Statements.



24	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Electric Utilities — 2.3%
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17		USD	6,096	$	6,111,701
Lightstone Generation LLC:
Term Loan B, 6.54%, 11/22/23			1,000		1,013,950
Term Loan C, 6.54%, 11/22/23			95		96,567
PrimeLine Utility Services LLC, Term Loan, 6.50%, 11/12/22			1,370		1,383,318
TEX Operations Co. LLC:
Exit Term Loan B, 3.53%, 8/04/23			2,723		2,735,570
Exit Term Loan C, 3.53%, 8/04/23			621		624,110
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17			1,710		—
Vistra Operations Co. LLC, 2016 Term Loan B2, 4.02%, 12/14/23			725		729,190

					12,694,406
Electronic Equipment, Instruments & Components — 0.1%
CPI Acquisition, Inc., Term Loan B, 5.83%, 8/17/22			650		583,662
Energy Equipment & Services — 0.7%
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			857		607,549
Gavilan Resources LLC, 2nd Lien Term Loan, 7.50%, 2/24/24			1,490		1,475,100
Weatherford International Ltd., Term Loan, 3.09%, 7/13/20			1,642		1,604,793

					3,687,442
Food & Staples Retailing — 4.1%
Albertsons LLC:
2016 Term Loan B4, 3.78%, 8/22/21			4,503		4,556,831
2016 Term Loan B5, 4.25%, 12/22/22			370		374,699
BJ’s Wholesale Club, Inc.:
2017 1st Lien Term Loan, 4.75%, 2/03/24			3,795		3,764,185
2017 2nd Lien Term Loan, 8.50%, 2/03/25			1,110		1,108,379
Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22			2,768		2,800,625
Rite Aid Corp.:
5.75%, 8/21/20			1,247		1,249,638
4.88%, 6/21/21			2,373		2,381,382
US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23			6,542		6,622,266

					22,858,005
Food Products — 2.9%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21			1,034		1,022,086
Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23			1,565		1,583,592
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			1,061		1,048,129
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			2,619		2,626,810
JBS USA LLC, 2017 Term Loan B, 3.28%, 10/30/22			2,020		2,030,948
Pinnacle Foods Finance LLC, 2017 Term Loan B, 2.25%, 2/02/24			2,640		2,652,091
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,591		1,567,302
2nd Lien Term Loan, 10.75%, 11/01/19			532		464,835
Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23			3,238		3,262,053

					16,257,846


Floating Rate Loan Interests (b)	Par (000)			Value
Health Care Equipment & Supplies — 4.1%
Alere, Inc.:
2015 Term Loan A, 3.78%, 6/18/20		USD	459	$	459,196
2015 Term Loan B, 4.25%, 6/18/22			1,896		1,898,825
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			2,445		2,464,933
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			3,789		3,796,176
Cotiviti Corp., Term Loan B, 3.75%, 9/28/23			2,604		2,622,347
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			2,905		2,850,303
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			2,272		2,242,327
Mallinckrodt International Finance SA, Term Loan B, 3.75%, 9/24/24			1,210		1,214,538
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			3,421		3,418,923
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			2,249		2,227,163

					23,194,731
Health Care Providers & Services — 9.9%
Acadia Healthcare Co., Inc.:
Term Loan B, 3.78%, 2/11/22			460		462,874
Term Loan B2, 3.78%, 2/16/23			2,138		2,155,101
CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23			3,399		3,441,804
Community Health Systems, Inc.:
Term Loan F, 4.19%, 12/31/18			3,203		3,193,951
Term Loan G, 3.75%, 12/31/19			1,443		1,430,148
Term Loan H, 4.00%, 1/27/21			702		689,170
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22			647		649,426
DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/21			5,557		5,625,239
Envision Healthcare Corp., 2016 Term Loan B, 4.00%, 12/01/23			7,620		7,712,050
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			1,434		1,383,670
HCA, Inc., Term Loan B6, 4.03%, 3/17/23			5,185		5,223,592
inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23			4,105		4,130,448
MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23			2,523		2,561,150
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			485		485,470
NVA Holdings, Inc.:
1st Lien Term Loan, 4.75%, 8/14/21			507		509,709
1st Lien Term Loan B2, 4.50%, 8/14/21			90		91,185
2016 Term Loan, 5.50%, 8/14/21			908		908,197
Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22			1,642		1,662,272
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			3,071		3,069,221
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20			1,834		1,844,774
Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22			2,511		2,513,948
Team Health, Inc., 1st Lien Term Loan, 3.75%, 2/06/24			3,005		2,995,624
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			1,315		1,209,494
Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23			1,817		1,840,752

					55,789,269

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	25


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Health Care Technology — 2.3%
Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.75%, 2/08/24		USD	7,685	$	7,717,047
IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21			3,277		3,290,637
Press Ganey Holdings, Inc.:
1st Lien Term Loan, 4.25%, 10/21/23			1,365		1,366,706
2nd Lien Term Loan, 8.25%, 10/21/24			495		502,425

					12,876,815
Hotels, Restaurants & Leisure — 7.7%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			2,744		2,746,163
2nd Lien Term Loan, 8.00%, 8/01/22			1,036		1,039,350
AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23			1,164		1,167,959
Boyd Gaming Corp.:
Term Loan B, 4.00%, 8/14/20			742		745,433
Term Loan B2, 3.71%, 9/15/23			1,746		1,764,630
Bronco Midstream Funding LLC, Term Loan B, 5.06%, 8/15/20			2,348		2,359,584
Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24			4,687		4,683,692
Caesars Entertainment Operating Co., Term Loan B7, 6.00%, 3/01/22			2,435		2,924,021
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			7,570		7,633,387
CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21			1,349		1,358,619
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22			2,068		2,091,185
ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23			3,237		3,258,737
Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23			225		228,053
Gateway Casinos & Entertainment Ltd., Term Loan B1, 5.25%, 2/14/23			305		306,717
Hilton Worldwide Finance LLC:
Term Loan B1, 3.50%, 10/26/20			173		173,781
Term Loan B2, 3.28%, 10/25/23			1,636		1,642,898
La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21			827		832,207
Penn National Gaming, Inc., 2017 Term Loan B, 3.28%, 1/19/24			385		387,968
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21			1,253		1,263,449
Sabre Inc., Term Loan B, 3.53%, 2/08/24			2,585		2,603,904
Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21			1,903		1,932,818
Station Casinos LLC, 2016 Term Loan B, 3.28%, 6/08/23			813		816,444
Yum! Brands, Inc., 1st Lien Term Loan B, 3.53%, 6/16/23			1,448		1,466,126

					43,427,125
Household Products — 0.6%
Spectrum Brands, Inc., 2016 Term Loan, 3.51%, 6/23/22			3,263		3,302,924
Independent Power and Renewable Electricity Producers — 2.6%
Aria Energy Operating LLC, Term Loan, 5.55%, 5/27/22			1,209		1,204,658
Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20			1,049		1,048,619
Calpine Corp.:
Term Loan B5, 3.75%, 1/15/24			1,123		1,128,624
Term Loan B6, 3.75%, 1/15/23			2,128		2,138,142
Term Loan B7, 3.75%, 5/31/23			770		774,709


Floating Rate Loan Interests (b)	Par (000)			Value
Independent Power and Renewable Electricity Producers (continued)
Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23		USD	3,704	$	3,740,947
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			3,303		3,334,742
Term Loan C, 5.00%, 12/19/21			148		149,723
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21			1,098		1,012,661

					14,532,825
Industrial Conglomerates — 0.8%
Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23			2,918		2,938,188
Power Products LLC, Term Loan, 5.44%, 12/20/22			835		841,789
Sequa Corp., Term Loan B, 5.25%, 6/19/17			509		489,549

					4,269,526
Insurance — 2.3%
Alliant Holdings I, Inc., 2015 Term Loan B, 4.50%, 8/12/22			1,672		1,685,959
AmWINS Group, Inc.:
2017 2nd Lien Term Loan, 7.75%, 1/25/25			295		299,794
2017 Term Loan B, 3.75%, 1/25/24			1,880		1,889,400
AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22			2,208		2,231,203
Hub International Ltd., Term Loan B, 4.03%, 10/02/20			899		906,289
Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (f)			1,160		1,209,300
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,974		1,978,617
2016 1st Lien Term Loan, 4.25%, 3/01/21			900		906,670
2nd Lien Term Loan, 6.75%, 2/28/22			1,805		1,810,270

					12,917,502
Internet & Direct Marketing Retail — 0.5%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23			3,046		3,048,061
Internet Software & Services — 1.6%
Go Daddy Operating Co, LLC,:
Delayed Draw Term Loan, 2.50%, 2/10/24			2,157		2,162,089
Term Loan B, 2.75%, 2/02/24			1,624		1,627,257
GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24			365		370,019
Rackspace Hosting, Inc., 1st Lien Term Loan, 4.53%, 11/03/23			3,335		3,370,451
WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19			1,450		1,455,508

					8,985,324
IT Services — 6.0%
Abacus Innovations Corp., Term Loan B, 3.06%, 8/16/23			4,072		4,119,846
Cision US, Inc., Term Loan B, 7.00%, 6/16/23			1,224		1,230,985
First Data Corp.:
2016 Repriced Term Loan, 4.00%, 7/10/22			853		858,883
2016 Term Loan, 3.78%, 3/24/21			12,211		12,315,950
Term Loan A, 2.78%, 6/02/20			652		652,172
Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23			1,646		1,662,948

See Notes to Financial Statements.



26	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
IT Services (continued)
TKC Holdings, Inc.:
2017 2nd Lien Term Loan, 8.50%, 2/01/24		USD	752	$	753,414
2017 Term Loan, 4.75%, 2/01/23			2,020		2,035,150
Vantiv LLC, 2014 Term Loan B, 3.27%, 10/14/23			1,107		1,117,583
VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23			4,788		4,826,926
WEX, Inc., Term Loan B, 4.28%, 7/01/23			3,761		3,817,517

					33,391,374
Machinery — 2.8%
Columbus McKinnon Corp., Term Loan B, 4.00%, 1/31/24			229		230,457
Faenza Acquisition GmbH:
Term Loan B1, 4.30%, 8/30/20			975		977,393
Term Loan B3, 4.30%, 8/30/20			298		298,347
Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20			1,142		1,138,928
Global Brass & Copper, Inc., 2016 Term Loan B, 5.25%, 7/18/23			1,127		1,144,083
Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22			1,970		1,980,189
Milacron LLC, Amended Term Loan B, 3.00%, 6/20/23			500		502,190
Mueller Water Products, Inc., 2017 Term Loan B, 3.28%, 11/26/21			784		791,354
Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20			951		956,539
Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23			2,162		2,174,313
Signode Industrial Group US, Inc., Term Loan B, 4.00%, 5/01/21			923		926,037
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			3,683		3,511,075
Wabash National Corp., 2017 Term Loan B, 7.29%, 3/18/22			1,267		1,273,264

					15,904,169
Media — 11.4%
Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25			4,104		4,146,603
AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23			720		727,560
CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23			996		1,004,943
Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24			8,297		8,347,352
CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24			3,491		3,524,696
Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23			525		526,760
Gray Television, Inc., 2017 Term Loan B, 3.28%, 2/28/24			655		659,912
Hemisphere Media Holdings LLC, 2017 Term Loan B, 4.27%, 2/08/24			1,586		1,582,430
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			2,416		2,242,004
iHeartCommunications, Inc.:
Extended Term Loan E, 8.28%, 7/30/19			515		445,475
Term Loan D, 7.53%, 1/30/19			5,966		5,176,877
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			5,990		5,948,706
Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23			1,829		1,849,983


Floating Rate Loan Interests (b)	Par (000)			Value
Media (continued)
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.52%, 1/07/22		USD	1,215	$	1,211,962
Live Nation Entertainment, Inc., Term Loan B2, 3.31%, 10/31/23			484		489,433
MCC Iowa LLC, Term Loan J, 3.50%, 6/30/21			512		515,233
Mediacom Illinois LLC, Term Loan K, 3.00%, 2/15/24			1,089		1,093,284
Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24			414		420,139
Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24			4,357		4,424,136
Numericable U.S. LLC:
Term Loan B10, 4.29%, 1/14/25			817		822,917
Term Loan B7, 5.29%, 1/15/24			628		633,155
SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21			4,426		4,444,934
Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24			196		196,283
Trader Corp., Term Loan, 5.00%, 9/28/23			1,565		1,569,570
Tribune Media Co., Term Loan C, 3.78%, 1/27/24			3,908		3,940,862
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			3,678		3,691,008
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21			245		245,664
Ziggo Secured Finance Partnership, Term Loan E, 2.50%, 4/23/25			4,205		4,217,026

					64,098,907
Metals & Mining — 0.1%
WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23			748		753,422
Multiline Retail — 0.4%
Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22			2,208		2,167,437
Oil, Gas & Consumable Fuels — 5.2%
Arch Coal Inc., 2017 Term Loan B, 5.50%, 2/17/24			450		450,000
California Resources Corp.:
Second Out Term Loan, 11.38%, 12/31/21			3,390		3,819,411
Term Loan A, 3.78%, 10/01/19			2,542		2,444,650
Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21			3,486		3,765,397
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			1,060		1,077,137
Drillships Financing Holding, Inc., Term Loan B1, 6.06%, 3/31/21			1,018		832,361
Energy Transfer Equity LP, 2017 Term Loan B, 3.53%, 2/02/24			2,452		2,458,605
EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			587		589,051
MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23			3,970		3,991,134
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			350		342,582
Peabody Energy Corp., Exit Term Loan, 5.54%, 1/30/22			580		584,106
PowerTeam Services LLC:
1st Lien Term Loan, 4.25%, 5/06/20			503		502,280
2nd Lien Term Loan, 8.25%, 11/06/20			470		467,650
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,409		1,380,998
Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20			261		258,864

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	27


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
TPF II Power LLC, Term Loan B, 5.00%, 10/02/21		USD	1,965	$	1,982,576
Ultra Resources, Inc., Revolver, 3.75%, 4/06/17 (a)(e)			1,222		1,247,968
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			2,729		2,756,088

					28,950,858
Personal Products — 0.9%
Prestige Brands, Inc., Term Loan B4, 3.53%, 1/26/24			2,119		2,144,966
Revlon Consumer Products Corp., 2016 Term Loan B, 4.28%, 9/07/23			2,988		3,003,585

					5,148,551
Pharmaceuticals — 5.5%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21			2,483		2,517,442
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			893		892,425
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			6,056		6,081,302
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22			1,378		1,383,849
Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 2.97%, 1/31/25			5,725		5,743,778
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			6,381		6,412,830
Valeant Pharmaceuticals International, Inc.:
Series A3 Tranche A, 4.54%, 10/20/18			401		401,385
Series C2 Term Loan B, 5.28%, 12/11/19			3,941		3,958,018
Series D2 Term Loan B, 5.03%, 2/13/19			1,091		1,095,609
Series E Term Loan B, 5.27%, 8/05/20			1,397		1,404,668
Series F1 Term Loan B, 5.53%, 4/01/22			771		775,979

					30,667,285
Professional Services — 2.6%
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21			1,099		1,093,665
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,162		3,165,855
Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24			785		794,326
SIRVA Worldwide, Inc., 2016 Term Loan, 7.50%, 11/14/22			821		802,527
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22			1,622		1,613,628
TransUnion LLC, Term Loan B2, 3.28%, 4/09/23			7,330		7,405,854

					14,875,855
Real Estate Investment Trusts (REITs) — 1.3%
Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22			2,370		2,380,416
MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23			4,692		4,728,370

					7,108,786
Real Estate Management & Development — 1.5%
CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20			2,154		2,179,896
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.29%, 11/04/21			1,872		1,881,799


Floating Rate Loan Interests (b)	Par (000)			Value
Real Estate Management & Development (continued)
Realogy Corp.:
2017 Term Loan B, 3.03%, 7/20/22		USD	3,128	$	3,151,204
Term Loan A, 2.77%, 10/23/20			1,087		1,083,697

					8,296,596
Road & Rail — 0.2%
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.05%, 6/13/23			1,242		1,247,215
Semiconductors & Semiconductor Equipment — 0.4%
Cavium, Inc., Term Loan B, 3.78%, 8/16/22			813		820,413
Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23			440		443,009
ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23			1,047		1,056,351

					2,319,773
Software — 8.6%
Aptean, Inc., 2016 1st Lien Term Loan, 6.00%, 12/20/22			580		587,975
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20			3,051		3,066,169
DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23			1,556		1,551,556
Hyland Software, Inc., 2017 Term Loan, 4.28%, 7/01/22			395		400,114
Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22			3,705		3,707,610
Informatica Corp., Term Loan, 4.50%, 8/05/22			4,072		4,046,090
IPS Corp., 2016 1st Lien Term Loan, 6.25%, 12/20/23			640		644,800
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			737		713,853
Kronos, Inc.:
1st Lien Term Loan, 5.00%, 11/01/23			4,610		4,662,324
2nd Lien Term Loan, 9.28%, 11/01/24			1,695		1,751,291
LANDesk Group, Inc., 2017 Term Loan B, 5.25%, 1/20/24			400		401,928
Mitchell International, Inc.:
1st Lien Term Loan, 4.54%, 10/13/20			2,111		2,122,576
2nd Lien Term Loan, 8.50%, 10/11/21			1,600		1,597,008
Optiv Security, Inc.:
1st Lien Term Loan, 4.25%, 2/01/24			2,885		2,902,137
2nd Lien Term Loan, 8.25%, 2/01/25			756		764,977
RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23			2,216		2,234,722
SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23			3,229		3,233,231
Solera LLC, Term Loan B, 5.75%, 3/03/23			1,378		1,384,966
Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22			2,482		2,489,717
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.03%, 7/08/22			4,750		4,771,630
2015 Term Loan B2, 4.03%, 7/08/22			456		458,454
Synchronoss Technologies, Inc., Term Loan, 3.78%, 1/19/24			1,960		1,964,900
Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20			1,911		1,934,738
Veritas US Inc., Term Loan B1, 6.63%, 1/27/23			712		709,999

					48,102,765
Specialty Retail — 2.8%
Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22			1,787		1,409,744

See Notes to Financial Statements.



28	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Floating Rate Loan Interests (b)	Par (000)			Value
Specialty Retail (continued)
Bass Pro Group LLC:
2015 Term Loan, 4.02%, 6/05/20		USD	351	$	336,265
Asset Sale Term Loan, 5.72%, 6/09/18			665		665,000
Term Loan B, 5.97%, 12/16/23			820		786,634
Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23			803		809,765
Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23			1,562		1,566,883
Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23			4,529		4,515,802
Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22			2,862		2,839,691
Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23			2,435		2,344,072
Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20			986		246,483

					15,520,339
Technology Hardware, Storage & Peripherals — 0.6%
Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23			2,584		2,599,285
Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23			233		234,946
Western Digital Corp., Term Loan A, 2.78%, 4/29/21			397		397,658

					3,231,889
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22			2,422		2,438,170
Thrifts & Mortgage Finance — 0.5%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			2,741		2,758,519
Trading Companies & Distributors — 1.0%
Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22			1,384		1,390,426
HD Supply, Inc.:
Incremental Term Loan B1, 3.75%, 8/13/21			2,825		2,844,915
Incremental Term Loan B2, 3.75%, 10/17/23			1,032		1,040,155
Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23			249		250,056

					5,525,552
Transportation — 0.2%
Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22			1,257		1,232,154
Wireless Telecommunication Services — 2.6%
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (f)			7,841		7,668,984


Floating Rate Loan Interests (b)	Par (000)				Value
Wireless Telecommunication Services (continued)
LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20		USD		5,408	$	5,447,383
Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24				1,375		1,385,120

						14,501,487
Total Floating Rate Loan Interests — 136.7%						766,374,065



Other Interests — 0.0% (g)			Investment Value (000)
United States — 0.0%
Intermet Liquidating Trust, Class A				256		2



Trust Preferred — 0.3%			Shares
Diversified Financial Services — 0.3%
GMAC Capital Trust I, Series 2, 6.60%, 2/15/40 (b)				60,894		1,561,577
Total Preferred Securities — 0.3%						1,561,577



Rights — 0.0%
Electric Utilities — 0.0%
Tex Energy LLC (c)				46,682		63,021
Oil, Gas & Consumable Fuels — 0.0%
Southcross Holdings LP				99		29,700
Total Rights — 0.0%						92,721



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)				2,406		625
Total Long-Term Investments (Cost — $825,678,108) — 147.8%						828,661,430
Options Purchased (Cost — $43,022) — 0.0%						—
Total Investments (Cost — $825,721,130) — 147.8%						828,661,430
Liabilities in Excess of Other Assets — (47.8)%						(267,823,150	)

Net Assets — 100.0%					$	560,838,280

Notes to Schedule of Investments

(a)

Non-income producing security.

(b)

Variable rate security. Rate as of period end.

(c)

(d)

When-issued security.

(e)

Issuer filed for bankruptcy and/or is in default.

(f)

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.

(g)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	29


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


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 (Depreciation)
BlackRock Liquidity Funds, TempFund, Institutional Class		1,859,207		—		(1,859,207	)²		—		—		—		—		—
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		—		—			—		—	$	3,296	$	13
iShares iBoxx $ High Yield Corporate Bond ETF		27,839		—		(27,839	)		—		—		31,812		2,741	$	(26,532	)
Total											—	$	35,108	$	2,754	$	(26,532	)

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

Derivative Financial Instruments Outstanding as of Period End


Futures Contracts
Contracts Short			Issue	Expiration	Notional Value		Unrealized Appreciation
	(16	)	10-Year U.S. Treasury Note	June 2017	$	1,993,250	$	4,086


Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	5,500,000		USD	6,851,834	Northern Trust Co.		3/06/17	$	(26,749	)
USD	3,476,969		GBP	2,783,000	Barclays Bank PLC		3/06/17		23,476
USD	3,549,672		GBP	2,830,000	HSBC Bank PLC		3/06/17		37,855
USD	3,256,739		GBP	2,621,000	Morgan Stanley & Co. International PLC		4/05/17		1,606
Total								$	36,188

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Contracts

Value

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co.

12/14/19

942.86

—

Centrally Cleared Interest Rate Swaps

Fixed
Rate

Floating Rate

Effective
Date

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

1.92

%¹

3-Month LIBOR

N/A

12/14/21

USD

1,470

3,483

1.92

%¹

3-Month LIBOR

N/A

12/14/21

USD

2,205

5,022

1.91

%¹

3-Month LIBOR

N/A

12/16/21

USD

2,500

7,108

2.00

%¹

3-Month LIBOR

N/A

2/21/22

USD

2,500

(875

)

Total

14,738

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

See Notes to Financial Statements.



30	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

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:


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		—		—		—		—	$	4,086		—	$	4,086
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	62,937		—		—		62,937
Swaps — Centrally Cleared	Net unrealized appreciation¹		—		—		—		—		15,613		—		15,613

Total			—		—		—	$	62,937	$	19,699		—	$	82,636


Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	26,749		—		—	$	26,749
Swaps — Centrally Cleared	Net unrealized depreciation¹		—		—		—		—	$	875		—		875

Total			—		—		—	$	26,749	$	875		—	$	27,624

¹ Includes cumulative appreciation (depreciation) on futures contracts, 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 six months ended February 28, 2017, the effect of derivative financial instruments in the Consolidated Statement of Operations 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		—		—		—		—		$	81,966			—	$	81,966
Forward foreign currency exchange contracts		—		—		—	$	(17,354	)		—			—		(17,354	)
Swaps		—	$	231,133		—		—			14,294			—		245,427

Total		—	$	231,133		—	$	(17,354	)	$	96,260			—	$	310,039


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—		—		—		$	5,607			—	$	5,607
Forward foreign currency exchange contracts		—		—		—	$	27,014			—			—		27,014
Swaps		—		—		—		—			(15,879	)		—		(15,879	)

Total		—		—		—	$	27,014		$	(10,272	)		—	$	16,742


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — short	$	1,992,750
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	8,933,475
Average amounts sold — in USD	$	3,784,927
Credit default swaps:
Average notional value — sell protection	$	2,634,000
Interest Rate swaps:
Average notional value — pays fixed rate	$	4,337,500
Total return swaps:
Average notional value	$	285,000

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

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	31


Consolidated Schedule of Investments (continued)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


Derivative Financial Instruments — Offsetting as of Period End

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


	Assets			Liabilities
Futures contracts	$	250			—
Forward foreign currency exchange contracts		62,937		$	26,749
Swaps — Centrally Cleared		7			—

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities	$	63,194		$	26,749

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		(257	)		—

Total derivative assets and liabilities subject to an MNA	$	62,937		$	26,749

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


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets^1,3
Barclays Bank PLC	$	23,476		—		—		—	$	23,476
HSBC Bank PLC		37,855		—		—		—		37,855
Morgan Stanley & Co. International PLC		1,606		—		—		—		1,606

Total	$	62,937		—		—		—	$	62,937


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities^2,3
Northern Trust Co.	$	26,749		—		—		—	$	26,749

¹ Net amount represents the net amount receivable from the counterparty in the event of default.
²Net amount represents the net amount payable to the counterparty in the event of default.
³Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

Fair Value Hierarchy as of Period End

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		—	$	12,175,305		$	2,030,750	$	14,206,055
Common Stocks	$	16,294		15,845			699,684		731,823
Corporate Bonds		—		43,292,558			2,402,004		45,694,562
Floating Rate Loan Interests		—		722,606,101			43,767,964		766,374,065
Other Interests		—		—			2		2
Rights		—		—			92,721		92,721
Trust Preferred		1,561,577		—			—		1,561,577
Warrants		—		—			625		625
Unfunded floating rate loan interests¹		—		5,425			—		5,425

Total	$	1,577,871	$	778,095,234		$	48,993,750	$	828,666,855


Derivative Financial Instruments²
Assets:
Foreign currency exchange contracts		—	$	62,937			—	$	62,937
Interest rate contracts	$	4,086		15,613			—		19,699
Liabilities:
Foreign currency exchange contracts		—		(26,749	)		—		(26,749	)
Interest rate contracts		—		(875	)		—		(875	)

Total	$	4,086	$	50,926			—	$	55,012

¹ Unfunded floating rate loan interests are valued at the unrealized appreciation/depreciation on the commitment.
² 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.

See Notes to Financial Statements.



32	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Consolidated Schedule of Investments (concluded)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $213,000,000 is 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.


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Rights		Warrants			Total
Assets:
Opening balance, as of August 31, 2016	$	2,218,460		$	140,083		$	1,527,870		$	44,995,306		$	1,562,503			—	$	4,902		$	50,449,124
Transfers into Level 3¹		—			—			—			14,721,797			—			—		—			14,721,797
Transfers out of Level 3²		(1,967,885	)		—			—			(21,661,901	)		—			—		—			(23,629,786	)
Other³		—			(29,700	)		—			—			—		$	29,700		—			—
Accrued discounts/premiums		(14	)		—			128			69,296			—			—		—			69,410
Net realized gain (loss)		1,250			—			(119,999	)		(346,862	)		1,737,609			—		—			1,271,998
Net change in unrealized appreciation (depreciation)^4,5		(2,046	)		589,301			930,158			857,778			(764,982	)		63,021		(4,277	)		1,668,953
Purchases		2,030,985			—			63,847			13,665,551			—			—		—			15,760,383
Sales		(250,000	)		—			—			(8,533,001	)		(2,535,128	)		—		—			(11,318,129	)

Closing Balance, as of February 28, 2017	$	2,030,750		$	699,684		$	2,402,004		$	43,767,964		$	2		$	92,721	$	625		$	48,993,750

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017⁴	$	(221	)	$	589,301		$	810,287		$	394,614			—		$	63,021	$	(4,277	)	$	1,852,725

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, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund 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.
³ Certain Level 3 investments were re-classified between Common Stocks and Rights.
⁴ Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.
⁵ Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	33

Schedule of Investments February 28, 2017 (Unaudited)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)



Common Stocks	Shares			Value
Chemicals — 0.0%
LyondellBasell Industries NV, Class A			37	$	3,376
Diversified Financial Services — 0.2%
Kcad Holdings I Ltd. (a)			546,753,936		1,175,521
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.			8,511		9,047
Household Durables — 0.0%
Berkline Benchcraft Equity LLC (a)(b)			3,155		—
Real Estate Investment Trusts (REITs) — 0.0%
Ovation Acquisition I LLC, (Acquired 12/29/15, cost $187,463) (c)			1,013		1,013
Total Common Stocks — 0.2%					1,188,957



Asset-Backed Securities	Par (000)
Asset-Backed Securities — 12.3%
ACAS CLO Ltd., Series 2014-1A, Class C, 3.92%, 7/18/26 (d)(e)		USD	1,000		1,000,171
Allegro CLO II, Ltd., Series 2014-1A, Class CR, 4.77%, 1/21/27 (d)(e)			1,000		1,000,000
ALM VI Ltd., Series 2012-6A, Class B2R, 3.82%, 7/15/26 (d)(e)			1,000		1,002,115
ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26 (d)(e)			3,140		3,126,783
AmeriCredit Automobile Receivables, Series 2014-3, Class C, 2.58%, 9/08/20			4,850		4,901,623
AMMC CLO Ltd. (d)(e):
Series 2016-19A, Class D, 4.63%, 10/15/28			1,000		977,702
Series 2014-15A, Class D, 5.15%, 12/09/26			2,000		2,011,226
Anchorage Capital CLO Ltd., Series 2016-9A, Class D, 4.95%, 1/15/29 (d)(e)			350		350,910
Ares CLO Ltd., Series 2012-2A, Class CR, 3.72%, 10/12/23 (d)(e)			1,000		1,001,013
Ares XXXII CLO Ltd., Series 2014-32A, Class BR, 3.29%, 11/15/25 (d)(e)			1,250		1,250,000
Atrium CDO Corp., Series 9A, Class D, 4.55%, 2/28/24 (d)(e)			1,850		1,854,618
BlueMountain CLO Ltd., Series 2012-2A, Class DR, 5.20%, 11/20/28 (d)(e)			1,000		1,003,029
Carlyle Global Market Strategies CLO Ltd., Class C (d)(e):
Series 2013-1A, 5.04%, 2/14/25			250		250,696
Series 2014-5A, 5.17%, 10/16/25			2,000		2,004,283
Series 2015-1A, 4.18%, 4/20/27			500		502,090
CIFC Funding Ltd., Class D (d)(e):
Series 2014-3A, 4.44%, 7/22/26			420		422,233
Series 2015-1A, 5.04%, 1/22/27			600		600,358
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (e)			1,186		1,098,446
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (e)			3,121		3,114,633
Litigation Fee Residual Funding, 4.00%, 10/30/27			1,702		1,668,354
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, 3.24%, 1/27/26 (d)(e)			1,500		1,500,042
Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, 4.39%, 12/16/24 (d)(e)(f)			1,000		1,000,000


Asset-Backed Securities	Par (000)			Value
Asset-Backed Securities (continued)
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (e)		USD	4,000	$	3,988,922
OZLM IX Ltd. (d)(e):
Series 2014-9A, Class C, 4.63%, 1/20/27			1,000		1,000,170
Series 2014-9A, Class CR, 4.63%, 1/20/27 (f)			1,000		1,000,000
OZLM VII Ltd., Series 2014-7A, Class C, 4.62%, 7/17/26 (d)(e)			780		783,558
OZLM VIII Ltd., Series 2014-8A (d)(e):
Class B, 4.02%, 10/17/26			2,500		2,491,249
Class C, 4.52%, 10/17/26			500		499,948
OZLM XII Ltd., Series 2015-12A, Class C, 4.74%, 4/30/27 (d)(e)			1,000		1,000,414
OZLM XV Ltd., Series 2016-15A, Class C, 4.92%, 1/20/29 (d)(e)			1,000		1,003,772
Regatta V Funding Ltd., Series 2014-1A, Class B, 4.04%, 10/25/26 (d)(e)			2,000		2,009,468
Santander Drive Auto Receivables Trust:
Series 2014-3, Class D, 2.65%, 8/17/20			4,015		4,053,809
Series 2014-4, Class C, 2.60%, 11/16/20			4,500		4,530,012
Series 2014-4, Class D, 3.10%, 11/16/20			4,500		4,557,956
Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.54%, 1/21/26 (d)(e)			800		800,700
Sound Point CLO VII Ltd., Series 2014-3A, Class D, 4.64%, 1/23/27 (d)(e)			2,000		2,010,991
Symphony CLO XV Ltd., Series 2014-15A (d)(e):
Class C, 4.22%, 10/17/26			4,000		4,000,608
Class CR, 3.33%, 10/17/26 (f)			1,250		1,250,000
Symphony CLO XVIII Ltd., Series 2016-18A, Class D, 4.95%, 1/23/28 (d)(e)			1,000		993,311
Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.62%, 7/15/27 (d)(e)			400		386,745
Venture XXVI CLO Ltd., Series 2017-26A, Class D, 5.29%, 1/20/29 (d)(e)			1,000		1,000,000
Vibrant CLO IV Ltd., Series 2016-4A, Class D, 5.53%, 7/20/28 (d)(e)			1,000		1,005,009
Voya CLO Ltd., Class C (d)(e):
Series 2014-4A, 5.02%, 10/14/26			2,500		2,504,207
Series 2016-3A, 4.67%, 10/18/27			270		271,005
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,062,457
York CLO-4 Ltd., Series 2016-2A, Class E, 7.90%, 1/20/30 (d)(e)			1,000		986,000

					76,830,636
Interest Only Asset-Backed Securities — 0.1%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (e)			4,485		301,322
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (e)			6,454		449,679

					751,001
Total Asset-Backed Securities — 12.4%					77,581,637



Corporate Bonds
Aerospace & Defense — 1.0%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (e)			560		491,400

See Notes to Financial Statements.



34	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Aerospace & Defense (continued)
Bombardier, Inc. (e):
8.75%, 12/01/21		USD	707	$	783,002
6.00%, 10/15/22			212		212,265
6.13%, 1/15/23			152		152,000
7.50%, 3/15/25			569		591,760
KLX, Inc., 5.88%, 12/01/22 (e)			538		566,353
Koppers, Inc., 6.00%, 2/15/25 (e)			225		234,000
Moog, Inc., 5.25%, 12/01/22 (e)			270		276,750
TransDigm, Inc.:
6.00%, 7/15/22 (g)			1,852		1,901,967
6.50%, 7/15/24 (g)			747		767,543
6.50%, 5/15/25			60		61,425
6.38%, 6/15/26			59		59,590

					6,098,055
Air Freight & Logistics — 0.2%
XPO Logistics, Inc.:
5.75%, 6/15/21		EUR	100		111,872
6.50%, 6/15/22 (e)(g)		USD	1,100		1,155,000

					1,266,872
Airlines — 2.3%
Air Canada Pass-Through Trust (e):
Series 2013-1, Class C, 6.63%, 5/15/18			651		680,295
Series 2015-1, Class B, 3.88%, 9/15/24 (g)			1,397		1,362,501
American Airlines Group, Inc., 4.63%, 3/01/20 (e)			315		320,119
American Airlines Pass-Through Trust:
Series 2013-2, Class A, 4.95%, 7/15/24 (g)			2,940		3,138,904
Series 2013-2, Class B, 5.60%, 1/15/22 (e)(g)			562		583,537
Series 2017-1, Class B, 4.95%, 8/15/26			1,540		1,574,650
Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings Ltd., 8.38%, 5/10/20			221		224,867
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (g)			780		813,150
United Airlines Pass-Through Trust (g):
Series 2014-2, Class B, 4.63%, 3/03/24			2,080		2,123,916
Series 2015-1, Class A, 3.70%, 6/01/24			2,430		2,466,450
US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20			333		372,007
Virgin Australia Trust, Series 2013-1 (e):
Class A, 5.00%, 4/23/25			456		472,937
Class C, 7.13%, 10/23/18 (g)			492		501,735

					14,635,068
Auto Components — 0.5%
Allison Transmission, Inc., 5.00%, 10/01/24 (e)			297		302,198
CNH Industrial Finance Europe SA, 2.88%, 5/17/23		EUR	175		192,735
Delphi Automotive PLC, 4.40%, 10/01/46		USD	240		229,619
Fiat Chrysler Finance Europe, 4.75%, 3/22/21		EUR	100		117,064
Goodyear Tire & Rubber Co., 5.00%, 5/31/26		USD	67		68,340
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.88%, 3/15/19 (g)			1,314		1,335,352


Corporate Bonds	Par (000)			Value
Auto Components (continued)
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (continued):
6.25%, 2/01/22 (e)		USD	119	$	122,868
6.75%, 2/01/24 (e)			258		267,675
IHO Verwaltungs GmbH (h):
(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21		EUR	100		109,423
(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23			100		109,913
(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26			100		107,926
(4.13% Cash or 4.88% PIK), 4.13%, 9/15/21 (e)		USD	200		198,416
(4.50% Cash or 5.25% PIK), 4.50%, 9/15/23 (e)			200		195,025

					3,356,554
Automobiles — 0.4%
General Motors Co., 3.50%, 10/02/18 (g)			2,478		2,535,403
Banks — 1.7%
Allied Irish Banks PLC, 4.13%, 11/26/25 (d)		EUR	100		110,229
Banca Popolare di Vicenza, 0.50%, 2/03/20			100		104,979
Banco Espirito Santo SA (a)(b):
4.75%, 1/15/18			100		31,517
4.00%, 1/21/19			100		31,517
Banco Popolare, 2.75%, 7/27/20			100		108,111
Bank of Ireland, 4.25%, 6/11/24 (d)			100		110,442
Bankia SA, 4.00%, 5/22/24 (d)			200		216,366
Barclays PLC, 3.65%, 3/16/25 (g)		USD	3,600		3,511,516
CaixaBank SA, 3.50%, 2/15/27 (d)		EUR	100		109,014
CIT Group, Inc.:
5.50%, 2/15/19 (e)(g)		USD	1,195		1,259,231
5.00%, 8/01/23			610		645,075
Commerzbank AG, 7.75%, 3/16/21		EUR	100		127,792
HSBC Holdings PLC, 4.38%, 11/23/26		USD	395		399,844
Nordea Bank AB, 4.50%, 3/26/20		EUR	1,020		1,222,231
Santander Holdings USA, Inc., 4.50%, 7/17/25 (g)		USD	1,750		1,791,242
Santander UK Group Holdings PLC, 2.88%, 8/05/21			950		940,360

					10,719,466
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 3.30%, 2/01/23 (g)			3,000		3,066,033
Central American Bottling Corp., 5.75%, 1/31/27 (e)			517		535,095

					3,601,128
Building Materials — 0.3%
Dry Mix Solutions Investissements SAS, 3.93%, 6/15/21 (d)		EUR	100		105,940
Tecnoglass, Inc., 8.20%, 1/31/22 (e)		USD	1,318		1,359,912
Titan Global Finance PLC, 3.50%, 6/17/21		EUR	100		110,005

					1,575,857
Building Products — 0.8%
American Builders & Contractors Supply Co., Inc. (e):
5.63%, 4/15/21		USD	190		194,987
5.75%, 12/15/23			210		220,500
Building Materials Corp. of America (e):
5.38%, 11/15/24			100		102,790
6.00%, 10/15/25 (g)			535		568,437
CPG Merger Sub LLC, 8.00%, 10/01/21 (e)(g)			1,030		1,078,925

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	35


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Building Products (continued)
Louisiana-Pacific Corp., 4.88%, 9/15/24		USD	89	$	89,668
Masonite International Corp., 5.63%, 3/15/23 (e)(g)			404		417,130
Ply Gem Industries, Inc., 6.50%, 2/01/22 (g)			714		742,703
Standard Industries, Inc. (e):
5.13%, 2/15/21			40		41,700
5.50%, 2/15/23			204		212,160
USG Corp.:
8.25%, 1/15/18 (g)			1,460		1,533,000
5.50%, 3/01/25 (e)			15		15,938

					5,217,938
Capital Markets — 0.4%
Blackstone CQP Holdco LP, 9.30%, 3/19/19 (e)			1,228		1,241,496
Morgan Stanley, 4.00%, 7/23/25 (g)			965		999,184

					2,240,680
Chemicals — 1.2%
Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (e)			800		800,000
Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25		EUR	100		110,456
Axalta Coating Systems LLC, 4.88%, 8/15/24 (e)		USD	239		243,780
Blue Cube Spinco, Inc.:
9.75%, 10/15/23			80		95,400
10.00%, 10/15/25			35		42,525
CF Industries, Inc.:
7.13%, 5/01/20			130		142,513
5.15%, 3/15/34			90		85,556
4.95%, 6/01/43			270		232,200
Chemours Co.:
6.63%, 5/15/23			248		263,190
7.00%, 5/15/25			112		121,660
Hexion, Inc., 10.38%, 2/01/22 (e)			199		204,970
Huntsman International LLC:
4.88%, 11/15/20			133		137,655
5.13%, 4/15/21		EUR	100		118,148
Ineos Finance PLC, 4.00%, 5/01/23			100		110,310
Inovyn Finance PLC, 6.25%, 5/15/21			100		112,633
Momentive Performance Materials, Inc., 3.88%, 10/24/21 (g)		USD	1,378		1,350,440
NOVA Chemicals Corp., 5.25%, 8/01/23 (e)			130		133,900
Platform Specialty Products Corp. (e):
10.38%, 5/01/21			53		59,559
6.50%, 2/01/22 (g)			1,592		1,663,640
PQ Corp., 6.75%, 11/15/22 (e)			319		345,318
PSPC Escrow Corp., 6.00%, 2/01/23		EUR	100		111,263
Tronox Finance LLC:
6.38%, 8/15/20		USD	208		211,640
7.50%, 3/15/22 (e)			62		64,790
Versum Materials, Inc., 5.50%, 9/30/24 (e)			116		121,365
WR Grace & Co-Conn (e):
5.13%, 10/01/21			176		185,240
5.63%, 10/01/24			200		212,500

					7,280,651
Commercial Services & Supplies — 1.2%
ADT Corp.:
3.50%, 7/15/22			456		432,630
4.13%, 6/15/23			78		75,075
4.88%, 7/15/32 (e)			316		254,380
Advanced Disposal Services, Inc., 5.63%, 11/15/24 (e)			225		230,063
Aviation Capital Group Corp., 4.63%, 1/31/18 (e)(g)			1,000		1,025,000


Corporate Bonds	Par (000)			Value
Commercial Services & Supplies (continued)
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (e)		USD	824	$	863,140
Harland Clarke Holdings Corp., 8.38%, 8/15/22 (e)			280		289,275
Iron Mountain, Inc., 6.00%, 10/01/20 (e)			315		330,841
Mobile Mini, Inc., 5.88%, 7/01/24			447		467,115
Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (e)			239		249,157
Pitney Bowes, Inc., 3.38%, 10/01/21 (g)			1,500		1,472,002
Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (e)			188		193,405
S&P Global, Inc., 2.50%, 8/15/18			445		448,859
Silk Bidco AS, 7.50%, 2/01/22		EUR	120		136,663
United Rentals North America, Inc. (g):
7.63%, 4/15/22		USD	46		48,027
5.75%, 11/15/24			579		614,898
Verisure Holding AB, 6.00%, 11/01/22		EUR	125		144,277

					7,274,807
Communications Equipment — 0.8%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 (g)		USD	1,005		1,110,525
Avaya, Inc., 7.00%, 4/01/19 (a)(b)(e)			183		145,943
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (e)(g)			18		19,260
CommScope, Inc., 5.00%, 6/15/21 (e)			465		478,950
Motorola Solutions, Inc., 3.75%, 5/15/22 (g)			1,500		1,529,307
Nokia OYJ, 6.63%, 5/15/39			200		213,500
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 4/01/23 (g)			649		686,317
6.38%, 5/15/25			549		591,547
5.75%, 1/15/27 (e)			212		224,148

					4,999,497
Construction & Engineering — 0.3%
Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (e)			663		697,807
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (e)			557		568,140
Engility Corp., 8.88%, 9/01/24 (e)			216		232,200
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			320		308,800

					1,806,947
Construction Materials — 0.5%
Beacon Roofing Supply, Inc., 6.38%, 10/01/23			305		329,781
HD Supply, Inc. (e):
5.25%, 12/15/21 (g)			1,828		1,928,540
5.75%, 4/15/24			454		480,105
LKQ Italia Bondco SpA, 3.88%, 4/01/24		EUR	100		113,225
PulteGroup, Inc., 5.50%, 3/01/26		USD	190		197,125
Rexel SA, 3.50%, 6/15/23		EUR	116		128,534

					3,177,310
Consumer Discretionary — 0.0%
Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (e)		USD	175		176,312
Silversea Cruise Finance Ltd., 7.25%, 2/01/25 (e)			95		99,038

					275,350
Consumer Finance — 1.4%
Alliance Data Systems Corp. (e):
5.25%, 12/01/17			28		28,420
5.88%, 11/01/21			696		720,360
Ally Financial, Inc. (g):
4.63%, 3/30/25			846		865,035
8.00%, 11/01/31			2,500		3,075,000

See Notes to Financial Statements.



36	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Consumer Finance (continued)
General Motors Financial Co., Inc., 2.63%, 7/10/17 (g)		USD	2,760	$	2,770,543
Navient Corp.:
5.00%, 10/26/20			310		311,457
6.63%, 7/26/21			155		161,587
5.50%, 1/25/23			134		128,305
7.25%, 9/25/23			257		263,425
6.13%, 3/25/24			115		110,113
5.88%, 10/25/24			125		117,188
5.63%, 8/01/33			95		76,950
OneMain Financial Holdings LLC (e):
6.75%, 12/15/19			147		153,891
7.25%, 12/15/21			117		122,265

					8,904,539
Containers & Packaging — 1.8%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.75%, 1/31/21 (e)			605		627,264
4.29%, 5/15/21 (d)(e)			200		205,250
4.25%, 1/15/22		EUR	220		240,596
4.25%, 9/15/22 (e)(f)		USD	679		689,185
2.75%, 3/15/24		EUR	125		132,577
6.75%, 5/15/24			100		117,196
6.00%, 2/15/25 (e)		USD	599		615,473
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (e):
4.63%, 5/15/23			206		209,605
7.25%, 5/15/24			1,868		2,036,120
Bahia Sul Holdings GmbH, 5.75%, 7/14/26 (e)			600		618,360
Ball Corp., 5.00%, 3/15/22			303		320,801
Clearwater Paper Corp., 5.38%, 2/01/25 (e)			269		268,328
Crown European Holdings SA, 4.00%, 7/15/22		EUR	149		175,214
Flex Acquisition Co., Inc., 6.88%, 1/15/25 (e)		USD	147		150,308
JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (h)		EUR	200		229,545
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC:
5.75%, 10/15/20 (g)		USD	1,062		1,093,860
6.88%, 2/15/21			136		139,851
4.52%, 7/15/21 (d)(e)			1,060		1,087,825
5.13%, 7/15/23 (e)			175		181,344
7.00%, 7/15/24 (e)			588		632,468
Sealed Air Corp.:
4.88%, 12/01/22 (e)			80		82,700
4.50%, 9/15/23		EUR	100		118,594
6.88%, 7/15/33 (e)		USD	44		47,740
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (e)			502		515,805
Suzano Trading Ltd., 5.88%, 1/23/21 (e)			500		529,255
Verallia Packaging SASU, 5.13%, 8/01/22		EUR	100		112,402

					11,177,666
Diversified Consumer Services — 0.5%
APX Group, Inc.:
6.38%, 12/01/19		USD	47		48,351
8.75%, 12/01/20			312		322,920
7.88%, 12/01/22			130		140,725
7.88%, 12/01/22 (e)			195		211,087
Laureate Education, Inc., 9.25%, 9/01/19 (e)			495		517,894
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (e)			1,821		1,991,719


Corporate Bonds	Par (000)			Value
Diversified Consumer Services (continued)
Sotheby’s, 5.25%, 10/01/22 (e)		USD	28	$	28,560
Tereos Finance Groupe I SA, 4.13%, 6/16/23		EUR	100		109,039

					3,370,295
Diversified Financial Services — 0.5%
Aircastle Ltd.:
6.25%, 12/01/19 (g)		USD	367		400,030
5.13%, 3/15/21			16		17,080
5.50%, 2/15/22			219		236,246
Deutsche Bank AG, 4.25%, 10/14/21 (e)			150		151,696
FBM Finance, Inc., 8.25%, 8/15/21 (e)			130		139,126
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22		GBP	100		129,669
General Motors Financial Co., Inc., 4.38%, 9/25/21 (g)		USD	530		559,237
Jefferies Finance LLC/JFIN Co-Issuer Corp. (e):
7.38%, 4/01/20			290		295,075
6.88%, 4/15/22 (g)			480		466,800
Mercury Bondco PLC (h):
(7.13% Cash or 7.88% PIK), 7.13%, 5/30/21		EUR	100		104,881
(8.25% Cash or 9.00% PIK), 8.25%, 5/30/21			100		108,059
UniCredit SpA:
6.95%, 10/31/22			100		123,066
5.75%, 10/28/25 (d)			100		113,301
4.38%, 1/03/27 (d)			100		108,734

					2,953,000
Diversified Telecommunication Services — 2.0%
CenturyLink, Inc.:
6.45%, 6/15/21		USD	648		690,528
Series U, 7.65%, 3/15/42			147		134,505
Series Y, 7.50%, 4/01/24			161		173,075
Cincinnati Bell, Inc., 7.00%, 7/15/24 (e)			671		709,582
Consolidated Communications, Inc., 6.50%, 10/01/22			100		99,750
Frontier Communications Corp.:
7.13%, 3/15/19			190		201,875
8.50%, 4/15/20			110		116,600
6.25%, 9/15/21			35		33,425
7.13%, 1/15/23			170		153,850
7.63%, 4/15/24			496		445,160
6.88%, 1/15/25			1,168		984,040
11.00%, 9/15/25			609		612,045
Level 3 Financing, Inc.:
4.76%, 1/15/18 (d)			411		412,028
5.38%, 8/15/22 (g)			240		248,820
5.13%, 5/01/23 (g)			295		300,900
5.38%, 1/15/24			240		246,300
5.38%, 5/01/25 (g)			261		269,483
5.25%, 3/15/26 (e)			167		168,461
OTE PLC, 3.50%, 7/09/20		EUR	100		106,470
SBA Communications Corp., 4.88%, 9/01/24 (e)		USD	263		261,659
SoftBank Group Corp., 4.75%, 7/30/25		EUR	122		145,105
Telecom Italia Capital SA:
6.38%, 11/15/33		USD	130		131,300
6.00%, 9/30/34			630		622,125
7.20%, 7/18/36			160		169,440
Telecom Italia Finance SA, 7.75%, 1/24/33		EUR	37		51,193
Telecom Italia SpA:
6.38%, 6/24/19		GBP	200		271,401
5.88%, 5/19/23			100		139,372
Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24		EUR	129		151,552

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	37


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Diversified Telecommunication Services (continued)
Verizon Communications, Inc.:
3.65%, 9/14/18 (g)		USD	3,855	$	3,970,858
4.50%, 9/15/20			145		154,732
Windstream Corp., 7.75%, 10/01/21			26		26,780
Windstream Services LLC, 7.50%, 6/01/22			79		78,210

					12,280,624
Electric Utilities — 0.6%
AES Corp., 4.88%, 5/15/23			270		268,110
Black Hills Corp., 3.15%, 1/15/27			305		293,043
Exelon Corp., 3.40%, 4/15/26			140		138,584
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (g)			197		180,020
Pampa Energia SA, 7.50%, 1/24/27 (e)			663		667,972
Southern Co., 2.95%, 7/01/23			1,920		1,888,320
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.:
10.25%, 11/01/15			47		212
10.50%, 11/01/17			31		140
11.50%, 10/01/20 (a)(e)			300		—

					3,436,401
Electrical Equipment — 0.0%
Areva SA, 4.88%, 9/23/24		EUR	100		107,116
Belden, Inc., 5.50%, 4/15/23			149		167,716

					274,832
Electronic Equipment, Instruments & Components — 0.2%
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22 (g)		USD	615		651,131
5.00%, 9/01/23			122		125,660
5.00%, 9/01/25 (f)			107		108,539
SESI LLC, 7.13%, 12/15/21			85		87,337

					972,667
Energy Equipment & Services — 1.1%
Ensco PLC:
4.50%, 10/01/24			113		97,180
5.20%, 3/15/25			40		35,400
Gates Global LLC/Gates Global Co., 6.00%, 7/15/22 (e)			547		551,102
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21			30		30,450
6.75%, 8/01/22			397		413,872
Halliburton Co., 3.80%, 11/15/25			100		102,498
Noble Holding International Ltd., 4.63%, 3/01/21			12		11,370
Pattern Energy Group, Inc., 5.88%, 2/01/24 (e)			138		141,623
Pioneer Energy Services Corp., 6.13%, 3/15/22			275		256,781
Precision Drilling Corp.:
6.50%, 12/15/21			100		102,750
5.25%, 11/15/24			134		132,660
Transocean, Inc.:
4.25%, 10/15/17 (g)			414		416,443
6.00%, 3/15/18 (g)			850		871,250
7.38%, 4/15/18			30		30,825
5.55%, 10/15/22			497		464,695
9.00%, 7/15/23 (e)			1,314		1,415,835
6.80%, 3/15/38			176		144,320
Trinidad Drilling Ltd., 6.63%, 2/15/25 (e)			365		375,950
Weatherford International Ltd.:
7.75%, 6/15/21			465		501,619
8.25%, 6/15/23			290		314,650
9.88%, 2/15/24 (e)			376		434,280

					6,845,553


Corporate Bonds	Par (000)			Value
Environmental, Maintenance, & Security Service — 0.1%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18		EUR	100	$	108,212
Tervita Escrow Corp., 7.63%, 12/01/21 (e)		USD	642		670,890

					779,102
Food & Staples Retailing — 0.8%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (e):
6.63%, 6/15/24			226		239,560
5.75%, 3/15/25			254		254,476
B&M European Value Retail SA, 4.13%, 2/01/22		GBP	100		129,224
Casino Guichard Perrachon SA:
4.56%, 1/25/23		EUR	100		118,464
3.25%, 3/07/24			200		232,452
CVS Health Corp., 4.75%, 12/01/22		USD	165		179,502
Dollar Tree, Inc.:
5.25%, 3/01/20			58		59,653
5.75%, 3/01/23			1,321		1,401,911
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24			62		65,565
Rite Aid Corp.:
9.25%, 3/15/20 (g)			1,095		1,130,587
6.13%, 4/01/23 (e)(g)			804		851,959
7.70%, 2/15/27			45		53,775
Tesco PLC, 5.00%, 3/24/23		GBP	100		137,582

					4,854,710
Food Products — 0.8%
Acosta, Inc., 7.75%, 10/01/22 (e)		USD	249		219,120
Aramark Services, Inc., 5.13%, 1/15/24			758		794,081
Arcor SAIC, 6.00%, 7/06/23 (e)			403		428,590
FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (e)			338		345,605
JBS USA LLC/JBS USA Finance, Inc. (e):
7.25%, 6/01/21			40		41,200
5.88%, 7/15/24			140		146,300
5.75%, 6/15/25			485		500,762
Marfrig Holdings Europe BV, 8.00%, 6/08/23 (e)			410		430,024
Minerva Luxembourg SA, 6.50%, 9/20/26 (e)			244		242,170
Post Holdings, Inc. (e):
7.75%, 3/15/24 (g)			725		804,750
5.50%, 3/01/25			47		47,881
8.00%, 7/15/25			285		321,338
TreeHouse Foods, Inc., 6.00%, 2/15/24 (e)			383		403,108
WhiteWave Foods Co., 5.38%, 10/01/22			168		183,120

					4,908,049
Health Care Equipment & Supplies — 0.6%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (e)			810		722,925
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (e)(g)			1,146		1,014,210
Fresenius Medical Care US Finance II, Inc., 4.75%, 10/15/24 (e)			115		118,128
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19			235		229,713
IDH Finance PLC, 6.25%, 8/15/22		GBP	100		118,811
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (e):
4.88%, 4/15/20 (g)		USD	284		284,710
5.75%, 8/01/22			330		323,400
5.63%, 10/15/23			120		115,200
5.50%, 4/15/25			135		125,550

See Notes to Financial Statements.



38	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Health Care Equipment & Supplies (continued)
Teleflex, Inc.:
3.88%, 8/01/17 (i)		USD	100	$	310,562
5.25%, 6/15/24			250		258,125
4.88%, 6/01/26			56		56,420
Thermo Fisher Scientific, Inc., 3.00%, 4/15/23			305		301,617

					3,979,371
Health Care Providers & Services — 3.1%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22			105		105,788
5.63%, 2/15/23			339		348,323
6.50%, 3/01/24			61		64,813
Aetna, Inc., 2.80%, 6/15/23			340		338,718
Alere, Inc., 6.38%, 7/01/23 (e)			450		456,750
Amsurg Corp., 5.63%, 7/15/22 (g)			618		643,492
Centene Corp.:
5.63%, 2/15/21			359		377,848
4.75%, 5/15/22			314		325,383
6.13%, 2/15/24			37		40,145
4.75%, 1/15/25			295		303,481
CHS/Community Health Systems, Inc.:
8.00%, 11/15/19			154		150,535
5.13%, 8/01/21			1,230		1,208,475
6.88%, 2/01/22 (g)			380		333,450
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (g)			530		540,931
Envision Healthcare Corp., 5.13%, 7/01/22 (e)			165		168,919
HCA Holdings, Inc., 6.25%, 2/15/21			35		38,106
HCA, Inc.:
3.75%, 3/15/19 (g)			786		805,650
6.50%, 2/15/20			125		137,224
7.50%, 2/15/22			342		394,582
5.88%, 3/15/22 (g)			82		90,508
4.75%, 5/01/23 (g)			38		39,853
5.88%, 5/01/23			70		76,125
5.00%, 3/15/24 (g)			900		948,375
5.38%, 2/01/25 (g)			653		683,201
5.25%, 4/15/25 (g)			1,230		1,311,487
5.88%, 2/15/26			426		456,885
5.25%, 6/15/26			248		261,950
4.50%, 2/15/27			388		387,030
HealthSouth Corp.:
5.75%, 11/01/24			565		576,300
5.75%, 9/15/25			102		103,275
2.00%, 12/01/43 (i)			335		402,628
Hologic, Inc.:
5.25%, 7/15/22 (e)(g)			439		457,657
Series 2012, 2.00%, 3/01/42 (j)			129		175,682
MEDNAX, Inc., 5.25%, 12/01/23 (e)			201		207,784
MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (e)			737		794,117
New Amethyst Corp., 6.25%, 12/01/24 (e)			111		117,660
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (e)			341		366,575
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (e)			104		106,340
Surgery Center Holdings, Inc., 8.88%, 4/15/21 (e)			71		75,970
Tenet Healthcare Corp.:
6.25%, 11/01/18 (g)			264		279,510
4.75%, 6/01/20 (g)			520		530,400
4.46%, 6/15/20 (d)			805		815,062
6.00%, 10/01/20			241		255,460
7.50%, 1/01/22 (e)			141		152,633


Corporate Bonds	Par (000)			Value
Health Care Providers & Services (continued)
Tenet Healthcare Corp. (continued):
8.13%, 4/01/22		USD	216	$	226,260
6.75%, 6/15/23			1,361		1,349,091
UnitedHealth Group, Inc., 3.75%, 7/15/25 (g)			1,470		1,539,979

					19,570,410
Health Care Technology — 0.0%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25 (e)			181		186,938
Quintiles IMS, Inc., 3.25%, 3/15/25 (e)		EUR	100		106,099

					293,037
Hotels, Restaurants & Leisure — 3.8%
Boyd Gaming Corp., 6.88%, 5/15/23 (g)		USD	261		281,880
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (g)			2,225		2,327,906
Cemex Finance LLC, 9.38%, 10/12/22 (e)			330		358,462
CPUK Finance Ltd., 7.00%, 2/28/42		GBP	100		130,915
ESH Hospitality, Inc., 5.25%, 5/01/25 (e)		USD	130		131,138
Gateway Casinos & Entertainment Ltd., 8.25%, 3/01/24 (e)			72		73,170
International Game Technology PLC, 4.75%, 2/15/23		EUR	125		144,464
Jacobs Entertainment, Inc., 7.88%, 2/01/24 (e)		USD	67		68,843
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC (e):
5.00%, 6/01/24			35		35,931
5.25%, 6/01/26			152		157,130
McDonald’s Corp., 3.70%, 1/30/26 (g)			405		415,558
MGM Resorts International:
8.63%, 2/01/19			74		81,770
5.25%, 3/31/20			368		387,320
6.75%, 10/01/20			323		356,011
6.63%, 12/15/21 (g)			960		1,071,600
7.75%, 3/15/22			60		70,050
4.63%, 9/01/26			128		125,439
New Red Finance, Inc., 6.00%, 4/01/22 (e)(g)			1,095		1,141,866
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20		EUR	100		109,850
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21		USD	630		644,175
Sabre, Inc. (e):
5.38%, 4/15/23			147		149,572
5.25%, 11/15/23			242		245,630
Scientific Games International, Inc.:
7.00%, 1/01/22 (e)			773		822,049
10.00%, 12/01/22			799		847,939
Six Flags Entertainment Corp. (e):
5.25%, 1/15/21			486		499,608
4.88%, 7/31/24			19		19,190
Spirit Issuer PLC:
Series A1, 0.92%, 12/28/28 (d)		GBP	445		417,514
Series A2, 3.07%, 12/28/31 (d)			1,800		2,089,568
Series A5, 5.47%, 12/28/28			4,500		5,790,573
Series A6, 2.17%, 12/28/36 (d)			2,670		3,247,173
Station Casinos LLC, 7.50%, 3/01/21 (g)		USD	1,025		1,068,562
Thomas Cook Group PLC, 6.25%, 6/15/22		EUR	100		112,879
Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27		GBP	294		394,584
Yum! Brands, Inc., 3.88%, 11/01/23		USD	98		96,040

					23,914,359

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	39


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Household Durables — 0.5%
Berkline/Benchcraft LLC, 4.50%, 6/01/17 (a)(b)		USD	200		—
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (e)			259	$	266,770
CalAtlantic Group, Inc.:
8.38%, 1/15/21 (g)			134		156,613
5.38%, 10/01/22			6		6,300
5.25%, 6/01/26			10		10,013
Lennar Corp.:
4.50%, 11/15/19			370		382,487
4.75%, 4/01/21			26		27,073
4.13%, 1/15/22			118		119,475
4.75%, 11/15/22			132		135,762
4.88%, 12/15/23			122		125,965
4.75%, 5/30/25			260		263,250
Mattamy Group Corp., 6.88%, 12/15/23 (e)			103		107,635
PulteGroup, Inc., 6.38%, 5/15/33			469		485,415
Riverbed Technology, Inc., 8.88%, 3/01/23 (e)			165		176,137
Standard Pacific Corp., 5.88%, 11/15/24			30		32,175
Tempur Sealy International, Inc., 5.50%, 6/15/26			247		242,677
TRI Pointe Group, Inc.:
4.38%, 6/15/19			110		112,200
4.88%, 7/01/21			190		196,175
5.88%, 6/15/24 (g)			170		175,950
William Lyon Homes ,Inc., 5.88%, 1/31/25 (e)			120		120,150

					3,142,222
Household Products — 0.2%
ACCO Brands Corp., 5.25%, 12/15/24 (e)			85		86,063
Prestige Brands, Inc., 6.38%, 3/01/24 (e)			150		159,000
Spectrum Brands, Inc.:
6.63%, 11/15/22			815		861,862
6.13%, 12/15/24			75		79,808
5.75%, 7/15/25			145		154,062

					1,340,795
Independent Power and Renewable Electricity Producers — 0.6%
Calpine Corp.:
6.00%, 1/15/22 (e)			33		34,609
5.38%, 1/15/23 (g)			164		165,640
5.88%, 1/15/24 (e)			108		113,940
Dynegy, Inc.:
6.75%, 11/01/19 (g)			550		566,500
7.38%, 11/01/22			324		318,330
5.88%, 6/01/23			35		31,675
7.63%, 11/01/24			115		109,250
8.00%, 1/15/25 (e)			25		23,750
NRG Energy, Inc.:
7.88%, 5/15/21			198		205,425
6.25%, 7/15/22			600		610,500
6.63%, 3/15/23			40		40,500
6.25%, 5/01/24			40		40,000
7.25%, 5/15/26			104		106,990
6.63%, 1/15/27 (e)			567		557,077
NRG Yield Operating LLC, 5.38%, 8/15/24			135		138,375
QEP Resources, Inc., 5.38%, 10/01/22			559		561,795
TerraForm Power Operating LLC, 6.38%, 2/01/23 (e)(j)			188		194,580

					3,818,936
Industrial Conglomerates — 0.1%
Vertiv Group Corp, 9.25%, 10/15/24 (e)			438		470,302


Corporate Bonds	Par (000)			Value
Insurance — 1.9%
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 (g)		USD	360	$	361,023
American International Group, Inc., 3.75%, 7/10/25 (g)			2,705		2,723,954
Aon PLC, 3.88%, 12/15/25			1,115		1,144,820
Assicurazioni Generali SpA (d):
7.75%, 12/12/42		EUR	100		126,084
5.50%, 10/27/47			100		111,767
Forethought Financial Group, Inc., 8.63%, 4/15/21 (e)(g)		USD	750		834,011
Groupama SA, 6.00%, 1/23/27		EUR	100		108,293
HUB International Ltd. (e):
9.25%, 2/15/21		USD	129		133,838
7.88%, 10/01/21			686		725,445
Lincoln National Corp., 3.35%, 3/09/25 (g)			845		840,498
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (d)		EUR	400		503,124
Prudential Financial, Inc., 5.63%, 6/15/43 (d)(g)		USD	3,250		3,499,600
Radian Group, Inc., 5.25%, 6/15/20			355		373,637
Wayne Merger Sub LLC, 8.25%, 8/01/23 (e)			545		574,975

					12,061,069
Internet Software & Services — 0.3%
Equinix, Inc.:
5.75%, 1/01/25			125		132,500
5.88%, 1/15/26 (g)			568		606,692
Netflix, Inc., 4.38%, 11/15/26 (e)			780		773,175
Symantec Corp., 5.00%, 4/15/25 (e)			283		290,484

					1,802,851
IT Services — 0.7%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (e)(g)			404		423,190
First Data Corp. (e)(g):
7.00%, 12/01/23			1,366		1,468,450
5.75%, 1/15/24			2,444		2,532,595
Millennium Corp., 0.00%, 12/31/49			1,779		—
WEX, Inc., 4.75%, 2/01/23 (e)			220		218,900

					4,643,135
Machinery — 0.2%
Gardner Denver, Inc., 6.88%, 8/15/21 (e)			135		139,050
Navistar International Corp., 8.25%, 11/01/21			45		45,450
SPX FLOW, Inc. (e):
5.63%, 8/15/24			292		300,030
5.88%, 8/15/26			157		159,355
Terex Corp., 5.63%, 2/01/25 (e)			298		305,822

					949,707
Media — 7.6%
Adria Bidco BV, 7.88%, 11/15/20		EUR	100		110,575
Altice Financing SA:
5.25%, 2/15/23			100		113,186
6.63%, 2/15/23 (e)		USD	575		605,187
7.50%, 5/15/26 (e)			1,284		1,378,695
Altice Luxembourg SA:
7.75%, 5/15/22 (e)(g)			465		494,644
6.25%, 2/15/25		EUR	100		112,561
7.63%, 2/15/25 (e)(g)		USD	286		304,590
Altice US Finance I Corp. (e):
5.38%, 7/15/23 (g)			1,146		1,194,705
5.50%, 5/15/26			439		453,816
AMC Networks, Inc.:
4.75%, 12/15/22			353		356,530
5.00%, 4/01/24			267		269,504

See Notes to Financial Statements.



40	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Media (continued)
Cablevision SA, 6.50%, 6/15/21 (e)		USD	335	$	352,169
Cablevision Systems Corp.:
8.63%, 9/15/17			114		117,563
7.75%, 4/15/18			464		487,200
8.00%, 4/15/20			125		138,125
CBS Radio, Inc., 7.25%, 11/01/24 (e)			222		236,985
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.25%, 9/30/22			595		618,800
5.13%, 2/15/23			270		281,138
5.13%, 5/01/23 (e)			561		582,037
5.75%, 2/15/26 (e)			225		240,750
5.50%, 5/01/26 (e)			419		444,664
5.13%, 5/01/27 (e)			350		363,563
5.88%, 5/01/27 (e)(g)			820		880,762
Cellnex Telecom SA, 2.38%, 1/16/24		EUR	100		106,999
Cequel Communications Holdings I LLC/Cequel Capital Corp. (e):
6.38%, 9/15/20		USD	150		154,594
5.13%, 12/15/21			827		836,937
7.75%, 7/15/25			1,276		1,413,170
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25			2,425		2,554,502
Clear Channel International BV, 8.75%, 12/15/20 (e)			425		450,500
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22 (g)			1,108		1,119,080
6.50%, 11/15/22			1,181		1,223,067
Series B, 7.63%, 3/15/20 (g)			1,253		1,262,397
Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (e)(g)			686		729,993
CSC Holdings LLC:
10.13%, 1/15/23 (e)			1,010		1,169,075
5.25%, 6/01/24			550		553,437
6.63%, 10/15/25 (e)			235		259,381
10.88%, 10/15/25 (e)			1,282		1,544,810
Discovery Communications LLC:
3.25%, 4/01/23 (g)			1,490		1,465,756
3.45%, 3/15/25			170		162,672
DISH DBS Corp.:
5.88%, 7/15/22			626		671,385
5.88%, 11/15/24 (g)			308		328,020
7.75%, 7/01/26			867		1,014,390
DISH Network Corp., 3.38%, 8/15/26 (e)(i)			274		329,828
eircom Finance DAC, 4.50%, 5/31/22		EUR	100		110,919
GTT Escrow Corp., 7.88%, 12/31/24 (e)		USD	74		77,515
Hughes Satellite Systems Corp.:
7.63%, 6/15/21			93		103,114
5.25%, 8/01/26 (e)			483		490,849
6.63%, 8/01/26 (e)			98		101,981
iHeartCommunications, Inc.:
9.00%, 12/15/19			380		332,025
9.00%, 9/15/22 (g)			755		607,775
10.63%, 3/15/23			944		783,520
Intelsat Jackson Holdings SA:
7.25%, 4/01/19			601		575,457
7.25%, 10/15/20			391		361,675
5.50%, 8/01/23 (g)			729		599,602
LG Finance Co. Corp., 5.88%, 11/01/24 (e)			85		87,444
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (e)			91		89,180
MDC Partners, Inc., 6.50%, 5/01/24 (e)			369		356,546


Corporate Bonds	Par (000)			Value
Media (continued)
Midcontinent Communications / Midcontinent Finance Corp. (e):
6.25%, 8/01/21		USD	245	$	254,555
6.88%, 8/15/23			112		120,680
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (e)(g)			345		348,019
National CineMedia LLC, 5.75%, 8/15/26			88		89,760
Nexstar Broadcasting, Inc., 5.63%, 8/01/24 (e)			238		243,355
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (e)(g)			315		324,450
Numericable Group SA, 5.38%, 5/15/22		EUR	110		121,545
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22		USD	300		311,625
5.63%, 2/15/24			138		144,900
SFR Group SA (e):
6.00%, 5/15/22 (g)			370		383,760
6.25%, 5/15/24			1,400		1,420,986
7.38%, 5/01/26			2,493		2,583,371
Sirius XM Radio, Inc. (e):
5.75%, 8/01/21 (g)			424		441,721
4.63%, 5/15/23			25		25,563
Sterling Entertainment Corp., 9.75%, 12/15/19			1,175		1,163,250
TEGNA, Inc., 5.13%, 10/15/19			197		202,171
Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (e)			169		184,633
Tribune Media Co., 5.88%, 7/15/22			853		871,126
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.63%, 4/15/23		EUR	80		91,108
4.00%, 1/15/25			136		151,931
5.00%, 1/15/25 (e)(g)		USD	200		205,500
Univision Communications, Inc. (e):
5.13%, 5/15/23 (g)			948		948,000
5.13%, 2/15/25			895		882,694
Virgin Media Finance PLC, 5.75%, 1/15/25 (e)			455		466,944
Virgin Media Secured Finance PLC:
5.13%, 1/15/25		GBP	100		131,375
5.50%, 1/15/25			180		236,196
5.25%, 1/15/26 (e)		USD	555		561,244
5.50%, 8/15/26 (e)			200		204,978
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (e)(g)			790		821,600
Wind Acquisition Finance SA, 7.38%, 4/23/21 (e)			925		963,156
Ziggo Bond Finance BV:
4.63%, 1/15/25		EUR	137		153,846
5.88%, 1/15/25 (e)(g)		USD	470		477,638

					47,697,024
Metals & Mining — 3.6%
Alcoa, Inc.:
5.87%, 2/23/22 (g)			630		683,479
5.13%, 10/01/24 (g)			498		515,679
5.90%, 2/01/27			105		112,481
5.95%, 2/01/37			50		51,188
Anglo American Capital PLC:
1.50%, 4/01/20		EUR	100		108,326
4.45%, 9/27/20 (e)		USD	206		215,682
4.13%, 4/15/21 (e)			200		206,040
3.50%, 3/28/22		EUR	100		117,047
4.88%, 5/14/25 (e)		USD	400		415,000

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	41


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Metals & Mining (continued)
ArcelorMittal:
7.75%, 10/15/39		USD	94	$	109,510
7.50%, 3/01/41			323		366,605
Cliffs Natural Resources, Inc. (e):
8.25%, 3/31/20			190		207,575
5.75%, 3/01/25			216		211,896
Constellium NV (e):
8.00%, 1/15/23			300		315,000
5.75%, 5/15/24 (g)			377		357,207
6.63%, 3/01/25			1,491		1,482,613
First Quantum Minerals Ltd. (e):
7.00%, 2/15/21			334		345,899
7.25%, 5/15/22			356		368,015
FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (e)			189		218,650
Freeport-McMoRan, Inc.:
2.30%, 11/14/17			286		285,285
2.38%, 3/15/18			2,476		2,463,620
3.10%, 3/15/20			1,540		1,509,200
4.00%, 11/14/21			240		230,400
3.55%, 3/01/22			625		580,469
3.88%, 3/15/23			1,528		1,405,760
5.40%, 11/14/34			126		110,565
5.45%, 3/15/43			1,197		1,023,435
Grinding Media, Inc./MC Grinding Media Canada, Inc., 7.38%, 12/15/23 (e)			180		192,600
Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (e)			172		191,780
Kaiser Aluminum Corp., 5.88%, 5/15/24			112		117,600
Kinross Gold Corp.:
5.95%, 3/15/24			40		42,300
6.88%, 9/01/41			65		65,813
Novelis Corp. (e):
6.25%, 8/15/24			1,088		1,153,280
5.88%, 9/30/26			1,049		1,079,159
Peabody Securities Finance Corp. (e):
6.00%, 3/31/22			121		123,420
6.38%, 3/31/25			128		130,560
Steel Dynamics, Inc.:
5.13%, 10/01/21 (g)			645		665,156
6.38%, 8/15/22 (g)			555		579,975
5.25%, 4/15/23			200		208,270
5.50%, 10/01/24			56		59,573
5.00%, 12/15/26 (e)			15		15,505
Teck Resources Ltd.:
3.00%, 3/01/19			208		213,034
4.50%, 1/15/21			456		472,815
3.75%, 2/01/23			762		742,798
8.50%, 6/01/24 (e)			380		443,650
6.13%, 10/01/35			91		94,185
6.00%, 8/15/40			588		589,470
6.25%, 7/15/41			73		75,737
5.20%, 3/01/42			563		533,262
5.40%, 2/01/43			279		265,747
ThyssenKrupp AG, 1.38%, 3/03/22		EUR	75		79,128
United States Steel Corp., 8.38%, 7/01/21 (e)		USD	320		360,000

					22,511,443
Multi-Utilities — 0.3%
Brooklyn Union Gas Co., 3.41%, 3/10/26 (e)			1,475		1,495,292
NGL Energy Partners LP/NGL Energy Finance Corp.:
5.13%, 7/15/19			120		120,300
6.88%, 10/15/21			209		215,139
7.50%, 11/01/23 (e)			190		199,975

					2,030,706


Corporate Bonds	Par (000)			Value
Multiline Retail — 0.0%
Neiman Marcus Group Ltd., 8.00%, 10/15/21 (e)(g)		USD	378	$	237,195
Offshore Drilling & Other Services — 0.0%
Sensata Technologies BV, 5.63%, 11/01/24 (e)			179		188,845
Oil, Gas & Consumable Fuels — 7.5%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24 (e)			117		123,728
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24 (e)			55		55,825
Antero Resources Corp.:
5.13%, 12/01/22			76		76,380
5.63%, 6/01/23			74		74,925
California Resources Corp., 8.00%, 12/15/22 (e)(g)			967		826,785
Callon Petroleum Co., 6.13%, 10/01/24 (e)			209		217,882
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23			140		141,750
Cheniere Corpus Christi Holdings LLC (e):
7.00%, 6/30/24			973		1,089,760
5.88%, 3/31/25			561		593,257
Chesapeake Energy Corp.:
4.27%, 4/15/19 (d)			786		780,105
6.88%, 11/15/20			215		212,850
8.00%, 12/15/22 (e)			558		590,085
8.00%, 1/15/25 (e)			313		310,652
ConocoPhillips Co., 4.20%, 3/15/21			290		308,312
CONSOL Energy, Inc.:
5.88%, 4/15/22 (g)			3,657		3,565,575
8.00%, 4/01/23			19		19,808
Continental Resources, Inc.:
4.50%, 4/15/23			147		144,060
3.80%, 6/01/24			395		365,869
4.90%, 6/01/44			290		254,475
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
6.00%, 12/15/20			35		36,006
6.25%, 4/01/23			35		36,313
CrownRock LP/CrownRock Finance, Inc. (e):
7.13%, 4/15/21			875		910,000
7.75%, 2/15/23			145		156,238
DCP Midstream LLC (e):
4.75%, 9/30/21			80		82,600
6.45%, 11/03/36			197		202,418
6.75%, 9/15/37			237		251,220
Denbury Resources, Inc.:
9.00%, 5/15/21 (e)			578		622,795
5.50%, 5/01/22			221		182,325
4.63%, 7/15/23			40		31,200
Diamondback Energy, Inc., 5.38%, 5/31/25 (e)			203		210,105
Eclipse Resources Corp., 8.88%, 7/15/23			70		72,275
Energy Transfer Equity LP:
7.50%, 10/15/20 (g)			703		789,996
5.88%, 1/15/24 (g)			452		485,900
5.50%, 6/01/27			390		412,912
Ensco Jersey Finance, Ltd., 3.00%, 1/31/24 (e)			510		519,881
Ensco PLC, 8.00%, 1/31/24 (e)			111		113,775
EP Energy LLC/Everest Acquisition Finance, Inc.:
9.38%, 5/01/20			334		326,485
8.00%, 11/29/24 (e)			256		271,360
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (e)			376		400,440

See Notes to Financial Statements.



42	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Genesis Energy LP/Genesis Energy Finance Corp., 5.63%, 6/15/24		USD	83	$	82,793
GNL Quintero SA:
4.63%, 7/31/29 (e)			247		250,396
4.63%, 7/31/29			240		243,300
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (e)			755		796,525
Gulfport Energy Corp.:
6.63%, 5/01/23			74		75,295
6.38%, 5/15/25 (e)			203		204,015
Halcon Resources Corp., 6.75%, 2/15/25 (e)			1,613		1,596,870
Hess Corp., 4.30%, 4/01/27			50		50,014
Hilcorp Energy I LP/Hilcorp Finance Co. (e):
5.00%, 12/01/24 (g)			299		286,292
5.75%, 10/01/25			2		1,985
Matador Resources Co.:
6.88%, 4/15/23			390		411,450
6.88%, 4/15/23 (e)			447		471,585
MEG Energy Corp. (e):
6.50%, 3/15/21			384		392,640
6.38%, 1/30/23			30		26,625
7.00%, 3/31/24 (g)			1,229		1,106,100
6.50%, 1/15/25			1,135		1,109,462
Murphy Oil Corp.:
6.88%, 8/15/24			260		278,330
6.13%, 12/01/42			67		62,980
Nabors Industries, Inc., 0.75%, 1/15/24 (e)			399		385,035
Newfield Exploration Co., 5.63%, 7/01/24			166		177,620
NGPL PipeCo LLC (e):
7.12%, 12/15/17			820		849,725
7.77%, 12/15/37			607		687,427
Noble Holding International Ltd., 7.75%, 1/15/24			785		763,412
Oasis Petroleum, Inc.:
6.50%, 11/01/21			407		414,122
2.63%, 9/15/23 (i)			220		297,962
ONEOK, Inc.:
7.50%, 9/01/23			315		374,062
6.00%, 6/15/35			35		36,838
Paramount Resources Ltd., 6.88%, 6/30/23 (e)			530		560,607
Parker Drilling Co.:
7.50%, 8/01/20			215		209,625
6.75%, 7/15/22			188		173,900
Parsley Energy LLC/Parsley Finance Corp. (e):
6.25%, 6/01/24			186		195,415
5.38%, 1/15/25			116		117,740
5.25%, 8/15/25			164		165,640
Petrobras Argentina SA, 7.38%, 7/21/23 (e)			767		792,610
Petrobras Global Finance BV:
4.88%, 3/17/20			332		341,462
8.38%, 5/23/21			867		966,965
8.75%, 5/23/26			168		190,596
7.38%, 1/17/27			354		370,284
Petrobras International Finance Co., 5.75%, 1/20/20			332		348,268
Petroleos Mexicanos:
5.38%, 3/13/22 (e)			39		40,792
4.63%, 9/21/23			265		265,527
Precision Drilling Corp., 7.75%, 12/15/23 (e)			75		81,188
Raizen Fuels Finance SA, 5.30%, 1/20/27 (e)			475		485,687
Range Resources Corp. (e):
5.88%, 7/01/22			330		337,425
5.00%, 3/15/23			155		150,156
Resolute Energy Corp., 8.50%, 5/01/20			237		241,740


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Rockies Express Pipeline LLC (e):
6.85%, 7/15/18		USD	183	$	192,608
6.00%, 1/15/19			20		21,000
5.63%, 4/15/20 (g)			550		580,250
6.88%, 4/15/40			475		505,875
Rowan Cos., Inc.:
4.88%, 6/01/22			70		66,850
7.38%, 6/15/25			608		630,800
RSP Permian, Inc.:
6.63%, 10/01/22			291		307,732
5.25%, 1/15/25 (e)			151		154,775
Sanchez Energy Corp.:
7.75%, 6/15/21			50		51,250
6.13%, 1/15/23 (g)			1,630		1,564,800
SESI LLC, 6.38%, 5/01/19			90		90,338
Seven Generations Energy Ltd., 8.25%, 5/15/20 (e)(g)			119		125,248
SM Energy Co.:
6.50%, 11/15/21			85		86,913
6.13%, 11/15/22 (g)			18		18,135
5.00%, 1/15/24			5		4,688
5.63%, 6/01/25			425		402,156
6.75%, 9/15/26			139		141,433
Southwestern Energy Co.:
5.80%, 1/23/20			1,087		1,076,130
6.70%, 1/23/25			55		52,800
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, 4/15/25			82		83,230
Sunoco Logistics Partners Operations LP, 3.90%, 7/15/26			235		232,100
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (e):
5.50%, 9/15/24			412		416,120
5.13%, 2/01/25			114		118,560
5.38%, 2/01/27			109		113,633
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
6.38%, 8/01/22			85		87,763
5.25%, 5/01/23			15		15,488
Tesoro Corp. (e):
4.75%, 12/15/23			443		458,505
5.13%, 12/15/26			617		652,477
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:
5.88%, 10/01/20 (g)			138		142,244
6.13%, 10/15/21			39		40,706
Tullow Oil PLC, 6.25%, 4/15/22 (e)			200		186,500
Weatherford International LLC, 6.80%, 6/15/37			27		25,448
Weatherford International Ltd.:
4.50%, 4/15/22			95		90,844
6.50%, 8/01/36			240		221,400
5.95%, 4/15/42			207		173,363
Whiting Petroleum Corp.:
5.00%, 3/15/19			713		719,239
5.75%, 3/15/21			157		156,215
6.25%, 4/01/23			40		40,100
WildHorse Resource Development Corp., 6.88%, 2/01/25 (e)			235		232,062
Williams Cos., Inc.:
4.55%, 6/24/24			162		164,430
5.75%, 6/24/44			819		827,190
WPX Energy, Inc.:
7.50%, 8/01/20			70		75,425
6.00%, 1/15/22			90		91,913

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	43


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc. (continued):
8.25%, 8/01/23		USD	90	$	100,800
5.25%, 9/15/24			105		102,506
YPF SA:
8.88%, 12/19/18 (e)			1,295		1,410,799
8.50%, 3/23/21 (e)			168		185,388
8.50%, 7/28/25			83		89,665

					46,662,708
Paper & Forest Products — 0.1%
Mercer International, Inc., 6.50%, 2/01/24 (e)			79		80,580
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (e)			260		259,350

					339,930
Pharmaceuticals — 2.1%
AbbVie, Inc., 3.60%, 5/14/25 (g)			695		692,076
Actavis Funding SCS, 3.45%, 3/15/22 (g)			2,460		2,514,678
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (e)(h)			121		121,605
DPx Holdings BV, 7.50%, 2/01/22 (e)			110		116,669
Endo Finance LLC/Endo Finco, Inc. (e):
7.25%, 1/15/22			121		117,143
5.38%, 1/15/23			65		57,525
6.00%, 7/15/23 (g)			433		398,360
Ephios Bondco PLC, 6.25%, 7/01/22		EUR	100		114,691
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (g)		USD	479		496,962
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (e)			376		392,920
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (e)(g)			1,179		1,268,899
NBTY, Inc., 7.63%, 5/15/21 (e)			696		735,150
Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23			1,500		1,454,679
Tennessee Merger Sub, Inc., 6.38%, 2/01/25 (e)			695		691,525
Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23			775		735,525
Valeant Pharmaceuticals International, Inc. (e):
6.75%, 8/15/18 (g)			1,044		1,028,340
6.38%, 10/15/20 (g)			621		565,110
7.50%, 7/15/21			270		248,063
6.75%, 8/15/21			65		57,850
5.63%, 12/01/21			307		258,648
5.50%, 3/01/23			16		12,900
5.88%, 5/15/23 (g)			506		411,757
6.13%, 4/15/25			925		736,531

					13,227,606
Real Estate — 0.0%
Prologis LP, 3.75%, 11/01/25 (g)			255		263,229
Real Estate Investment Trusts (REITs) — 1.2%
ATF Netherlands BV, 2.13%, 3/13/23		EUR	100		107,523
AvalonBay Communities, Inc., 3.45%, 6/01/25 (g)		USD	1,245		1,260,713
ERP Operating LP, 3.38%, 6/01/25 (g)			1,015		1,013,211
Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (e)			179		177,031
iStar, Inc., 4.00%, 11/01/17			250		250,937
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (e):
5.63%, 5/01/24			1,462		1,546,065
4.50%, 9/01/26			396		385,110


Corporate Bonds	Par (000)			Value
Real Estate Investment Trusts (REITs) (continued)
Starwood Property Trust, Inc., 5.00%, 12/15/21 (e)		USD	234	$	243,068
Trust F/1401, 6.95%, 1/30/44			659		647,204
Ventas Realty LP, 4.13%, 1/15/26 (g)			650		663,596
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (g)			1,300		1,397,462

					7,691,920
Real Estate Management & Development — 0.3%
Aroundtown Property Holdings PLC, 1.50%, 1/18/21 (i)		EUR	100		109,425
Realogy Group LLC/Realogy Co-Issuer Corp. (e):
4.50%, 4/15/19 (g)		USD	301		311,535
5.25%, 12/01/21 (g)			75		78,000
4.88%, 6/01/23			1,041		1,025,385
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (e)			220		223,850

					1,748,195
Road & Rail — 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (e):
5.13%, 6/01/22			205		201,156
6.38%, 4/01/24			30		30,488
5.25%, 3/15/25			930		890,475
Avis Budget Finance PLC, 4.13%, 11/15/24		EUR	100		105,326
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (e)(g)		USD	701		720,277
Herc Rentals, Inc. (e):
7.50%, 6/01/22			175		189,000
7.75%, 6/01/24			12		13,200
Hertz Corp.:
6.75%, 4/15/19			285		285,000
5.88%, 10/15/20			409		398,775
7.38%, 1/15/21			72		72,000
6.25%, 10/15/22			174		166,170
Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (e)(g)			3,000		3,172,500
Loxam SAS, 3.50%, 5/03/23		EUR	100		104,590
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (e)		USD	319		334,153

					6,683,110
Semiconductors & Semiconductor Equipment — 1.4%
Advanced Micro Devices, Inc., 7.50%, 8/15/22			73		81,760
Analog Devices, Inc.:
3.90%, 12/15/25			375		385,905
3.50%, 12/05/26			275		273,498
Applied Materials, Inc., 3.90%, 10/01/25			285		301,881
Broadcom Corp. / Broadcom Cayman Finance Ltd. (e):
3.00%, 1/15/22			1,250		1,249,901
3.63%, 1/15/24			1,515		1,531,897
Microchip Technology, Inc., 2.13%, 12/15/37 (i)			60		181,575
Micron Technology, Inc.:
5.25%, 8/01/23 (e)			306		308,677
5.50%, 2/01/25			35		36,138
5.63%, 1/15/26 (e)			74		76,035
Series G, 3.00%, 11/15/43 (i)			720		722,250
Microsemi Corp., 9.13%, 4/15/23 (e)			37		42,643
NXP BV/NXP Funding LLC (e):
4.13%, 6/15/20 (g)			834		867,510
4.13%, 6/01/21			200		207,620
3.88%, 9/01/22			200		204,750
4.63%, 6/01/23			425		452,625

See Notes to Financial Statements.



44	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Semiconductors & Semiconductor Equipment (continued)
QUALCOMM, Inc., 3.45%, 5/20/25 (g)		USD	1,570	$	1,589,732
Sensata Technologies BV, 5.00%, 10/01/25 (e)(g)			332		336,980
Xilinx, Inc., 2.63%, 6/15/17 (i)			55		112,578

					8,963,955
Software — 1.5%
ACI Worldwide, Inc., 6.38%, 8/15/20 (e)			360		371,520
BMC Software Finance, Inc., 8.13%, 7/15/21 (e)			1,323		1,342,845
CDW LLC/CDW Finance Corp., 5.50%, 12/01/24 (g)			513		538,650
Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (e)			303		320,422
Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24 (e)			175		190,312
Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (e)			512		539,520
Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (e)			46		40,538
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (e)(g)(h)			545		559,987
Infor US, Inc., 6.50%, 5/15/22			1,153		1,199,120
Informatica LLC, 7.13%, 7/15/23 (e)			437		422,142
JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (e)			311		326,550
Nuance Communications, Inc. (e):
5.38%, 8/15/20 (g)			36		36,701
6.00%, 7/01/24			160		165,400
5.63%, 12/15/26			102		104,168
PTC, Inc., 6.00%, 5/15/24			106		113,155
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (e)			1,217		1,387,380
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23			600		634,500
TIBCO Software, Inc., 11.38%, 12/01/21 (e)			842		915,675
Veritas US, Inc./Veritas Bermuda Ltd.:
7.50%, 2/01/23		EUR	100		111,767
10.50%, 2/01/24 (e)		USD	200		216,000

					9,536,352
Specialty Retail — 0.4%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			660		686,400
Group 1 Automotive, Inc., 5.00%, 6/01/22			375		386,250
JC Penney Corp., Inc.:
8.13%, 10/01/19			22		23,430
6.38%, 10/15/36			81		61,965
7.40%, 4/01/37			231		187,110
L Brands, Inc., 6.88%, 11/01/35			371		356,624
Penske Automotive Group, Inc.:
5.38%, 12/01/24			441		447,615
5.50%, 5/15/26			190		188,708

					2,338,102
Technology Hardware, Storage & Peripherals — 0.4%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (e):
4.42%, 6/15/21			130		136,324
7.13%, 6/15/24			651		719,300
6.02%, 6/15/26			135		148,443
8.35%, 7/15/46			130		169,526
Hewlett Packard Enterprise Co., 4.90%, 10/15/25			375		390,199


Corporate Bonds	Par (000)			Value
Technology Hardware, Storage & Peripherals (continued)
Western Digital Corp.:
7.38%, 4/01/23 (e)		USD	444	$	487,290
10.50%, 4/01/24			248		290,160

					2,341,242
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 5/01/23		EUR	100		113,091
Thrifts & Mortgage Finance — 0.1%
Jerrold Finco PLC, 6.25%, 9/15/21		GBP	100		128,118
MGIC Investment Corp., 5.75%, 8/15/23		USD	163		172,372

					300,490
Tobacco — 0.1%
Reynolds American, Inc., 3.25%, 6/12/20 (g)			396		405,942
Trading Companies & Distributors — 0.0%
Ashtead Capital, Inc., 5.63%, 10/01/24 (e)(g)			220		233,200
Transportation Infrastructure — 1.3%
CEVA Group PLC, 7.00%, 3/01/21 (e)			460		409,400
CMA CGM SA, 7.75%, 1/15/21		EUR	100		103,558
Empresa de Transporte de Pasajeros Metro SA, 5.00%, 1/25/47 (e)		USD	231		239,432
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (e)(g)			6,155		6,259,758
Rumo Luxembourg Sarl, 7.38%, 2/09/24 (e)			907		931,942
Transurban Finance Co. Property Ltd., 4.13%, 2/02/26 (e)(g)			435		447,557

					8,391,647
Utilities — 0.5%
AES Panama SRL, 6.00%, 6/25/22 (e)			250		258,125
ContourGlobal Power Holdings SA, 5.13%, 6/15/21		EUR	100		112,148
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (e)		USD	831		877,661
Inkia Energy Ltd., 8.38%, 4/04/21 (e)			332		341,545
Stoneway Capital Corp., 10.00%, 3/01/27 (e)			1,333		1,346,330

					2,935,809
Wireless Telecommunication Services — 2.4%
Communications Sales & Leasing, Inc./CSL Capital LLC:
6.00%, 4/15/23 (e)			149		156,450
8.25%, 10/15/23			835		904,931
7.13%, 12/15/24 (e)			390		401,700
Digicel Group Ltd. (e):
8.25%, 9/30/20			268		236,845
7.13%, 4/01/22			267		216,342
Digicel Ltd., 6.00%, 4/15/21 (e)(g)			2,073		1,916,157
GEO Group, Inc.:
5.88%, 1/15/22			50		52,063
5.13%, 4/01/23			357		357,892
6.00%, 4/15/26			64		66,624
Matterhorn Telecom SA, 3.88%, 5/01/22		EUR	100		109,913
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25 (e)		USD	269		270,009
Rogers Communications, Inc., 5.00%, 3/15/44 (g)			545		588,546
Sprint Capital Corp.:
6.90%, 5/01/19			135		143,818
6.88%, 11/15/28			1,409		1,502,346
Sprint Communications, Inc.:
9.00%, 11/15/18 (e)(g)			1,579		1,727,031

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	45


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Corporate Bonds	Par (000)			Value
Wireless Telecommunication Services (continued)
Sprint Communications, Inc. (continued):
7.00%, 3/01/20 (e)(g)		USD	241	$	263,293
7.00%, 8/15/20			339		365,696
Sprint Corp.:
7.25%, 9/15/21			105		114,450
7.88%, 9/15/23			1,100		1,223,750
7.13%, 6/15/24 (g)			2,003		2,162,619
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (e)			520		521,950
T-Mobile USA, Inc.:
6.63%, 4/28/21 (g)			228		237,166
6.13%, 1/15/22			75		79,313
6.73%, 4/28/22			173		179,920
6.00%, 3/01/23 (g)			513		542,497
6.84%, 4/28/23			55		58,663
6.50%, 1/15/24 (g)			535		574,857
6.38%, 3/01/25			14		15,050
6.50%, 1/15/26 (g)			53		58,234
Wind Acquisition Finance SA, 4.00%, 7/15/20		EUR	195		210,508

					15,258,633
Total Corporate Bonds — 65.9%					412,905,589



Floating Rate Loan Interests (d)
Aerospace & Defense — 0.5%
BE Aerospace, Inc., 2014 Term Loan B, 3.94%, 12/16/21		USD	618		620,254
Engility Corp.:
Term Loan B1, 5.03%, 8/12/20			112		112,931
Term Loan B2, 4.53%, 8/12/23			206		207,806
TransDigm, Inc.:
2015 Term Loan E, 3.78%, 5/14/22			634		636,940
2016 Extended Term Loan F, 3.78%, 6/09/23			1,043		1,047,823
Term Loan D, 4.00%, 6/04/21			334		335,231

					2,960,985
Air Freight & Logistics — 0.7%
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.50%, 1/13/22			2,786		2,834,384
CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21			213		185,438
CEVA Intercompany BV, Dutch Term Loan, 6.54%, 3/19/21			219		190,410
CEVA Logistics Canada ULC, Canadian Term Loan, 6.54%, 3/19/21			42		36,715
CEVA Logistics US Holdings, Inc., Term Loan, 6.54%, 3/19/21			289		251,388
XPO Logistics, Inc., Term Loan B2, 4.30%, 11/01/21			811		817,864

					4,316,199
Airlines — 0.1%
Northwest Airlines, Inc. Term Loan:
3.08%, 3/10/17			76		75,196
2.46%, 9/10/18			276		272,274

					347,470
Auto Components — 0.3%
Anchor Glass Container Corp.:
2016 1st Lien Term Loan, 4.25%, 12/07/23			165		166,926


Floating Rate Loan Interests (d)	Par (000)			Value
Auto Components (continued)
Anchor Glass Container Corp. (continued):
2016 2nd Lien Term Loan, 8.75%, 12/07/24		USD	175	$	178,281
Gates Global LLC, Term Loan B, 4.25%, 7/06/21			1,433		1,433,079

					1,778,286
Automobiles — 0.2%
CH Hold Corp.:
1st Lien Term Loan, 4.03%, 2/01/24			370		373,655
2nd Lien Term Loan, 8.28%, 2/01/25			110		111,925
Delayed Draw Term Loan B, 4.50%, 1/18/24			40		40,449
FCA US LLC, 2018 Term Loan B, 3.28%, 12/31/18			758		758,437

					1,284,466
Building Materials — 0.3%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.54%, 7/28/23			290		293,987
2015 Term Loan, 4.79%, 7/28/22			350		350,932
2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22			108		108,249
2016 Incremental Term Loan, 5.50%, 7/28/22			886		891,082

					1,644,250
Building Products — 0.8%
Continental Building Products LLC, 2017 Term Loan B, 3.28%, 8/18/23			597		601,160
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,267		1,274,094
GYP Holdings III Corp., 1st Lien Term Loan, 4.54%, 4/01/21			706		710,337
Jeld-Wen, Inc., Term Loan B2, 4.75%, 7/01/22			514		517,680
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			386		388,157
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.02%, 11/15/23			609		616,419
Wilsonart LLC, 2016 Term Loan, 4.50%, 12/19/23			660		664,106

					4,771,953
Capital Markets — 0.1%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			214		213,040
RPI Finance Trust, Term Loan B5, 3.50%, 10/14/22			444		448,678

					661,718
Chemicals — 1.2%
Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.29%, 9/13/23			182		183,640
Allnex USA, Inc., Term Loan B3, 5.29%, 9/13/23			137		138,353
Atotech BV, 2017 Term Loan B1, 4.00%, 1/31/24			610		616,100
Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.50%, 2/01/23			484		490,059
Chemours Co., Term Loan B, 3.79%, 5/12/22			381		383,841
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			47		41,210
Huntsman International LLC, Term Loan B2, 3.78%, 4/01/23			749		757,195

See Notes to Financial Statements.



46	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
Chemicals (continued)
MacDermid, Inc.:
2016 Term Loan, 5.00%, 6/07/23		USD	607	$	613,491
Term Loan B5, 4.50%, 6/07/20			470		475,243
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			1,050		1,036,492
PQ Corp., 2016 Term Loan, 5.29%, 11/04/22			615		623,547
Royal Holdings, Inc.:
2015 2nd Lien Term Loan, 8.50%, 6/19/23			102		102,197
2017 Term Loan B, 4.25%, 6/30/22			458		460,249
Solenis International LP:
1st Lien Term Loan, 4.30%, 7/31/21			503		504,216
2nd Lien Term Loan, 7.80%, 7/31/22			600		592,248
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			519		518,845

					7,536,926
Commercial Services & Supplies — 2.0%
ADMI Corp., 2015 Term Loan B, 5.29%, 4/30/22			184		184,406
Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23			1,044		1,054,907
Aramark Services, Inc., Term Loan F, 3.50%, 2/24/21			453		457,221
Asurion LLC:
2016 Term Loan B2, 4.03%, 7/08/20			219		221,820
Term Loan B4, 4.25%, 8/04/22			230		232,550
Term Loan B5, 4.75%, 11/03/23			933		944,657
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.79%, 11/26/20			1,254		1,253,773
Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23			663		670,661
Catalent Pharma Solutions, Inc., Term Loan B, 3.75%, 5/20/21			1,194		1,207,883
Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24			715		721,707
Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21			230		233,156
Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20			162		150,378
GCA Services Group, Inc., 2016 Term Loan, 5.99%, 3/01/23			566		571,491
Harland Clarke Holdings Corp., Term Loan B6, 7.03%, 2/02/22			45		45,281
KAR Auction Services, Inc., Term Loan B3, 4.50%, 3/09/23			432		436,867
Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19			330		325,169
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.25%, 5/02/22			748		754,355
PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21			617		625,932
Spin Holdco, Inc., Term Loan B, 4.28%, 11/14/19			849		845,312
TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23			338		342,529
US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23			603		610,277
Waste Industries USA, Inc., 2016 Term Loan, 3.53%, 2/27/20			680		683,008

					12,573,340
Communications Equipment — 0.3%
Applied Systems, Inc.:
1st Lien Term Loan, 4.00%, 1/25/21			299		300,941


Floating Rate Loan Interests (d)	Par (000)			Value
Communications Equipment (continued)
Applied Systems, Inc. (continued):
2nd Lien Term Loan, 7.50%, 1/24/22		USD	262	$	264,071
Avaya, Inc.:
DIP Term Loan, 8.50%, 1/24/18			55		56,749
Term Loan B7, 6.28%, 5/29/20 (b)			289		230,635
Checkout Holding Corp., 1st Lien Term Loan, 4.50%, 4/09/21			53		48,126
CommScope, Inc., Term Loan B5, 3.28%, 12/29/22			359		362,344
Riverbed Technology, Inc., 2016 Term Loan, 4.25%, 4/24/22			687		692,519

					1,955,385
Construction & Engineering — 0.3%
CNT Holdings III Corp., 2017 Term Loan, 4.25%, 1/22/23			571		573,901
Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23			1,027		1,040,268
USIC Holdings, Inc., 2016 1st Lien Term Loan, 4.75%, 12/08/23			375		377,111

					1,991,280
Construction Materials — 0.2%
Filtration Group Corp.:
1st Lien Term Loan, 4.30%, 11/21/20			915		922,114
Delayed Draw Term Loan, 4.25%, 11/21/20			281		282,537

					1,204,651
Containers & Packaging — 0.6%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.01%, 12/17/21			898		900,112
Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21			261		262,993
Berry Plastics Group, Inc., Term Loan I, 3.28%, 10/03/22			1,655		1,666,155
BWAY Holding Co., 2016 Term Loan B, 4.75%, 8/14/23			1,173		1,173,602

					4,002,862
Distributors — 0.1%
American Builders & Contractors Supply Co., Inc., Term Loan B, 3.53%, 10/31/23			546		550,919
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			221		220,050

					770,969
Diversified Consumer Services — 0.7%
Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.52%, 11/07/23			1,186		1,198,085
Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.54%, 11/08/23			1,335		1,340,594
Serta Simmons Holdings LLC, 2nd Lien Term Loan, 9.04%, 11/08/24			470		478,812
ServiceMaster Co., 2016 Term Loan B, 3.28%, 11/08/23			740		747,400
Weight Watchers International, Inc., Term Loan B2, 4.25%, 4/02/20			721		631,991

					4,396,882
Diversified Financial Services — 0.1%
AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22			595		600,989
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			161		162,279

					763,268

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	47


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
Diversified Telecommunication Services — 2.0%
Consolidated Communications, Inc.:
2016 Term Loan B, 4.00%, 10/04/23		USD	289	$	290,927
Term Loan B2, 4.00%, 10/05/23			205		206,171
Hawaiian Telcom Communications, Inc., Term Loan B, 5.29%, 6/06/19			696		696,241
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.29%, 8/14/20			836		836,036
2nd Lien Term Loan, 9.75%, 2/12/21			360		359,847
Level 3 Financing Inc., 2017 Term Loan B, 3.03%, 2/14/24			4,290		4,309,906
Sprint Communications, Inc., 1st Lien Term Loan B, 3.31%, 2/02/24			985		986,408
Telenet International Finance Sarl, Term Loan AF, 3.77%, 1/31/25			1,255		1,265,981
Virgin Media Investment Holdings Ltd.:
Term Loan I, 3.52%, 1/31/25			1,480		1,485,757
Term Loan J, 3.83%, 1/31/26		GBP	304		380,550
Zayo Group LLC: 2017 Term Loan B2, 3.53%, 1/19/24			1,825		1,842,082

					12,659,906
Electric Utilities — 0.6%
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.30%, 6/30/17			2,064		2,069,545
Lightstone Generation LLC:
Term Loan B, 6.54%, 11/22/23			438		444,471
Term Loan C, 6.54%, 11/22/23			42		42,331
TEX Operations Co. LLC:
Exit Term Loan B, 3.53%, 8/04/23			819		822,895
Exit Term Loan C, 3.53%, 8/04/23			187		187,740
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17			780		—
Vistra Operations Co. LLC, 2016 Term Loan B2, 4.02%, 12/14/23			305		306,763

					3,873,745
Energy Equipment & Services — 0.2%
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			373		264,157
Gavilan Resources LLC, 2nd Lien Term Loan, 7.50%, 2/24/24			665		658,350
Weatherford International Ltd., Term Loan, 3.09%, 7/13/20			564		550,897

					1,473,404
Food & Staples Retailing — 1.2%
Albertsons LLC:
2016 Term Loan B4, 3.78%, 8/22/21			1,473		1,490,764
2016 Term Loan B5, 4.25%, 12/22/22			109		110,137
BJ’s Wholesale Club, Inc.:
2017 1st Lien Term Loan, 4.75%, 2/03/24			1,180		1,170,418
2017 2nd Lien Term Loan, 8.50%, 2/03/25			485		484,292
Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22			1,204		1,218,650
Rite Aid Corp.:
5.75%, 8/21/20		USD	240		240,600
4.88%, 6/21/21			815		817,714
US Foods, Inc., 2016 Term Loan B, 3.53%, 6/27/23			2,015		2,039,557

					7,572,132


Floating Rate Loan Interests (d)	Par (000)			Value
Food Products — 1.0%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21		USD	405	$	400,855
Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23			531		537,308
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			693		695,462
JBS USA LLC, 2017 Term Loan B, 3.28%, 10/30/22			895		899,851
Pinnacle Foods Finance LLC, 2017 Term Loan B, 3.03%, 2/02/24			645		647,954
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			645		635,496
2nd Lien Term Loan, 10.75%, 11/01/19			233		203,584
Reynolds Group Holdings Inc., 2017 Term Loan, 3.78%, 2/05/23			2,025		2,039,685

					6,060,195
Health Care Equipment & Supplies — 1.3%
Alere, Inc.:
2015 Term Loan A, 3.78%, 6/18/20			363		363,086
2015 Term Loan B, 4.25%, 6/18/22			485		485,419
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			1,039		1,047,729
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			1,234		1,236,451
Cotiviti Corp., Term Loan B, 3.75%, 9/28/23			892		897,753
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			1,017		998,194
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			763		753,553
Mallinckrodt International Finance SA, Term Loan B, 3.80%, 9/01/24			535		537,006
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			1,172		1,171,375
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			607		601,587

					8,092,153
Health Care Providers & Services — 2.6%
Acadia Healthcare Co., Inc.:
Term Loan B, 3.78%, 2/11/22			233		234,891
Term Loan B2, 3.78%, 2/16/23			644		648,526
CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23			978		989,833
Community Health Systems, Inc.:
Term Loan F, 4.19%, 12/31/18			1,223		1,219,603
Term Loan G, 3.75%, 12/31/19			449		444,682
Term Loan H, 4.00%, 1/27/21			232		227,778
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22			321		322,204
DaVita HealthCare Partners, Inc., Term Loan B, 3.53%, 6/24/21			390		394,935
Envision Healthcare Corp., 2016 Term Loan B, 4.00%, 12/01/23			2,390		2,418,871
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			824		795,440
HCA, Inc., Term Loan B6, 4.03%, 3/17/23			1,088		1,096,608
inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23			1,080		1,086,577
MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23			1,082		1,098,303
NVA Holdings, Inc.:
1st Lien Term Loan, 4.75%, 8/14/21			118		118,976
1st Lien Term Loan B2, 4.50%, 8/14/21			104		104,925
2016 Term Loan, 5.50%, 8/14/21			234		233,581

See Notes to Financial Statements.



48	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
Health Care Providers & Services (continued)
Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22		USD	547	$	554,091
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			963		962,216
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20			397		399,532
Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22			777		778,063
Team Health, Inc., 1st Lien Term Loan, 3.75%, 2/06/24			995		991,896
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			438		402,604
Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23			572		579,413

					16,103,548
Health Care Technology — 0.6%
Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.80%, 2/08/24			2,420		2,430,092
IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21			367		368,440
Press Ganey Holdings, Inc.:
1st Lien Term Loan, 4.25%, 10/21/23			425		425,531
2nd Lien Term Loan, 8.25%, 10/21/24			215		218,225

					3,442,288
Hotels, Restaurants & Leisure — 2.3%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			981		981,977
2nd Lien Term Loan, 8.00%, 8/01/22			246		246,441
AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23			507		508,417
Boyd Gaming Corp.:
Term Loan B, 4.00%, 8/14/20			287		288,596
Term Loan B2, 3.71%, 9/15/23			378		382,085
Bronco Midstream Funding LLC, Term Loan B, 5.06%, 8/15/20			1,039		1,043,728
Burger King Capital Holdings LLC, 2017 Term Loan B, 3.25%, 2/14/24			1,716		1,715,432
Caesars Entertainment Operating Co., Term Loan B7, 4.00%, 3/01/22			1,067		1,281,286
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			2,564		2,585,431
CCM Merger, Inc., Term Loan B, 4.03%, 8/08/21			627		631,358
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22			962		973,181
ESH Hospitality, Inc., 2016 Term Loan B, 3.78%, 8/30/23			873		878,704
Four Seasons Holdings, Inc., 1st Lien Term Loan, 4.00%, 11/30/23			100		101,357
Gateway Casinos & Entertainment Ltd., Term Loan B1, 4.80%, 2/14/23			135		135,760
Hilton Worldwide Finance LLC, Term Loan B1, 3.50%, 10/26/20			32		32,239
La Quinta Intermediate Holdings LLC, Term Loan B, 3.77%, 4/14/21			239		240,862
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21			543		547,621
Sabre, Inc., Term Loan B, 3.53%, 2/08/24			903		909,538
Scientific Games International, Inc., 2017 Term Loan B3, 4.77%, 10/01/21			646		655,845
Station Casinos LLC, 2016 Term Loan B, 3.28%, 6/08/23			251		252,512

					14,392,370


Floating Rate Loan Interests (d)	Par (000)			Value
Household Products — 0.1%
Spectrum Brands, Inc., 2016 Term Loan, 3.51%, 6/23/22		USD	361	$	365,546
Independent Power and Renewable Electricity Producers — 0.6%
Calpine Construction Finance Co., LP, Term Loan B1, 3.03%, 5/03/20			492		491,766
Calpine Corp.:
1st Lien Term Loan, 2.54%, 11/30/17			250		250,063
Term Loan B5, 3.75%, 1/15/24			257		257,960
Term Loan B6, 3.75%, 1/15/23			272		273,483
Term Loan B7, 3.75%, 5/31/23			410		412,761
Dynegy, Inc., 2017 Term Loan C, 4.25%, 6/27/23			1,192		1,204,130
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			1,094		1,104,018
Term Loan C, 5.00%, 12/19/21			49		49,568

					4,043,749
Industrial Conglomerates — 0.2%
Cortes NP Acquisition Corp., Term Loan B, 6.04%, 11/30/23			1,282		1,291,244
Sequa Corp., Term Loan B, 5.25%, 6/19/17			199		191,908

					1,483,152
Insurance — 0.6%
AmWINS Group, Inc., 2017 Term Loan B, 3.75%, 1/25/24			625		628,125
AssuredPartners, Inc., 2016 Term Loan B, 5.25%, 10/21/22			601		607,758
Hub International Ltd., Term Loan B, 4.03%, 10/02/20			374		376,382
Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (h)			430		448,275
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			803		804,909
2016 1st Lien Term Loan, 4.25%, 3/01/21			264		265,489
2nd Lien Term Loan, 6.75%, 2/28/22			765		767,234

					3,898,172
Internet & Direct Marketing Retail — 0.1%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.78%, 8/19/23			919		919,715
Internet Software & Services — 0.5%
Go Daddy Operating Co, LLC
Delayed Draw Term Loan, 2.50%, 2/10/24			679		680,759
2017 Term Loan B, 3.41%, 2/02/24			511		512,360
GTT Communications, Inc., 2016 Term Loan B, 5.00%, 1/09/24			162		164,227
Rackspace Hosting, Inc., 1st Lien Term Loan, 4.53%, 11/03/23			1,090		1,101,587
WaveDivision Holdings LLC, Term Loan B, 3.79%, 10/15/19			383		384,360

					2,843,293
IT Services — 1.5%
Cision US, Inc., Term Loan B, 7.00%, 6/16/23			532		535,428
First Data Corp.:
2016 Repriced Term Loan, 4.00%, 7/10/22			179		179,766
2016 Term Loan, 3.78%, 3/24/21			3,569		3,599,481
Term Loan A, 2.78%, 6/02/20			136		136,501
Global Payments, Inc., Reprice Term Loan B, 3.28%, 4/22/23			493		497,920

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	49


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
IT Services (continued)
TKC Holdings, Inc.:
2017 2nd Lien Term Loan, 8.50%, 2/01/24		USD	333	$	333,626
2017 Term Loan, 4.75%, 2/01/23			635		639,763
Vantiv LLC, 2014 Term Loan B, 3.27%, 10/14/23			519		524,298
VF Holding Corp., Reprice Term Loan, 4.25%, 6/30/23			1,456		1,468,190
WEX, Inc., Term Loan B, 4.28%, 7/01/23			1,209		1,227,059

					9,142,032
Machinery — 0.8%
Columbus McKinnon Corp., Term Loan B, 4.00%, 1/31/24			102		102,239
Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20			499		497,348
Global Brass & Copper, Inc., 2016 Term Loan B, 5.25%, 7/18/23			489		496,107
Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22			760		763,800
Milacron LLC, Amended Term Loan B, 3.00%, 6/20/23			220		220,964
Mueller Water Products, Inc., 2017 Term Loan B, 3.28%, 11/26/21			299		301,704
Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20			413		415,234
Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23			764		768,575
Signode Industrial Group US, Inc., Term Loan B, 4.00%, 5/01/21			85		85,635
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			1,448		1,380,853

					5,032,459
Media — 3.1%
Altice US Finance I Corp., 2016 Term Loan B, 3.78%, 1/15/25			1,427		1,441,986
AMC Entertainment, Inc., Term Loan B, 3.53%, 12/15/23			315		318,307
CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23			435		438,521
Charter Communications Operating LLC, 2016 Term Loan I Add, 3.03%, 1/15/24			1,718		1,728,548
CSC Holdings LLC, 2016 Term Loan, 3.77%, 10/11/24			1,087		1,097,691
Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23			234		234,647
Gray Television, Inc., 2017 Term Loan B, 3.28%, 2/28/24			290		292,175
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			807		748,886
iHeartCommunications, Inc.:
Extended Term Loan E, 8.28%, 7/30/19			215		185,975
Term Loan D, 7.53%, 1/30/19			1,972		1,710,903
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			2,421		2,404,892
Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23			571		577,007
Mission Broadcasting, Inc., 2016 Term Loan B2, 3.77%, 1/17/24			151		152,895
Nexstar Broadcasting, Inc., 2017 Term Loan B, 3.77%, 1/17/24			1,586		1,610,006
Numericable U.S. LLC:
Term Loan B10, 4.29%, 1/14/25			345		347,575
Term Loan B7, 5.29%, 1/15/24			371		374,468


Floating Rate Loan Interests (d)	Par (000)			Value
Media (continued)
SBA Senior Finance II LLC, Term Loan B1, 3.04%, 3/24/21		USD	679	$	681,558
Sinclair Television Group, Inc., Term Loan B2, 3.04%, 1/03/24			370		370,307
Trader Corp., Term Loan, 5.00%, 9/28/23			455		456,329
Tribune Media Co., Term Loan C, 3.78%, 1/27/24			1,292		1,302,803
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			1,278		1,282,139
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21			110		110,298
Ziggo Secured Finance Partnership, Term Loan E, 3.27%, 4/23/25			1,310		1,313,747

					19,181,663
Metals & Mining — 0.0%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			255		24,651
WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23			234		236,072

					260,723
Multiline Retail — 0.2%
Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22			966		947,877
Oil, Gas & Consumable Fuels — 1.5%
Arch Coal Inc., 2017 Term Loan B, 5.00%, 2/17/24			200		200,000
California Resources Corp.:
Second Out Term Loan, 11.38%, 12/31/21			1,145		1,290,037
Term Loan A, 3.78%, 10/01/19			863		830,270
Chesapeake Energy Corp., Term Loan, 8.55%, 8/23/21			1,269		1,370,279
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			345		350,269
Drillships Financing Holding, Inc., Term Loan B1, 6.06%, 3/31/21			441		361,027
Energy Transfer Equity LP, 2017 Term Loan B, 3.53%, 2/02/24			817		819,204
EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			291		292,091
MEG Energy Corp., 2017 Term Loan B, 4.75%, 12/31/23			1,246		1,252,372
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			158		154,535
Peabody Energy Corp., Exit Term Loan, 5.54%, 1/30/22			255		256,806
PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			275		273,625
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			254		249,252
Seventy Seven Operating LLC, Term Loan B, 3.78%, 6/25/20			103		101,609
TPF II Power LLC, Term Loan B, 5.00%, 10/02/21			322		325,442
Ultra Resources, Inc., Revolver, 0.00%, 4/06/17 (a)(b)			531		542,284
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			819		826,863

					9,495,965
Personal Products — 0.3%
Prestige Brands, Inc., Term Loan B4, 3.53%, 1/26/24			936		947,141
Revlon Consumer Products Corp., 2016 Term Loan B, 4.28%, 9/07/23			913		917,623

					1,864,764

See Notes to Financial Statements.



50	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
Pharmaceuticals — 1.5%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21		USD	609	$	617,104
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			1,632		1,638,967
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.81%, 9/26/22			352		353,176
Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 2.97%, 1/31/25			2,090		2,096,855
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			1,986		1,995,848
Valeant Pharmaceuticals International, Inc.:
Series A3 Tranche A, 4.54%, 10/20/18			115		114,682
Series A4 Tranche A, 4.75%, 4/01/20			250		249,922
Series C2 Term Loan B, 5.28%, 12/11/19			1,743		1,754,273
Series E Term Loan B, 5.27%, 8/05/20			469		472,018
Series F1 Term Loan B, 5.53%, 4/01/22			332		335,046

					9,627,891
Professional Services — 0.6%
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21			362		359,719
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			1,038		1,039,793
Information Resources, Inc., 1st Lien Term Loan, 5.25%, 1/18/24			345		349,099
SIRVA Worldwide, Inc., 2016 Term Loan, 7.50%, 11/14/22			240		234,600
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22			586		583,037
TransUnion LLC, Term Loan B2, 3.28%, 4/09/23			1,145		1,157,240

					3,723,488
Real Estate Investment Trusts (REITs) — 0.3%
Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.00%, 10/24/22			777		780,692
MGM Growth Properties LLC, 2016 Term Loan B, 3.28%, 4/25/23			1,389		1,399,980

					2,180,672
Real Estate Management & Development — 0.4%
CityCenter Holdings LLC, Term Loan B, 3.53%, 10/16/20			756		765,268
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.29%, 11/04/21			802		806,219
Realogy Corp., 2017 Term Loan B, 3.03%, 7/20/22			820		826,058

					2,397,545
Road & Rail — 0.0%
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23			150		150,644
Semiconductors & Semiconductor Equipment — 0.1%
Cavium, Inc., Term Loan B, 3.78%, 8/16/22			236		238,184
Microsemi Corp., 2015 Term Loan B, 3.03%, 1/15/23			162		163,214
ON Semiconductor Corp., Incremental Term Loan, 4.03%, 3/31/23			329		331,996

					733,394
Software — 2.7%
Aptean, Inc., 2016 1st Lien Term Loan, 6.00%, 12/20/22			255		258,506
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20			1,179		1,185,011


Floating Rate Loan Interests (d)	Par (000)			Value
Software (continued)
DTI Holdco, Inc., 2016 Term Loan B, 6.09%, 9/21/23		USD	544	$	542,050
Hyland Software, Inc., 2017 Term Loan, 3.25%, 7/01/22			123		124,978
Infor (US), Inc., Term Loan B6, 3.75%, 2/01/22			1,372		1,373,026
Informatica Corp., Term Loan, 4.50%, 8/05/22			889		883,195
IPS Corp., 2016 1st Lien Term Loan, 6.25%, 12/20/23			285		287,138
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			337		326,928
Kronos, Inc.:
1st Lien Term Loan, 5.00%, 11/01/23			1,170		1,183,280
2nd Lien Term Loan, 9.28%, 11/01/24			615		635,424
LANDesk Group, Inc., 2017 Term Loan B, 5.25%, 1/20/24			180		180,868
Mitchell International, Inc.:
1st Lien Term Loan, 4.54%, 10/13/20			608		610,954
2nd Lien Term Loan, 8.50%, 10/11/21			600		598,878
Optiv Security, Inc.:
1st Lien Term Loan, 4.25%, 2/01/24			1,275		1,282,574
2nd Lien Term Loan, 8.25%, 2/01/25			335		338,657
RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23			851		857,694
SolarWinds, Inc., 2017 Term Loan, 4.50%, 2/05/23			915		916,663
Solera LLC, Term Loan B, 5.75%, 3/03/23			497		499,392
Sophia LP, 2017 Term Loan B, 4.25%, 9/30/22			927		929,787
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.03%, 7/08/22			1,722		1,730,477
2015 Term Loan B2, 4.03%, 7/08/22			165		166,108
Synchronoss Technologies, Inc., Term Loan, 4.08%, 1/19/24			865		867,163
Tibco Software Inc., 2017 Term Loan B, 5.50%, 12/04/20			718		727,163
Veritas US Inc., Term Loan B1, 6.63%, 1/27/23			316		315,112

					16,821,026
Specialty Retail — 0.8%
Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22			647		510,375
Bass Pro Group LLC:
2015 Term Loan, 4.02%, 6/05/20			162		154,779
Asset Sale Term Loan, 5.72%, 6/09/18			295		295,000
Term Loan B, 5.97%, 12/16/23			360		345,352
Coinstar LLC, 1st Lien Term Loan, 5.25%, 9/27/23			352		354,586
Leslie’s Poolmart, Inc., 2016 Term Loan, 4.75%, 8/16/23			369		370,237
Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/30/23			1,147		1,143,690
Party City Holdings, Inc., 2016 Term Loan, 3.79%, 8/19/22			1,114		1,105,079
Petco Animal Supplies, Inc., 2017 Term Loan B, 4.29%, 1/26/23			802		771,829

					5,050,927
Technology Hardware, Storage & Peripherals — 0.2%
Dell, Inc., 2016 Term Loan B, 4.04%, 9/07/23			793		797,850
Oberthur Technologies SA, 2016 Term Loan B1, 4.70%, 12/15/23			103		103,993
Western Digital Corp., Term Loan A, 2.78%, 4/29/21			140		140,350

					1,042,193

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	51


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Floating Rate Loan Interests (d)	Par (000)			Value
Textiles, Apparel & Luxury Goods — 0.1%
Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22		USD	715	$	720,112
Thrifts & Mortgage Finance — 0.1%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			835		840,420
Trading Companies & Distributors — 0.3%
Beacon Roofing Supply, Inc., Term Loan B, 3.71%, 10/01/22			841		845,224
HD Supply, Inc.:
Incremental Term Loan B1, 3.75%, 8/13/21			978		984,628
Incremental Term Loan B2, 3.75%, 10/17/23			224		226,121
Nexeo Solutions LLC, 2016 Term Loan, 5.29%, 6/09/23			109		110,025

					2,165,998
Transportation — 0.1%
Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22			495		485,100
Wireless Telecommunication Services — 0.8%
Ligado Networks LLC:
2015 2nd Lien Term Loan, 13.50%, 12/07/20			30		23,739
PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (h)			2,691		2,631,660
LTS Buyer LLC, 1st Lien Term Loan, 4.25%, 4/13/20			1,798		1,811,538
Radiate Holdco LLC, 1st Lien Term Loan, 3.78%, 2/01/24			450		453,312

					4,920,249
Total Floating Rate Loan Interests — 37.8%					236,969,400



Foreign Agency Obligations
Argentine Republic Government International Bond (e):
6.25%, 4/22/19			2,269		2,397,198
5.63%, 1/26/22			4,650		4,696,500
7.50%, 4/22/26			3,008		3,143,360
7.63%, 4/22/46			2,422		2,438,954
Banque Centrale de Tunisie International Bond, 4.50%, 6/22/20		EUR	559		612,191
Colombia Government International Bond:
11.75%, 2/25/20		USD	37		46,898
4.38%, 7/12/21			2,292		2,429,520
Cyprus Government International Bond, 4.63%, 2/03/20 (e)		EUR	2,600		2,983,773
Egypt Government International Bond:
5.75%, 4/29/20		USD	1,857		1,920,361
8.50%, 1/31/47 (e)			373		404,694
Iceland Government International Bond, 5.88%, 5/11/22			3,030		3,432,345
Indonesia Government International Bond, 5.88%, 3/13/20			1,146		1,257,689
Mexico Government International Bond, 4.00%, 10/02/23			508		520,192
Portugal Government International Bond, 5.13%, 10/15/24 (e)			3,190		3,090,064
Total Foreign Agency Obligations — 4.7%					29,373,739


Non-Agency Mortgage-Backed Securities	Par (000)			Value
Collateralized Mortgage Obligations — 1.8%
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35		USD	3,020	$	2,595,375
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2005-17, Class 1A6, 5.50%, 9/25/35			645		640,569
Series 2006-17, Class A2, 6.00%, 12/25/36			1,571		1,364,618
Series 2007-HY5, Class 3A1, 4.61%, 9/25/37 (d)			1,097		981,468
Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44			4,275		4,456,755
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.24%, 10/25/35 (d)			1,040		892,614

					10,931,399
Commercial Mortgage-Backed Securities — 7.6%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.82%, 2/10/51 (d)			593		598,172
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 4/14/33 (d)(e)			4,830		4,853,608
Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class D, 3.82%, 9/15/27 (d)(e)			2,825		2,778,427
Commercial Mortgage Pass-Through Certificates, Series 2014-PAT (d)(e):
Class E, 3.92%, 8/13/27			1,000		1,001,253
Class F, 3.21%, 8/13/27			2,000		1,943,609
Commercial Mortgage Trust:
Series 2013-LC6, Class B, 3.74%, 1/10/46			1,110		1,130,404
Series 2014-CR21, Class A3, 3.53%, 12/10/47			230		236,728
Series 2015-3BP, Class A, 3.18%, 2/10/35 (e)			5,930		5,955,441
Series 2015-CR22, Class B, 3.93%, 3/10/48 (d)			5,000		5,045,361
Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 2/10/34 (d)(e)			3,615		3,652,233
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 4/15/50 (d)			890		919,092
GAHR Commercial Mortgage Trust, Series 2015-NRF (d)(e):
Class DFX, 3.38%, 12/15/34			4,830		4,880,220
Class GFX, 3.38%, 12/15/34			2,500		2,399,383
Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.77%, 7/10/38 (d)			687		686,650
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (e)			1,995		2,037,286
JPMorgan Chase Commercial Mortgage Securities Corp. (d):
Series 2007-CB19, Class A4, 5.74%, 2/12/49			735		735,137
Series 2012-LC9, Class XA, 1.81%, 12/15/47			13,654		822,358
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2004-LN2, Class A2, 5.12%, 7/15/41			33		32,821
Series 2016-NINE, Class A, 2.85%, 10/06/38 (d)(e)			800		778,048

See Notes to Financial Statements.



52	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Non-Agency Mortgage-Backed Securities	Par (000)				Value
Commercial Mortgage-Backed Securities (continued)
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.86%, 7/15/40 (d)		USD		2,122	$	2,130,919
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.83%, 6/12/50 (d)				1,259		1,265,798
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.98%, 2/15/51 (d)				656		656,912
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4, 3.70%, 11/15/48				600		622,342
WF-RBS Commercial Mortgage Trust, Series 2012-C8:
Class B, 4.31%, 8/15/45				1,085		1,147,244
Class C, 4.90%, 8/15/45 (d)				1,395		1,448,210

						47,757,656
Interest Only Commercial Mortgage-Backed Securities — 0.2%
Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.87%, 7/10/48 (d)				16,051		704,981
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.17%, 5/15/47 (d)				14,436		795,724

						1,500,705
Total Non-Agency Mortgage-Backed Securities — 9.6%						60,189,760



Other Interests — 0.0% (K)			Investment Value (000)
Auto Components — 0.0%
Lear Corp. Escrow				1,000		10



Preferred Securities

Capital Trusts	Par (000)
Banks — 2.6%
Banco Popular Espanol SA, 8.25% (d)(l)				200		183,541
Banco Santander SA, 6.25% (d)(l)				200		208,967
Capital One Financial Corp., Series E, 5.55% (d)(g)(l)				3,000		3,105,000
Citigroup, Inc. (d)(g)(l):
5.90%				5,000		5,231,250
5.95%				1,370		1,441,021
Series R, 6.13%				950		1,004,682
Cooperatieve Rabobank UA, 6.63% (d)(l)				200		228,724
Intesa Sanpaolo SpA, 7.00% (d)(l)				200		212,410
RZB Finance Jersey IV Ltd., 1.62% (d)(l)				100		100,831
U.S. Bancorp, Series J, 5.30% (d)(l)				421		428,367
Wells Fargo & Co (d)(g)(l):
Series S, 5.90%				3,170		3,352,275
Series U, 5.88%				650		702,000

						16,199,068
Capital Markets — 1.1%
Goldman Sachs Group, Inc., (d)(g)(l):
Series L, 5.70%				819		843,570
Series M, 5.38%				1,730		1,786,225
Morgan Stanley, Series H, 5.45% (d)(g)(l)				2,546		2,611,667
State Street Corp., Series F, 5.25% (d)(g)(l)				1,625		1,700,156
UBS Group AG, 5.75% (d)(l)				200		231,479

						7,173,097


Capital Trusts	Par (000)				Value
Chemicals — 0.0%
Lanxess AG, 4.50%, 12/06/76 (d)		USD		50	$	56,943
Solvay Finance SA, 5.12% (d)(l)				100		116,176

						173,119
Diversified Financial Services — 3.3%
Bank of America Corp. (d)(l):
Series AA, 6.10% (g)				1,241		1,323,992
Series U, 5.20% (g)				1,250		1,252,344
Series V, 5.13%				510		515,737
Series X, 6.25% (g)				1,929		2,064,223
Barclays PLC (d)(l):
7.88%				200		209,810
7.38%				200		248,165
Credit Agricole SA, 6.50% (d)(l)				100		109,958
JPMorgan Chase & Co. (d)(g)(l):
Series U, 6.13%				6,690		7,101,100
Series V, 5.00%				4,060		4,084,401
Macquarie Bank Ltd., 10.25%, 6/20/57 (d)				1,450		1,480,111
Royal Bank of Scotland Group PLC, 8.63% (d)(l)				200		211,300
Societe Generale SA (d)(e)(l)
6.00% (g)				2,000		1,885,000
7.38%				200		202,500

						20,688,641
Diversified Telecommunication Services — 0.1%
Telefonica Europe BV (d)(l):
3.75%				100		107,132
4.20%				200		222,209
5.00%				100		112,577

						441,918
Electric Utilities — 0.0%
Enel SpA, 5.00%, 1/15/75 (d)				100		113,091
Enel SpA, 7.75%, 9/10/75 (d)				100		137,421

						250,512
Insurance — 1.0%
Hartford Financial Services Group, Inc., 8.13%, 6/15/38 (d)(g)				2,500		2,675,000
Voya Financial, Inc., 5.65%, 5/15/53 (d)(g)				3,500		3,578,750

						6,253,750
Oil, Gas & Consumable Fuels — 0.1%
DCP Midstream LLC, 5.85%, 5/21/43 (d)(e)				40		37,400
Gas Natural Fenosa Finance BV, 3.38% (d)(l)				100		102,614
Repsol International Finance BV, 4.50%, 3/25/75 (d)				100		107,298
TOTAL SA, 3.88% (d)(l)				100		112,794

						360,106
Total Capital Trusts — 8.2%						51,540,211



Preferred Stocks			Shares
Capital Markets — 1.9%
Goldman Sachs Group, Inc., Series J, 5.50% (d)(l)				202,526		5,397,318
Morgan Stanley (d)(l):
6.88%				120,000		3,471,600
Series K, 5.85%				78,162		2,020,487
SCE Trust III, 5.75% (d)(l)				21,200		591,904

						11,481,309
Wireless Telecommunication Services — 0.0%
CF-B L2 (D) LLC, (Aquired 4/08/15, cost $629,122) (c)				127,973		120,717
Total Preferred Stocks — 1.9%						11,602,026

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	53


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Preferred Stocks		Shares		Value

Trust Preferred — 0.4%
Diversified Financial Services — 0.4%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (d)			105,753	$	2,711,949
Total Preferred Securities — 10.5%					65,854,186



U.S. Government Sponsored Agency Securities		Par (000)
Interest Only Collateralized Mortgage Obligations — 0.5%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 3.99%, 12/25/17 (d)	USD		9,023		121,841
Freddie Mac Mortgage-Backed Securities, Class X1 (d):
Series K042, 1.06%, 12/25/24			34,775		2,350,684
Series K707, 1.53%, 12/25/18			40,708		906,577

					3,379,102
Mortgage-Backed Securities — 0.3%
Fannie Mae Mortgage-Backed Securities, 5.00%, 7/1/20 - 8/1/23 (g)			1,693		1,752,463
Total U.S. Government Sponsored Agency Securities — 0.8%					5,131,565



U.S. Treasury Obligations — 0.5%
U.S. Treasury Bonds, 2.50%, 2/15/46			3,200		2,896,125



Rights — 0.0%		Shares
Electric Utilities — 0.0%
Tex Energy LLC (e)			18,143		24,493
Oil, Gas & Consumable Fuels — 0.0%
Southcross Holdings LP			40		12,000
Total Rights — 0.00%					36,493


Warrants	Shares		Value
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		3,100	$	806
Transportation Infrastructure — 0.0%
Jack Cooper Enterprises, Inc. (Expires 4/26/27), Class B		3,658		23,484
Total Warrants — 0.0%				24,290
Total Long-Term Investments (Cost — $883,827,948) — 142.4%				892,151,751



Short-Term Securities
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.42% (m)(n)		2,168,959		2,168,959
Total Short-Term Securities (Cost — $2,168,959) — 0.4%				2,168,959
Options Purchased (Cost — $282,464) — 0.0%				201,186
Total Investments Before Options Written (Cost — $886,279,371) — 142.8%				894,521,896
Options Written (Premiums Received — $214,987) — (0.0)%				(179,419	)
Total Investments, Net of Options Written (Cost — $886,064,384) — 142.8%				894,342,477
Liabilities in Excess of Other Assets — (42.8)%				(268,029,191	)

Net Assets — 100.0%			$	626,313,286


Notes to Schedule of Investments

(a)

Non-income producing security.

(b)

Issuer filed for bankruptcy and/or is in default.

(c)

Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $121,738 and an original cost of $27,096, which was less than 0.05% of its net assets.

(d)

Variable rate security. Rate as of period end.

(e)

(f)

When-issued security.

(g)

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

(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)

Convertible security.

(j)

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.

(k)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(l)

Perpetual security with no stated maturity date.

(m)

Current yield as of period end.

See Notes to Financial Statements.



54	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

(n)


Affiliate	Shares Held at August 31, 2016		Shares Purchased			Shares Sold			Shares Held at February 28, 2017		Value at February 28, 2017		Income		Realized Gain (Loss)¹			Change in Unrealized Depreciation
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		2,168,959	²		—			2,168,959	$	2,168,959	$	11,280	$	12			—
BlackRock Liquidity Funds, TempFund, Institutional Class		2,911,779		—			(2,911,779	)³		—		—		33		—			—
iShares iBoxx $ High Yield Corporate Bond ETF		8,500		—			(8,500	)		—		—		9,713		(3,886	)	$	(3,377	)
Total											$	2,168,959	$	21,026	$	(3,874	)	$	(3,377	)

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

Reverse Repurchase Agreements


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
RBC Capital Markets LLC		1.40	%		5/02/16		Open	$	493,850	$	497,994	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		5/04/16		Open		527,363		531,743	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		5/24/16		Open		196,080		197,510	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		5/26/16		Open		484,544		488,455	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		5/31/16		Open		571,200		575,365	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		6/03/16		Open		538,670		542,839	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		7/15/16		Open		578,550		581,445	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		7/15/16		Open		1,881,600		1,890,369	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/18/16		Open		235,950		237,474	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.64	%		7/25/16		Open		327,590		328,865	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.64	%		7/25/16		Open		225,318		226,195	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.64	%		7/25/16		Open		296,735		297,890	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.64	%		7/25/16		Open		139,825		140,369	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.64	%		7/25/16		Open		154,019		154,619	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		7/25/16		Open		113,940		114,633	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		446,220		448,529	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		238,080		239,568	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		342,785		344,766	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		1,118,380		1,125,420	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		892,080		897,234	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		882,090		887,262	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		833,000		838,279	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		715,145		719,492	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		7/28/16		Open		549,450		552,625	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/01/16		Open		384,225		386,474	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/01/16		Open		174,400		175,386	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/02/16		Open		414,200		416,652	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		8/15/16		Open		1,003,850		1,009,371	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		8/19/16		Open		1,061,580		1,067,183	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		8/29/16		Open		128,700		129,202	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		8/29/16		Open		137,025		137,517	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		8/29/16		Open		144,300		144,876	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		8/29/16		Open		121,155		121,685	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/29/16		Open		156,750		157,480	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/29/16		Open		351,480		353,360	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/29/16		Open		466,830		469,226	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/29/16		Open		473,000		475,529	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/29/16		Open		1,650,420		1,660,396	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/30/16		Open		516,030		518,775	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/30/16		Open		172,000		172,930	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/30/16		Open		405,810		407,986	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/30/16		Open		133,450		134,160	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		8/30/16		Open		396,800		398,961	Corporate Bonds	Open/Demand

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	55


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
RBC Capital Markets LLC		1.40	%		8/30/16		Open	$	365,375	$	367,350	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/14/16		Open		632,625		635,836	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/19/16		Open		284,400		285,724	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/20/16		Open		710,640		713,738	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/21/16		Open		260,580		261,743	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/21/16		Open		538,725		541,278	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		9/29/16		Open		46,355		46,514	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		9/29/16		Open		453,560		455,432	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		9/30/16		Open		808,980		811,735	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		10/07/16		Open		529,277		531,579	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/11/16		Open		241,180		242,288	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		10/11/16		Open		37,100		37,219	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		10/13/16		Open		104,720		105,146	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		10/17/16		Open		217,935		218,779	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		10/20/16		Open		856,800		860,122	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		3,395,000		3,405,402	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		789,000		791,154	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		2,690,000		2,697,345	Capital Trusts	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		898,000		900,452	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		1,473,000		1,477,390	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		1,474,000		1,478,025	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		3,341,000		3,350,123	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		10/21/16		Open		824,000		826,250	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/24/16		Open		351,000		352,498	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.75	%		10/25/16		Open		484,500		485,762	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.95	%		10/25/16		Open		480,525		482,110	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		10/25/16		Open		467,500		469,123	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.00	%		10/25/16		Open		462,210		463,815	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/28/16		Open		1,002,000		1,006,115	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/28/16		Open		274,000		275,125	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/28/16		Open		417,000		418,659	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		10/28/16		Open		621,000		623,312	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		0.95	%		10/28/16		Open		52,000		52,165	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		11/03/16		Open		678,000		680,633	Capital Trusts	Open/Demand
RBC Capital Markets LLC		1.40	%		11/03/16		Open		171,270		171,887	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		11/04/16		Open		377,540		378,803	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		11/07/16		Open		371,000		372,417	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		11/09/16		Open		569,000		571,082	Capital Trusts	Open/Demand
BNP Paribas Securities Corp.		1.05	%		11/10/16		Open		530,000		531,639	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.15	%		11/10/16		Open		427,000		428,446	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		11/14/16		Open		190,740		191,219	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		11/14/16		Open		191,200		191,797	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		11/17/16		Open		252,000		252,756	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		(0.50	)%		11/21/16		Open		1,037,500		1,036,073	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/02/16		Open		182,727		183,268	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		12/07/16		Open		2,247,530		2,252,987	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/12/16		Open		302,365		303,097	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/14/16		Open		232,180		232,647	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/14/16		Open		657,900		659,717	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		0.50	%		12/15/16		Open		83,835		83,922	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		1.25	%		12/15/16		Open		3,197,189		3,205,514	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		1.50	%		12/15/16		Open		916,700		919,565	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		1.50	%		12/15/16		Open		1,217,447		1,221,252	Capital Trusts	Open/Demand
Credit Suisse Securities (USA) LLC		1.00	%		12/15/16		Open		384,456		385,257	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.50	%		12/15/16		Open		1,831,636		1,837,362	Foreign Agency Obligations	Open/Demand
Credit Suisse Securities (USA) LLC		1.50	%		12/15/16		Open		2,440,240		2,447,866	Foreign Agency Obligations	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/15/16		Open		60,000		60,174	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		12/15/16		Open		6,414,000		6,427,363	Capital Trusts	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		12/15/16		Open		482,000		483,004	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		12/15/16		Open		937,000		938,952	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		12,000		12,033	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		175,000		175,474	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		3,042,000		3,050,239	Capital Trusts	Open/Demand

See Notes to Financial Statements.



56	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open	$	203,000	$	203,550	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		2,222,000		2,228,018	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		347,000		347,940	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		1,052,000		1,054,849	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		307,000		307,831	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		1,017,000		1,019,754	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		219,000		219,593	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		168,000		168,435	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		1,417,000		1,420,838	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		12/15/16		Open		600,000		601,625	Corporate Bonds	Open/Demand
UBS Ltd.		1.00	%		12/16/16		Open		2,647,500		2,652,795	Capital Trusts	Open/Demand
UBS Ltd.		1.00	%		12/16/16		Open		2,872,500		2,878,245	Capital Trusts	Open/Demand
UBS Ltd.		1.00	%		12/16/16		Open		1,295,525		1,298,116	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		423,915		424,975	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		226,800		227,367	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		758,437		760,334	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		155,763		156,152	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		1,095,019		1,097,756	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		1,495,481		1,499,220	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		298,800		299,547	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		1,099,060		1,101,808	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		937,875		940,220	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		790,125		792,100	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		266,009		266,674	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		483,313		484,521	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		1,625,000		1,629,063	Capital Trusts	Open/Demand
UBS Ltd.		1.25	%		12/16/16		Open		4,487,500		4,498,719	Capital Trusts	Open/Demand
BNP Paribas Securities Corp.		1.11	%		12/19/16		Open		3,818,000		3,826,358	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.11	%		12/19/16		Open		544,000		545,191	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.11	%		12/19/16		Open		386,000		386,845	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		332,000		332,956	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		376,000		377,083	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		970,000		972,793	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		636,000		637,831	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		1,305,000		1,308,758	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		587,000		588,690	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		681,000		682,961	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		804,000		806,315	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		12/19/16		Open		233,000		233,671	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.00	%		12/19/16		Open		5,839,556		5,850,911	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.00	%		12/19/16		Open		895,737		897,479	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.00	%		12/19/16		Open		681,031		682,355	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		1.00	%		12/19/16		Open		1,290,250		1,292,759	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		1,444,275		1,447,237	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		244,163		244,663	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		1,154,737		1,157,106	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		637,663		638,970	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		331,200		331,879	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		628,875		630,165	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		415,425		416,277	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		1,636,250		1,639,606	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/19/16		Open		2,101,000		2,105,309	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		12/19/16		Open		80,360		80,542	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		421,200		422,363	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		496,212		497,583	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		225,720		226,343	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		361,460		362,458	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		230,040		230,675	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		648,450		650,240	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		577,275		578,869	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		284,625		285,411	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/19/16		Open		632,000		633,745	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.05	%		12/20/16		Open		2,882,000		2,887,884	Corporate Bonds	Open/Demand

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	57


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
Deutsche Bank Securities, Inc.		1.05	%		12/20/16		Open	$	1,476,000	$	1,479,014	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.15	%		12/20/16		Open		2,754,000		2,760,158	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		463,000		464,324	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		415,000		416,187	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		303,000		303,867	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		918,000		920,625	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		214,000		214,612	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		967,000		969,765	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		510,000		511,458	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		217,000		217,621	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		405,000		406,158	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		450,000		451,269	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		549,000		550,548	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		659,000		660,858	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		883,000		885,490	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		656,000		657,850	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		440,000		441,241	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		166,000		166,468	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		359,000		360,012	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		807,000		809,275	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		313,000		313,882	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		406,000		407,145	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		505,000		506,424	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		401,000		402,131	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		569,000		570,604	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		729,000		731,055	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		717,000		719,022	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		167,000		167,471	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		864,000		866,436	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		163,000		163,460	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,026,000		1,028,893	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		130,000		130,367	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		926,000		928,611	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,023,000		1,025,884	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,048,000		1,050,955	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		309,000		309,871	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		536,000		537,511	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		285,000		285,804	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		508,000		509,432	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,373,000		1,376,871	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		906,000		908,554	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		164,000		164,462	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		548,000		549,545	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		479,000		480,351	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,225,000		1,228,454	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		278,000		278,784	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		2,122,000		2,127,983	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		2,418,000		2,424,817	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		666,000		667,878	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,309,000		1,312,691	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		941,000		943,653	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,261,000		1,264,555	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		130,000		130,367	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,077,000		1,080,037	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,679,000		1,683,734	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,489,000		1,493,198	Capital Trusts	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		1,921,000		1,926,416	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		453,000		454,277	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		331,000		331,933	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		12/20/16		Open		552,000		553,556	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		0.25	%		12/21/16		Open		318,135		318,287	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		280,013		280,571	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		1,355,900		1,358,603	Corporate Bonds	Open/Demand

See Notes to Financial Statements.



58	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
RBC Capital Markets LLC		1.04	%		12/21/16		Open	$	1,059,250	$	1,061,361	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		950,000		951,894	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		95,000		95,189	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		355,313		356,021	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.04	%		12/21/16		Open		483,538		484,501	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		12/21/16		Open		124,063		124,336	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.15	%		12/21/16		Open		185,925		186,335	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		696,825		698,695	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		375,600		376,608	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		384,225		385,256	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		199,100		199,634	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		338,445		339,353	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		709,125		711,028	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		1,024,713		1,027,462	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		521,325		522,724	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		12/21/16		Open		462,825		464,067	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.00	%		12/22/16		Open		441,000		441,784	Corporate Bonds	Open/Demand
Credit Suisse Securities (USA) LLC		0.55	%		12/29/16		Open		2,860,000		2,862,756	U.S. Treasury Obligations	Open/Demand
RBC Capital Markets LLC		1.04	%		12/30/16		Open		379,812		380,481	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/06/17		Open		385,000		385,775	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/09/17		Open		34,000		34,070	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/10/17		Open		116,610		116,828	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/10/17		Open		711,525		712,703	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/11/17		Open		663,375		664,588	Corporate Bonds	Open/Demand
Citigroup Global Markets, Inc.		(0.25	)%		1/12/17		Open		835,200		834,922	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/13/17		Open		825,120		826,468	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/17/17		Open		58,400		58,496	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/18/17		Open		440,000		440,684	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/20/17		Open		2,304,000		2,307,341	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/20/17		Open		262,080		262,447	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/20/17		Open		362,560		363,068	Corporate Bonds	Open/Demand
UBS Ltd.		1.25	%		1/20/17		Open		364,720		365,176	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/23/17		Open		244,850		245,183	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/25/17		Open		974,820		976,071	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/25/17		Open		188,320		188,562	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.45	%		1/26/17		Open		803,000		803,970	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		1/27/17		Open		479,000		479,563	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		1/27/17		Open		433,000		433,509	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		1/27/17		Open		551,000		551,648	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/27/17		Open		15,000		15,018	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/27/17		Open		784,400		785,407	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/27/17		Open		661,752		662,601	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/27/17		Open		1,613,952		1,616,023	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/27/17		Open		1,172,288		1,173,792	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/27/17		Open		1,113,552		1,114,981	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/30/17		Open		2,029,000		2,031,452	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/30/17		Open		367,000		367,443	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/30/17		Open		1,038,000		1,039,254	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/30/17		Open		491,000		491,593	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/30/17		Open		332,000		332,401	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		0.25	%		1/31/17		Open		273,600		273,655	Corporate Bonds	Open/Demand
Barclays Capital, Inc.		(0.50	)%		1/31/17		Open		260,181		260,076	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		1/31/17		Open		908,000		908,987	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		1/31/17		Open		1,619,680		1,621,381	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/01/17		Open		675,360		676,043	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		2/02/17		Open		1,057,000		1,057,986	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/03/17		Open		159,438		159,579	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		2/06/17		Open		1,751,000		1,752,491	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/07/17		Open		257,480		257,680	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		2/09/17		Open		945,000		945,613	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/09/17		Open		1,181,590		1,182,325	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/09/17		Open		292,175		292,357	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		0.75	%		2/10/17		3/13/17		1,681,000		1,681,560	U.S. Government Sponsored Agency Securities	Up to 30 Days

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	59


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral	Remaining Contractual Maturity of the Agreements¹
Deutsche Bank Securities, Inc.		1.45	%		2/10/17		Open	$	561,000	$	561,339	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.30	%		2/10/17		Open		143,000		143,077	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		2/14/17		Open		373,000		373,197	Corporate Bonds	Open/Demand
J.P. Morgan Securities LLC		1.00	%		2/15/17		3/01/17		4,182,000		4,183,627	Non-Agency Mortgage-Backed Securities	Up to 30 Days
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		634,000		634,358	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		778,000		778,439	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		696,000		696,392	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		588,000		588,332	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		642,000		642,362	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		539,000		539,304	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		484,000		484,273	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		546,000		546,308	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/15/17		Open		275,000		275,133	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/15/17		Open		105,300		105,349	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		165,000		165,080	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		358,000		358,173	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		217,000		217,105	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		316,000		316,153	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		398,000		398,192	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		330,000		330,160	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		174,000		174,084	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		292,000		292,141	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		252,000		252,122	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		224,000		224,108	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/17/17		Open		288,000		288,139	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/21/17		Open		234,000		234,047	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/22/17		Open		311,000		311,063	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/22/17		Open		2,172,000		2,172,437	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/22/17		Open		924,208		924,388	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/23/17		Open		361,000		361,029	Corporate Bonds	Open/Demand
HSBC Securities (USA), Inc.		1.25	%		2/23/17		Open		1,261,000		1,261,088	Corporate Bonds	Open/Demand
BNP Paribas Securities Corp.		1.46	%		2/24/17		Open		131,000		131,005	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/24/17		Open		196,000		196,008	Corporate Bonds	Open/Demand
Deutsche Bank Securities, Inc.		1.45	%		2/24/17		Open		324,000		324,013	Corporate Bonds	Open/Demand
RBC Capital Markets LLC		1.40	%		2/27/17		Open		832,800		832,800	Corporate Bonds	Open/Demand
J.P. Morgan Securities LLC		1.00	%		2/28/17		3/15/17		4,223,000		4,223,000	Non-Agency Mortgage-Backed Securities	Up to 30 Days
Total								$	254,996,505	$	255,621,583

¹ 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


Contracts Long (Short)			Issue	Expiration		Notional Value		Unrealized Appreciation (Depreciation)
	(27	)	2-Year U.S. Treasury Note		June 2017	$	5,842,969	$	1,648
	(1	)	5-Year U.S. Treasury Note		June 2017	$	117,703		163
	120		5-Year U.S. Treasury Note		June 2017	$	14,124,375		(15,961	)
	(535	)	10-Year U.S. Treasury Note		June 2017	$	66,649,297		(239,318	)
	(70	)	10-Year U.S. Ultra Long Treasury Note		June 2017	$	9,375,625		(63,033	)
	(4	)	Euro BOBL		June 2017	$	562,160		(4	)
	(2	)	Euro Bund Future		June 2017	$	344,962		(150	)
	(82	)	Long U.S. Treasury Bond		June 2017	$	12,435,812		5,107
	7		Ultra Long U.S. Treasury Bond		June 2017	$	1,132,469		6,758
	Total							$	(304,790	)

See Notes to Financial Statements.



60	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	578,054		USD	184,800	Goldman Sachs International		3/02/17	$	1,010
BRL	588,311		USD	189,821	Morgan Stanley & Co. International PLC		3/02/17		(714	)
BRL	1,910,216		USD	616,000	Royal Bank of Scotland PLC		3/02/17		(1,980	)
BRL	1,965,564		USD	634,196	Royal Bank of Scotland PLC		3/02/17		(2,385	)
USD	186,511		BRL	578,054	Goldman Sachs International		3/02/17		701
USD	184,800		BRL	588,311	Morgan Stanley & Co. International PLC		3/02/17		(4,307	)
USD	616,338		BRL	1,910,216	Royal Bank of Scotland PLC		3/02/17		2,318
USD	616,000		BRL	1,965,564	Royal Bank of Scotland PLC		3/02/17		(15,811	)
USD	129,946		EUR	123,000	Bank of America N.A.		3/06/17		(378	)
USD	42,328		EUR	40,000	JPMorgan Chase Bank N.A.		3/06/17		(54	)
USD	11,724,258		EUR	10,892,000	Morgan Stanley & Co. International PLC		3/06/17		183,661
USD	4,797,559		EUR	4,457,000	Morgan Stanley & Co. International PLC		3/06/17		75,154
USD	180,625		EUR	170,000	State Street Bank and Trust Co.		3/06/17		502
USD	10,171,040		GBP	8,141,000	Barclays Bank PLC		3/06/17		68,673
USD	373,559		GBP	299,000	Barclays Bank PLC		3/06/17		2,522
USD	2,356,293		GBP	1,886,000	Barclays Bank PLC		3/06/17		15,909
USD	381,272		GBP	304,000	Morgan Stanley & Co. International PLC		3/06/17		4,031
JPY	40,466,865		USD	360,000	Morgan Stanley & Co. International PLC		3/10/17		273
USD	360,000		JPY	40,681,836	HSBC Bank PLC		3/10/17		(2,187	)
CHF	3,110,731		EUR	2,920,000	BNP Paribas S.A		3/15/17		4,318
JPY	349,816,384		NZD	4,280,000	Credit Suisse International		3/15/17		33,552
NOK	12,910,987		AUD	2,040,000	Bank of America N.A.		3/15/17		(23,383	)
NOK	12,910,730		AUD	2,040,000	BNP Paribas S.A.		3/15/17		(23,413	)
NZD	4,280,000		JPY	347,883,108	Citibank N.A.		3/15/17		(16,335	)
USD	3,109,945		GBP	2,500,000	JPMorgan Chase Bank N.A.		3/15/17		6,949
CAD	2,052,862		AUD	2,040,000	Barclays Bank PLC		3/27/17		(17,289	)
CAD	2,075,143		AUD	2,040,000	Barclays Bank PLC		3/27/17		(510	)
SEK	13,936,178		NOK	13,060,000	BNP Paribas S.A.		3/27/17		(12,225	)
BRL	3,574,161		USD	1,143,000	Goldman Sachs International		4/04/17		(3,100	)
USD	616,000		BRL	1,926,586	Royal Bank of Scotland PLC		4/04/17		1,558
USD	4,666,947		EUR	4,396,000	Bank of America N.A.		4/05/17		2,423
USD	11,815,998		EUR	11,130,000	Bank of America N.A.		4/05/17		6,134
USD	10,122,596		GBP	8,140,695	Barclays Bank PLC		4/05/17		12,314
USD	2,009,425		GBP	1,616,000	Barclays Bank PLC		4/05/17		2,443
SEK	13,978,129		NZD	2,160,000	Credit Suisse International		4/18/17		(1,400	)
USD	148,718		EUR	137,859	Citibank N.A.		2/21/18		(232	)
USD	245,034		EUR	227,918	Deutsche Bank AG		2/21/18		(1,221	)
USD	243,365		EUR	226,375	Morgan Stanley & Co. International PLC		2/21/18		(1,223	)
Total								$	296,298

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount
(000)

Contracts

Value

AUD Currency

Call

Morgan Stanley & Co. International PLC

03/23/17

CAD

1.02

AUD

8,145

—

38,999

NOK Curency

Call

Citibank N.A.

03/23/17

SEK

1.08

NOK

77,745

—

43,411

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co.

12/14/19

USD

942.86

—

AUD Currency

Put

Morgan Stanley & Co. International PLC

03/17/17

USD

0.75

AUD

12,190

—

14,131

NZD Currency

Put

BNP Paribas S.A.

03/23/17

JPY

79.50

NZD

8,570

—

26,025

EUR Currency

Put

UBS AG

08/14/17

USD

1.03

EUR

5,895

—

78,620

Total

201,186

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	61


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

OTC Options Written

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount
(000)

Value

AUD Currency

Call

Morgan Stanley & Co. International PLC

03/17/17

NZD

1.09

AUD

8,125

(3,146

)

NOK Curency

Call

Citibank N.A.

03/23/17

SEK

1.09

NOK

77,745

(17,045

)

NZD Currency

Call

BNP Paribas S.A.

03/23/17

JPY

83.00

NZD

8,570

(8,512

)

NZD Currency

Call

Deutsche Bank AG

04/12/17

SEK

6.55

NZD

12,995

(78,383

)

EUR Currency

Call

UBS AG

05/12/17

CHF

1.09

EUR

11,790

(50,074

)

NZD Currency

Put

Deutsche Bank AG

04/12/17

SEK

6.25

NZD

12,995

(22,259

)

Total

(179,419

)

Centrally Cleared Credit Default Swaps — Sell Protection

Issuer

Receive
Fixed Rate

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Depreciation

Chesapeake Energy Corp.

5.00%

12/20/21

CCC

USD

(852

)

¹ Using Standard & Poor’s (S&P’s) rating of the issure or the underlying securities of the index., as applicable.

² The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

Centrally Cleared Interest Rate Swaps

Fixed
Rate

Floating
Rate

Effective
Date

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

1.92%¹

3-Month LIBOR

N/A

12/14/21

USD

600

1,423

1.92%¹

3-Month LIBOR

N/A

12/14/21

USD

900

2,052

1.91%¹

3-Month LIBOR

N/A

12/16/21

USD

750

2,135

2.00%¹

3-Month LIBOR

N/A

2/21/22

USD

1,600

(555

)

2.54%²

3-Month LIBOR

N/A

9/04/24

USD

18,700

462,408

2.60%¹

3-Month LIBOR

N/A

9/04/24

USD

18,700

(463,936

)

Total

3,527

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

² Fund pays a floating rate and receives the fixed rate.

OTC Credit Default Swaps — Buy Protection


Issuer	Pay Fixed Rate			Counterparty		Expiration Date		Notional Amount (000)			Value			Premiums Paid		Unrealized Depreciation
Australia & New Zealand Banking Group Ltd.		1.00	%		Deutsche Bank AG		9/20/17		USD	1	$	(3	)	$	2	$	(5	)
Westpac Banking Corp.		1.00	%		Deutsche Bank AG		9/20/17		USD	1		(3	)		2		(5	)
Federation of Russia		1.00	%		JPMorgan Chase Bank N.A.		12/20/21		USD	1,150		32,714			63,042		(30,328	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	215		6,116			12,218		(6,102	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	210		5,974			11,934		(5,960	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	130		3,698			7,388		(3,690	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	210		5,973			11,940		(5,967	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	215		6,116			12,135		(6,019	)
Federation of Russia		1.00	%		Bank of America N.A.		12/20/21		USD	210		5,974			11,853		(5,879	)
Total											$	66,559		$	130,514	$	(63,955	)

See Notes to Financial Statements.



62	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

OTC Credit Default Swaps — Sell Protection


Issuer/Index	Receive Fixed Rate			Counterparty		Expiration Date		Credit Rating¹		Notional Amount (000)²			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Hellenic Telecommunications Organization SA		5.00	%		Barclays Bank PLC		12/20/21		B+		EUR	20	$	1,502		$	1,296		$	206
UniCredit SPA		1.00	%		Barclays Bank PLC		12/20/21		BBB-		EUR	10		(351	)		(562	)		211
UniCredit SPA		1.00	%		BNP Paribas S.A.		12/20/21		BBB-		EUR	5		(183	)		(229	)		46
Markit CMBX North America, Series 8		3.00	%		Barclays Bank PLC		10/17/57		BBB-		USD	5,000		(761,170	)		(525,399	)		(235,771	)
Markit CMBX North America, Series 8		3.00	%		Credit Suisse International		10/17/57		BBB-		USD	2,500		(380,584	)		(259,570	)		(121,014	)
Markit CMBX North America, Series 8		3.00	%		Morgan Stanley & Co. International PLC		10/17/57		BBB-		USD	4,450		(677,442	)		(616,043	)		(61,399	)
Markit CMBX North America, Series 9		3.00	%		Morgan Stanley & Co. International PLC		9/17/58		BBB-		USD	7,550		(942,784	)		(965,540	)		22,756

Total													$	(2,761,012	)	$	(2,366,047	)	$	(394,965	)

¹ Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.
² The maximum potential amount the Fund may pay should a negative credit event take place, as defined under the terms of the agreement.

Transactions in Options Written for the Period Ended February 28, 2017


	Calls
			Notional (000)
	Contracts		AUD			EUR			GBP			NOK			NZD		USD			Premiums Received
Outstanding options, beginning of period		—		12,265			—			—			—			—		15,965		$	264,928
Options written		—		45,315			115,640			19,725			155,090			21,565		33,450			1,198,960
Options exercised		—		(12,365	)		(20,500	)		—			(77,345	)		—		—			(241,130	)
Options expired		—		(24,825	)		(77,770	)		(14,910	)		—			—		(22,775	)		(665,153	)
Options closed		—		(12,265	)		(5,580	)		(4,815	)		—			—		(26,640	)		(383,568	)

Outstanding options, end of period		—		8,125			11,790			—			77,745			21,565		—		$	174,037


	Puts
			Notional (000)
	Contracts		AUD			CAD			EUR			GBP			NOK			NZD			USD			Premiums Received
Outstanding options, beginning of period		—		—			—			—			—			—			—			9,735		$	63,575
Options written		—		22,650			12,340			58,950			18,245			38,875			43,580			4,690			786,214
Options exercised		—		—			—			(18,355	)		(13,430	)		—			—			—			(319,760	)
Options expired		—		(22,650	)		(12,340	)		(23,935	)		(4,815	)		—			(30,585	)		(14,035	)		(406,898	)
Options closed		—		—			—			(16,660	)		—			(38,875	)		—			(390	)		(82,181	)

Outstanding options, end of period		—		—			—			—			—			—			12,995			—		$	40,950


Derivative Financial Instruments Categorized by Risk Exposure

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


		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts	Net unrealized appreciation¹		—		—		—		—	$	13,676		—	$	13,676
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	424,445		—		—		424,445
Options purchased	Investments at value — unaffiliated		—		—		—		201,186		—		—		201,186
Swaps — centrally cleared	Net unrealized appreciation¹		—		—		—		—		468,018		—		468,018
Swaps — OTC	Unrealized depreciation on OTC swaps; Swap premiums paid		—	$	155,029		—		—		—		—		155,029

Total			—	$	155,029		—	$	625,631	$	481,694		—	$	1,262,354

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	63


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation¹		—		—		—		—	$	318,466		—	$	318,466
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	128,147		—		—		128,147
Options written	Options written at value		—		—		—		179,419		—		—		179,419
Swaps — centrally cleared	Net unrealized depreciation¹		—	$	852		—		—		464,491		—		465,343
Swaps — OTC	Unrealized depreciation on OTC swaps; Swap premiums received		—		2,849,482		—		—		—		—		2,849,482

Total			—	$	2,850,334		—	$	307,566	$	782,957		—	$	3,940,857

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		—		—		—		—		$	3,770,665			—	$	3,770,665
Forward foreign currency exchange contracts		—		—		—	$	1,028,456			—			—		1,028,456
Options purchased¹		—		—		—		(1,777,254	)		—			—		(1,777,254	)
Options written		—		—		—		1,502,699			—			—		1,502,699
Swaps		—	$	241,822		—		—			228,296			—		470,118

Total		—	$	241,822		—	$	753,901		$	3,998,961			—	$	4,994,684


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—		—		—		$	(430,848	)		—	$	(430,848	)
Forward foreign currency exchange contracts		—		—		—	$	168,438			—			—		168,438
Options purchased¹		—		—		—		212,824			—			—		212,824
Options written		—		—		—		(80,621	)		—			—		(80,621	)
Swaps		—	$	8,498		—		—			7,882			—		16,380

Total		—	$	8,498		—	$	300,641		$	(422,966	)		—	$	(113,827	)

¹ 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	$	23,748,719
Average notional value of contracts — short	$	91,833,221
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	108,242,002
Average amounts sold — in USD	$	45,358,932
Options:
Average value of option contracts purchased	$	509,758
Average value of option contracts written	$	552,822
Credit default swaps:
Average notional value — buy protection	$	2,341,000
Average notional value — sell protection	$	14,759,806
Interest rate swaps:
Average notional value — pays fixed rate	$	20,625,000
Average notional amount — receives fixed rate	$	18,700,000

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.



64	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)

Derivative Financial Instruments — Offsetting as of Period End

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


	Assets			Liabilities
Futures contracts	$	227		$	28,532
Forward foreign currency exchange contracts		424,445			128,147
Options		201,186	¹		179,419
Swaps — Centrally cleared		—			538
Swaps — OTC²		155,029			2,849,482

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	780,887		$	3,186,118

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(227	)		(29,070	)

Total derivative assets and liabilities subject to an MNA	$	780,660		$	3,157,048

¹ Includes options purchased at value which is included in Investments at value — unaffiliated in the Statments of Assets and Liabilities and reported in the Schedule of Investments.
² Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid (received) in the Statements of Assets and Liabilities.

The following table presents the Fund’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 Fund:


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets^2,5
Bank of America N.A.	$	76,025	$	(57,378	)		—		—		$	18,647
Barclays Bank PLC		103,574		(103,574	)		—		—			—
BNP Paribas S.A.		30,389		(30,389	)		—		—			—
Citibank N.A.		43,411		(33,612	)		—		—			9,799
Credit Suisse International		33,552		(33,552	)		—		—			—
Deutsche Bank AG		4		(4	)		—		—			—
Goldman Sachs International		1,711		(1,711	)		—		—			—
JPMorgan Chase Bank N.A.		69,991		(30,382	)		—		—			39,609
Morgan Stanley & Co. International PLC		339,005		(339,005	)		—		—			—
Royal Bank of Scotland PLC		3,876		(3,876	)		—		—			—
State Street Bank and Trust Co.		502		—			—		—			502
UBS AG		78,620		(50,074	)		—		—			28,546

Total	$	780,660	$	(683,557	)		—		—		$	97,103


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Pledged		Cash Collateral Pledged³			Net Amount of Derivative Liabilities^4,5
Bank of America N.A.	$	57,378	$	(57,378	)		—		—			—
Barclays Bank PLC		779,531		(103,574	)		—	$	(640,000	)	$	35,957
BNP Paribas S.A.		44,379		(30,389	)		—		—			13,990
Citibank N.A.		33,612		(33,612	)		—		—			—
Credit Suisse International		381,984		(33,552	)		—		(348,432	)		—
Deutsche Bank AG		101,873		(4	)		—		(90,000	)		11,869
Goldman Sachs International		3,100		(1,711	)		—		—			1,389
HSBC Bank PLC		2,187		—			—		—			2,187
JPMorgan Chase Bank N.A.		30,382		(30,382	)		—		—			—
Morgan Stanley & Co. International PLC		1,652,372		(339,005	)		—		—			1,313,367
Royal Bank of Scotland PLC		20,176		(3,876	)		—		—			16,300
UBS AG		50,074		(50,074	)		—		—			—

Total	$	3,157,048	$	(683,557	)		—	$	(1,078,432	)	$	1,395,059

¹ The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.
⁴ 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.
⁵ Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	65


Schedule of Investments (continued)		BlackRock Limited Duration Income Trust (BLW)


Fair Value Hierarchy as of Period End

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		—		$	70,575,372		$	7,006,265	$	77,581,637
Common Stocks	$	3,376			9,047			1,176,534		1,188,957
Corporate Bonds		—			411,741,987			1,163,602		412,905,589
Floating Rate Loan Interests		—			224,307,976			12,661,424		236,969,400
Foreign Agency Obligations		—			29,373,739			—		29,373,739
Non-Agency Mortgage-Backed Securities		—			60,189,760			—		60,189,760
Other Interests		—			—			10		10
Preferred Securities		14,193,258			51,540,211			—		65,733,469
U.S. Government Sponsored Agency Securities		—			5,131,565			—		5,131,565
U.S. Treasury Obligations		—			2,896,125			—		2,896,125
Rights		—			—			36,493		36,493
Warrants		—			—			24,290		24,290
Unfunded Floating Rate Loan Interests¹		—			2,401			—		2,401
Short-Term Securities		2,168,959			—			—		2,168,959
Options Purchased:
Foreign Currency Exchange Contracts		—			201,186			—		201,186

Subtotal	$	16,365,593		$	855,969,369		$	22,068,618	$	894,403,580

Investments valued at NAV²										120,717

Total Investments									$	894,524,297



Derivative Financial Instruments³
Assets:
Foreign currency exchange contracts		—		$	424,445			—	$	424,445
Credit contracts		—			23,219			—		23,219
Interest rate contracts	$	13,676			468,018			—		481,694
Liabilities:
Foreign currency exchange contracts		—			(307,566	)		—		(307,566	)
Credit contracts		—			(482,991	)		—		(482,991	)
Interest rate contracts		(318,466	)		(464,491	)		—		(782,957	)

Total	$	(304,790	)	$	(339,366	)		—	$	(644,156	)

¹ Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
² As of February 28, 2017, certain Investments of the Fund were fair valued using net asset value per share as no quoted market value is available and have been excluded from the fair value hierarchy.
³ Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $255,621,583 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.



66	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Schedule of Investments (concluded)		BlackRock Limited Duration Income Trust (BLW)

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


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Rights		Warrants		Total
Assets:
Opening balance, as of August 31, 2016	$	18,351,873		$	1,167,006		$	1,163,250		$	12,230,322		$	193,629			—	$	6,316	$	33,112,396
Transfers into Level 3		—			—			—			4,148,994			—			—		—		4,148,994
Transfers out of Level 3¹		(2,952,810	)		—			—			(6,067,534	)		—			—		—		(9,020,344	)
Other²		—			(12,000	)		—			—			—		$	12,000		—		—
Accrued discounts/premiums		(51,320	)		—			400			11,006			—			—		—		(39,914	)
Net realized gain (loss)		(638,505	)		689,120			(374,995	)		(286,477	)		193,619			—		—		(417,238	)
Net change in unrealized appreciation (depreciation)^3,4		1,614,058			618,039			374,947			543,406			(193,619	)		24,493		17,974		2,999,298
Purchases		4,496,360			—			—			5,795,252			—			—		—		10,291,612
Sales		(13,813,391	)		(1,285,631	)		—			(3,713,545	)		(193,619	)		—		—		(19,006,186	)

Closing Balance, as of February 28, 2017	$	7,006,265		$	1,176,534		$	1,163,602		$	12,661,424		$	10		$	36,493	$	24,290	$	22,068,618

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017³	$	112,140		$	989,625		$	351		$	189,220			—		$	24,493	$	17,974	$	1,333,803

¹ As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2017, the Fund 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.
² Certain Level 3 investments were re-classified between Common Stocks and Rights.
³ Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.
⁴ Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 28, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	67


Statements of Assets and Liabilities


February 28, 2017 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)		BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)¹			BlackRock Limited Duration Income Trust (BLW)

Assets
Investments at value — unaffiliated²	$	146,488,839	$	828,661,430		$	892,352,937
Investments at value — affiliated³		337,646		—			2,168,959
Cash		1,315,294		4,946,740			979,099
Cash pledged:
Centrally cleared swaps		16,000		127,000			135,320
Collateral — OTC derivatives		—		—			1,260,000
Futures contracts		6,700		24,000			1,228,995
Foreign currency at value⁴		818,158		260,034			3,634,708
Receivables:
Investments sold		4,893,443		12,210,997			6,868,194
Interest — unaffiliated		610,695		2,996,941			8,757,009
Dividends — affiliated		264		1,535			2,242
Variation margin on futures contracts		62		250			277
Variation margin on centrally cleared swaps		11		7			—
Reverse repurchase agreements		—		—			5,055,800
Swap premiums paid		—		—			131,810
Unrealized appreciation on:
Forward foreign currency exchange contracts		5,517		62,937			424,445
OTC derivatives		—		—			23,219
Unfunded floating rate loan interests		1,245		5,425			2,401
Prepaid expenses		10,965		25,721			26,988

Total assets		154,504,839		849,323,017			923,052,403


Liabilities
Cash received as collateral for reverse repurchase agreements		—		—			260,000
Swap premiums received		—		—			2,367,343
Options written at value⁵		—		—			179,419
Reverse repurchase agreements		—		—			255,621,583
Payables:
Bank borrowings		28,000,000		213,000,000			—
Investments purchased		698,526		74,132,199			35,437,195
Investment advisory fees		122,251		443,635			368,468
Income dividends		68,160		88,099			87,144
Interest expense		44,943		262,987			—
Officer’s and Directors’ fees		1,518		6,635			382,606
Principle paydowns		—		—			42,304
Variation margin on futures contracts		—		—			28,532
Deferred foreign capital gain tax		—		187,467			—
Variation margin on centrally cleared swaps		—		—			538
Reverse repurchase agreements		—		—			992,308
Other accrued expenses		149,917		336,966			361,391
Unrealized depreciation on:
Forward foreign currency exchange contracts		—		26,749			128,147
OTC derivatives		—		—			482,139
Commitments and contingencies		—		—	⁹		—	⁹

Total liabilities		29,085,315		288,484,737			296,739,117

Net Assets	$	125,419,524	$	560,838,280		$	626,313,286


Statements of Assets and Liabilities (concluded)


February 28, 2017 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)¹			BlackRock Limited Duration Income Trust (BLW)

Net Assets Consist of
Paid-in capital^6,7,8	$	128,319,712		$	659,688,373		$	701,014,215
Undistributed (distributions in excess of) net investment income		320,534			1,405,776			(213,432	)
Accumulated net realized loss		(4,391,801	)		(103,323,908	)		(82,299,226	)
Net unrealized appreciation (depreciation)		1,171,079			3,068,039			7,811,729

Net Assets	$	125,419,524		$	560,838,280		$	626,313,286

Net asset value, offering and redemption price per share	$	13.87		$	15.06		$	16.93

¹ Consolidated Statement of Assets and Liabilities
² Investments at cost — unaffiliated	$	145,324,936		$	825,721,130		$	884,110,412
³ Investments at cost — affiliated	$	337,646			—		$	2,168,959
⁴ Foreign currency at cost	$	821,566		$	261,846		$	3,621,336
⁵ Premiums received		—			—		$	214,987
⁶ Par value per share	$	0.001		$	0.001		$	0.001
⁷ Shares outstanding	$	9,044,041		$	37,232,488		$	37,003,854
⁸ Shares authorized		unlimited			200 million			unlimited
⁹ See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies.


Statements of Operations


Six Months Ended February 28, 2017 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)¹			BlackRock Limited Duration Income Trust (BLW)

Investment Income
Interest — unaffiliated	$	4,163,899		$	19,298,622		$	23,153,854
Dividends — unaffiliated		24,913			111,127			299,720
Dividends — affiliated		7,672			35,108			21,026

Total investment income		4,196,484			19,444,857			23,474,600


Expenses
Investment advisory		842,959			2,912,054			2,396,402
Professional		53,798			129,297			99,934
Custodian		36,963			105,530			82,346
Transfer agent		11,032			31,353			38,055
Accounting services		9,730			31,879			61,936
Printing		7,208			11,207			12,159
Officer and Directors		5,431			24,117			51,455
Registration		4,971			7,588			7,540
Miscellaneous		13,127			215,626			37,271

Total expenses excluding interest expense		985,219			3,468,651			2,787,098
Interest expense		309,564			1,547,583			1,319,618

Total expenses		1,294,783			5,016,234			4,106,716
Less fees waived by the Manager		(1,146	)		(4,156	)		(3,214	)
Less fees paid indirectly		—			—			(167	)

Total expenses after fees waived and/or paid indirectly		1,293,637			5,012,078			4,103,335

Net investment income		2,902,847			14,432,779			19,371,265


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		124,686			1,744,090			(329,640	)
Investments — affiliated		1,068			2,741			(3,886	)
Futures contracts		19,012			81,966			3,770,665
Forward foreign currency exchange contracts		(7,059	)		(17,354	)		1,028,456
Foreign currency transactions		54,145			219,558			1,432,200
Capital gain distributions from investment companies — affiliated		2			13			12
Options written		—			—			1,502,699
Swaps		65,764			245,427			470,118

		257,618			2,276,441			7,870,624

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		1,716,531			10,494,717			4,569,003
Investments — affiliated		(6,079	)		(26,532	)		(3,377	)
Futures contracts		1,522			5,607			(430,848	)
Forward foreign currency exchange contracts		4,430			27,014			168,438
Foreign currency translations		(5,105	)		59,166			(42,338	)
Options written		—			—			(80,621	)
Swaps		(4,073	)		(15,879	)		16,380
Unfunded floating rate loan interests		(48	)		(5,691	)		968

		1,707,178			10,538,402			4,197,605

Net realized and unrealized gain		1,964,796			12,814,843			12,068,229

Net Increase in Net Assets Resulting from Operations	$	4,867,643		$	27,247,622		$	31,439,494

¹ Consolidated Statement of Operations.


Statements of Changes in Net Assets


	BlackRock Defined Opportunity Credit Trust (BHL)						BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)¹
Increase (Decrease) in Net Assets:	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016

Operations
Net investment income	$	2,902,847		$	5,780,621		$	14,432,779		$	28,437,150
Net realized gain (loss)		257,618			(2,841,854	)		2,276,441			(9,800,070	)
Net change in unrealized appreciation (depreciation)		1,707,178			1,595,681			10,538,402			4,497,103

Net increase in net assets resulting from operations		4,867,643			4,534,448			27,247,622			23,134,183


Distributions to Shareholders²
From net investment income		(3,364,383	)		(5,800,975	)		(16,680,155	)		(27,967,481	)


Net Assets
Total increase (decrease) in net assets		1,503,260			(1,266,527	)		10,567,467			(4,833,298	)
Beginning of period		123,916,264			125,182,791			550,270,813			555,104,111

End of period	$	125,419,524		$	123,916,264		$	560,838,280		$	550,270,813

Undistributed net investment income, end of period	$	320,534		$	782,070		$	1,405,776		$	3,653,152


	BlackRock Limited Duration Income Trust (BLW)
Increase (Decrease) in Net Assets:	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016

Operations
Net investment income	$	19,371,265		$	48,949,670
Net realized gain (loss)		7,870,624			(26,033,447	)
Net change in unrealized appreciation (depreciation)		4,197,605			17,919,734

Net increase in net assets resulting from operations		31,439,494			40,835,957


Distributions to Shareholders²
From net investment income		(28,344,952	)		(48,005,248	)


Net Assets
Total increase (decrease) in net assets		3,094,542			(7,169,291	)
Beginning of period		623,218,744			630,388,035

End of period	$	626,313,286		$	623,218,744

Undistributed (distribution in excess of) net investment income, end of period	$	(213,432	)	$	8,760,255

Consolidated Statements of Changes in Net Assets.

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Cash Flows


Six Months Ended February 28, 2017 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)¹			BlackRock Limited Duration Income Trust (BLW)

Cash Provided by Operating Activities
Net increase in net assets resulting from operations	$	4,867,643		$	27,247,622		$	31,439,494
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Proceeds from sales of long-term investments and principal paydowns		64,251,476			275,365,894			268,133,867
Purchases of long-term investments		(45,618,755	)		(258,761,868	)		(252,993,155	)
Net proceeds from sales of short-term securities		—			1,859,207			742,820
Net purchases of short-term securities		(117,546	)		—			—
Amortization of premium and accretion of discount on investments and other fees		(103,730	)		(535,566	)		650,478
Paid-in-kind income		(96,324	)		(641,346	)		(285,727	)
Premiums paid on closing options written		—			—			(562,383	)
Premiums received from options written		—			—			1,985,174
Net realized gain on investments and options written		(117,479	)		(1,594,492	)		(1,275,635	)
Net unrealized gain on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests		(1,708,119	)		(10,458,891	)		(4,645,050	)
(Increase) Decrease in Assets:
Cash Pledged:
Collateral — OTC derivatives		—			—			420,000
Centrally cleared swaps		(16,000	)		(127,000	)		(114,150	)
Futures contracts		(1,000	)		(1,000	)		(255,525	)
Receivables:
Interest — unaffiliated		235,413			884,824			280,447
Dividends — affiliated		(133	)		(925	)		(1,005	)
Dividends — unaffiliated		—			—			31
Variation margin on futures contracts		(62	)		(250	)		6,191
Variation margin on centrally cleared swaps		(11	)		(7	)		829
Swap premiums paid		—			—			(61,031	)
Prepaid expenses		(6,564	)		(16,368	)		(17,062	)
Increase (Decrease) in Liabilities:
Cash received as collateral for reverse repurchase agreements		—			—			(1,418,000	)
Payables:
Investment advisory fees		(159,774	)		(525,300	)		(437,972	)
Interest expense and fees		380			36,747			(162,853	)
Deferred foreign capital gain tax		—			187,467			—
Officer’s and Directors’ fees		(1,297	)		(5,817	)		15,982
Variation margin on futures contracts		—			—			28,532
Variation margin on centrally cleared swaps		—			—			538
Other accrued expenses		736			12,347			82,933
Swap premiums received		—			—			1,577,044

Net cash provided by operating activities		21,408,854			32,925,278			43,134,812


Cash Used for Financing Activities
Cash dividends paid to Common Shareholders		(3,367,674	)		(16,686,070	)		(28,352,695	)
Payments on bank borrowings		(50,000,000	)		(190,000,000	)		—
Proceeds from bank borrowings		34,000,000			178,000,000			—
Net borrowing of reverse repurchase agreements		—			—			(11,447,644	)

Net cash used for financing activities		(19,367,674	)		(28,686,070	)		(39,800,339	)


Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations	$	(3,314	)	$	(1,745	)	$	21,741


Cash and Foreign Currency
Net increase in cash and foreign currency at value		2,037,866			4,237,463			3,356,214
Cash and foreign currency at value at beginning of period		95,586			969,311			1,257,593

Cash and foreign currency at value at end of period	$	2,133,452		$	5,206,774		$	4,613,807


Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expense	$	309,184		$	1,510,836		$	1,482,471

Consolidated Statement of Cash Flows.


Financial Highlights		BlackRock Defined Opportunity Credit Trust (BHL)


	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31,
	Six Months Ended February 28, 2017 (Unaudited)			2016			2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	13.70		$	13.84		$	14.41		$	14.44		$	14.12		$	13.17

Net investment income¹		0.32			0.64			0.71			0.77			0.87			0.85
Net realized and unrealized gain (loss)		0.22			(0.14	)		(0.38	)		0.03			0.30			0.90

Net increase from investment operations		0.54			0.50			0.33			0.80			1.17			1.75

Distributions:²
From net investment income		(0.37	)		(0.64	)		(0.76	)		(0.83	)		(0.85	)		(0.80	)
From net realized gain		—			—			(0.14	)		—			—			—

Total distributions		(0.37	)		(0.64	)		(0.90	)		(0.83	)		(0.85	)		(0.80	)

Net asset value, end of period	$	13.87		$	13.70		$	13.84		$	14.41		$	14.44		$	14.12

Market price, end of period	$	13.88		$	13.42		$	12.95		$	13.84		$	13.77		$	13.94


Total Return³
Based on net asset value		4.02%	⁴		3.91%			2.80%			5.98%			8.52%			13.94%

Based on market price		6.26%	⁴		8.79%			0.15%			6.75%			4.82%			17.12%


Ratios to Average Net Assets
Total expenses		2.09%	^5,6		1.93%			2.01%			1.92%			1.92%			1.91%

Total expenses after fees waived and/or paid indirectly		2.09%	^5,6		1.93%			2.01%			1.92%			1.92%			1.91%

Total expenses after fees waived and/or paid indirectly and excluding interest expense		1.59%	^5,6		1.56%			1.64%			1.60%			1.58%	⁷		1.61%	⁷

Net investment income		4.69%	^5,6		4.75%			5.03%			5.31%			6.04%			6.24%


Supplemental Data
Net assets, end of period (000)	$	125,420		$	123,916		$	125,183		$	130,351		$	130,599		$	127,455

Borrowings outstanding, end of period (000)	$	28,000		$	44,000		$	45,000		$	55,000		$	49,000		$	55,000

Asset coverage, end of period per $1,000 of bank borrowings	$	5,479		$	3,816		$	3,782		$	3,370		$	3,665		$	3,317

Portfolio turnover rate		21%			51%			42%			59%			85%			53%

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

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.

⁴

Aggregate total return.

⁵

Annualized.

⁶

Does not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.

⁷

For the years ended August 31, 2013 and August 31, 2012, the total expense ratios after fees waived and/or paid indirectly and excluding interest expense and borrowing cost were 1.57% and 1.52%, respectively.


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


	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31,
	Six Months Ended February 28, 2017 (Unaudited)			2016			2015			2014			2013			2012

Per Share Operating Performance
Net asset value, beginning of period	$	14.78		$	14.91		$	15.38		$	15.36		$	14.98		$	14.04

Net investment income¹		0.39			0.76			0.81			0.87			0.99			0.97
Net realized and unrealized gain (loss)		0.34			(0.14	)		(0.47	)		0.04			0.42			0.90

Net increase from investment operations		0.73			0.62			0.34			0.91			1.41			1.87

Distributions from net investment income²		(0.45	)		(0.75	)		(0.81	)		(0.89	)		(1.03	)		(0.93	)

Net asset value, end of period	$	15.06		$	14.78		$	14.91	³	$	15.38		$	15.36		$	14.98

Market price, end of period	$	14.74		$	13.70		$	12.94		$	14.26		$	14.96		$	15.20


Total Return⁴
Based on net asset value		5.13%	⁵		5.00%			2.88%	³		6.45%			9.68%			13.91%

Based on market price		11.02%	⁵		12.14%			(3.71	)%		1.33%			5.28%			21.74%


Ratios to Average Net Assets
Total expenses		1.82%	⁶		1.54%			1.56%			1.48%			1.54%	⁷		1.67%	⁸

Total expenses after fees waived and/or paid indirectly		1.82%	⁶		1.54%			1.56%			1.48%			1.52%	⁷		1.67%	⁸

Total expenses after fees waived and/or paid indirectly and excluding interest expense		1.26%	⁶		1.14%			1.19%			1.15%			1.15%	^7,9		1.35%	^8,9

Net investment income		5.24%	⁶		5.27%			5.39%			5.65%			6.49%			6.67%


Supplemental Data
Net assets, end of period (000)	$	560,838		$	550,271		$	555,104		$	572,463		$	571,802		$	276,990

Borrowings outstanding, end of period (000)	$	213,000		$	225,000		$	196,000		$	235,000		$	214,000		$	117,000

Asset coverage, end of period per $1,000 of bank borrowings	$	3,633		$	3,446		$	3,832		$	3,436		$	3,672		$	3,367

Portfolio turnover rate		34%			48%			43%			58%			88%			53%

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

⁴

⁵

Aggregate total return.

⁶

Annualized

⁷

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and total expenses after fees waived and/or paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

⁸

⁹

For the years ended August 31, 2013 and August 31, 2012, the total expense ratios after fees waived and/or paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.


Financial Highlights		BlackRock Limited Duration Income Trust (BLW)


	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31,
	Six Months Ended February 28, 2017 (Unaudited)			2016			2015¹			2014¹			2013¹			2012¹

Per Share Operating Performance
Net asset value, beginning of period	$	16.84		$	17.04		$	18.09		$	17.54		$	17.38		$	16.52

Net investment income²		0.52			1.32			1.16			1.26			1.30			1.31
Net realized and unrealized gain (loss)		0.34			(0.22	)		(0.92	)		0.51			0.25			0.88

Net increase from investment operations		0.86			1.10			0.24			1.77			1.55			2.19

Distributions from net investment income³		(0.77	)⁴		(1.30	)		(1.29	)		(1.22	)		(1.39	)		(1.33	)

Net asset value, end of period	$	16.93		$	16.84		$	17.04	⁵	$	18.09		$	17.54		$	17.38

Market price, end of period	$	15.98		$	15.74		$	14.60		$	16.81		$	16.89		$	18.00


Total Return⁶
Based on net asset value		5.61%	⁷		7.78%			2.23%	⁵		10.77%			9.13%			13.86%

Based on market price		6.64%	⁷		17.59%			(5.74)%			6.89%			1.47%			21.68%


Ratios to Average Net Assets
Total expenses		1.33%	⁸		1.21%			1.15%			1.14%			1.12%			1.05%

Total expenses after fees waived and/or paid indirectly		1.33%	⁸		1.21%			1.15%			1.14%			1.12%			1.05%

Total expenses after fees waived and/or paid indirectly and excluding interest expense		0.90%	⁸		0.89%			0.92%			0.92%			0.90%			0.89%

Net investment income		6.28%	⁸		8.04%			6.65%			7.00%			7.34%			7.82%


Supplemental Data
Net assets, end of period (000)	$	626,313		$	623,219		$	630,388		$	669,382		$	649,120		$	642,391

Borrowings outstanding, end of period (000)	$	255,622		$	263,445		$	264,036		$	293,890		$	273,347		$	296,476

Portfolio turnover rate		30%			54%			47%			57%			71%			54%

Consolidated Financial Highlights.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

⁵

⁶

⁷

Aggregate total return.

⁸

Annualized.


Notes to Financial Statements (Unaudited)

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 “Funds”, or individually, a “Fund”:

Fund Name

Herein Referred To As

Organized

Diversification Classification

BlackRock Defined Opportunity Credit Trust

BHL

Delaware

Diversified

BlackRock Floating Rate Income Strategies Fund, Inc.

FRA

Maryland

Diversified

BlackRock Limited Duration Income Trust

BLW

Delaware

Diversified

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

The Funds, 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 FRA include the accounts of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA, the Taxable Subsidiary enables FRA 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 FRA. 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 FRA. FRA 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 $2,866,093, which is 0.5% of FRA’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 FRA.

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 Fund 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:

Foreign Currency: Each Fund’s books and records are maintained in U.S. dollars. 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 Fund 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 Fund 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 federal income tax purposes.

Segregation and Collateralization: In cases where a Fund 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 Fund 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 Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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



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Notes to Financial Statements (continued)

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. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

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

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

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Funds’ presentation in the Statements of Cash Flows.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

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

Through May 31, 2016, the Funds had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Funds no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Funds’ 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 Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to 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 Fund’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 the Funds may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.



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Notes to Financial Statements (continued)

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 Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

•

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.

•

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 NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of 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 Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

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 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 Fund 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 Fund’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.



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Notes to Financial Statements (continued)

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 Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

•

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 Fund’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.

As of February 28, 2017, certain investments of BLW were valued using net asset value per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

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 Fund may subsequently have to reinvest the proceeds at lower interest rates. If a Fund 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.



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Notes to Financial Statements (continued)

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.

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 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 Fund’s initial investment in the IOs may not fully recoup.

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

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. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: 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 Fund will lose any amount it paid for



80	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Notes to Financial Statements (continued)

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 to proceeds from the sale to not be readily available for a Fund 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 Fund to the extent that it invests in floating rate loan interest. 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 Fund’s investment policies.

When a Fund 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 Fund 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 Fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Fund 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 Fund 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 Fund having a contractual relationship only with the lender, not with the borrower. A Fund 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 Fund 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 Fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A Fund’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 Fund 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 Fund having a direct contractual relationship with the borrower, and a Fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Fund 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 Funds had the following unfunded floating rate loan interests:


Fund	Borrower		Par		Commitment Amount		Value		Unrealized Appreciation
BHL		Oberthur Technologies SA	$	86,579	$	86,146	$	87,391	$	1,245
FRA		Oberthur Technologies SA	$	377,237	$	375,350	$	380,775	$	5,425
BLW		Oberthur Technologies SA	$	166,974	$	166,139	$	168,540	$	2,401

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund 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 Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund 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 Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a Fund to make future cash payments. As of February 28, 2017, BLW had outstanding commitments of



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	81


Notes to Financial Statements (continued)

$5,600,000 in connection with the Chapter 11 cases of Energy Future Holding Corp., et al. These commitments are not included in the net assets of BLW as of February 28, 2017.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a Fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Fund 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 Fund 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 Fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Fund would still be required to pay the full repurchase price. Further, a Fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Fund 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 Fund 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 Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund.

For the six months ended February 28, 2017, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $256,590,202 and 1.04%, respectively.

Reverse repurchase transactions are entered into by a Fund under Master Repurchase Agreements (each, an “MRA”), which permit a Fund, 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 Fund. With reverse repurchase transactions, typically a Fund 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 Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:


Counterparty	Reverse Repurchase Agreements			Fair Value of Non-cash Collateral Pledged Including Accrued Interest¹			Cash Collateral Pledged	Net Amount²
Barclays Capital, Inc.		$	5,963,984	$	(5,963,984	)	—		—
BNP Paribas Securities Corp			17,760,073		(17,760,073	)	—		—
Citigroup Global Markets, Inc.			834,922		(834,922	)	—		—
Credit Suisse Securities (USA) LLC			17,292,818		(17,292,818	)	—		—
Deutsche Bank Securities, Inc.			74,277,478		(74,277,478	)	—		—
HSBC Securities (USA), Inc.			37,165,313		(37,165,313	)	—		—
J.P. Morgan Securities LLC			8,406,627		(8,339,576	)	—	$	67,051
RBC Capital Markets LLC			72,547,580		(72,547,580	)	—		—
UBS Ltd.			21,372,788		(21,372,788	)	—		—

Total		$	255,621,583	$	(255,554,532	)	—	$	67,051

Net collateral, including accrued interest, with a value of $298,574,224 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.

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 Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

5. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to 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.



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Notes to Financial Statements (continued)

Futures Contracts: The Funds invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds 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 Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated 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 Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Funds enter into forward foreign currency exchange contracts 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 Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Funds 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 Funds 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 Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

•

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ 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 Funds 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.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that 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 Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.



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Notes to Financial Statements (continued)

Swaps: The Funds enter into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds 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 — Certain Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps 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 Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

•

Total return swaps — Certain Funds enter into total return swaps 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 in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

•

Interest rate swaps — Certain Funds enter into interest rate swaps 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.

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 Funds 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 Fund and a counterparty that governs certain OTC derivatives and



84	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Notes to Financial Statements (continued)

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

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

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a 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 Funds. Any additional required collateral is delivered to/pledged by the Funds 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 Fund 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 Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to 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 Funds 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 Fund entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, FRA pays the Manager a monthly fee at an annual rate equal to 0.75% of the average daily value of the Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BHL pays the Manager a monthly fee at an annual rate equal to 1.00% of the average daily value of the Fund’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, the Funds pay the Manager based on the Funds’ net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.

Distribution Fees: FRA and BLW have entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of February 28, 2017, BLW is no longer actively engaged in a Shelf Offering and has not filed a registration statement or a prospectus for any current Shelf Offering. Pursuant to the Distribution Agreement, FRA and BLW would compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA and BLW’s Common Shares and a portion of such commission would be re-allowed to broker-dealers engaged by BRIL.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	85


Notes to Financial Statements (continued)

Waivers: The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. For the six months ended February 28, 2017, the amounts waived were as follows:


	BHL		FRA		BLW
Amounts waived	$	159	$	643	$	2,427

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of Fund’s assets invested in affiliated equity or fixed-income mutual funds or affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016, the Manager did not waive such fees. On December 2, 2016, the Manager entered into a Master Advisory Fee Agreement (“Agreement”), contractually committing to this arrangement through June 30, 2017 for BHL and BLW and through December 31, 2017 for FRA. 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 Funds’ independent directors. For the six months ended February 28, 2017 the amounts waived in investment advisory fees pursuant to these arrangements were as follows:


	BHL		FRA		BLW
Amounts waived	$	987	$	3,513	$	787

Officers and Directors: Certain officers and/or directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Officer and Directors in the Statements of Operations.

Other Transactions: The Funds 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 directors. For the six months ended February 28, 2017, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:


	Purchases		Sales		Net Realized Gain (loss)
BLW	$	6,334		—		—

7. Purchases and Sales:

For the six months ended February 28, 2017, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:


Purchases
	BHL		FRA		BLW
Non-U.S. Government Securities	$	35,948,191	$	284,667,669	$	269,585,822
U.S. Government Securities		—		—		—

Total Purchases	$	35,948,191	$	284,667,669	$	269,585,822

Sales
	BHL		FRA		BLW
Non-U.S. Government Securities (includes paydowns)	$	66,963,950	$	279,082,153	$	264,620,434
U.S. Government Securities		—		—		1,589,200

Total Sales	$	66,963,950	$	279,082,153	$	266,209,634

8. Income Tax Information:

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

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2016. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of February 28, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.



86	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Notes to Financial Statements (continued)

As of August 31, 2016, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires August 31,	BHL		FRA		BLW
No expiration date¹	$	4,624,408	$	21,876,470	$	41,127,468
2017		—		50,735,721		9,996,868
2018		—		27,716,009		37,509,275
2019		—		2,206,081		—

Total	$	4,624,408	$	102,534,281	$	88,633,611

As of February 28, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:


	BHL			FRA			BLW
Tax cost	$	145,687,933		$	829,102,835		$	885,558,373

Gross unrealized appreciation	$	1,798,710		$	10,305,227			23,009,105
Gross unrealized depreciation		(660,158	)		(10,746,632	)		(14,045,582	)

Net unrealized appreciation (depreciation)	$	1,138,552		$	(441,405	)	$	8,963,523

9. Bank Borrowings:

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

The SSB Agreement allows for the following maximum commitment amounts:


	Commitment Amounts
BHL	$	61,000,000
FRA	$	274,000,000

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

In addition, BHL and FRA 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 BHL and FRA 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.

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

For the six months ended February 28, 2017, the average amount of bank borrowings and the daily weighted average interest rates for BHL and FRA for loans under the revolving credit agreements were as follows:


	Average Amount of Bank Borrowings		Daily Weighted Average Interest Rate
BHL	$	45,220,994		1.38%
FRA	$	227,337,017		1.37%

10. Principal Risks:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers of securities owned by the Funds. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Fund 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 Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Fund portfolio’s current earnings rate.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	87


Notes to Financial Statements (continued)

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 Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe 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 Fund’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 Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’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 Fund’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 Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Funds 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 Funds 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 Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund 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 Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent the Funds deposit collateral with their counterparties to a written option.

With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund 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 Fund.

Concentration Risk: Certain Funds 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.

The Funds 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 Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. 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:

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



88	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Notes to Financial Statements (concluded)

On October 26, 2016, with respect to FRA and BLW, the Board approved the Funds’ participation in an open market share repurchase program. The Funds are eligible to purchase, at prevailing market prices, up to 5% of their common shares outstanding as of the close of business on October 28, 2016, subject to certain conditions. Repurchases may be made through November 30, 2017. There is no assurance that the Funds will purchase shares in any particular amounts.

For the six months ended February 28, 2017 and the year ended August 31, 2016, shares issued and outstanding remained constant.

BLW had previously filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 3,750,000 Common Shares through a Shelf Offering. BLW is no longer actively engaged in a Shelf Offering and has not filed a registration statement or a prospectus for any current Shelf Offering. BLW did not issue any Common Shares through its Shelf Offering.

FRA filed a final prospectus with the SEC allowing it to issue an additional 3,050,000 Common Shares through a Shelf Offering. Under the Shelf Offering, FRA, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA’s NAV per Common Share (calculated within 48 hours of pricing). FRA has not issued any Common Shares through its Shelf Offering. See Additional Information - Shelf Offering Program for additional information about the Shelf Offering.

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

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. FRA cannot predict the outcome of the lawsuit, or the effect, if any, on FRA’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by FRA but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $668,165.

13. Subsequent Events:

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


	Common Dividend Per Share
	Paid¹		Declared²
BHL	$	0.051	$	0.051
FRA	$	0.061	$	0.061
BLW	$	0.087	$	0.087

Net investment income dividend paid on March 31, 2017 to Common Shareholders of record on March 15, 2017.

Net investment income dividend declared on April 3, 2017, payable to Common Shareholders of record on April 13, 2017.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	89


Officers and Directors

Richard E. Cavanagh, Chair of the Board and Director

Karen P. Robards, Vice Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

Jerrold B. Harris, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Barbara G. Novick, Director

John M. Perlowski, Director, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

For FRA and BLW.



90	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Additional Information

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

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

FRA’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that FRA and BLW from time to time may purchase their common shares in the open market or in private transactions.

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

On October 28, 2016, FRA announced that it had divided its Board of Directors into three classes, with one class standing for election each year, and had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

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

Electronic Delivery

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 advisor. Please note that not all investment advisers, banks or brokerages may offer this service.



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	91


Additional Information (continued)

General Information (concluded)

Householding

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

Availability of Quarterly Schedule of Investments

The Funds 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 Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available 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 Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

BLW’s amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund’s investment experience during the remainder of the fiscal year and may be subject to changes based on tax regulations. The Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.


February 28, 2017
	Total Cumulative Distributions for the Fiscal Period										% Breakdown of the Total Cumulative Distributions for the Fiscal Period
	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
BLW	$	0.740334		—		—	$	0.025666	$	0.7660		97	%		0	%		0	%		3	%		100	%

The Fund estimates that it has 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 Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with "yield" or "income". When distributions exceed total return performance, the difference will incrementally reduce the Fund's net asset value per share.

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.



92	SEMI-ANNUAL REPORT	FEBRUARY 28, 2017


Additional Information (concluded)

Shelf Offering Program

From time-to-time, the Funds may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, the Funds may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Funds’ net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow the Funds to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BHL and BLW have not filed a registration statement with respect to any current Shelf Offerings. This report is not an offer to sell Fund Common Shares and is not a solicitation of an offer to buy Fund Common Shares. If a Fund files a registration statement with respect to any current Shelf Offering, the prospectus contained therein will contain more complete information about the Fund and should be read carefully before investing.

FRA has filed a final prospectus with the SEC in connection with its Shelf Offering. This report is not an offer to sell FRA Common Shares or a solicitation of an offer to buy FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about FRA, including its investment objectives, risks, charges and expenses. Investors are urged to read the prospectus of FRA carefully and in its entirety before investing. A copy of the final prospectus for FRA can be obtained from BlackRock at http://www.blackrock.com.

BlackRock Privacy Principles

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

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

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

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

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



SEMI-ANNUAL REPORT	FEBRUARY 28, 2017	93

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 Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

LOGO


CEFT-BK3-2/17-SAR


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

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

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

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

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

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

Item 8 –		Portfolio Managers of Closed-End Management Investment Companies (a) Not Applicable to this semi-annual report. (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

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

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

Item 11 –		Controls and Procedures

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

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

Item 12 –		Exhibits attached hereto

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

		(a)(2) – Certifications – Attached hereto

		(a)(3) – Not Applicable

		(b) – Certifications – Attached hereto

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 Strategies Fund, Inc.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Floating Rate Income Strategies Fund, Inc.

Date: May 3, 2017

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 Strategies Fund, Inc.

Date: May 3, 2017


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Floating Rate Income Strategies Fund, Inc.

Date: May 3, 2017