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 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2015
Date of reporting period: 02/28/2015
Item 1 – Report to Stockholders
SEMI-ANNUAL REPORT (UNAUDITED) |
Not FDIC Insured May Lose Value No Bank Guarantee |
Table of Contents
Page | ||||||
The
Markets in Review |
3 | |||||
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 |
51 | |||||
Statements of Operations |
52 | |||||
Statements of Changes in Net Assets |
53 | |||||
Statements of Cash Flows |
56 | |||||
Financial Highlights |
57 | |||||
Notes to Financial Statements |
60 | |||||
Officers and Directors |
74 | |||||
Additional Information |
75 |
2 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
The Markets in Review |
President, BlackRock Advisors,
LLC
6-month | 12-month | |||||||||
U.S.
large cap equities (S&P 500® Index) |
6.12 | % | 15.51 | % | ||||||
U.S.
small cap equities (Russell 2000® Index) |
5.70 | 5.63 | ||||||||
International
equities (MSCI Europe, Australasia, Far East Index) |
(1.26 | ) | (0.03 | ) | ||||||
Emerging
market equities (MSCI Emerging Markets Index) |
(8.30 | ) | 5.01 | |||||||
3-month
Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) |
0.01 | 0.03 | ||||||||
U.S.
Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index) |
4.14 | 8.66 | ||||||||
U.S.
investment grade bonds (Barclays U.S. Aggregate Bond Index) |
2.25 | 5.05 | ||||||||
Tax-exempt
municipal bonds (S&P Municipal Bond Index) |
2.17 | 6.47 | ||||||||
U.S.
high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index) |
(0.08 | ) | 2.81 |
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Fund Summary as of February 28, 2015 | BlackRock Defined
Opportunity Credit Trust |
Fund Overview
Portfolio Management Commentary
| For the six-month period ended February 28, 2015, the Fund returned (0.79)% based on market price and 1.51% based on net asset value (NAV). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns reflect reinvestment of dividends. The Funds discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
| During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Funds top 25 holdings. Given the positive returns experienced, the Funds use of leverage added to performance for the period. |
| During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Funds holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Funds modest position in equities was a negative contributor. |
| 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. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period. |
| At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. 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 modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
4 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
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, 2015 ($13.17)1 |
5.31% |
|||
Current Monthly Distribution per Common Share2 |
$0.0583 |
|||
Current Annualized Distribution per Common Share2 |
$0.6996 |
|||
Economic Leverage as of February 28, 20153 |
29% |
1 | Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
|
2/28/15 |
|
8/31/14 |
|
Change |
|
High |
|
Low |
|||||||||||||
Market Price |
$ | 13.17 | $ | 13.84 | (4.84 | )% | $ | 13.89 | $ | 12.61 | ||||||||||||
Net Asset Value |
$ | 14.03 | $ | 14.41 | (2.64 | )% | $ | 14.42 | $ | 13.72 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Funds Total Investments
Fund Overview
Portfolio Management Commentary
Fund Information
Market Price and Net Asset Value Per Share Summary
Market Price and Net Asset Value History For the Past Five Years
Overview of the Funds Total Investments
Fund Overview
Portfolio Management Commentary
Fund Information
Market Price and Net Asset Value Per Share Summary Market Price and Net Asset Value History For the Past Five Years
Overview of the Funds Total Investments
Portfolio Abbreviations
Portfolio Composition
2/28/15
8/31/144
93
%
94
%
4
2
3
2
1
5
1
4
Information has been revised to conform to current
year presentation.
5
Representing less than 1% of the Funds total
investments.
6
Includes a less than 1% holding in each
of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.
Credit Quality
Allocation7,8
2/28/15
8/31/14
7
%
6
%
45
43
42
44
3
4
3
3
7
For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either Standard & Poors (S&P) or Moodys Investors Service
(Moodys) 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, 2015
5
Fund Summary as of February 28, 2015
BlackRock Floating Rate
Income Strategies Fund, Inc.
For the six-month period ended February 28, 2015, the Fund returned
(0.09)% based on market price and 1.48% based on net asset value (NAV). For the same period, the closed-end Lipper
Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns
reflect reinvestment of dividends. The Funds discount to NAV, which widened during the period, accounts for the difference
between performance based on price and performance based on NAV. The following discussion relates to performance based on
NAV.
During the six months ended February 28, 2015, the loan market
declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this
resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly
throughout the portfolio, with the most significant contributions generally from among the Funds top 25 holdings. Given
the positive returns experienced, the Funds use of leverage added to performance for the period.
During the six-month period, oil prices experienced a significant
decline and most commodity prices came under pressure as well. As a result, prices for the Funds holdings within the
energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller
component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor.
Finally, the Funds modest position in equities was a negative contributor.
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. Since the average
loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments
in strong companies with stable cash flows, high quality collateral and with the ability to meet interest obligations and
ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new
issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund
reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as
valuations in that market moved to a more attractive point during the period.
At period end, the Fund held a majority of its total portfolio
in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. 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 modest position in CCC-rated loans, while generally maintaining low exposure to lower
quality, less liquid loans.
The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.
6
SEMI-ANNUAL REPORT
FEBRUARY 28, 2015
BlackRock Floating Rate
Income Strategies Fund, Inc.
1
Current Distribution Rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.
2
The distribution rate is not constant and is subject
to change.
3
Represents 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.
2/28/15
8/31/14
Change
High
Low
$
13.83
$
14.26
(3.02
)%
$
14.32
$
12.96
$
15.15
$
15.38
(1.50
)%
$
15.38
$
14.69
Portfolio Composition
2/28/15
8/31/144
92
%
93
%
4
3
3
2
1
1
1
4
Information has been revised to conform to current
year presentation.
5
Includes a less than 1% holding in each of the
following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased, Other Interests, Short-Term Securities and
Warrants.
Credit Quality
Allocation6,7
2/28/15
8/31/14
7
%
6
%
44
43
41
43
4
4
4
4
6
For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either S&P or Moodys 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.
7
Excludes short-term securities.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2015
7
Fund Summary as of February 28, 2015
BlackRock Limited
Duration Income Trust
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 and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment
grade.
For the six-month period ended February 28, 2015, the Fund returned
(0.71)% based on market price and 1.32% based on net asset value (NAV). For the same period, the closed-end Lipper
High Yield Funds (Leveraged) category posted an average return of (2.46)% based on market price and (1.60)% based on NAV.
All returns reflect reinvestment of dividends. The Funds discount to NAV, which widened during the period, accounts
for the difference between performance based on price and performance based on NAV. The following discussion relates to performance
based on NAV.
The main contributors to the Funds absolute performance
were its exposure to non-U.S. dollar securities, high yield, term loans, asset-backed securities (ABS) and commercial
mortgage-backed securities (CMBS). Other contributors included agency mortgage-backed securities (MBS)
15-year pass-throughs and emerging market debt.
The main detractors from the Funds absolute performance
during the period were its positions in preferred equities, its duration exposure through U.S. Treasuries and its positions
in investment grade credit.
The Fund held derivatives during the reporting period, which had a neutral effect on performance..
The Funds allocations remained consistent throughout the
six-month period, with its largest positions in high yield and investment grade corporate credit, followed by allocations
in securitized credit, including ABS and CMBS.
At period end, the Fund maintained a diversified exposure to non-government
spread sectors including high yield and investment grade corporate credit, as well as CMBS, ABS and agency and non-agency
residential MBS.
The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.
8
SEMI-ANNUAL REPORT
FEBRUARY 28, 2015
BlackRock Limited
Duration Income Trust
1
Current Distribution Rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.
2
The distribution rate is not constant and is subject
to change.
3
Represents reverse repurchase agreements outstanding
as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of
liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The
Benefits and Risks of Leveraging on page 10.
2/28/15
8/31/14
Change
High
Low
$
15.98
$
16.81
(4.94
)%
$
16.84
$
14.99
$
17.55
$
18.09
(2.99
)%
$
18.10
$
17.12
Portfolio Composition
2/28/15
8/31/144
38
%
42
%
30
32
11
5
9
7
7
8
4
4
1
5
5
1
5
1
6
7
4
Information has been revised to conform to current
year presentation.
5
Representing less than 1% of the Funds total
investments.
6
Includes a less than 1% holding in each of the
following investment types: Options Purchased, Options Written, Other Interests and Warrants.
7
Includes a less than 1% holding in each of the
following investment types: Options Purchased, Other Interests and Warrants.
Credit Quality
Allocation8, 9
2/28/15
8/31/14
6
%
6
%
2
2
6
3
16
15
31
32
29
31
5
7
5
4
8
For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either S&P or Moodys 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.
9
Excludes short-term securities.
10
The investment advisor evaluates the credit quality
of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of
sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and
U.S. Treasury Obligations as AAA/Aaa.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2015
9
The Benefits and Risks of Leveraging
Derivative Financial Instruments
10
SEMI-ANNUAL REPORT
FEBRUARY 28, 2015
Schedule of Investments February 28, 2015 (Unaudited)
BlackRock Defined
Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Common Stocks
(a)
Shares
Value
8,922
$
192,385
24,355
481,742
674,127
Par
(000)
500
485,153
713
676,264
250
237,940
250
240,265
250
252,739
250
237,350
215
212,614
500
431,250
250
234,781
250
233,021
250
242,313
350
350,322
1,000
940,700
4,774,712
250
252,500
44
49,397
590
609,175
911,072
164
166,050
325
334,360
500,410
110
117,315
68
68,340
Corporate
Bonds
Par
(000)
Value
232
$
236,526
80
83,050
387,916
101
102,010
342
362,520
464,530
120
124,575
228
230,850
127
134,461
365,311
71
75,926
85
93,075
185
196,100
325
326,625
240
244,500
936,226
325
340,031
200
208,250
96
99,240
200
203,500
510,990
60
62,700
150
151,125
140
134,400
145
148,625
434,150
225
238,219
5/01/19 (b)
196
202,125
310
313,565
800
886,248
50
52,625
1,252,438
6,848,008
ADS
BROIS
CAD
CLO
American Depositary Shares
Brazilian Overnight Indexed Swap
Canadian Dollar
Collateralized Loan
Obligation
DIP
EUR
GBP
OTC
Debtor-In-Possession
Euro
British Pound
Over-the-Counter
REMIC
SGD
USD
Real Estate Mortgage Investment Conduit
Singapore Dollar
U.S. Dollar
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 11 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Aerospace & Defense 2.3% |
||||||||||||||
BE
Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |
USD |
670 | $ | 671,394 | ||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
506 | 505,198 | ||||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |
275 | 288,406 | ||||||||||||
Transdigm, Inc.: |
||||||||||||||
Term Loan C, 3.75%, 2/28/20 |
221 | 219,481 | ||||||||||||
Term Loan D, 3.75%, 6/04/21 |
199 | 198,222 | ||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |
1,082 | 1,076,870 | ||||||||||||
2,959,571 | ||||||||||||||
Air Freight & Logistics 0.4% |
||||||||||||||
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |
156 | 144,061 | ||||||||||||
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |
163 | 150,780 | ||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |
26 | 23,615 | ||||||||||||
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |
225 | 207,973 | ||||||||||||
526,429 | ||||||||||||||
Airlines 0.7% |
||||||||||||||
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |
322 | 321,832 | ||||||||||||
Northwest Airlines, Inc.: |
||||||||||||||
2.18%, 3/10/17 |
148 | 145,166 | ||||||||||||
1.56%, 9/10/18 |
218 | 208,190 | ||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
257 | 256,515 | ||||||||||||
931,703 | ||||||||||||||
Auto Components 4.5% |
||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
282 | 281,271 | ||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16 |
57 | 56,999 | ||||||||||||
Autoparts Holdings Ltd.: |
||||||||||||||
1st Lien Term Loan, 6.50%, 7/29/17 |
623 | 622,638 | ||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 |
200 | 194,014 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
356 | 353,282 | ||||||||||||
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |
327 | 322,175 | ||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |
2,005 | 1,989,436 | ||||||||||||
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
958 | 962,531 | ||||||||||||
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |
575 | 578,594 | ||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |
336 | 336,000 | ||||||||||||
5,696,940 | ||||||||||||||
Automobiles 0.3% |
||||||||||||||
Chrysler Group LLC, Term Loan B: |
||||||||||||||
3.25%, 12/31/18 |
189 | 188,070 | ||||||||||||
3.50%, 5/24/17 |
198 | 198,334 | ||||||||||||
386,404 | ||||||||||||||
Banks 0.3% |
||||||||||||||
Redtop Acquisitions Ltd.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
257 | 257,078 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
69 | 69,300 | ||||||||||||
326,378 | ||||||||||||||
Building Products 3.9% |
||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |
336 | 329,406 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |
1,264 | 1,241,603 | ||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |
318 | 310,454 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Building Products (concluded) |
||||||||||||||
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 |
USD |
392 | $ | 387,463 | ||||||||||
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |
700 | 701,750 | ||||||||||||
Nortek, Inc., Term Loan, 3.75%, 10/30/20 |
478 | 473,722 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |
223 | 219,498 | ||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |
383 | 381,499 | ||||||||||||
Wilsonart LLC: |
||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
109 | 107,901 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 |
784 | 776,812 | ||||||||||||
4,930,108 | ||||||||||||||
Capital Markets 0.4% |
||||||||||||||
Affinion Group, Inc.: |
||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 |
39 | 34,474 | ||||||||||||
Term Loan B, 6.75%, 4/30/18 |
299 | 284,119 | ||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
195 | 194,386 | ||||||||||||
512,979 | ||||||||||||||
Chemicals 4.9% |
||||||||||||||
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |
253 | 252,404 | ||||||||||||
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |
131 | 130,960 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |
450 | 445,900 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |
27 | 26,623 | ||||||||||||
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22 |
270 | 270,508 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |
128 | 127,721 | ||||||||||||
Chromaflo Technologies Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/02/19 |
257 | 254,504 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/30/20 |
110 | 108,625 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
473 | 463,756 | ||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |
193 | 192,360 | ||||||||||||
MacDermid, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 6/07/20 |
654 | 655,701 | ||||||||||||
Term Loan B2, 4.75%, 6/07/20 |
167 | 167,447 | ||||||||||||
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |
461 | 462,404 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
578 | 562,637 | ||||||||||||
OXEA Finance LLC: |
||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
315 | 296,494 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
578 | 558,555 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
155 | 155,118 | ||||||||||||
Solenis International LP: |
||||||||||||||
1st Lien Term Loan, 4.25%, 7/31/21 |
354 | 349,686 | ||||||||||||
2nd Lien Term Loan, 7.75%, 7/31/22 |
390 | 377,976 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
133 | 131,978 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |
221 | 219,272 | ||||||||||||
6,210,629 | ||||||||||||||
Commercial Services & Supplies 6.3% |
||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
726 | 717,743 | ||||||||||||
ARAMARK Corp.: |
||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |
14 | 13,718 | ||||||||||||
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |
9 | 9,277 | ||||||||||||
Term Loan E, 3.25%, 9/07/19 |
645 | 643,297 | ||||||||||||
Term Loan F, 3.25%, 2/24/21 |
195 | 193,598 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
863 | 841,877 |
12 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Commercial Services & Supplies (concluded) |
||||||||||||||
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |
USD |
1,035 | $ | 1,037,370 | ||||||||||
Connolly Corp.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 |
672 | 674,567 | ||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 |
325 | 320,937 | ||||||||||||
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |
240 | 241,200 | ||||||||||||
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21 |
182 | 183,845 | ||||||||||||
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |
308 | 304,983 | ||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |
547 | 541,093 | ||||||||||||
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |
305 | 295,426 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
984 | 975,910 | ||||||||||||
US
Ecology, Inc., Term Loan, 3.75%, 6/17/21 |
214 | 213,596 | ||||||||||||
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 |
207 | 207,248 | ||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 |
598 | 596,430 | ||||||||||||
8,012,115 | ||||||||||||||
Communications Equipment 1.6% |
||||||||||||||
Applied Systems, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
327 | 326,400 | ||||||||||||
2nd Lien Term Loan, 7.50%, 1/24/22 |
85 | 84,235 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |
343 | 332,684 | ||||||||||||
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |
156 | 155,904 | ||||||||||||
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 |
135 | 136,012 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
1,033 | 1,032,043 | ||||||||||||
2,067,278 | ||||||||||||||
Construction & Engineering 0.4% |
||||||||||||||
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |
192 | 192,852 | ||||||||||||
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20 |
280 | 281,750 | ||||||||||||
474,602 | ||||||||||||||
Construction Materials 1.5% |
||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |
218 | 217,460 | ||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
1,596 | 1,591,353 | ||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |
148 | 142,941 | ||||||||||||
1,951,754 | ||||||||||||||
Containers & Packaging 1.2% |
||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |
208 | 207,643 | ||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |
571 | 570,420 | ||||||||||||
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20 |
343 | 344,562 | ||||||||||||
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22 |
250 | 250,520 | ||||||||||||
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |
169 | 169,150 | ||||||||||||
1,542,295 | ||||||||||||||
Distributors 1.1% |
||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
666 | 661,884 | ||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |
328 | 329,277 | ||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |
230 | 226,558 | ||||||||||||
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17 |
204 | 203,220 | ||||||||||||
1,420,939 | ||||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Diversified Consumer Services 2.2% |
||||||||||||||
Allied Security Holdings LLC: |
||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 |
USD |
651 | $ | 649,979 | ||||||||||
2nd Lien Term Loan, 8.00%, 8/13/21 |
91 | 90,378 | ||||||||||||
Bright Horizons Family Solutions, Inc.: |
||||||||||||||
Incremental Term Loan B1, 4.25%, 1/30/20 |
80 | 80,100 | ||||||||||||
Term Loan B, 3.75%, 1/30/20 |
632 | 631,013 | ||||||||||||
CT
Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21 |
135 | 135,506 | ||||||||||||
Garda World Securities Corp.: |
||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
11 | 10,543 | ||||||||||||
Term Loan B, 4.00%, 11/06/20 |
42 | 41,215 | ||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
247 | 234,119 | ||||||||||||
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |
813 | 812,670 | ||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
295 | 155,216 | ||||||||||||
2,840,739 | ||||||||||||||
Diversified Financial Services 2.4% |
||||||||||||||
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |
599 | 594,297 | ||||||||||||
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |
225 | 223,969 | ||||||||||||
Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22 |
465 | 467,823 | ||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
742 | 743,650 | ||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
589 | 587,430 | ||||||||||||
TransFirst, Inc.: |
||||||||||||||
2014 1st Lien Term Loan, 5.50%, 11/12/21 |
313 | 315,017 | ||||||||||||
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |
165 | 163,098 | ||||||||||||
3,095,284 | ||||||||||||||
Diversified Telecommunication Services 5.1%
| ||||||||||||||
Altice Financing SA, Term Loan: |
||||||||||||||
Delayed Draw, 5.50%, 7/02/19 |
395 | 397,499 | ||||||||||||
5.25%, 2/04/22 |
160 | 160,650 | ||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
686 | 687,734 | ||||||||||||
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22 |
540 | 540,448 | ||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
518 | 519,597 | ||||||||||||
Integra Telecom, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
190 | 188,337 | ||||||||||||
Term Loan B, 5.25%, 2/22/19 |
457 | 453,664 | ||||||||||||
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |
835 | 838,482 | ||||||||||||
Level 3 Financing, Inc.: |
||||||||||||||
2019 Term Loan, 4.00%, 8/01/19 |
350 | 349,289 | ||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 |
2,330 | 2,328,835 | ||||||||||||
6,464,535 | ||||||||||||||
Electric Utilities 0.4% |
||||||||||||||
American Energy Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |
209 | 177,519 | ||||||||||||
American Energy Utica LLC: |
||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |
52 | 45,875 | ||||||||||||
2nd Lien Term Loan, 5.50%, 9/30/18 |
238 | 215,290 | ||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |
52 | 45,882 | ||||||||||||
484,566 | ||||||||||||||
Electrical Equipment 1.4% |
||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/10/21 |
263 | 256,876 | ||||||||||||
Texas Competitive Electric Holdings Co. LLC: |
||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 |
448 | 450,132 | ||||||||||||
Extended Term Loan, 4.66%, 10/10/17 (a)(f) |
1,705 | 1,088,353 | ||||||||||||
1,795,361 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 13 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Electronic Equipment, Instruments & Components 0.5% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
USD |
650 | $ | 643,834 | |||||||||||
Energy Equipment & Services 1.1% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
256 | 255,260 | |||||||||||||
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |
264 | 264,264 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |
956 | 918,498 | |||||||||||||
1,438,022 | |||||||||||||||
Food & Staples Retailing 1.1% |
|||||||||||||||
New Albertsons, Inc., Term Loan, 4.75%, 6/27/21 |
334 | 333,578 | |||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |
235 | 237,204 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |
509 | 509,706 | |||||||||||||
US
Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |
380 | 378,989 | |||||||||||||
1,459,477 | |||||||||||||||
Food Products 3.4% |
|||||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |
257 | 256,750 | |||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |
678 | 676,776 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
587 | 585,383 | |||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |
54 | 54,142 | |||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |
468 | 468,235 | |||||||||||||
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |
439 | 439,175 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
372 | 371,807 | |||||||||||||
Pinnacle Foods Finance LLC: |
|||||||||||||||
Incremental Term Loan H, 3.00%, 4/29/20 |
123 | 122,710 | |||||||||||||
Term Loan G, 3.00%, 4/29/20 |
605 | 601,492 | |||||||||||||
Reddy Ice Corp.: |
|||||||||||||||
1st Lien Term Loan, 6.75%, 5/01/19 |
560 | 484,422 | |||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
270 | 205,200 | |||||||||||||
4,266,092 | |||||||||||||||
Health Care Equipment & Supplies 5.0% |
|||||||||||||||
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22 |
265 | 267,539 | |||||||||||||
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |
707 | 705,712 | |||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
438 | 435,754 | |||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |
970 | 969,883 | |||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |
614 | 614,869 | |||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
798 | 797,426 | |||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |
506 | 505,228 | |||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |
572 | 574,270 | |||||||||||||
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |
704 | 693,512 | |||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |
695 | 686,923 | |||||||||||||
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19 |
100 | 100,623 | |||||||||||||
6,351,739 | |||||||||||||||
Health Care Providers & Services 7.4% |
|||||||||||||||
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |
112 | 112,373 | |||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |
335 | 331,650 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Health Care Providers & Services (concluded) |
||||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |
USD |
299 | $ | 298,688 | ||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
241 | 241,499 | ||||||||||||
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |
392 | 391,588 | ||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
1,945 | 1,949,085 | ||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
540 | 538,988 | ||||||||||||
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |
350 | 351,971 | ||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |
2,204 | 2,206,129 | ||||||||||||
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |
237 | 237,000 | ||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |
422 | 421,398 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |
265 | 270,212 | ||||||||||||
HCA, Inc., Term Loan B5, 2.92%, 3/31/17 |
315 | 314,962 | ||||||||||||
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |
81 | 80,395 | ||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |
480 | 475,832 | ||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |
318 | 315,266 | ||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |
226 | 223,909 | ||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |
419 | 416,184 | ||||||||||||
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |
195 | 194,187 | ||||||||||||
9,371,316 | ||||||||||||||
Health Care Technology 0.9% |
||||||||||||||
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |
754 | 749,587 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |
434 | 431,610 | ||||||||||||
1,181,197 | ||||||||||||||
Hotels, Restaurants & Leisure 11.3% |
||||||||||||||
Amaya Holdings BV: |
||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 |
190 | 188,104 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 |
1,225 | 1,217,723 | ||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |
252 | 252,119 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |
678 | 650,965 | ||||||||||||
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |
1,280 | 1,286,630 | ||||||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |
39 | 36,217 | ||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |
1,001 | 964,094 | ||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |
376 | 376,651 | ||||||||||||
Dave & Busters, Inc., Term Loan, 4.25%, 7/25/20 |
154 | 154,151 | ||||||||||||
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |
452 | 454,511 | ||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |
941 | 940,186 | ||||||||||||
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |
366 | 367,216 | ||||||||||||
La
Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |
1,977 | 1,974,460 | ||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |
594 | 593,875 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
782 | 778,657 | ||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
370 | 369,328 | ||||||||||||
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 |
294 | 294,182 |
14 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) |
||||||||||||||
Sabre, Inc.: |
||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
USD |
114 | $ | 113,563 | ||||||||||
Term Loan B, 4.00%, 2/19/19 |
524 | 522,851 | ||||||||||||
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |
348 | 347,001 | ||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |
1,142 | 1,140,154 | ||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |
763 | 768,811 | ||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 |
258 | 258,634 | ||||||||||||
Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 |
366 | 364,761 | ||||||||||||
14,414,844 | ||||||||||||||
Household Products 1.1% |
||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
631 | 629,520 | ||||||||||||
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19 |
238 | 237,841 | ||||||||||||
Spectrum Brands, Inc.: |
||||||||||||||
Term Loan A, 3.00%, 9/04/17 |
176 | 175,077 | ||||||||||||
Term Loan C, 3.50%, 9/04/19 |
339 | 338,182 | ||||||||||||
1,380,620 | ||||||||||||||
Independent Power and Renewable Electricity Producers 2.1% |
||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 |
873 | 872,948 | ||||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 |
648 | 650,821 | ||||||||||||
Granite Acquisition Inc.: |
||||||||||||||
Term Loan B, 5.00%, 12/19/21 |
710 | 717,697 | ||||||||||||
Term Loan C, 5.00%, 12/19/21 |
31 | 31,579 | ||||||||||||
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21 |
375 | 376,406 | ||||||||||||
2,649,451 | ||||||||||||||
Industrial Conglomerates 0.5% |
||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
629 | 613,068 | ||||||||||||
Insurance 2.5% |
||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 |
412 | 411,131 | ||||||||||||
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |
249 | 242,316 | ||||||||||||
CNO Financial Group, Inc.: |
||||||||||||||
Term Loan B1, 3.00%, 9/28/16 |
215 | 214,174 | ||||||||||||
Term Loan B2, 3.75%, 9/28/18 |
515 | 512,028 | ||||||||||||
Cooper Gay Swett & Crawford of Delaware Holding Corp.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 |
414 | 380,604 | ||||||||||||
2nd Lien Term Loan C, 8.25%, 10/16/20 |
200 | 172,334 | ||||||||||||
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21 |
483 | 480,869 | ||||||||||||
Sedgwick Claims Management Services, Inc.: |
||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 |
457 | 449,930 | ||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 |
260 | 254,150 | ||||||||||||
3,117,536 | ||||||||||||||
Internet Software & Services 1.9% |
||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |
420 | 417,146 | ||||||||||||
Go
Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |
572 | 572,394 | ||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |
862 | 864,255 | ||||||||||||
W3
Co.: |
||||||||||||||
1st Lien Term Loan, 5.75%, 3/13/20 |
403 | 362,543 | ||||||||||||
2nd Lien Term Loan, 9.25%, 9/11/20 |
155 | 145,722 | ||||||||||||
2,362,060 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
IT Services 3.8% |
||||||||||||||
First Data Corp.: |
||||||||||||||
2018 Extended Term Loan, 3.67%, 3/24/18 |
USD |
2,845 | $ | 2,839,533 | ||||||||||
2018 Term Loan, 3.67%, 9/24/18 |
295 | 294,723 | ||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |
428 | 426,577 | ||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |
245 | 228,254 | ||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |
123 | 108,988 | ||||||||||||
SunGard Data Systems, Inc.: |
||||||||||||||
Term Loan C, 3.92%, 2/28/17 |
350 | 349,671 | ||||||||||||
Term Loan E, 4.00%, 3/08/20 |
126 | 126,356 | ||||||||||||
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |
392 | 392,233 | ||||||||||||
4,766,335 | ||||||||||||||
Leisure Products 0.4% |
||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |
364 | 361,231 | ||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |
93 | 89,778 | ||||||||||||
451,009 | ||||||||||||||
Machinery 2.3% |
||||||||||||||
Alliance Laundry Systems LLC: |
||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 |
131 | 131,073 | ||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 |
344 | 342,857 | ||||||||||||
Faenza Acquisition GmbH: |
||||||||||||||
Term Loan B1, 4.25%, 8/30/20 |
266 | 265,798 | ||||||||||||
Term Loan B3, 4.25%, 8/30/20 |
79 | 78,799 | ||||||||||||
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 |
305 | 302,689 | ||||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
191 | 188,481 | ||||||||||||
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |
180 | 180,164 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
564 | 562,443 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |
664 | 638,146 | ||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
237 | 235,539 | ||||||||||||
2,925,989 | ||||||||||||||
Media 13.7% |
||||||||||||||
Cengage Learning Acquisitions, Inc.: |
||||||||||||||
1st Lien Term Loan, 7.00%, 3/31/20 |
1,365 | 1,364,346 | ||||||||||||
Term Loan, 0.00%, 7/03/15 (a)(f) |
591 | | ||||||||||||
Charter Communications Operating LLC: |
||||||||||||||
Term Loan E, 3.00%, 7/01/20 |
458 | 456,307 | ||||||||||||
Term Loan G, 4.25%, 9/12/21 |
935 | 942,003 | ||||||||||||
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |
1,364 | 1,304,683 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
525 | 521,575 | ||||||||||||
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 |
254 | 252,721 | ||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |
453 | 451,460 | ||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |
343 | 343,395 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
983 | 975,046 | ||||||||||||
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22 |
350 | 344,750 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |
114 | 112,995 | ||||||||||||
MCC Iowa LLC: |
||||||||||||||
Term Loan I, 2.65%, 6/30/17 |
249 | 247,506 | ||||||||||||
Term Loan J, 3.75%, 6/30/21 |
124 | 123,753 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
637 | 638,557 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 15 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Media (concluded) |
||||||||||||||
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18 |
USD |
253 | $ | 249,038 | ||||||||||
Mediacom ILLC, Term Loan E, 3.15%, 10/23/17 |
478 | 474,315 | ||||||||||||
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21 |
309 | 306,037 | ||||||||||||
Numericable U.S. LLC: |
||||||||||||||
Term Loan B1, 4.50%, 5/21/20 |
509 | 509,312 | ||||||||||||
Term Loan B2, 4.50%, 5/21/20 |
440 | 440,624 | ||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
365 | 362,290 | ||||||||||||
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 |
706 | 701,251 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |
368 | 364,607 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |
1,144 | 1,142,916 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
519 | 518,068 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |
EUR |
281 | 313,775 | |||||||||||
Virgin Media Investment Holdings Ltd.: |
||||||||||||||
Term Loan B, 3.50%, 6/07/20 |
USD |
780 | 777,598 | |||||||||||
Term Loan E, 4.25%, 6/30/23 |
GBP |
650 | 1,002,981 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |
USD |
947 | 946,917 | |||||||||||
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |
57 | 56,647 | ||||||||||||
Ziggo Financing Partnership: |
||||||||||||||
Term Loan B1, 3.50%, 1/15/22 |
425 | 420,928 | ||||||||||||
Term Loan B2A, 3.50%, 1/15/22 |
276 | 273,051 | ||||||||||||
Term Loan B3, 3.50%, 1/15/22 |
453 | 449,071 | ||||||||||||
17,388,523 | ||||||||||||||
Metals & Mining 1.1% |
||||||||||||||
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 |
100 | 92,500 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
780 | 778,517 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
580 | 579,655 | ||||||||||||
1,450,672 | ||||||||||||||
Multiline Retail 2.3% |
||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |
449 | 449,378 | ||||||||||||
BJs Wholesale Club, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
1,035 | 1,030,665 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
200 | 198,250 | ||||||||||||
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 |
470 | 473,408 | ||||||||||||
Hudsons Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |
151 | 151,465 | ||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |
580 | 574,650 | ||||||||||||
2,877,816 | ||||||||||||||
Oil, Gas & Consumable Fuels 4.5% |
||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |
426 | 340,504 | ||||||||||||
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |
430 | 427,493 | ||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
848 | 660,897 | ||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |
440 | 424,235 | ||||||||||||
Fieldwood Energy LLC: |
||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
311 | 297,340 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
135 | 103,179 | ||||||||||||
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |
205 | 206,281 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
119 | 118,271 | ||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |
27 | 16,306 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) |
||||||||||||||
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21 |
USD |
375 | $ | 376,875 | ||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |
325 | 328,250 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
360 | 352,800 | ||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |
105 | 101,325 | ||||||||||||
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |
405 | 384,750 | ||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |
61 | 55,019 | ||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |
269 | 261,262 | ||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |
214 | 199,752 | ||||||||||||
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22 |
250 | 248,750 | ||||||||||||
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |
360 | 363,449 | ||||||||||||
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/19/22 |
380 | 378,100 | ||||||||||||
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |
134 | 132,648 | ||||||||||||
5,777,486 | ||||||||||||||
Personal Products 0.1% |
||||||||||||||
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21 |
93 | 93,027 | ||||||||||||
Pharmaceuticals 6.2% |
||||||||||||||
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |
569 | 570,235 | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19 |
277 | 277,084 | ||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |
211 | 208,066 | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |
357 | 356,407 | ||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |
976 | 973,772 | ||||||||||||
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 |
363 | 360,360 | ||||||||||||
Mallinckrodt International Finance SA: |
||||||||||||||
Incremental Term Loan B1, 3.50%, 3/19/21 |
329 | 328,283 | ||||||||||||
Term Loan B, 3.25%, 3/19/21 |
526 | 522,869 | ||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |
845 | 839,365 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
981 | 979,404 | ||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |
568 | 568,397 | ||||||||||||
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20 |
469 | 468,540 | ||||||||||||
Valeant Pharmaceuticals International, Inc., Term Loan B: |
||||||||||||||
Series C2, 3.50%, 12/11/19 |
524 | 523,157 | ||||||||||||
Series D2, 3.50%, 2/13/19 |
568 | 566,214 | ||||||||||||
Series E, 3.50%, 8/05/20 |
326 | 325,399 | ||||||||||||
7,867,552 | ||||||||||||||
Professional Services 2.5% |
||||||||||||||
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21 |
305 | 306,439 | ||||||||||||
Advantage Sales & Marketing, Inc.: |
||||||||||||||
2014 1st Lien Term Loan, 4.25%, 7/23/21 |
469 | 466,364 | ||||||||||||
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |
160 | 159,450 | ||||||||||||
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |
393 | 388,262 | ||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
717 | 715,008 | ||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |
275 | 273,166 |
16 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Professional Services (concluded) |
|||||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
USD |
422 | $ | 418,250 | |||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
391 | 386,080 | |||||||||||||
3,113,019 | |||||||||||||||
Real Estate Management & Development 1.8%
| |||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |
523 | 522,989 | |||||||||||||
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |
492 | 493,219 | |||||||||||||
Realogy Corp.: |
|||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
40 | 39,643 | |||||||||||||
Term Loan B, 3.75%, 3/05/20 |
1,182 | 1,180,191 | |||||||||||||
2,236,042 | |||||||||||||||
Road & Rail 0.8% |
|||||||||||||||
Hertz Corp., Term Loan B2, 3.50%, 3/11/18 |
328 | 325,765 | |||||||||||||
Road Infrastructure Investment LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 |
462 | 447,667 | |||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 |
225 | 200,250 | |||||||||||||
973,682 | |||||||||||||||
Semiconductors & Semiconductor Equipment 1.7% |
|||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |
1,169 | 1,169,791 | |||||||||||||
Freescale Semiconductor, Inc.: |
|||||||||||||||
Term Loan B4, 4.25%, 2/28/20 |
529 | 527,709 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
163 | 163,694 | |||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 |
326 | 323,431 | |||||||||||||
2,184,625 | |||||||||||||||
Software 3.8% |
|||||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
241 | 236,800 | |||||||||||||
GCA Services Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
176 | 174,240 | |||||||||||||
Term Loan B, 4.25%, 11/01/19 |
386 | 384,964 | |||||||||||||
Infor US, Inc.: |
|||||||||||||||
Term Loan B3, 3.75%, 6/03/20 |
196 | 193,758 | |||||||||||||
Term Loan B5, 3.75%, 6/03/20 |
980 | 970,637 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |
202 | 192,275 | |||||||||||||
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |
114 | 114,232 | |||||||||||||
Kronos, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 4/30/20 |
409 | 417,822 | |||||||||||||
Initial Incremental Term Loan, 4.50%, 10/30/19 |
243 | 243,276 | |||||||||||||
Mitchell International, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
505 | 501,697 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
350 | 345,551 | |||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |
219 | 213,188 | |||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |
638 | 637,362 | |||||||||||||
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |
75 | 74,696 | |||||||||||||
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |
130 | 124,962 | |||||||||||||
4,825,460 | |||||||||||||||
Specialty Retail 4.8% |
|||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
519 | 517,821 | |||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |
298 | 299,118 | |||||||||||||
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |
329 | 322,582 | |||||||||||||
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |
548 | 543,817 |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Specialty Retail (concluded) |
|||||||||||||||
Michaels Stores, Inc.: |
|||||||||||||||
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |
USD |
662 | $ | 659,710 | |||||||||||
Term Loan B, 3.75%, 1/28/20 |
515 | 511,680 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
944 | 937,429 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
771 | 770,211 | |||||||||||||
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 |
1,165 | 1,172,805 | |||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |
369 | 311,916 | |||||||||||||
6,047,089 | |||||||||||||||
Technology Hardware, Storage & Peripherals 0.7% |
|||||||||||||||
Dell, Inc.: |
|||||||||||||||
Term Loan C, 3.75%, 10/29/18 |
385 | 385,686 | |||||||||||||
Term Loan B, 4.50%, 4/29/20 |
447 | 448,727 | |||||||||||||
834,413 | |||||||||||||||
Textiles, Apparel & Luxury Goods 1.8% |
|||||||||||||||
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |
496 | 496,250 | |||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
527 | 445,680 | |||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 |
466 | 439,186 | |||||||||||||
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 |
502 | 498,078 | |||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |
379 | 379,050 | |||||||||||||
2,258,244 | |||||||||||||||
Thrifts & Mortgage Finance 0.3% |
|||||||||||||||
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |
441 | 438,795 | |||||||||||||
Wireless Telecommunication Services 0.5%
| |||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |
601 | 594,841 | |||||||||||||
Total Floating Rate Loan Interests 133.2%
|
168,984,484 | ||||||||||||||
Non-Agency Mortgage Backed Securities 0.2%
|
|||||||||||||||
Collateralized Mortgage Obligations 0.2%
| |||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |
304 | 309,564 | |||||||||||||
Investment Companies |
Shares | ||||||||||||||
Capital Markets 0.0% |
|||||||||||||||
Eaton Vance Floating-Rate Income Trust |
12 | 173 | |||||||||||||
Eaton Vance Senior Income Trust |
3,347 | 21,856 | |||||||||||||
Total Investment Companies 0.0% |
22,029 | ||||||||||||||
Warrants (g) |
|||||||||||||||
Software 0.0% |
|||||||||||||||
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27) |
691 | $ | 3,687 | ||||||||||||
Total Investments (Cost $182,519,416) 143.1% |
181,616,611 | ||||||||||||||
Liabilities in Excess of Other Assets (43.1)% |
(54,697,640 | ) | |||||||||||||
Net Assets 100.0% |
$ | 126,918,971 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 17 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) |
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 shown is as of report date. |
|||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation |
||||||||
Deutsche Bank Securities, Inc. |
$ | 1,293,750 | |
(e) | Zero-coupon bond. |
|||
(f) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|||
(g) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase
price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
|||
| During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of
Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2014 |
Net Activity |
Shares Held at February 28, 2015 |
Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
2,958,501 | (2,958,501 | ) | | $ | 142 |
| As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Depreciation |
|||||||||||||||||||||||
EUR |
120,000 | USD | 135,638 | Deutsche Bank AG |
4/21/15 |
$ | (1,275 | ) | |||||||||||||||||||
USD |
405,054 | EUR | 351,000 | Citibank N.A. |
4/21/15 |
12,042 | |||||||||||||||||||||
USD |
813,069 | GBP | 536,000 | Bank of America N.A. |
4/21/15 |
(14,156 | ) | ||||||||||||||||||||
Total |
$ | (3,389 | ) |
| For Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not
apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|||
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement
purposes. 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. The categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the
risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows: |
| Level 1 unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability
to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. For information about the Funds policy regarding valuation of investments and derivative financial
instruments, refer to Note 2 of the Notes to Financial Statements. |
||||
As of February 28, 2015, the following tables summarize the Funds investments and derivative financial instruments categorized
in the disclosure hierarchy: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: |
||||||||||||||||||
Investments: |
||||||||||||||||||
Asset-Backed Securities |
$ | | $ | 3,596,662 | $ | 1,178,050 | $ | 4,774,712 | ||||||||||
Common Stocks |
481,742 | 192,385 | | 674,127 | ||||||||||||||
Corporate Bonds |
| 6,848,008 | | 6,848,008 | ||||||||||||||
Floating Rate Loan Interests |
| 157,949,885 | 11,034,599 | 168,984,484 | ||||||||||||||
Investment Companies |
22,029 | | | 22,029 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 309,564 | | 309,564 | ||||||||||||||
Warrants |
| | 3,687 | 3,687 | ||||||||||||||
Total |
$ | 503,771 | $ | 168,896,504 | $ | 12,216,336 | $ | 181,616,611 |
18 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Schedule of Investments (concluded) | BlackRock Defined
Opportunity Credit Trust (BHL) |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Derivative Financial Instruments1 |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Foreign currency exchange contracts |
| $ | 12,042 | | $ | 12,042 | |||||||||||||
Liabilities: |
|||||||||||||||||||
Foreign currency exchange contracts |
| (15,431 | ) | | (15,431 | ) | |||||||||||||
Total |
| $ | (3,389 | ) | | $ | (3,389 | ) | |||||||||||
1 | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement
purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: |
||||||||||||||||||
Cash |
$ | 99,981 | | | $ | 99,981 | ||||||||||||
Foreign currency at value |
2,102 | | | 2,102 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Bank borrowings payable |
| $ | (52,000,000 | ) | | (52,000,000 | ) | |||||||||||
Total |
$ | 102,083 | $ | (52,000,000 | ) | | $ | (51,897,917 | ) | |||||||||
Asset-Backed Securities |
Floating Rate Loan Interests |
Unfunded Floating Rate Loan Interests (Liabilities) |
Warrants | Total | ||||||||||||||||||
Assets: |
||||||||||||||||||||||
Opening Balance, as of August 31, 2014 |
$ | 921,580 | $ | 13,599,109 | $ | (85 | ) | | $ | 14,520,604 | ||||||||||||
Transfers into Level 32 |
| 4,360,933 | | | 4,360,933 | |||||||||||||||||
Transfers out of Level 33 |
(921,580 | ) | (5,813,003 | ) | | $ | 3,214 | (6,731,369 | ) | |||||||||||||
Accrued discounts/premiums |
1,851 | 9,718 | | | 11,569 | |||||||||||||||||
Net
realized gain |
| 5,630 | | | 5,630 | |||||||||||||||||
Net
change in unrealized appreciation/ depreciation4,5 |
12,649 | (225,441 | ) | 85 | 473 | (212,234 | ) | |||||||||||||||
Purchases |
1,163,550 | 2,028,676 | | | 3,192,226 | |||||||||||||||||
Sales |
| (2,931,023 | ) | | | (2,931,023 | ) | |||||||||||||||
Closing Balance, as of February 28, 2015 |
$ | 1,178,050 | $ | 11,034,599 | | $ | 3,687 | $ | 12,216,336 | |||||||||||||
Net
change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |
$ | 12,649 | $ | (250,310 | ) | $ | 85 | $ | 473 | $ | (237,103 | ) |
2 | As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,360,933 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,731,369 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end. |
5 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
The Funds investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment.
Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or
higher value of such Level 3 investments. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 19 |
Consolidated Schedule of Investments February 28, 2015 (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. (b) |
23,849 | $ | 20,749 | ||||||||||||
Diversified Consumer Services 0.4% |
|||||||||||||||
HMH Holdings/EduMedia |
116,627 | 2,306,882 | |||||||||||||
Diversified Financial Services 0.0% |
|||||||||||||||
Kcad Holdings I Ltd. |
217,833,983 | 217,834 | |||||||||||||
Electrical Equipment 0.0% |
|||||||||||||||
Medis Technologies Ltd. |
260,833 | 3 | |||||||||||||
Media 0.2% |
|||||||||||||||
Cengage Thomson Learning |
37,579 | 810,316 | |||||||||||||
Paper & Forest Products 0.4% |
|||||||||||||||
Ainsworth Lumber Co. Ltd. |
393,892 | 1,061,848 | |||||||||||||
Ainsworth Lumber Co. Ltd. (b) |
346,000 | 932,741 | |||||||||||||
1,994,589 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.0% |
|||||||||||||||
SunPower Corp. |
1,860 | 60,747 | |||||||||||||
Total Common Stocks 1.0% |
5,411,120 | ||||||||||||||
Asset-Backed Securities |
Par (000) |
||||||||||||||
ALM Loan Funding (b)(c): |
|||||||||||||||
Series 2013-7RA, Class C, 3.71%, 4/24/24 |
USD |
1,075 | 1,043,079 | ||||||||||||
Series 2013-7RA, Class D, 5.26%, 4/24/24 |
900 | 835,245 | |||||||||||||
Series 2013-8A, Class B, 3.01%, 1/20/26 |
1,150 | 1,113,486 | |||||||||||||
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c) |
713 | 676,264 | |||||||||||||
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c) |
1,000 | 960,000 | |||||||||||||
Ares CLO Ltd., Series 2014-32A, Class C, 4.45%, 11/15/25 (b)(c) |
1,000 | 993,340 | |||||||||||||
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (b)(c) |
860 | 818,515 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c) |
1,100 | 1,057,166 | |||||||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c) |
650 | 615,010 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd. (b)(c): |
|||||||||||||||
Series 2012-4A, Class D, 4.76%, 1/20/25 |
700 | 707,670 | |||||||||||||
Series 2013-1A, Class C, 4.26%, 2/14/25 |
250 | 247,241 | |||||||||||||
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (b)(c) |
625 | 593,375 | |||||||||||||
CIFC Funding 2014-V, Ltd., Series 2014-5A, Class D2, 4.74%, 1/17/27 (b)(c) |
1,000 | 980,700 | |||||||||||||
CIFC Funding Ltd., Series 2014-3A, Class C1, 3.06%, 7/22/26 (b)(c) |
250 | 242,359 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c) |
950 | 939,458 | |||||||||||||
LCM LP, 0.00%, 4/20/27 (b)(d)(e) |
1,500 | 2,156,250 | |||||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c) |
370 | 349,500 | |||||||||||||
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (b)(c) |
750 | 704,343 | |||||||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (b)(c) |
1,000 | 932,083 | |||||||||||||
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (b)(c) |
250 | 242,313 | |||||||||||||
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.90%, 11/14/26 (b)(c) |
500 | 480,515 | |||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c) |
500 | 501,333 | |||||||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c) |
250 | 238,605 |
Asset-Backed Securities | Par (000) |
Value | |||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c) |
USD |
500 | $ | 483,752 | |||||||||||
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c) |
1,250 | 1,144,375 | |||||||||||||
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (b)(c) |
1,500 | 1,501,380 | |||||||||||||
Voya CLO Ltd., Series 2014-3A, Class C, 3.86%, 7/25/26 (b)(c) |
250 | 240,345 | |||||||||||||
Voya CLO, Ltd., Series 2014-4A (b): |
|||||||||||||||
Class C, 4.23%, 10/14/26 (c) |
1,000 | 987,030 | |||||||||||||
Class SUB, 0.00%, 10/14/26 (e) |
1,000 | 940,700 | |||||||||||||
Total Asset-Backed Securities 4.0% |
22,725,432 | ||||||||||||||
Corporate Bonds |
|||||||||||||||
Airlines 0.7% |
|||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |
1,140 | 1,151,400 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |
175 | 197,588 | |||||||||||||
US
Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |
2,605 | 2,689,663 | |||||||||||||
4,038,651 | |||||||||||||||
Auto Components 0.4% |
|||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|||||||||||||||
3.50%, 3/15/17 |
717 | 725,962 | |||||||||||||
4.88%, 3/15/19 |
1,415 | 1,455,752 | |||||||||||||
2,181,714 | |||||||||||||||
Banks 0.0% |
|||||||||||||||
CIT Group, Inc., 5.00%, 8/01/23 |
135 | 142,425 | |||||||||||||
Capital Markets 0.2% |
|||||||||||||||
Blackstone CQP Holdco LP, 9.30%, 3/18/19 |
928 | 918,510 | |||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f) |
129 | 325,245 | |||||||||||||
1,243,755 | |||||||||||||||
Chemicals 0.6% |
|||||||||||||||
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 |
1,559 | 3,554,720 | |||||||||||||
Commercial Services & Supplies 0.3% |
|||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c) |
295 | 296,475 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |
939 | 958,686 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 |
350 | 363,344 | |||||||||||||
1,618,505 | |||||||||||||||
Communications Equipment 0.3% |
|||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (b) |
390 | 393,900 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 |
1,323 | 1,402,380 | |||||||||||||
1,796,280 | |||||||||||||||
Construction & Engineering 0.1% |
|||||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) |
335 | 338,350 | |||||||||||||
Consumer Finance 0.2% |
|||||||||||||||
Ally Financial, Inc.: |
|||||||||||||||
7.50%, 9/15/20 |
128 | 152,320 | |||||||||||||
5.13%, 9/30/24 |
135 | 142,594 | |||||||||||||
8.00%, 11/01/31 |
621 | 804,280 | |||||||||||||
1,099,194 | |||||||||||||||
Health Care Providers & Services 0.7% |
|||||||||||||||
CHS/Community Health Systems, Inc., 6.88%, 2/01/22 |
314 | 335,784 | |||||||||||||
HCA, Inc.: |
|||||||||||||||
5.88%, 5/01/23 |
370 | 405,150 | |||||||||||||
5.38%, 2/01/25 |
810 | 858,600 |
20 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Health Care Providers & Services (concluded) |
|||||||||||||||
Tenet Healthcare Corp. (b): |
|||||||||||||||
5.00%, 3/01/19 |
USD |
1,400 | $ | 1,407,000 | |||||||||||
5.50%, 3/01/19 |
1,040 | 1,059,500 | |||||||||||||
4,066,034 | |||||||||||||||
Hotels, Restaurants & Leisure 0.0% |
|||||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(g) |
120 | | |||||||||||||
Independent Power and Renewable Electricity Producers 0.3% |
|||||||||||||||
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b) |
1,400 | 1,464,750 | |||||||||||||
Media 0.4% |
|||||||||||||||
Altice Financing SA, 6.63%, 2/15/23 (b) |
550 | 572,687 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) |
514 | 531,348 | |||||||||||||
Numericable Group SA, 6.00%, 5/15/22 (b) |
842 | 856,735 | |||||||||||||
1,960,770 | |||||||||||||||
Metals & Mining 0.0% |
|||||||||||||||
Novelis, Inc., 8.38%, 12/15/17 |
255 | 266,475 | |||||||||||||
Oil, Gas & Consumable Fuels 0.3% |
|||||||||||||||
Antero Resources Finance Corp., 5.38%, 11/01/21 |
600 | 604,500 | |||||||||||||
CONSOL Energy, Inc., 5.88%, 4/15/22 |
620 | 595,200 | |||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 |
635 | 650,875 | |||||||||||||
1,850,575 | |||||||||||||||
Pharmaceuticals 0.2% |
|||||||||||||||
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b) |
1,005 | 1,064,044 | |||||||||||||
Road & Rail 0.2% |
|||||||||||||||
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b) |
884 | 911,625 | |||||||||||||
Wireless Telecommunication Services 1.0%
| |||||||||||||||
Digicel Group Ltd., 8.25%, 9/30/20 (b) |
1,355 | 1,370,582 | |||||||||||||
Sprint Communications, Inc., 7.00%, 3/01/20 (b) |
3,510 | 3,888,413 | |||||||||||||
T-Mobile USA, Inc., 6.13%, 1/15/22 |
225 | 236,813 | |||||||||||||
5,495,808 | |||||||||||||||
Total Corporate Bonds 5.9% |
33,093,675 | ||||||||||||||
Floating Rate Loan Interests (c) |
|||||||||||||||
Aerospace & Defense 2.3% |
|||||||||||||||
BE
Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |
2,945 | 2,951,126 | |||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
2,201 | 2,197,367 | |||||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |
1,175 | 1,232,281 | |||||||||||||
Transdigm, Inc.: |
|||||||||||||||
Term Loan C, 3.75%, 2/28/20 |
882 | 877,925 | |||||||||||||
Term Loan D, 3.75%, 6/04/21 |
821 | 817,665 | |||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |
4,754 | 4,732,301 | |||||||||||||
12,808,665 | |||||||||||||||
Air Freight & Logistics 0.4% |
|||||||||||||||
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |
693 | 640,062 | |||||||||||||
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |
725 | 669,913 | |||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |
114 | 104,875 | |||||||||||||
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |
1,000 | 924,018 | |||||||||||||
2,338,868 | |||||||||||||||
Airlines 0.7% |
|||||||||||||||
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |
1,422 | 1,420,542 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Airlines (concluded) |
||||||||||||||
Northwest Airlines, Inc.: |
||||||||||||||
2.18%, 3/10/17 |
USD |
653 | $ | 635,917 | ||||||||||
1.56%, 9/10/18 |
958 | 914,254 | ||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
1,139 | 1,134,583 | ||||||||||||
4,105,296 | ||||||||||||||
Auto Components 4.5% |
||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
1,236 | 1,234,469 | ||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16 |
243 | 242,245 | ||||||||||||
Autoparts Holdings Ltd.: |
||||||||||||||
1st Lien Term Loan, 6.50%, 7/29/17 |
2,779 | 2,777,925 | ||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 |
907 | 881,571 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
1,579 | 1,565,233 | ||||||||||||
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |
1,544 | 1,522,277 | ||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |
8,798 | 8,729,766 | ||||||||||||
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
4,179 | 4,197,471 | ||||||||||||
GPX International Tire Corp., Term Loan (a)(g): |
||||||||||||||
PIK, 13.00%, 12/31/49 (h) |
18 | | ||||||||||||
12.25%, 12/31/49 |
1,097 | | ||||||||||||
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |
2,520 | 2,535,750 | ||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |
1,440 | 1,440,000 | ||||||||||||
25,126,707 | ||||||||||||||
Automobiles 0.3% |
||||||||||||||
Chrysler Group LLC, Term Loan B: |
||||||||||||||
3.25%, 12/31/18 |
819 | 816,618 | ||||||||||||
3.50%, 5/24/17 |
868 | 867,714 | ||||||||||||
1,684,332 | ||||||||||||||
Banks 0.3% |
||||||||||||||
Redtop Acquisitions Ltd.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
1,153 | 1,151,908 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
307 | 306,900 | ||||||||||||
1,458,808 | ||||||||||||||
Building Products 3.9% |
||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |
1,461 | 1,434,359 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |
5,735 | 5,635,048 | ||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |
1,404 | 1,372,789 | ||||||||||||
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 |
1,742 | 1,721,510 | ||||||||||||
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |
3,065 | 3,072,663 | ||||||||||||
Nortek, Inc., Term Loan, 3.75%, 10/30/20 |
2,080 | 2,062,664 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |
1,012 | 995,059 | ||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |
1,679 | 1,672,027 | ||||||||||||
Wilsonart LLC: |
||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
500 | 495,365 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 |
3,386 | 3,354,854 | ||||||||||||
21,816,338 | ||||||||||||||
Capital Markets 0.4% |
||||||||||||||
Affinion Group, Inc.: |
||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 |
186 | 162,919 | ||||||||||||
Term Loan B, 6.75%, 4/30/18 |
1,359 | 1,290,527 | ||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
870 | 866,239 | ||||||||||||
2,319,685 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 21 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Chemicals 4.7% |
||||||||||||||
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |
USD |
1,099 | $ | 1,096,985 | ||||||||||
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |
570 | 569,173 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |
1,986 | 1,969,876 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |
116 | 115,827 | ||||||||||||
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22 |
1,015 | 1,016,908 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |
499 | 498,210 | ||||||||||||
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19 |
1,139 | 1,125,692 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
2,049 | 2,008,007 | ||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |
856 | 853,288 | ||||||||||||
MacDermid, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 6/07/20 |
2,858 | 2,866,168 | ||||||||||||
Term Loan B2, 4.75%, 6/07/20 |
747 | 751,249 | ||||||||||||
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |
2,074 | 2,080,820 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
2,441 | 2,377,194 | ||||||||||||
OXEA Finance LLC: |
||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
1,365 | 1,284,806 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
2,518 | 2,434,725 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
677 | 678,643 | ||||||||||||
Solenis International LP: |
||||||||||||||
1st Lien Term Loan, 4.25%, 7/31/21 |
1,541 | 1,521,873 | ||||||||||||
2nd Lien Term Loan, 7.75%, 7/31/22 |
1,725 | 1,671,818 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
581 | 576,791 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |
979 | 971,013 | ||||||||||||
26,469,066 | ||||||||||||||
Commercial Services & Supplies 6.2% |
||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
3,191 | 3,153,373 | ||||||||||||
ARAMARK Corp.: |
||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |
46 | 45,668 | ||||||||||||
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |
32 | 31,877 | ||||||||||||
Term Loan E, 3.25%, 9/07/19 |
2,848 | 2,839,112 | ||||||||||||
Term Loan F, 3.25%, 2/24/21 |
863 | 858,780 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
3,790 | 3,695,113 | ||||||||||||
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |
4,540 | 4,548,528 | ||||||||||||
Connolly Corp.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 |
2,985 | 2,998,074 | ||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 |
1,500 | 1,481,250 | ||||||||||||
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |
960 | 964,800 | ||||||||||||
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21 |
870 | 877,360 | ||||||||||||
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |
1,350 | 1,337,989 | ||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |
2,388 | 2,361,135 | ||||||||||||
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |
1,340 | 1,296,063 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
4,305 | 4,271,400 | ||||||||||||
US
Ecology, Inc., Term Loan, 3.75%, 6/17/21 |
906 | 901,851 | ||||||||||||
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 |
923 | 924,646 | ||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 |
2,606 | 2,597,498 | ||||||||||||
35,184,517 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Communications Equipment 1.9% |
||||||||||||||
Applied Systems, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
USD |
1,429 | $ | 1,424,301 | ||||||||||
2nd Lien Term Loan, 7.50%, 1/24/22 |
380 | 376,580 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |
1,506 | 1,462,085 | ||||||||||||
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |
689 | 687,841 | ||||||||||||
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 |
605 | 609,537 | ||||||||||||
Telesat Canada, Term Loan A, 4.40%, 3/24/17 |
CAD |
2,125 | 1,689,240 | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
USD |
4,550 | 4,543,948 | |||||||||||
10,793,532 | ||||||||||||||
Construction & Engineering 0.1% |
||||||||||||||
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |
845 | 848,547 | ||||||||||||
Construction Materials 1.5% |
||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |
960 | 958,802 | ||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
7,153 | 7,132,549 | ||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |
657 | 633,703 | ||||||||||||
8,725,054 | ||||||||||||||
Containers & Packaging 1.2% |
||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |
918 | 914,620 | ||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |
2,496 | 2,492,931 | ||||||||||||
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20 |
1,502 | 1,508,084 | ||||||||||||
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22 |
1,000 | 1,002,080 | ||||||||||||
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |
771 | 771,125 | ||||||||||||
6,688,840 | ||||||||||||||
Distributors 1.1% |
||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
2,962 | 2,945,416 | ||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |
1,445 | 1,451,813 | ||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |
1,009 | 992,997 | ||||||||||||
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17 |
880 | 878,202 | ||||||||||||
6,268,428 | ||||||||||||||
Diversified Consumer Services 2.2% |
||||||||||||||
Allied Security Holdings LLC: |
||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 |
2,869 | 2,862,830 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/13/21 |
417 | 415,741 | ||||||||||||
Bright Horizons Family Solutions, Inc.: |
||||||||||||||
Incremental Term Loan B1, 4.25%, 1/30/20 |
240 | 240,300 | ||||||||||||
Term Loan B, 3.75%, 1/30/20 |
2,769 | 2,763,738 | ||||||||||||
CT
Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21 |
575 | 577,156 | ||||||||||||
Garda World Securities Corp.: |
||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
47 | 46,054 | ||||||||||||
Term Loan B, 4.00%, 11/06/20 |
182 | 180,028 | ||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
1,067 | 1,011,394 | ||||||||||||
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |
3,696 | 3,694,407 | ||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
1,352 | 712,042 | ||||||||||||
12,503,690 | ||||||||||||||
Diversified Financial Services 2.4% |
||||||||||||||
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |
2,671 | 2,649,572 | ||||||||||||
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |
975 | 970,535 |
22 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Diversified Financial Services (concluded) |
|||||||||||||||
Onex Wizard US Acquisition, Inc., Term Loan, 5.25%, 1/14/22 |
USD |
2,090 | $ | 2,102,686 | |||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
3,245 | 3,253,506 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
2,569 | 2,561,985 | |||||||||||||
TransFirst, Inc.: |
|||||||||||||||
2014 1st Lien Term Loan, 5.50%, 11/12/21 |
1,373 | 1,381,227 | |||||||||||||
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |
741 | 733,937 | |||||||||||||
13,653,448 | |||||||||||||||
Diversified Telecommunication Services 4.9%
| |||||||||||||||
Altice Financing SA, Term Loan, 5.25%, 2/04/22 |
1,100 | 1,104,466 | |||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
3,018 | 3,025,555 | |||||||||||||
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22 |
2,410 | 2,412,000 | |||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
2,703 | 2,710,726 | |||||||||||||
Integra Telecom, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
850 | 842,562 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 |
2,004 | 1,990,270 | |||||||||||||
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |
3,675 | 3,690,325 | |||||||||||||
Level 3 Financing, Inc.: |
|||||||||||||||
2019 Term Loan, 4.00%, 8/01/19 |
1,647 | 1,645,448 | |||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 |
10,260 | 10,254,870 | |||||||||||||
27,676,222 | |||||||||||||||
Electric Utilities 0.4% |
|||||||||||||||
American Energy Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |
915 | 777,113 | |||||||||||||
American Energy Utica LLC: |
|||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |
224 | 197,260 | |||||||||||||
2nd Lien Term Loan, 5.50%, 9/30/18 |
1,049 | 949,235 | |||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |
224 | 197,291 | |||||||||||||
2,120,899 | |||||||||||||||
Electrical Equipment 1.4% |
|||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/10/21 |
1,171 | 1,143,827 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC: |
|||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 |
1,971 | 1,979,708 | |||||||||||||
Extended Term Loan, 4.66%, 10/10/17 (a)(g) |
7,510 | 4,793,858 | |||||||||||||
7,917,393 | |||||||||||||||
Electronic Equipment, Instruments & Components 0.4% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
2,012 | 1,993,957 | |||||||||||||
Energy Equipment & Services 1.4% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
1,812 | 1,806,455 | |||||||||||||
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |
1,167 | 1,166,750 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |
4,969 | 4,773,002 | |||||||||||||
7,746,207 | |||||||||||||||
Food & Staples Retailing 1.1% |
|||||||||||||||
New Albertsons, Inc., Term Loan, 4.75%, 6/27/21 |
1,471 | 1,468,738 | |||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |
1,040 | 1,049,755 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |
2,222 | 2,225,063 | |||||||||||||
US
Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |
1,670 | 1,665,558 | |||||||||||||
6,409,114 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Food Products 3.3% |
||||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |
USD |
1,121 | $ | 1,120,813 | ||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |
2,986 | 2,978,823 | ||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
2,575 | 2,568,912 | ||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |
227 | 227,396 | ||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |
2,149 | 2,151,886 | ||||||||||||
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |
1,939 | 1,941,382 | ||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
1,452 | 1,451,746 | ||||||||||||
Pinnacle Foods Finance LLC: |
||||||||||||||
Incremental Term Loan H, 3.00%, 4/29/20 |
528 | 525,201 | ||||||||||||
Term Loan G, 3.00%, 4/29/20 |
2,638 | 2,620,787 | ||||||||||||
Reddy Ice Corp.: |
||||||||||||||
1st Lien Term Loan, 6.75%, 5/01/19 |
2,451 | 2,120,407 | ||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
1,195 | 908,200 | ||||||||||||
18,615,553 | ||||||||||||||
Health Care Equipment & Supplies 5.0% |
||||||||||||||
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22 |
1,255 | 1,267,023 | ||||||||||||
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |
3,100 | 3,096,777 | ||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
1,923 | 1,913,566 | ||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |
4,250 | 4,247,781 | ||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |
2,740 | 2,741,329 | ||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
3,518 | 3,513,507 | ||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |
2,188 | 2,184,370 | ||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |
2,612 | 2,621,670 | ||||||||||||
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |
3,180 | 3,131,090 | ||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |
3,080 | 3,042,405 | ||||||||||||
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19 |
444 | 447,772 | ||||||||||||
28,207,290 | ||||||||||||||
Health Care Providers & Services 7.3% |
||||||||||||||
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |
469 | 470,562 | ||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |
1,470 | 1,455,300 | ||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |
1,298 | 1,299,293 | ||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
1,057 | 1,057,128 | ||||||||||||
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |
1,717 | 1,715,058 | ||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
8,578 | 8,594,820 | ||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
2,339 | 2,335,614 | ||||||||||||
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |
1,600 | 1,609,008 | ||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |
9,666 | 9,676,091 | ||||||||||||
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |
1,032 | 1,031,937 | ||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |
1,902 | 1,899,503 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |
1,193 | 1,217,025 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Health Care Providers & Services (concluded) |
||||||||||||||
HCA, Inc., Term Loan B5, 2.92%, 3/31/17 |
USD |
1,402 | $ | 1,401,404 | ||||||||||
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |
363 | 361,778 | ||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |
2,115 | 2,098,488 | ||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |
1,322 | 1,309,981 | ||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |
990 | 980,131 | ||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |
1,837 | 1,826,315 | ||||||||||||
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |
884 | 879,892 | ||||||||||||
41,219,328 | ||||||||||||||
Health Care Technology 0.9% |
||||||||||||||
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |
3,345 | 3,323,827 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |
1,902 | 1,889,858 | ||||||||||||
5,213,685 | ||||||||||||||
Hotels, Restaurants & Leisure 11.3% |
||||||||||||||
Amaya Holdings BV: |
||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 |
833 | 826,666 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 |
5,815 | 5,780,459 | ||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |
2,316 | 2,315,356 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |
2,966 | 2,846,888 | ||||||||||||
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |
5,620 | 5,649,112 | ||||||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |
151 | 138,945 | ||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |
3,908 | 3,763,257 | ||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |
1,661 | 1,663,132 | ||||||||||||
Dave & Busters, Inc., Term Loan, 4.25%, 7/25/20 |
669 | 669,340 | ||||||||||||
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |
1,923 | 1,932,866 | ||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |
4,119 | 4,115,833 | ||||||||||||
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |
1,604 | 1,607,810 | ||||||||||||
La
Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |
8,056 | 8,046,129 | ||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |
2,475 | 2,474,480 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
3,447 | 3,433,151 | ||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
1,618 | 1,615,812 | ||||||||||||
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 |
1,279 | 1,281,439 | ||||||||||||
Sabre, Inc.: |
||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
504 | 503,625 | ||||||||||||
Term Loan B, 4.00%, 2/19/19 |
2,312 | 2,308,494 | ||||||||||||
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |
1,530 | 1,526,851 | ||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |
5,023 | 5,016,677 | ||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |
3,337 | 3,361,662 | ||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 |
1,106 | 1,107,736 | ||||||||||||
Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 |
1,626 | 1,618,901 | ||||||||||||
63,604,621 | ||||||||||||||
Household Products 1.1% |
||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
2,741 | 2,734,149 | ||||||||||||
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19 |
1,039 | 1,039,261 | ||||||||||||
Spectrum Brands, Inc.: |
||||||||||||||
Term Loan A, 3.00%, 9/04/17 |
777 | 774,810 | ||||||||||||
Term Loan C, 3.50%, 9/04/19 |
1,458 | 1,454,469 | ||||||||||||
6,002,689 |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Independent Power and Renewable Electricity Producers 2.0% |
|||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 |
USD |
3,569 | $ | 3,569,889 | |||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 |
2,845 | 2,857,326 | |||||||||||||
Granite Acquisition Inc.: |
|||||||||||||||
Term Loan B, 5.00%, 12/19/21 |
3,115 | 3,148,468 | |||||||||||||
Term Loan C, 5.00%, 12/19/21 |
137 | 138,532 | |||||||||||||
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21 |
1,655 | 1,661,206 | |||||||||||||
11,375,421 | |||||||||||||||
Industrial Conglomerates 0.5% |
|||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
2,801 | 2,729,221 | |||||||||||||
Insurance 2.3% |
|||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 |
1,784 | 1,779,954 | |||||||||||||
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |
1,090 | 1,062,463 | |||||||||||||
CNO Financial Group, Inc.: |
|||||||||||||||
Term Loan B1, 3.00%, 9/28/16 |
945 | 940,275 | |||||||||||||
Term Loan B2, 3.75%, 9/28/18 |
2,249 | 2,235,553 | |||||||||||||
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 |
1,817 | 1,671,939 | |||||||||||||
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21 |
2,117 | 2,106,997 | |||||||||||||
Sedgwick Claims Management Services, Inc.: |
|||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 |
2,015 | 1,985,561 | |||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 |
1,155 | 1,129,013 | |||||||||||||
12,911,755 | |||||||||||||||
Internet Software & Services 1.7% |
|||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |
1,856 | 1,843,975 | |||||||||||||
Go
Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |
2,537 | 2,538,442 | |||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |
3,820 | 3,829,400 | |||||||||||||
W3
Co., 1st Lien Term Loan, 5.75%, 3/13/20 |
1,764 | 1,587,229 | |||||||||||||
9,799,046 | |||||||||||||||
IT Services 3.7% |
|||||||||||||||
First Data Corp.: |
|||||||||||||||
2018 Extended Term Loan, 3.67%, 3/24/18 |
12,519 | 12,497,576 | |||||||||||||
2018 Term Loan, 3.67%, 9/24/18 |
1,150 | 1,148,919 | |||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |
1,847 | 1,841,667 | |||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |
1,015 | 945,207 | |||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |
539 | 479,227 | |||||||||||||
SunGard Data Systems, Inc.: |
|||||||||||||||
Term Loan C, 3.92%, 2/28/17 |
1,515 | 1,513,576 | |||||||||||||
Term Loan E, 4.00%, 3/08/20 |
567 | 566,423 | |||||||||||||
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |
1,726 | 1,726,676 | |||||||||||||
20,719,271 | |||||||||||||||
Leisure Products 0.4% |
|||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |
1,616 | 1,605,473 | |||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |
396 | 381,131 | |||||||||||||
1,986,604 | |||||||||||||||
Machinery 2.3% |
|||||||||||||||
Alliance Laundry Systems LLC: |
|||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 |
573 | 573,443 | |||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 |
1,522 | 1,515,659 | |||||||||||||
Faenza Acquisition GmbH: |
|||||||||||||||
Term Loan B1, 4.25%, 8/30/20 |
1,159 | 1,156,396 | |||||||||||||
Term Loan B3, 4.25%, 8/30/20 |
344 | 342,829 | |||||||||||||
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 |
1,353 | 1,342,079 |
24 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Machinery (concluded) |
||||||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
USD |
967 | $ | 952,253 | ||||||||||
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |
800 | 800,728 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
2,403 | 2,395,890 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |
2,929 | 2,813,242 | ||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
1,043 | 1,037,724 | ||||||||||||
12,930,243 | ||||||||||||||
Media 13.0% |
||||||||||||||
Cengage Learning Acquisitions, Inc.: |
||||||||||||||
1st Lien Term Loan, 7.00%, 3/31/20 |
5,636 | 5,635,071 | ||||||||||||
Term Loan, 0.00%, 7/03/15 (a)(g) |
2,489 | | ||||||||||||
Charter Communications Operating LLC: |
||||||||||||||
Term Loan E, 3.00%, 7/01/20 |
2,004 | 1,996,958 | ||||||||||||
Term Loan G, 4.25%, 9/12/21 |
4,100 | 4,130,709 | ||||||||||||
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |
6,175 | 5,906,441 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
2,267 | 2,251,677 | ||||||||||||
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 |
1,104 | 1,099,556 | ||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |
1,981 | 1,972,650 | ||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |
1,372 | 1,373,581 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
4,313 | 4,278,778 | ||||||||||||
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22 |
1,490 | 1,467,650 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |
494 | 491,281 | ||||||||||||
MCC Iowa LLC: |
||||||||||||||
Term Loan I, 2.65%, 6/30/17 |
1,075 | 1,069,227 | ||||||||||||
Term Loan J, 3.75%, 6/30/21 |
522 | 519,763 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
2,687 | 2,693,364 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18 |
1,112 | 1,093,814 | ||||||||||||
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21 |
1,357 | 1,342,614 | ||||||||||||
Numericable U.S. LLC: |
||||||||||||||
Term Loan B1, 4.50%, 5/21/20 |
2,236 | 2,238,557 | ||||||||||||
Term Loan B2, 4.50%, 5/21/20 |
1,934 | 1,936,656 | ||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
1,607 | 1,594,077 | ||||||||||||
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 |
3,035 | 3,012,414 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |
1,862 | 1,842,482 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |
4,800 | 4,794,345 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
2,271 | 2,264,649 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |
EUR |
1,272 | 1,421,172 | |||||||||||
Virgin Media Investment Holdings Ltd.: |
||||||||||||||
Term Loan B, 3.50%, 6/07/20 |
USD |
3,415 | 3,404,482 | |||||||||||
Term Loan E, 4.25%, 6/30/23 |
GBP |
2,840 | 4,382,256 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |
USD |
3,964 | 3,963,038 | |||||||||||
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |
250 | 249,317 | ||||||||||||
Ziggo Financing Partnership: |
||||||||||||||
Term Loan B1, 3.50%, 1/15/22 |
1,879 | 1,861,115 | ||||||||||||
Term Loan B2A, 3.50%, 1/15/22 |
1,219 | 1,207,123 | ||||||||||||
Term Loan B3, 3.50%, 1/15/22 |
2,004 | 1,985,287 | ||||||||||||
73,480,104 |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Metals & Mining 1.0% |
||||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
USD |
3,383 | $ | 3,377,566 | ||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
2,515 | 2,514,812 | ||||||||||||
5,892,378 | ||||||||||||||
Multiline Retail 2.3% |
||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |
1,959 | 1,961,868 | ||||||||||||
BJs Wholesale Club, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
4,843 | 4,820,938 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
870 | 862,387 | ||||||||||||
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 |
2,085 | 2,100,116 | ||||||||||||
Hudsons Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |
661 | 662,863 | ||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |
2,580 | 2,557,324 | ||||||||||||
12,965,496 | ||||||||||||||
Oil, Gas & Consumable Fuels 4.5% |
||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |
1,867 | 1,492,646 | ||||||||||||
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |
2,050 | 2,038,048 | ||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
3,701 | 2,884,624 | ||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |
1,920 | 1,851,206 | ||||||||||||
Fieldwood Energy LLC: |
||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
1,353 | 1,293,188 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
390 | 298,073 | ||||||||||||
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |
895 | 900,594 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
532 | 526,756 | ||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |
110 | 67,228 | ||||||||||||
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21 |
1,650 | 1,658,250 | ||||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |
1,435 | 1,449,350 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
1,560 | 1,528,800 | ||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |
470 | 453,550 | ||||||||||||
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |
1,800 | 1,710,000 | ||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |
267 | 240,829 | ||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |
1,169 | 1,136,974 | ||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |
945 | 882,627 | ||||||||||||
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22 |
1,105 | 1,099,475 | ||||||||||||
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |
1,565 | 1,579,993 | ||||||||||||
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 |
1,685 | 1,676,575 | ||||||||||||
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |
599 | 594,458 | ||||||||||||
25,363,244 | ||||||||||||||
Personal Products 0.1% |
||||||||||||||
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21 |
419 | 418,620 | ||||||||||||
Pharmaceuticals 6.0% |
||||||||||||||
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |
2,484 | 2,491,028 | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19 |
1,221 | 1,222,137 | ||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |
911 | 900,007 | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |
1,568 | 1,564,230 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 25 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Pharmaceuticals (concluded) |
||||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |
USD |
4,262 | $ | 4,250,795 | ||||||||||
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 |
1,587 | 1,574,725 | ||||||||||||
Mallinckrodt International Finance SA: |
||||||||||||||
Incremental Term Loan B1, 3.50%, 3/19/21 |
1,436 | 1,432,507 | ||||||||||||
Term Loan B, 3.25%, 3/19/21 |
2,308 | 2,293,717 | ||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |
3,717 | 3,692,506 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
4,312 | 4,303,930 | ||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |
2,608 | 2,607,937 | ||||||||||||
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20 |
2,023 | 2,022,122 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: |
||||||||||||||
Series C2 Term Loan B, 3.50%, 12/11/19 |
2,303 | 2,296,786 | ||||||||||||
Series D2 Term Loan B, 3.50%, 2/13/19 |
2,008 | 2,003,331 | ||||||||||||
Series E Term Loan B, 3.50%, 8/05/20 |
1,436 | 1,432,621 | ||||||||||||
34,088,379 | ||||||||||||||
Professional Services 2.4% |
||||||||||||||
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21 |
1,365 | 1,371,443 | ||||||||||||
Advantage Sales & Marketing, Inc.: |
||||||||||||||
2014 1st Lien Term Loan, 4.25%, 7/23/21 |
2,030 | 2,019,255 | ||||||||||||
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |
880 | 876,973 | ||||||||||||
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |
1,699 | 1,677,941 | ||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
3,228 | 3,217,535 | ||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |
975 | 968,497 | ||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
1,827 | 1,809,175 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
1,634 | 1,613,607 | ||||||||||||
13,554,426 | ||||||||||||||
Real Estate Management & Development 1.7%
| ||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |
2,296 | 2,296,605 | ||||||||||||
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |
2,157 | 2,160,226 | ||||||||||||
Realogy Corp.: |
||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
115 | 112,876 | ||||||||||||
Term Loan B, 3.75%, 3/05/20 |
5,185 | 5,176,700 | ||||||||||||
9,746,407 | ||||||||||||||
Road & Rail 0.8% |
||||||||||||||
Hertz Corp., Term Loan B2, 3.50%, 3/11/18 |
1,448 | 1,436,327 | ||||||||||||
Road Infrastructure Investment LLC: |
||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 |
2,025 | 1,963,959 | ||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 |
975 | 867,750 | ||||||||||||
4,268,036 | ||||||||||||||
Semiconductors & Semiconductor Equipment 1.9%
| ||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |
5,129 | 5,132,149 | ||||||||||||
Freescale Semiconductor, Inc.: |
||||||||||||||
Term Loan B4, 4.25%, 2/28/20 |
3,544 | 3,535,168 | ||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
706 | 709,338 | ||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 |
1,412 | 1,401,534 | ||||||||||||
10,778,189 | ||||||||||||||
Software 3.8% |
||||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
1,054 | 1,034,189 | ||||||||||||
GCA Services Group, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
780 | 772,200 | ||||||||||||
Term Loan B, 4.25%, 11/01/19 |
1,683 | 1,679,841 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Software (concluded) |
||||||||||||||
Infor US, Inc.: |
||||||||||||||
Term Loan B3, 3.75%, 6/03/20 |
USD |
846 | $ | 838,003 | ||||||||||
Term Loan B5, 3.75%, 6/03/20 |
3,988 | 3,949,512 | ||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |
887 | 842,348 | ||||||||||||
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |
506 | 506,595 | ||||||||||||
Kronos, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.75%, 4/30/20 |
1,787 | 1,824,149 | ||||||||||||
Initial Incremental Term Loan, 4.50%, 10/30/19 |
1,469 | 1,469,785 | ||||||||||||
Mitchell International, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
2,184 | 2,169,049 | ||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
1,600 | 1,579,664 | ||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |
959 | 933,200 | ||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |
2,795 | 2,790,162 | ||||||||||||
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |
325 | 323,681 | ||||||||||||
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |
575 | 552,719 | ||||||||||||
21,265,097 | ||||||||||||||
Specialty Retail 4.8% |
||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
2,766 | 2,762,336 | ||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |
1,316 | 1,319,535 | ||||||||||||
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |
1,451 | 1,422,293 | ||||||||||||
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |
2,365 | 2,345,397 | ||||||||||||
Michaels Stores, Inc.: |
||||||||||||||
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |
2,905 | 2,896,771 | ||||||||||||
Term Loan B, 3.75%, 1/28/20 |
2,242 | 2,226,946 | ||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
4,137 | 4,109,124 | ||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
3,352 | 3,347,173 | ||||||||||||
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 |
5,170 | 5,204,639 | ||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |
1,601 | 1,352,930 | ||||||||||||
26,987,144 | ||||||||||||||
Technology Hardware, Storage & Peripherals 0.7%
| ||||||||||||||
Dell, Inc.: |
||||||||||||||
Term Loan C, 3.75%, 10/29/18 |
1,679 | 1,680,830 | ||||||||||||
Term Loan B, 4.50%, 4/29/20 |
1,987 | 1,994,694 | ||||||||||||
3,675,524 | ||||||||||||||
Textiles, Apparel & Luxury Goods 1.7% |
||||||||||||||
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |
2,134 | 2,133,875 | ||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
2,287 | 1,932,232 | ||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 |
2,050 | 1,929,616 | ||||||||||||
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 |
2,214 | 2,194,504 | ||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |
1,667 | 1,669,553 | ||||||||||||
9,859,780 | ||||||||||||||
Thrifts & Mortgage Finance 0.3% |
||||||||||||||
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |
1,921 | 1,911,196 | ||||||||||||
Wireless Telecommunication Services 0.5%
| ||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |
2,650 | 2,623,154 | ||||||||||||
Total Floating Rate Loan Interests 131.0% |
738,849,514 |
26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | |||||||||||||
Collateralized Mortgage Obligations 0.3%
| |||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |
USD |
1,336 | $ | 1,360,450 | |||||||||||
Investment Companies |
Shares | ||||||||||||||
Capital Markets 0.0% |
|||||||||||||||
Eaton Vance Floating-Rate Income Trust |
54 | 776 | |||||||||||||
Eaton Vance Senior Income Trust |
13,945 | 91,061 | |||||||||||||
Total Investment Companies 0.0% |
91,837 | ||||||||||||||
Other Interests (i) |
Beneficial Interest (000) |
||||||||||||||
Auto Components 0.0% |
|||||||||||||||
Intermet Liquidating Trust, Class A |
USD |
256 | 3 | ||||||||||||
Household Durables 0.3% |
|||||||||||||||
Stanley Martin, Class B Membership Units (j) |
1,250 | 1,758,750 | |||||||||||||
Total Other Interests 0.3% |
1,758,753 |
Preferred Securities | Shares | Value | |||||||||||||
Preferred Stock 0.0% |
|||||||||||||||
Consumer Finance 0.0% |
|||||||||||||||
Ally Financial, Inc., Series A, 8.50% (c)(k) |
4,976 | $ | 132,063 | ||||||||||||
Trust Preferreds 0.3% |
|||||||||||||||
Diversified Financial Services 0.3% |
|||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) |
60,894 | 1,579,573 | |||||||||||||
Total Preferred Securities 0.3% |
1,711,636 | ||||||||||||||
Warrants (l) |
|||||||||||||||
Chemicals 0.0% |
|||||||||||||||
GEO Specialty Chemicals, Inc., (Expires 3/31/15) |
143,928 | 123,778 | |||||||||||||
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 | 12,839 | |||||||||||||
Total Warrants 0.0% |
136,617 | ||||||||||||||
Total Long-Term Investments (Cost $815,002,691) 142.8% |
805,139,034 | ||||||||||||||
Options Purchased (Cost $43,022) 0.0% |
| ||||||||||||||
Total Investments (Cost $815,045,713) 142.8% |
805,139,034 | ||||||||||||||
Liabilities in Excess of Other Assets (42.8)% |
(241,186,594 | ) | |||||||||||||
Net Assets 100.0% |
$ | 563,952,440 |
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 shown is as of report date. |
|||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation |
||||||||
Deutsche Bank Securities, Inc. |
$ | 2,156,250 | |
(e) | Zero-coupon bond. |
|||
(f) | Convertible security. |
|||
(g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|||
(h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
|||
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|||
(j) | Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned
subsidiary. |
|||
(k) | Security is perpetual in nature and has no stated maturity date. |
|||
(l) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase
price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
|||
| During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of
Section 2(b)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2014 |
Net Activity |
Shares Held at February 28, 2015 |
Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
3,456,864 | (3,456,864 | ) | | $ | 144 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
| As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
EUR |
529,000 | USD | 598,031 | Royal Bank of Scotland PLC |
4/21/15 |
$ | (5,714 | ) | |||||||||||||||||||
USD |
2,423,774 | CAD | 2,900,000 | UBS AG |
4/21/15 |
105,601 | |||||||||||||||||||||
USD |
1,447,116 | EUR | 1,254,000 | Citibank N.A. |
4/21/15 |
43,022 | |||||||||||||||||||||
USD |
3,159,744 | GBP | 2,083,000 | Bank of America N.A. |
4/21/15 |
(55,014 | ) | ||||||||||||||||||||
Total |
$ | 87,895 |
| As of February 28, 2015, OTC options purchased outstanding were as follows: |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Contracts | Notional Amount (000) |
Value | |||||||||||||||||||||||||||||||
Marsico Parent Superholdco LLC |
Goldman Sachs & Co. |
Call |
USD |
942.86 |
12/14/19 |
44 |
USD |
| |
| For Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not
apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|||
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement
purposes. 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. The categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the
risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows: |
| Level 1 unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability
to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. For information about the Funds policy regarding valuation of investments and derivative financial
instruments, refer to Note 2 of the Notes to Financial Statements. |
||||
As of February 28, 2015, the following tables summarize the Funds investments and derivative financial instruments categorized
in the disclosure hierarchy: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: |
||||||||||||||||||
Investments: |
||||||||||||||||||
Long-Term Investments: |
||||||||||||||||||
Asset-Backed Securities |
| $ | 18,106,282 | $ | 4,619,150 | $ | 22,725,432 | |||||||||||
Common Stocks |
$ | 3,429,477 | 1,743,057 | 238,586 | 5,411,120 | |||||||||||||
Corporate Bonds |
| 28,620,445 | 4,473,230 | 33,093,675 | ||||||||||||||
Floating Rate Loan Interests |
| 691,361,761 | 47,487,753 | 738,849,514 | ||||||||||||||
Investment Companies |
91,837 | | | 91,837 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 1,360,450 | | 1,360,450 | ||||||||||||||
Other Interests |
| | 1,758,753 | 1,758,753 | ||||||||||||||
Preferred Securities |
1,711,636 | | | 1,711,636 | ||||||||||||||
Warrants |
| | 136,617 | 136,617 | ||||||||||||||
Total |
$ | 5,232,950 | $ | 741,191,995 | $ | 58,714,089 | $ | 805,139,034 |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||||
Assets: |
||||||||||||||||||
Foreign currency exchange contracts |
| $ | 148,623 | | $ | 148,623 | ||||||||||||
Liabilities: |
||||||||||||||||||
Foreign currency exchange contracts |
| (60,728 | ) | | (60,728 | ) | ||||||||||||
Total |
| $ | 87,895 | | $ | 87,895 |
1 | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | 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 February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: |
||||||||||||||||||
Cash |
$ | 3,119,964 | | | $ | 3,119,964 | ||||||||||||
Foreign currency at value |
2,192 | | | 2,192 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Bank borrowings payable |
| $ | (231,000,000 | ) | | (231,000,000 | ) | |||||||||||
Total |
$ | 3,122,156 | $ | (231,000,000 | ) | | $ | (227,877,844 | ) |
During the six months ended February 28, 2015, there were no transfers between Level 1 and Level 2. |
||||
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning
and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable
inputs were used in determining fair value: |
Common Stocks |
Asset-Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Unfunded Floating Rate Loan Interests (Liabilities) |
Warrants | Total | |||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2014 |
$ | 1,510,942 | $ | 1,159,180 | $ | 4,766,957 | $ | 58,688,498 | $ | 1,858,753 | $ | (374 | ) | $ | 138,171 | $ 68,122,127 |
||||||||||||||||
Transfers into Level 31 |
| | | 18,772,312 | | | 11,191 | 18,783,503 |
||||||||||||||||||||||||
Transfers out of Level 32 |
| (1,159,180 | ) | | (26,062,679 | ) | | | | (27,221,859) |
||||||||||||||||||||||
Accrued discounts/Premiums |
| 4,491 | 43,508 | 33,217 | | | | 81,216 |
||||||||||||||||||||||||
Net
realized gain (loss) |
| | 64,178 | | | | 64,178 |
|||||||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation3,4 |
(1,272,356 | ) | 29,399 | (444,061 | ) | (962,745 | ) | (100,000 | ) | 374 | (12,745 | ) | (2,762,134) |
|||||||||||||||||||
Purchases |
| 4,585,260 | 225,926 | 8,970,164 | | | | 13,781,350 |
||||||||||||||||||||||||
Sales |
| (119,100 | ) | (12,015,192 | ) | | | | (12,134,292) |
|||||||||||||||||||||||
Closing Balance, as of February 28, 2015 |
$ | 238,586 | $ | 4,619,150 | $ | 4,473,230 | $ | 47,487,753 | $ | 1,758,753 | | $ | 136,617 | $ 58,714,089 |
||||||||||||||||||
Net
change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |
$ | (1,272,357 | ) | $ | 29,399 | $ | (444,060 | ) | $ | (1,065,570 | ) | $ | (100,000 | ) | | $ | (12,746 | ) | $ (2,865,334) |
1 | As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,783,503 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $27,221,859 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 29 |
Consolidated Schedule of Investments (concluded) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation
Methodologies Committee (the Global Valuation Committee) to determine the value of certain of the Funds Level 3 investments as of
February 28, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of
$50,651,609. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3
investments. |
Value | Valuation Techniques | Unobservable Inputs | Range of Unobservable Inputs Utilized |
|||||||||||||||
Assets: |
||||||||||||||||||
Common Stocks |
$ | 20,749 | Market Comparable Companies |
Last
12 Months EBITDA Multiple1 |
6.75x |
|||||||||||||
Illiquidity Discount2 |
17.50% |
|||||||||||||||||
217,834 | Last
12 Months EBITDA Multiple1 |
3.88x-4.63x |
||||||||||||||||
Current Fiscal Year EBITDA Multiple1 |
3.88x-4.63x |
|||||||||||||||||
Discontinued Operations Expected Sale Proceeds |
$603 |
|||||||||||||||||
Corporate Bonds |
3,554,720 | Market Comparable Companies |
Last
12 Months EBITDA Multiple1 |
6.75x |
||||||||||||||
Illiquidity Discount2 |
17.50% |
|||||||||||||||||
918,510 | Discounted Cash Flow |
Internal Rate of Return2 |
10.00% |
|||||||||||||||
Floating Rate Loan Interests |
1,455,300 | Discounted Cash Flow |
Internal Rate of Return2 |
10.00% |
||||||||||||||
Other Interests |
1,758,750 | Market Comparable Companies |
Tangible Book Value Multiple1 |
1.25x |
||||||||||||||
Warrants |
123,778 | Market Comparable Companies |
Last
12 Months EBITDA Multiple1 |
6.75x |
||||||||||||||
Illiquidity Discount2 |
17.50% |
|||||||||||||||||
12,839 | Last Dealer Mark-Adjusted |
Delta Adjustment Based on Daily Movement in the Common Equity1 |
120% | |||||||||||||||
Total |
$ | 8,062,480 |
1 | Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value. |
2 | Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value. |
3 | Amount is stated in millions. |
30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments February 28, 2015 (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 | $ | 3,179 | ||||||||||||
Construction & Engineering 0.0% |
|||||||||||||||
USI United Subcontractors |
6,454 | 180,711 | |||||||||||||
Diversified Consumer Services 0.4% |
|||||||||||||||
HMH Holdings/EduMedia. (a) |
128,441 | 2,540,563 | |||||||||||||
Diversified Financial Services 0.1% |
|||||||||||||||
Kcad Holdings I Ltd. (a) |
384,412,912 | 384,413 | |||||||||||||
Household Durables 0.0% |
|||||||||||||||
Berkline Benchcraft Equity LLC (a) |
3,155 | | |||||||||||||
Media 0.1% |
|||||||||||||||
Cengage Thomson Learning (a) |
38,155 | 822,736 | |||||||||||||
Total Common Stocks 0.6% |
3,931,602 | ||||||||||||||
Asset-Backed Securities |
Par (000 |
) | |||||||||||||
Asset-Backed Securities 15.4% |
|||||||||||||||
ACAS CLO Ltd., Series 2014-1A, Class C, 3.16%, 7/18/26 (b)(c) |
USD |
1,500 | 1,444,800 | ||||||||||||
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.90%, 4/15/24 (b)(c) |
1,750 | 1,695,469 | |||||||||||||
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.43%, 5/10/32 (b)(c) |
411 | 406,860 | |||||||||||||
ALM Loan Funding, Series 2013-7RA (b)(c): |
|||||||||||||||
Class C, 3.71%, 4/24/24 |
1,210 | 1,174,070 | |||||||||||||
Class D, 5.26%, 4/24/24 |
1,040 | 965,172 | |||||||||||||
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c) |
3,140 | 2,980,306 | |||||||||||||
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20 |
4,850 | 4,873,484 | |||||||||||||
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c) |
2,000 | 1,920,000 | |||||||||||||
Apidos CLO XVII, Series 2014-17A, Class B, 3.11%, 4/17/26 (b)(c) |
3,000 | 2,935,496 | |||||||||||||
Ares CLO, Ltd., ARES 2014 32A B 144A, 3.50%, 11/15/25 (b)(c) |
1,250 | 1,245,888 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c) |
1,100 | 1,057,166 | |||||||||||||
Babson CLO Ltd., Series 2014-3A, Class C1, 3.23%, 1/15/26 (b)(c) |
2,000 | 1,955,000 | |||||||||||||
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.61%, 10/22/25 (b)(c) |
500 | 462,723 | |||||||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c) |
750 | 709,627 | |||||||||||||
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.06%, 7/20/26 (b)(c) |
1,250 | 1,196,520 | |||||||||||||
Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.36%, 10/20/26 (b)(c) |
2,500 | 2,436,290 | |||||||||||||
Carlyle Global Market Strategies CLO 2014-5, Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (b)(c) |
2,000 | 1,993,118 | |||||||||||||
Carlyle Global Market Strategies CLO 2015-1, Ltd., Series 2015-1A, Class C, 3.41%, 4/20/27 (b)(c)(d) |
1,000 | 993,500 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.26%, 2/14/25 (b)(c) |
250 | 247,242 | |||||||||||||
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 |
2,530 | 2,563,178 | |||||||||||||
Cent CLO, Series 2014-21A, Class C, 3.76%, 7/27/26 (b)(c) |
1,000 | 961,140 | |||||||||||||
Central Park CLO Ltd., Series 2011-1A, Class D, 3.46%, 7/23/22 (b)(c) |
500 | 494,114 | |||||||||||||
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.16%, 10/17/26 (b)(c) |
2,850 | 2,776,715 | |||||||||||||
CIFC Funding 2014-V, Ltd., Series 2014-5A (b)(c): |
|||||||||||||||
Class C, 3.59%, 1/17/27 |
445 | 437,925 | |||||||||||||
Class D2, 4.74%, 1/17/27 |
445 | 436,412 | |||||||||||||
Asset-Backed Securities | Par (000) |
Value | |||||||||||||
Asset-Backed Securities (concluded) |
|||||||||||||||
CIFC Funding 2015-1, Ltd., Series 2015-1A, Class D, 4.26%, 1/22/27 (b)(c)(d) |
USD |
1,000 | $ | 963,700 | |||||||||||
CIFC Funding Ltd., Series 2014-3A, Class D, 3.66%, 7/22/26 (b)(c) |
420 | 395,936 | |||||||||||||
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.33%, 10/25/47 (b) |
696 | 690,538 | |||||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c) |
2,306 | 2,244,828 | |||||||||||||
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (c) |
3,230 | 3,261,543 | |||||||||||||
Flagship CLO, Series 2014-8A, Class C, 3.33%, 1/16/26 (b)(c) |
2,000 | 1,966,758 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c) |
1,090 | 1,077,904 | |||||||||||||
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.30%, 7/17/23 (b)(c) |
5,000 | 4,973,185 | |||||||||||||
GSAA Trust, Series 2007-3, Class 1A2, 0.34%, 3/25/47 (b) |
2,671 | 1,380,640 | |||||||||||||
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.75%, 4/15/25 (b)(c) |
1,000 | 935,697 | |||||||||||||
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.75%, 7/15/26 (b)(c) |
1,165 | 1,108,928 | |||||||||||||
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.51%, 1/20/25 (b)(c) |
700 | 700,062 | |||||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c) |
420 | 396,730 | |||||||||||||
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.38%, 11/14/25 (b)(c) |
2,250 | 2,199,479 | |||||||||||||
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.61%, 7/17/25 (b)(c) |
2,000 | 1,857,488 | |||||||||||||
OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (c) |
4,350 | 4,349,130 | |||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c) |
500 | 501,333 | |||||||||||||
OZLM IX, Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (b)(c) |
1,500 | 1,431,306 | |||||||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c) |
780 | 744,448 | |||||||||||||
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c) |
2,500 | 2,451,231 | |||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c) |
500 | 483,752 | |||||||||||||
Regatta V Funding Ltd., Series 2014-1A, Class B, 3.23%, 10/25/26 (b)(c) |
2,000 | 1,948,756 | |||||||||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class C, 2.60%, 11/16/20 |
4,500 | 4,524,786 | |||||||||||||
Santander Drive Auto Receivables Trust 2014-3, Series 2014-3, Class D, 2.65%, 8/17/20 |
4,015 | 3,978,439 | |||||||||||||
Santander Drive Auto Receivables Trust 2014-4, Series 2014-4, Class D, 3.10%, 11/16/20 |
4,500 | 4,510,593 | |||||||||||||
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c) |
2,000 | 1,831,000 | |||||||||||||
Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.40%, 10/17/26 (b)(c) |
4,000 | 3,999,390 | |||||||||||||
Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (b)(c) |
445 | 436,723 | |||||||||||||
Voya CLO, Ltd., Series 2014-4A (c): |
|||||||||||||||
Class C, 4.23%, 10/14/26 (b) |
2,500 | 2,467,574 | |||||||||||||
Class SUB, 0.00%, 10/14/26 (e) |
1,000 | 940,700 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 |
3,000 | 3,120,099 | |||||||||||||
100,234,891 | |||||||||||||||
Interest Only Asset-Backed Securities 0.2%
|
|||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c) |
6,503 | 447,112 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (c) |
8,203 | 551,144 | |||||||||||||
998,256 | |||||||||||||||
Total Asset-Backed Securities 15.6% |
101,233,147 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 31 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Aerospace & Defense 0.7% |
|||||||||||||||
Bombardier, Inc., 7.50%, 3/15/25 (c)(d) |
USD |
167 | $ | 167,000 | |||||||||||
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f) |
928 | 900,160 | |||||||||||||
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c) |
250 | 262,188 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)(f) |
339 | 379,680 | |||||||||||||
TransDigm, Inc.: |
|||||||||||||||
6.00%, 7/15/22 (f) |
1,795 | 1,817,437 | |||||||||||||
6.50%, 7/15/24 |
835 | 853,787 | |||||||||||||
4,380,252 | |||||||||||||||
Airlines 2.7% |
|||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c) |
651 | 681,239 | |||||||||||||
American Airlines Group, Inc., 4.63%, 3/01/20 (c)(d) |
315 | 315,394 | |||||||||||||
American Airlines Pass-Through Trust, Series 2013-2 (f): |
|||||||||||||||
Class A, 4.95%, 7/15/24 |
3,538 | 3,860,720 | |||||||||||||
Class B, 5.60%, 1/15/22 (c) |
680 | 712,096 | |||||||||||||
Class C, 6.00%, 1/15/17 (c) |
2,600 | 2,626,000 | |||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f) |
2,090 | 2,215,400 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |
208 | 234,142 | |||||||||||||
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24 |
2,300 | 2,311,500 | |||||||||||||
US
Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 (f) |
1,402 | 1,444,504 | |||||||||||||
Virgin Australia Trust, Series 2013-1 (c): |
|||||||||||||||
Class A, 5.00%, 4/23/25 |
687 | 721,604 | |||||||||||||
Class B, 6.00%, 4/23/22 (f) |
1,400 | 1,445,679 | |||||||||||||
Class C, 7.13%, 10/23/18 (f) |
996 | 1,013,615 | |||||||||||||
17,581,893 | |||||||||||||||
Auto Components 1.1% |
|||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (f) |
1,095 | 1,138,800 | |||||||||||||
Autodis SA, 6.50%, 2/01/19 |
EUR |
100 | 117,621 | ||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f) |
USD |
2,058 | 2,117,270 | ||||||||||||
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 |
GBP |
554 | 951,516 | ||||||||||||
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c) |
USD |
186 | 197,858 | ||||||||||||
Schaeffler Holding Finance BV (g): |
|||||||||||||||
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21 |
EUR |
115 | 139,308 | ||||||||||||
6.25%, 11/15/19 (c)(f) |
USD |
804 | 852,240 | ||||||||||||
6.75%, 11/15/22 (c)(f) |
943 | 1,032,585 | |||||||||||||
6.88%, 8/15/18 |
EUR |
375 | 441,675 | ||||||||||||
Titan International, Inc., 6.88%, 10/01/20 |
USD |
275 | 250,250 | ||||||||||||
7,239,123 | |||||||||||||||
Automobiles 0.7% |
|||||||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 (f) |
1,087 | 1,148,329 | |||||||||||||
General Motors Co. (f): |
|||||||||||||||
3.50%, 10/02/18 |
2,478 | 2,552,340 | |||||||||||||
5.20%, 4/01/45 |
550 | 608,922 | |||||||||||||
4,309,591 | |||||||||||||||
Banks 0.8% |
|||||||||||||||
Banco Espirito Santo SA: |
|||||||||||||||
4.75%, 1/15/18 |
EUR |
100 | 116,661 | ||||||||||||
4.00%, 1/21/19 |
100 | 115,111 | |||||||||||||
CIT Group, Inc.: |
|||||||||||||||
5.00%, 5/15/17 (f) |
USD |
890 | 925,600 | ||||||||||||
5.50%, 2/15/19 (c)(f) |
1,370 | 1,464,119 | |||||||||||||
5.00%, 8/01/23 |
235 | 247,925 | |||||||||||||
HSBC Holdings PLC, 6.25%, 3/19/18 |
EUR |
1,000 | 1,298,229 | ||||||||||||
Nordea Bank AB, 4.50%, 3/26/20 |
1,020 | 1,341,492 | |||||||||||||
5,509,137 |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Beverages 0.1% |
|||||||||||||||
Constellation Brands, Inc.: |
|||||||||||||||
7.25%, 5/15/17 |
USD |
82 | $ | 91,225 | |||||||||||
3.88%, 11/15/19 |
294 | 305,025 | |||||||||||||
396,250 | |||||||||||||||
Building Products 0.9% |
|||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c) |
190 | 193,800 | |||||||||||||
BMBG Bond Finance SCA, 5.07%, 10/15/20 (b) |
EUR |
200 | 225,190 | ||||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f) |
USD |
650 | 658,125 | ||||||||||||
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f) |
770 | 827,750 | |||||||||||||
Cemex SAB de CV: |
|||||||||||||||
4.38%, 3/05/23 (d) |
EUR |
100 | 111,905 | ||||||||||||
5.70%, 1/11/25 (c) |
USD |
670 | 656,935 | ||||||||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f) |
1,030 | 1,040,300 | |||||||||||||
Ply Gem Industries, Inc., 6.50%, 2/01/22 |
745 | 722,650 | |||||||||||||
USG Corp., 9.75%, 1/15/18 (f) |
1,390 | 1,600,265 | |||||||||||||
6,036,920 | |||||||||||||||
Capital Markets 0.8% |
|||||||||||||||
American Capital Ltd., 6.50%, 9/15/18 (c)(f) |
975 | 1,017,656 | |||||||||||||
Blackstone CQP Holdco LP, 9.30%, 3/18/19 |
1,076 | 1,064,949 | |||||||||||||
E*Trade Financial Corp.: |
|||||||||||||||
0.00%, 8/31/19 (c)(e)(h) |
249 | 627,799 | |||||||||||||
5.38%, 11/15/22 |
627 | 661,485 | |||||||||||||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f) |
1,020 | 1,067,248 | |||||||||||||
UBS Group AG (b)(i): |
|||||||||||||||
5.75% |
EUR |
200 | 233,322 | ||||||||||||
7.00% |
USD |
200 | 208,747 | ||||||||||||
4,881,206 | |||||||||||||||
Chemicals 0.5% |
|||||||||||||||
Ashland, Inc., 3.88%, 4/15/18 (f) |
675 | 702,000 | |||||||||||||
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (c) |
398 | 430,835 | |||||||||||||
Chemtura Corp., 5.75%, 7/15/21 |
200 | 198,500 | |||||||||||||
Huntsman International LLC: |
|||||||||||||||
8.63%, 3/15/21 |
655 | 705,219 | |||||||||||||
5.13%, 4/15/21 |
EUR |
331 | 392,630 | ||||||||||||
INEOS Group Holdings SA: |
|||||||||||||||
6.13%, 8/15/18 (c) |
USD |
314 | 318,710 | ||||||||||||
6.50%, 8/15/18 |
EUR |
122 | 141,814 | ||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 |
USD |
167 | 174,098 | ||||||||||||
3,063,806 | |||||||||||||||
Commercial Services & Supplies 1.2% |
|||||||||||||||
Abengoa Greenfield SA, 6.50%, 10/01/19 (c)(f) |
766 | 729,615 | |||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 |
292 | 303,680 | |||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (f) |
712 | 744,040 | |||||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f) |
1,000 | 1,045,153 | |||||||||||||
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c) |
203 | 192,850 | |||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 |
100 | 107,750 | |||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 (f) |
915 | 967,612 | |||||||||||||
Modular Space Corp., 10.25%, 1/31/19 (c)(f) |
1,253 | 939,750 | |||||||||||||
Silk Bidco, 7.50%, 2/01/22 |
EUR |
120 | 139,322 | ||||||||||||
United Rentals North America, Inc. (f): |
|||||||||||||||
5.75%, 7/15/18 |
USD |
494 | 512,834 | ||||||||||||
7.63%, 4/15/22 |
658 | 730,913 | |||||||||||||
5.75%, 11/15/24 |
1,039 | 1,096,145 | |||||||||||||
7,509,664 | |||||||||||||||
Communications Equipment 2.1% |
|||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (h) |
6,670 | 6,703,350 | |||||||||||||
Alcatel-Lucent USA, Inc. (c)(f): |
|||||||||||||||
4.63%, 7/01/17 |
800 | 826,000 | |||||||||||||
6.75%, 11/15/20 |
2,150 | 2,300,500 | |||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (c) |
437 | 441,370 |
32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Communications Equipment (concluded) |
|||||||||||||||
CommScope, Inc. (c): |
|||||||||||||||
5.00%, 6/15/21 |
USD |
215 | $ | 217,688 | |||||||||||
5.50%, 6/15/24 |
221 | 223,762 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc. (f): |
|||||||||||||||
8.13%, 1/01/20 |
1,620 | 1,717,200 | |||||||||||||
10.13%, 7/01/20 |
951 | 1,074,630 | |||||||||||||
13,504,500 | |||||||||||||||
Construction & Engineering 0.4% |
|||||||||||||||
AECOM Technology Corp. (c)(f): |
|||||||||||||||
5.75%, 10/15/22 |
215 | 225,213 | |||||||||||||
5.88%, 10/15/24 |
701 | 744,812 | |||||||||||||
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c) |
165 | 171,188 | |||||||||||||
Novafives SAS: |
|||||||||||||||
4.07%, 6/30/20 (b) |
EUR |
100 | 109,924 | ||||||||||||
4.50%, 6/30/21 |
100 | 111,352 | |||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f) |
USD |
1,138 | 1,149,380 | ||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 |
320 | 303,600 | |||||||||||||
2,815,469 | |||||||||||||||
Construction Materials 0.9% |
|||||||||||||||
HD
Supply, Inc. (f): |
|||||||||||||||
11.00%, 4/15/20 |
770 | 881,650 | |||||||||||||
7.50%, 7/15/20 |
2,696 | 2,884,720 | |||||||||||||
5.25%, 12/15/21 (c) |
1,828 | 1,898,835 | |||||||||||||
Officine MaccaFerri SpA, 5.75%, 6/01/21 |
EUR |
150 | 164,500 | ||||||||||||
5,829,705 | |||||||||||||||
Consumer Finance 1.3% |
|||||||||||||||
Ally Financial, Inc.: |
|||||||||||||||
5.13%, 9/30/24 |
USD |
230 | 242,938 | ||||||||||||
8.00%, 11/01/31 |
719 | 947,282 | |||||||||||||
8.00%, 11/01/31 (f) |
2,030 | 2,618,700 | |||||||||||||
General Motors Financial Co., Inc. (f): |
|||||||||||||||
2.63%, 7/10/17 |
2,760 | 2,795,016 | |||||||||||||
4.38%, 9/25/21 |
530 | 563,125 | |||||||||||||
Hyundai Capital America, 3.75%, 4/06/16 (c)(f) |
1,285 | 1,319,867 | |||||||||||||
8,486,928 | |||||||||||||||
Containers & Packaging 0.4% |
|||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |
|||||||||||||||
6.00%, 6/30/21 (c) |
380 | 370,025 | |||||||||||||
4.25%, 1/15/22 |
EUR |
320 | 363,468 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f) |
USD |
1,560 | 1,575,600 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f) |
144 | 152,640 | |||||||||||||
Crown European Holdings SA, 4.00%, 7/15/22 |
EUR |
260 | 317,139 | ||||||||||||
SGD Group SAS, 5.63%, 5/15/19 |
100 | 113,863 | |||||||||||||
2,892,735 | |||||||||||||||
Distributors 0.1% |
|||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (f) |
USD |
874 | 915,515 | ||||||||||||
Diversified Consumer Services 0.1% |
|||||||||||||||
Laureate Education, Inc., 10.00%, 9/01/19 (c) |
615 | 587,325 | |||||||||||||
Diversified Financial Services 0.9% |
|||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 (f) |
367 | 405,975 | |||||||||||||
HSH Nordbank AG, 0.89%, 2/14/17 (b) |
EUR |
153 | 147,715 | ||||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c): |
|||||||||||||||
7.38%, 4/01/20 (f) |
USD |
585 | 579,150 | ||||||||||||
6.88%, 4/15/22 |
456 | 440,040 | |||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 (f) |
1,870 | 1,934,337 | |||||||||||||
MSCI, Inc., 5.25%, 11/15/24 (c) |
311 | 324,218 | |||||||||||||
Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23 |
EUR |
102 | 119,850 | ||||||||||||
Reynolds Group Issuer, Inc.: |
|||||||||||||||
9.00%, 4/15/19 |
USD |
790 | 827,525 | ||||||||||||
9.88%, 8/15/19 |
307 | 328,874 | |||||||||||||
5.75%, 10/15/20 |
625 | 649,219 |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Diversified Financial Services (concluded) |
|||||||||||||||
Reynolds Group Issuer, Inc. (concluded): |
|||||||||||||||
6.88%, 2/15/21 |
USD |
210 | $ | 222,075 | |||||||||||
5,978,978 | |||||||||||||||
Diversified Telecommunication Services 3.1%
|
|||||||||||||||
CenturyLink, Inc.: |
|||||||||||||||
6.45%, 6/15/21 |
155 | 170,113 | |||||||||||||
Series V, 5.63%, 4/01/20 (f) |
751 | 803,570 | |||||||||||||
Frontier Communications Corp.: |
|||||||||||||||
8.50%, 4/15/20 |
60 | 67,800 | |||||||||||||
6.25%, 9/15/21 |
45 | 46,238 | |||||||||||||
7.13%, 1/15/23 |
205 | 213,969 | |||||||||||||
7.63%, 4/15/24 |
95 | 101,650 | |||||||||||||
6.88%, 1/15/25 |
190 | 190,475 | |||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (f) |
735 | 778,181 | |||||||||||||
Level 3 Financing, Inc.: |
|||||||||||||||
3.83%, 1/15/18 (b) |
411 | 416,137 | |||||||||||||
8.13%, 7/01/19 (f) |
3,083 | 3,264,126 | |||||||||||||
7.00%, 6/01/20 |
495 | 532,229 | |||||||||||||
6.13%, 1/15/21 (f) |
1,682 | 1,780,817 | |||||||||||||
5.38%, 8/15/22 (f) |
1,055 | 1,091,598 | |||||||||||||
Series TIT, 6.00%, 7/24/17 (h) |
EUR |
200 | 263,805 | ||||||||||||
Telecom Italia Finance SA, 7.75%, 1/24/33 |
75 | 127,161 | |||||||||||||
Telecom Italia SpA: |
|||||||||||||||
6.13%, 11/15/16 (h) |
100 | 153,746 | |||||||||||||
6.38%, 6/24/19 |
GBP |
200 | 342,233 | ||||||||||||
4.88%, 9/25/20 |
EUR |
220 | 282,919 | ||||||||||||
4.50%, 1/25/21 |
270 | 342,508 | |||||||||||||
5.88%, 5/19/23 |
GBP |
450 | 766,360 | ||||||||||||
Telefonica Europe BV, 4.20% (b)(i) |
EUR |
200 | 238,078 | ||||||||||||
Telenet Finance V Luxembourg SCA: |
|||||||||||||||
6.25%, 8/15/22 |
271 | 331,830 | |||||||||||||
6.75%, 8/15/24 |
397 | 500,906 | |||||||||||||
Verizon Communications, Inc., 3.65%, 9/14/18 (f) |
USD |
7,000 | 7,419,426 | ||||||||||||
20,225,875 | |||||||||||||||
Electric Utilities 0.3% |
|||||||||||||||
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)(f) |
728 | 735,280 | |||||||||||||
Homer City Generation LP (g): |
|||||||||||||||
(8.14% Cash or 8.64% PIK) ,8.14% 10/01/19 |
327 | 331,253 | |||||||||||||
(8.73% Cash or 9.23% PIK) ,8.73% 10/01/26 |
589 | 600,532 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 |
403 | 419,146 | |||||||||||||
2,086,211 | |||||||||||||||
Electrical Equipment 0.1% |
|||||||||||||||
Belden, Inc., 5.50%, 4/15/23 |
EUR |
349 | 419,313 | ||||||||||||
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 |
106 | 131,430 | |||||||||||||
550,743 | |||||||||||||||
Energy Equipment & Services 0.4% |
|||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (c) |
USD |
503 | 451,443 | ||||||||||||
MEG Energy Corp. (c)(f): |
|||||||||||||||
6.50%, 3/15/21 |
244 | 236,070 | |||||||||||||
7.00%, 3/31/24 |
864 | 841,320 | |||||||||||||
Peabody Energy Corp., 6.25%, 11/15/21 (f) |
583 | 485,347 | |||||||||||||
Precision Drilling Corp., 5.25%, 11/15/24 (c) |
522 | 443,700 | |||||||||||||
2,457,880 | |||||||||||||||
Food & Staples Retailing 0.9% |
|||||||||||||||
Brakes Capital, 7.13%, 12/15/18 |
GBP |
1,255 | 1,999,534 | ||||||||||||
Family Tree Escrow LLC (c): |
|||||||||||||||
5.25%, 3/01/20 |
USD |
178 | 186,010 | ||||||||||||
5.75%, 3/01/23 (f) |
1,731 | 1,821,877 | |||||||||||||
R&R Ice Cream PLC: |
|||||||||||||||
4.75%, 5/15/20 |
EUR |
150 | 172,683 | ||||||||||||
5.50%, 5/15/20 |
GBP |
105 | 165,275 | ||||||||||||
Rite Aid Corp., 9.25%, 3/15/20 (f) |
USD |
1,095 | 1,212,713 | ||||||||||||
5,558,092 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 33 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Food Products 0.3% |
|||||||||||||||
Anna Merger Sub, Inc., 7.75%, 10/01/22 (c) |
USD |
635 | $ | 654,050 | |||||||||||
Boparan Finance PLC, 5.50%, 7/15/21 |
GBP |
115 | 160,676 | ||||||||||||
Smithfield Foods, Inc.: |
|||||||||||||||
5.88%, 8/01/21 (c) |
USD |
193 | 203,374 | ||||||||||||
6.63%, 8/15/22 (f) |
783 | 851,513 | |||||||||||||
1,869,613 | |||||||||||||||
Health Care Equipment & Supplies 0.2% |
|||||||||||||||
Biomet, Inc., 6.50%, 10/01/20 (f) |
418 | 442,558 | |||||||||||||
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f) |
413 | 430,553 | |||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 (f) |
675 | 703,687 | |||||||||||||
1,576,798 | |||||||||||||||
Health Care Providers & Services 2.3% |
|||||||||||||||
Acadia Healthcare Co., Inc., 5.13%, 7/01/22 |
240 | 241,200 | |||||||||||||
Amsurg Corp., 5.63%, 7/15/22 (f) |
1,016 | 1,076,960 | |||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f) |
995 | 1,036,790 | |||||||||||||
CHS/Community Health Systems, Inc. (f): |
|||||||||||||||
5.13%, 8/15/18 |
490 | 507,150 | |||||||||||||
6.88%, 2/01/22 |
1,404 | 1,501,402 | |||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 |
GBP |
205 | 328,752 | ||||||||||||
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f) |
USD |
1,093 | 1,133,987 | ||||||||||||
HCA Holdings, Inc., 7.75%, 5/15/21 |
285 | 304,950 | |||||||||||||
HCA, Inc.: |
|||||||||||||||
3.75%, 3/15/19 (f) |
786 | 802,703 | |||||||||||||
6.50%, 2/15/20 (f) |
160 | 182,000 | |||||||||||||
5.88%, 3/15/22 |
82 | 92,168 | |||||||||||||
4.75%, 5/01/23 |
108 | 113,929 | |||||||||||||
5.00%, 3/15/24 (f) |
335 | 361,800 | |||||||||||||
5.38%, 2/01/25 |
713 | 755,780 | |||||||||||||
HealthSouth Corp., 5.75%, 11/01/24 |
203 | 212,135 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (f) |
1,289 | 1,350,227 | |||||||||||||
Kindred Healthcare, Inc., 6.38%, 4/15/22 |
186 | 186,000 | |||||||||||||
Omnicare, Inc.: |
|||||||||||||||
4.75%, 12/01/22 (f) |
165 | 172,219 | |||||||||||||
5.00%, 12/01/24 |
104 | 109,460 | |||||||||||||
Tenet Healthcare Corp.: |
|||||||||||||||
6.25%, 11/01/18 |
264 | 288,090 | |||||||||||||
5.00%, 3/01/19 (c)(f) |
911 | 915,555 | |||||||||||||
4.75%, 6/01/20 |
520 | 535,600 | |||||||||||||
6.00%, 10/01/20 (f) |
811 | 881,963 | |||||||||||||
8.13%, 4/01/22 (f) |
1,098 | 1,243,485 | |||||||||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 |
GBP |
355 | 564,509 | ||||||||||||
14,898,814 | |||||||||||||||
Hotels, Restaurants & Leisure 4.1% |
|||||||||||||||
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(g) |
USD |
204 | 206,550 | ||||||||||||
CDW LLC/CDW Finance Corp.: |
|||||||||||||||
6.00%, 8/15/22 |
535 | 571,112 | |||||||||||||
5.00%, 9/01/23 |
265 | 266,325 | |||||||||||||
5.50%, 12/01/24 (f) |
1,302 | 1,354,080 | |||||||||||||
Cleopatra Finance, Ltd.: |
|||||||||||||||
4.13%, 2/15/20 |
EUR |
100 | 114,843 | ||||||||||||
6.25%, 2/15/22 (c) |
USD |
200 | 200,250 | ||||||||||||
4.75%, 2/15/23 |
EUR |
125 | 145,337 | ||||||||||||
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (h) |
GBP |
100 | 133,543 | ||||||||||||
Enterprise Inns PLC, 6.50%, 12/06/18 |
926 | 1,523,245 | |||||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (f) |
USD |
357 | 371,280 | ||||||||||||
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c) |
485 | 517,738 | |||||||||||||
New Red Finance, Inc., 6.00%, 4/01/22 (c)(f) |
860 | 894,400 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f) |
576 | 589,651 | |||||||||||||
Snai SpA, 7.63%, 6/15/18 |
EUR |
205 | 236,861 |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Hotels, Restaurants & Leisure (concluded) |
|||||||||||||||
Spirit Issuer PLC (b): |
|||||||||||||||
Series A1, 1.11%, 12/28/28 |
GBP |
445 | $ | 594,801 | |||||||||||
Series A2, 3.26%, 12/28/31 |
1,800 | 2,695,563 | |||||||||||||
Series A5, 5.47%, 12/28/34 |
4,500 | 6,877,855 | |||||||||||||
Series A6, 2.36%, 12/28/36 |
2,670 | 3,952,046 | |||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 (f) |
USD |
2,245 | 2,413,375 | ||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(j) |
375 | | |||||||||||||
The Unique Pub Finance Co. PLC: |
|||||||||||||||
Series A3, 6.54%, 3/30/21 |
GBP |
1,211 | 1,925,246 | ||||||||||||
Series A4, 5.66%, 6/30/27 |
771 | 1,179,139 | |||||||||||||
26,763,240 | |||||||||||||||
Household Durables 1.2% |
|||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c) |
USD |
510 | 455,175 | ||||||||||||
Beazer Homes USA, Inc.: |
|||||||||||||||
6.63%, 4/15/18 (f) |
910 | 946,400 | |||||||||||||
5.75%, 6/15/19 |
523 | 504,695 | |||||||||||||
Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(j) |
200 | | |||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c) |
259 | 268,065 | |||||||||||||
K.
Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f) |
2,130 | 2,220,525 | |||||||||||||
KB
Home, 7.25%, 6/15/18 (f) |
880 | 940,500 | |||||||||||||
Standard Pacific Corp., 8.38%, 1/15/21 (f) |
1,000 | 1,155,000 | |||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c) |
297 | 291,060 | |||||||||||||
Tri Pointe Holdings, Inc. (c): |
|||||||||||||||
4.38%, 6/15/19 |
500 | 494,375 | |||||||||||||
5.88%, 6/15/24 |
340 | 340,425 | |||||||||||||
7,616,220 | |||||||||||||||
Household Products 0.1% |
|||||||||||||||
Spectrum Brands, Inc.: |
|||||||||||||||
6.38%, 11/15/20 |
250 | 269,375 | |||||||||||||
6.63%, 11/15/22 |
285 | 312,075 | |||||||||||||
581,450 | |||||||||||||||
Independent Power and Renewable Electricity Producers 1.0% |
|||||||||||||||
The AES Corp., 7.75%, 10/15/15 (f) |
412 | 429,139 | |||||||||||||
Baytex Energy Corp., 5.13%, 6/01/21 (c) |
170 | 161,925 | |||||||||||||
Calpine Corp.: |
|||||||||||||||
6.00%, 1/15/22 (c) |
143 | 155,942 | |||||||||||||
5.38%, 1/15/23 (f) |
1,099 | 1,115,485 | |||||||||||||
5.88%, 1/15/24 (c) |
438 | 475,230 | |||||||||||||
5.50%, 2/01/24 (f) |
927 | 937,429 | |||||||||||||
5.75%, 1/15/25 (f) |
962 | 981,240 | |||||||||||||
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (c)(f) |
1,180 | 1,234,575 | |||||||||||||
NRG Energy, Inc.: |
|||||||||||||||
7.88%, 5/15/21 |
177 | 192,399 | |||||||||||||
6.25%, 5/01/24 |
267 | 272,340 | |||||||||||||
NRG REMA LLC: |
|||||||||||||||
Series B, 9.24%, 7/02/17 |
63 | 66,915 | |||||||||||||
Series C, 9.68%, 7/02/26 (f) |
589 | 639,065 | |||||||||||||
6,661,684 | |||||||||||||||
Insurance 1.5% |
|||||||||||||||
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f) |
3,000 | 3,249,699 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f) |
304 | 322,240 | |||||||||||||
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f) |
750 | 876,892 | |||||||||||||
Genworth Holdings, Inc., 4.80%, 2/15/24 |
240 | 210,827 | |||||||||||||
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c) |
391 | 401,753 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) |
595 | 638,137 | |||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) |
EUR |
400 | 562,482 |
34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Insurance (concluded) |
|||||||||||||||
Pension Insurance Corp. PLC, 6.50%, 7/03/24 |
GBP |
125 | $ | 200,855 | |||||||||||
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f) |
USD |
3,250 | 3,436,875 | ||||||||||||
9,899,760 | |||||||||||||||
Internet Software & Services 0.2% |
|||||||||||||||
IAC/InterActiveCorp, 4.88%, 11/30/18 (f) |
695 | 719,325 | |||||||||||||
Interactive Data Corp., 5.88%, 4/15/19 (c)(f) |
741 | 741,926 | |||||||||||||
1,461,251 | |||||||||||||||
IT Services 1.3% |
|||||||||||||||
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(f) |
664 | 690,560 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 (f) |
1,260 | 1,323,000 | |||||||||||||
First Data Corp.: |
|||||||||||||||
7.38%, 6/15/19 (c)(f) |
1,775 | 1,863,750 | |||||||||||||
6.75%, 11/01/20 (c)(f) |
813 | 871,942 | |||||||||||||
11.75%, 8/15/21 |
713 | 830,645 | |||||||||||||
Open Text Corp., 5.63%, 1/15/23 (c) |
1,214 | 1,250,420 | |||||||||||||
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f) |
800 | 832,000 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (c)(f) |
550 | 548,625 | |||||||||||||
8,210,942 | |||||||||||||||
Media 5.5% |
|||||||||||||||
Adria Bidco BV, 7.88%, 11/15/20 |
EUR |
140 | 169,200 | ||||||||||||
Altice Financing SA: |
|||||||||||||||
6.50%, 1/15/22 (c)(f) |
USD |
850 | 879,750 | ||||||||||||
5.25%, 2/15/23 |
EUR |
100 | 119,598 | ||||||||||||
6.63%, 2/15/23 (c)(f) |
USD |
581 | 604,966 | ||||||||||||
Altice Finco SA, 7.63%, 2/15/25 (c) |
200 | 207,602 | |||||||||||||
Altice SA: |
|||||||||||||||
7.25%, 5/15/22 |
EUR |
800 | 949,975 | ||||||||||||
7.75%, 5/15/22 (c)(f) |
USD |
1,050 | 1,084,125 | ||||||||||||
6.25%, 2/15/25 |
EUR |
175 | 199,770 | ||||||||||||
7.63%, 2/15/25 (c) |
USD |
740 | 764,050 | ||||||||||||
AMC Networks, Inc., 7.75%, 7/15/21 (f) |
865 | 949,337 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23 |
270 | 272,025 | |||||||||||||
CCOH Safari LLC (f): |
|||||||||||||||
5.50%, 12/01/22 |
993 | 1,026,514 | |||||||||||||
5.75%, 12/01/24 |
1,969 | 2,037,915 | |||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j) |
509 | | |||||||||||||
Clear Channel Worldwide Holdings, Inc.: |
|||||||||||||||
7.63%, 3/15/20 |
677 | 715,927 | |||||||||||||
6.50%, 11/15/22 |
1,178 | 1,235,552 | |||||||||||||
Columbus International, Inc., 7.38%, 3/30/21 (c)(f) |
895 | 939,750 | |||||||||||||
DISH DBS Corp. (f): |
|||||||||||||||
7.13%, 2/01/16 |
200 | 208,750 | |||||||||||||
4.25%, 4/01/18 |
1,330 | 1,336,650 | |||||||||||||
5.88%, 11/15/24 |
1,336 | 1,329,320 | |||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c) |
305 | 294,325 | |||||||||||||
Gannett Co., Inc.: |
|||||||||||||||
5.13%, 10/15/19 |
197 | 206,358 | |||||||||||||
5.13%, 7/15/20 |
218 | 227,265 | |||||||||||||
6.38%, 10/15/23 |
304 | 329,840 | |||||||||||||
Gray Television, Inc., 7.50%, 10/01/20 (f) |
428 | 445,120 | |||||||||||||
iHeartCommunications, Inc.: |
|||||||||||||||
9.00%, 12/15/19 |
345 | 340,688 | |||||||||||||
9.00%, 3/01/21 (f) |
966 | 932,190 | |||||||||||||
9.00%, 9/15/22 |
755 | 726,687 | |||||||||||||
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f) |
825 | 839,602 | |||||||||||||
Intelsat Jackson Holdings SA (f): |
|||||||||||||||
7.25%, 10/15/20 |
1,660 | 1,726,400 | |||||||||||||
5.50%, 8/01/23 |
975 | 922,594 | |||||||||||||
Intelsat Luxembourg SA: |
|||||||||||||||
6.75%, 6/01/18 (f) |
800 | 786,000 | |||||||||||||
7.75%, 6/01/21 |
320 | 296,400 | |||||||||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c) |
185 | 198,413 | |||||||||||||
MDC Partners, Inc., 6.75%, 4/01/20 (c) |
733 | 771,482 |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Media (concluded) |
|||||||||||||||
Media General Financing Sub, Inc., 5.88%, 11/15/22 (c) |
USD |
303 | $ | 309,818 | |||||||||||
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c) |
245 | 248,675 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) |
345 | 356,644 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c) |
330 | 337,425 | |||||||||||||
Numericable Group SA: |
|||||||||||||||
4.88%, 5/15/19 (c)(f) |
1,770 | 1,770,000 | |||||||||||||
5.38%, 5/15/22 |
EUR |
110 | 130,266 | ||||||||||||
6.00%, 5/15/22 (c)(f) |
USD |
1,530 | 1,556,775 | ||||||||||||
5.63%, 5/15/24 |
EUR |
260 | 308,410 | ||||||||||||
6.25%, 5/15/24 (c)(f) |
USD |
510 | 523,515 | ||||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.: |
|||||||||||||||
5.25%, 2/15/22 |
105 | 109,988 | |||||||||||||
5.63%, 2/15/24 |
95 | 101,294 | |||||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c) |
800 | 848,000 | |||||||||||||
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c) |
191 | 193,388 | |||||||||||||
Sirius XM Radio, Inc., 5.75%, 8/01/21 (c)(f) |
424 | 445,200 | |||||||||||||
Sterling Entertainment Corp., 9.75%, 12/15/19 |
1,175 | 1,198,500 | |||||||||||||
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)(f) |
789 | 842,257 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 |
EUR |
236 | 280,779 | ||||||||||||
Virgin Media Secured Finance PLC, 6.00%, 4/15/21 |
GBP |
1,274 | 2,094,870 | ||||||||||||
Ziggo Bond Finance BV, 4.63%, 1/15/25 |
EUR |
137 | 161,359 | ||||||||||||
35,891,303 | |||||||||||||||
Metals & Mining 2.0% |
|||||||||||||||
Alcoa, Inc., 5.13%, 10/01/24 (f) |
USD |
1,843 | 2,004,318 | ||||||||||||
ArcelorMittal, 4.50%, 8/05/15 (f) |
738 | 746,302 | |||||||||||||
Constellium NV: |
|||||||||||||||
4.63%, 5/15/21 |
EUR |
195 | 209,486 | ||||||||||||
5.75%, 5/15/24 (c) |
USD |
358 | 339,205 | ||||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f) |
695 | 750,600 | |||||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f) |
510 | 552,713 | |||||||||||||
Novelis, Inc.: |
|||||||||||||||
8.38%, 12/15/17 |
175 | 182,875 | |||||||||||||
8.75%, 12/15/20 (f) |
2,906 | 3,153,010 | |||||||||||||
Peabody Energy Corp., 6.50%, 9/15/20 (f) |
324 | 274,185 | |||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (c) |
290 | 300,150 | |||||||||||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17 |
160 | 163,600 | |||||||||||||
Steel Dynamics, Inc. (f): |
|||||||||||||||
5.13%, 10/01/21 (c) |
645 | 661,125 | |||||||||||||
6.38%, 8/15/22 |
555 | 595,237 | |||||||||||||
ThyssenKrupp AG: |
|||||||||||||||
3.13%, 10/25/19 |
EUR |
295 | 350,340 | ||||||||||||
1.75%, 11/25/20 |
75 | 83,702 | |||||||||||||
2.50%, 2/25/25 |
100 | 111,480 | |||||||||||||
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f) |
USD |
2,156 | 2,336,565 | ||||||||||||
12,814,893 | |||||||||||||||
Multi-Utilities 0.0% |
|||||||||||||||
CE Energy AS, 7.00%, 2/01/21 |
EUR |
150 | 170,585 | ||||||||||||
Multiline Retail 0.1% |
|||||||||||||||
Hema Bondco I BV, 6.25%, 6/15/19 |
205 | 190,980 | |||||||||||||
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f) |
USD |
516 | 542,445 | ||||||||||||
733,425 | |||||||||||||||
Oil, Gas & Consumable Fuels 4.1% |
|||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: |
|||||||||||||||
4.88%, 5/15/23 (f) |
455 | 468,650 | |||||||||||||
4.88%, 3/15/24 |
104 | 107,120 | |||||||||||||
Antero Resources Finance Corp., 5.38%, 11/01/21 (f) |
774 | 779,805 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) |
|||||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 |
USD |
95 | $ | 93,100 | |||||||||||
California Resources Corp., 6.00%, 11/15/24 (c)(f) |
1,280 | 1,140,800 | |||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 |
305 | 225,700 | |||||||||||||
Cimarex Energy Co., 4.38%, 6/01/24 |
206 | 202,910 | |||||||||||||
Concho Resources, Inc., 5.50%, 4/01/23 (f) |
1,365 | 1,412,775 | |||||||||||||
CONSOL Energy, Inc., 5.88%, 4/15/22 (f) |
1,653 | 1,586,880 | |||||||||||||
El
Paso LLC: |
|||||||||||||||
7.80%, 8/01/31 |
116 | 143,462 | |||||||||||||
7.75%, 1/15/32 (f) |
556 | 693,842 | |||||||||||||
Energy Transfer Equity LP, 5.88%, 1/15/24 (f) |
875 | 936,250 | |||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f) |
450 | 461,250 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f) |
520 | 490,100 | |||||||||||||
Kinder Morgan Energy Partners LP (f): |
|||||||||||||||
4.15%, 2/01/24 |
640 | 664,460 | |||||||||||||
4.25%, 9/01/24 |
1,035 | 1,080,756 | |||||||||||||
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f) |
1,285 | 1,408,598 | |||||||||||||
Kinder Morgan, Inc. (f): |
|||||||||||||||
3.05%, 12/01/19 |
630 | 636,007 | |||||||||||||
5.00%, 2/15/21 (c) |
302 | 325,336 | |||||||||||||
5.63%, 11/15/23 (c) |
306 | 343,401 | |||||||||||||
Laredo Petroleum, Inc., 7.38%, 5/01/22 |
132 | 135,960 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: |
|||||||||||||||
8.63%, 4/15/20 (f) |
1,083 | 982,822 | |||||||||||||
7.75%, 2/01/21 |
215 | 187,588 | |||||||||||||
NGPL PipeCo LLC, 9.63%, 6/01/19 (c)(f) |
353 | 353,883 | |||||||||||||
Oasis Petroleum, Inc.: |
|||||||||||||||
7.25%, 2/01/19 |
380 | 377,625 | |||||||||||||
6.50%, 11/01/21 |
410 | 393,344 | |||||||||||||
Range Resources Corp., 5.75%, 6/01/21 |
161 | 169,453 | |||||||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 |
376 | 375,060 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 |
379 | 360,997 | |||||||||||||
RSP Permian, Inc., 6.63%, 10/01/22 (c) |
359 | 361,244 | |||||||||||||
Sabine Pass Liquefaction LLC: |
|||||||||||||||
5.63%, 4/15/23 (f) |
536 | 548,060 | |||||||||||||
5.75%, 5/15/24 (f) |
456 | 466,260 | |||||||||||||
5.63%, 3/01/25 (c) |
748 | 751,740 | |||||||||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 (f) |
2,385 | 2,522,137 | |||||||||||||
Sanchez Energy Corp., 6.13%, 1/15/23 (c) |
681 | 624,817 | |||||||||||||
SandRidge Energy, Inc.: |
|||||||||||||||
8.75%, 1/15/20 |
79 | 60,435 | |||||||||||||
7.50%, 2/15/23 (f) |
921 | 658,515 | |||||||||||||
Seventy Seven Energy, Inc., 6.50%, 7/15/22 |
258 | 134,160 | |||||||||||||
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f) |
935 | 960,712 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 |
636 | 669,390 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. (f): |
|||||||||||||||
5.88%, 10/01/20 |
138 | 144,555 | |||||||||||||
6.25%, 10/15/22 (c) |
677 | 717,620 | |||||||||||||
Ultra Petroleum Corp., 5.75%, 12/15/18 (c) |
425 | 412,250 | |||||||||||||
Whiting Petroleum Corp., 5.00%, 3/15/19 (f) |
1,212 | 1,193,820 | |||||||||||||
26,763,649 | |||||||||||||||
Pharmaceuticals 1.1% |
|||||||||||||||
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (c)(g) |
156 | 158,925 | |||||||||||||
Endo Finance LLC/Endo Finco, Inc. (c): |
|||||||||||||||
7.00%, 12/15/20 |
135 | 142,763 | |||||||||||||
7.25%, 1/15/22 |
121 | 129,924 | |||||||||||||
6.00%, 2/01/25 (f) |
798 | 844,882 | |||||||||||||
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)(f) |
759 | 777,975 | |||||||||||||
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)(f) |
830 | 877,725 |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Pharmaceuticals (concluded) |
|||||||||||||||
Valeant Pharmaceuticals International, Inc. (c): |
|||||||||||||||
6.75%, 8/15/18 (f) |
USD |
2,214 | $ | 2,352,375 | |||||||||||
6.38%, 10/15/20 (f) |
613 | 645,182 | |||||||||||||
7.50%, 7/15/21 |
335 | 363,475 | |||||||||||||
5.63%, 12/01/21 |
520 | 529,100 | |||||||||||||
5.50%, 3/01/23 |
519 | 524,190 | |||||||||||||
7,346,516 | |||||||||||||||
Professional Services 0.1% |
|||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f) |
540 | 554,850 | |||||||||||||
Real Estate Investment Trusts (REITs) 0.5% |
|||||||||||||||
Felcor Lodging LP, 6.75%, 6/01/19 (f) |
820 | 856,900 | |||||||||||||
iStar Financial, Inc.: |
|||||||||||||||
4.00%, 11/01/17 |
435 | 432,825 | |||||||||||||
5.00%, 7/01/19 |
305 | 305,000 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f) |
1,300 | 1,421,690 | |||||||||||||
3,016,415 | |||||||||||||||
Real Estate Management & Development 0.9%
|
|||||||||||||||
Realogy Corp. (c): |
|||||||||||||||
7.63%, 1/15/20 (f) |
1,837 | 1,979,367 | |||||||||||||
9.00%, 1/15/20 |
301 | 331,100 | |||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)(f) |
759 | 772,283 | |||||||||||||
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c) |
220 | 224,400 | |||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f) |
2,110 | 2,220,775 | |||||||||||||
5,527,925 | |||||||||||||||
Road & Rail 1.1% |
|||||||||||||||
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f) |
3,400 | 3,437,522 | |||||||||||||
EC
Finance PLC, 5.13%, 7/15/21 |
EUR |
180 | 212,004 | ||||||||||||
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f) |
USD |
1,170 | 1,206,562 | ||||||||||||
The Hertz Corp.: |
|||||||||||||||
7.50%, 10/15/18 |
540 | 558,900 | |||||||||||||
6.75%, 4/15/19 |
405 | 418,669 | |||||||||||||
5.88%, 10/15/20 |
435 | 449,138 | |||||||||||||
7.38%, 1/15/21 (f) |
675 | 710,438 | |||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c) |
319 | 320,595 | |||||||||||||
7,313,828 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.3% |
|||||||||||||||
Micron Technology, Inc., 5.50%, 2/01/25 (c)(f) |
840 | 861,000 | |||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (c)(f) |
560 | 593,600 | |||||||||||||
Sensata Technologies BV, 5.63%, 11/01/24 (c) |
179 | 191,977 | |||||||||||||
1,646,577 | |||||||||||||||
Software 0.7% |
|||||||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(g) |
744 | 748,650 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 (f) |
2,000 | 2,147,500 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f) |
1,715 | 1,757,875 | |||||||||||||
4,654,025 | |||||||||||||||
Specialty Retail 0.3% |
|||||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 |
EUR |
171 | 199,394 | ||||||||||||
New Look Bondco I PLC, 8.75%, 5/14/18 |
GBP |
100 | 162,228 | ||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 |
USD |
374 | 408,595 | ||||||||||||
PC
Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19 |
252 | 257,040 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f) |
508 | 533,400 | |||||||||||||
THOM Europe SAS, 7.38%, 7/15/19 |
EUR |
230 | 267,677 | ||||||||||||
1,828,334 |
36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Textiles, Apparel & Luxury Goods 0.1% |
|||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 |
USD |
380 | $ | 418,000 | |||||||||||
The William Carter Co., 5.25%, 8/15/21 |
346 | 362,349 | |||||||||||||
780,349 | |||||||||||||||
Trading Companies & Distributors 0.2% |
|||||||||||||||
Ashtead Capital, Inc. (c): |
|||||||||||||||
6.50%, 7/15/22 (f) |
1,054 | 1,146,225 | |||||||||||||
5.63%, 10/01/24 |
420 | 441,000 | |||||||||||||
1,587,225 | |||||||||||||||
Transportation Infrastructure 1.3% |
|||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (c)(f) |
378 | 382,725 | |||||||||||||
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f) |
640 | 652,128 | |||||||||||||
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(g) |
878 | 812,150 | |||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (c)(f) |
6,155 | 6,376,389 | |||||||||||||
8,223,392 | |||||||||||||||
Wireless Telecommunication Services 2.2%
|
|||||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (c)(f) |
2,073 | 2,057,452 | |||||||||||||
The Geo Group, Inc., 5.88%, 1/15/22 |
340 | 358,700 | |||||||||||||
SBA Communications Corp., 4.88%, 7/15/22 (c)(f) |
815 | 815,000 | |||||||||||||
Sprint Communications, Inc. (c)(f): |
|||||||||||||||
9.00%, 11/15/18 |
2,020 | 2,348,250 | |||||||||||||
7.00%, 3/01/20 |
1,141 | 1,264,011 | |||||||||||||
Sprint Corp. (f): |
|||||||||||||||
7.88%, 9/15/23 |
1,735 | 1,791,387 | |||||||||||||
7.13%, 6/15/24 |
590 | 587,050 | |||||||||||||
T-Mobile USA, Inc.: |
|||||||||||||||
6.63%, 4/28/21 |
263 | 279,766 | |||||||||||||
6.13%, 1/15/22 |
75 | 78,938 | |||||||||||||
6.73%, 4/28/22 |
173 | 184,245 | |||||||||||||
6.00%, 3/01/23 |
478 | 498,559 | |||||||||||||
6.50%, 1/15/24 |
535 | 565,763 | |||||||||||||
6.38%, 3/01/25 (f) |
1,520 | 1,588,400 | |||||||||||||
Vodafone Group PLC, 2.50%, 9/26/22 |
1,080 | 1,037,903 | |||||||||||||
Wind Acquisition Finance SA, 4.00%, 7/15/20 |
EUR |
695 | 791,156 | ||||||||||||
14,246,580 | |||||||||||||||
Total Corporate Bonds 53.2% |
345,437,441 | ||||||||||||||
Floating Rate Loan Interests (b) |
|||||||||||||||
Aerospace & Defense 0.9% |
|||||||||||||||
BE
Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |
USD |
910 | 911,893 | ||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
1,277 | 1,275,257 | |||||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |
1,375 | 1,442,031 | |||||||||||||
Transdigm, Inc.: |
|||||||||||||||
Term Loan C, 3.75%, 2/28/20 |
647 | 643,812 | |||||||||||||
Term Loan D, 3.75%, 6/04/21 |
299 | 297,333 | |||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |
1,568 | 1,560,968 | |||||||||||||
6,131,294 | |||||||||||||||
Air Freight & Logistics 0.4% |
|||||||||||||||
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |
678 | 626,429 | |||||||||||||
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |
710 | 655,643 | |||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |
122 | 113,042 | |||||||||||||
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |
979 | 904,335 | |||||||||||||
2,299,449 | |||||||||||||||
Airlines 0.1% |
|||||||||||||||
Northwest Airlines, Inc.: |
|||||||||||||||
2.18%, 3/10/17 |
376 | 366,708 | |||||||||||||
1.56%, 9/10/18 |
552 | 527,160 |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Airlines (concluded) |
|||||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
USD |
7 | $ | 6,777 | |||||||||||
900,645 | |||||||||||||||
Auto Components 1.6% |
|||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
712 | 710,992 | |||||||||||||
Autoparts Holdings Ltd.: |
|||||||||||||||
1st Lien Term Loan, 6.50%, 7/29/17 |
958 | 957,905 | |||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 |
1,050 | 1,021,125 | |||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
851 | 843,950 | |||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |
3,332 | 3,305,830 | |||||||||||||
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
2,488 | 2,498,395 | |||||||||||||
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |
975 | 981,094 | |||||||||||||
10,319,291 | |||||||||||||||
Banks 0.1% |
|||||||||||||||
Redtop Acquisitions Ltd.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
416 | 415,280 | |||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
351 | 351,450 | |||||||||||||
766,730 | |||||||||||||||
Beverages 0.0% |
|||||||||||||||
Le-Natures, Inc., Tranche B Term Loan, 3/01/2011 (a)(j) |
1,000 | | |||||||||||||
Building Products 1.1% |
|||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |
776 | 761,844 | |||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 (b) |
1,631 | 1,602,177 | |||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |
938 | 916,809 | |||||||||||||
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |
1,025 | 1,027,563 | |||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |
1,141 | 1,121,880 | |||||||||||||
United Subcontractors, Inc., Term Loan, 4.26%, 6/30/15 |
172 | 168,109 | |||||||||||||
Wilsonart LLC: |
|||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
762 | 755,310 | |||||||||||||
Term Loan B, 4.00%, 10/31/19 |
804 | 796,232 | |||||||||||||
7,149,924 | |||||||||||||||
Capital Markets 0.3% |
|||||||||||||||
Affinion Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 |
633 | 554,460 | |||||||||||||
Term Loan B, 6.75%, 4/30/18 |
521 | 494,918 | |||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
576 | 573,072 | |||||||||||||
1,622,450 | |||||||||||||||
Chemicals 1.4% |
|||||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
765 | 750,111 | |||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |
658 | 655,996 | |||||||||||||
MacDermid, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 6/07/20 |
660 | 661,765 | |||||||||||||
Term Loan B2, 4.75%, 6/07/20 |
288 | 289,638 | |||||||||||||
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |
1,222 | 1,225,372 | |||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
1,251 | 1,218,405 | |||||||||||||
OXEA Finance LLC: |
|||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
705 | 663,581 | |||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
672 | 649,260 | |||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
769 | 770,744 | |||||||||||||
Solenis International LP: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 7/31/21 |
519 | 512,216 | |||||||||||||
2nd Lien Term Loan, 7.75%, 7/31/22 |
1,050 | 1,017,628 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 37 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Chemicals (concluded) |
|||||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
USD |
655 | $ | 650,112 | |||||||||||
9,064,828 | |||||||||||||||
Commercial Services & Supplies 1.6% |
|||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
999 | 986,888 | |||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
1,559 | 1,519,948 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |
1,350 | 1,352,665 | |||||||||||||
Connolly Corp.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 |
1,169 | 1,174,246 | |||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 |
1,000 | 987,500 | |||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |
1,866 | 1,844,637 | |||||||||||||
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |
336 | 325,460 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
1,769 | 1,755,178 | |||||||||||||
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 (d) |
380 | 380,334 | |||||||||||||
10,326,856 | |||||||||||||||
Communications Equipment 0.9% |
|||||||||||||||
Applied Systems, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
327 | 325,681 | |||||||||||||
2nd Lien Term Loan, 7.50%, 1/24/22 |
265 | 262,615 | |||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |
756 | 733,905 | |||||||||||||
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |
432 | 431,223 | |||||||||||||
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 (b)(d) |
290 | 292,175 | |||||||||||||
Telesat Canada, Term Loan A, 4.40%, 3/24/17 |
CAD |
1,560 | 1,239,902 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
USD |
2,738 | 2,735,007 | ||||||||||||
6,020,508 | |||||||||||||||
Construction & Engineering 0.1% |
|||||||||||||||
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20 |
710 | 714,437 | |||||||||||||
Construction Materials 0.4% |
|||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |
500 | 499,170 | |||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
1,859 | 1,853,858 | |||||||||||||
2,353,028 | |||||||||||||||
Containers & Packaging 0.2% |
|||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |
382 | 380,679 | |||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |
904 | 903,282 | |||||||||||||
1,283,961 | |||||||||||||||
Distributors 0.4% |
|||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
2,079 | 2,067,005 | |||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |
199 | 199,493 | |||||||||||||
2,266,498 | |||||||||||||||
Diversified Consumer Services 0.6% |
|||||||||||||||
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21 |
514 | 512,463 | |||||||||||||
Garda World Securities Corp.: |
|||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
12 | 11,694 | |||||||||||||
Term Loan B, 4.00%, 11/06/20 |
46 | 45,711 | |||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
622 | 589,980 | |||||||||||||
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |
2,587 | 2,586,343 | |||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
793 | 417,679 | |||||||||||||
4,163,870 |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Diversified Financial Services 0.5% |
|||||||||||||||
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |
USD |
860 | $ | 853,017 | |||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
1,502 | 1,505,993 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
1,114 | 1,110,687 | |||||||||||||
3,469,697 | |||||||||||||||
Diversified Telecommunication Services 1.9%
|
|||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
2,216 | 2,221,246 | |||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
1,716 | 1,720,551 | |||||||||||||
Integra Telecom, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
975 | 966,469 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 |
1,154 | 1,146,357 | |||||||||||||
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |
1,320 | 1,325,504 | |||||||||||||
Level 3 Financing, Inc.: |
|||||||||||||||
2019 Term Loan, 4.00%, 8/01/19 |
659 | 658,085 | |||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 |
4,240 | 4,237,880 | |||||||||||||
12,276,092 | |||||||||||||||
Electric Utilities 0.2% |
|||||||||||||||
American Energy Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |
296 | 251,606 | |||||||||||||
American Energy Utica LLC: |
|||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |
503 | 442,687 | |||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |
503 | 442,757 | |||||||||||||
1,137,050 | |||||||||||||||
Electrical Equipment 0.4% |
|||||||||||||||
Texas Competitive Electric Holdings Co. LLC: |
|||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 |
668 | 670,829 | |||||||||||||
Extended Term Loan, 4.66%, 10/10/17 (a)(j) |
3,080 | 1,966,056 | |||||||||||||
2,636,885 | |||||||||||||||
Electronic Equipment, Instruments & Components 0.1% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
835 | 827,471 | |||||||||||||
Energy Equipment & Services 0.2% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
1,093 | 1,089,764 | |||||||||||||
Food & Staples Retailing 0.3% |
|||||||||||||||
New Albertsons, Inc., Term Loan, 4.75%, 6/27/21 |
628 | 627,325 | |||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |
240 | 242,251 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/1 |
901 | 901,788 | |||||||||||||
1,771,364 | |||||||||||||||
Food Products 1.5% |
|||||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |
1,495 | 1,491,163 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
1,033 | 1,030,467 | |||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |
672 | 672,465 | |||||||||||||
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |
2,244 | 2,246,373 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
1,034 | 1,034,250 | |||||||||||||
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20 |
1,038 | 1,031,129 | |||||||||||||
Reddy Ice Corp.: |
|||||||||||||||
1st Lien Term Loan, 6.75%, 5/01/19 |
1,464 | 1,266,295 | |||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
1,380 | 1,048,800 | |||||||||||||
9,820,942 |
38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Health Care Equipment & Supplies 1.3% |
|||||||||||||||
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |
USD |
1,157 | $ | 1,156,068 | |||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
510 | 507,105 | |||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |
1,688 | 1,687,242 | |||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
630 | 629,123 | |||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |
1,816 | 1,822,684 | |||||||||||||
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |
1,245 | 1,226,109 | |||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |
1,455 | 1,437,264 | |||||||||||||
8,465,595 | |||||||||||||||
Health Care Providers & Services 2.6% |
|||||||||||||||
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |
238 | 238,793 | |||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |
1,360 | 1,346,400 | |||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |
458 | 457,988 | |||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
437 | 437,432 | |||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
3,965 | 3,972,563 | |||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
1,169 | 1,167,807 | |||||||||||||
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |
800 | 804,504 | |||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |
2,831 | 2,833,606 | |||||||||||||
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |
894 | 893,687 | |||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |
1,000 | 1,019,874 | |||||||||||||
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |
161 | 160,791 | |||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |
713 | 706,997 | |||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |
576 | 570,613 | |||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |
405 | 401,347 | |||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |
591 | 587,554 | |||||||||||||
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 (d) |
1,500 | 1,493,745 | |||||||||||||
17,093,701 | |||||||||||||||
Hotels, Restaurants & Leisure 4.0% |
|||||||||||||||
Amaya Holdings BV: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 |
973 | 965,268 | |||||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 |
3,460 | 3,439,448 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |
1,202 | 1,154,378 | |||||||||||||
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |
1,875 | 1,884,713 | |||||||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |
84 | 77,428 | |||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |
3,099 | 2,983,925 | |||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |
772 | 772,867 | |||||||||||||
Dave & Busters, Inc., Term Loan, 4.25%, 7/25/20 |
235 | 235,283 | |||||||||||||
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |
1,496 | 1,503,354 | |||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |
996 | 995,573 | |||||||||||||
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |
609 | 610,372 | |||||||||||||
La
Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |
4,590 | 4,583,808 |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Hotels, Restaurants & Leisure (concluded) |
|||||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |
USD |
644 | $ | 643,365 | |||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
1,064 | 1,060,050 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
658 | 656,978 | |||||||||||||
Sabre, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
395 | 395,000 | |||||||||||||
Term Loan B, 4.00%, 2/19/19 |
559 | 557,801 | |||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |
2,329 | 2,326,349 | |||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |
1,197 | 1,205,978 | |||||||||||||
26,051,938 | |||||||||||||||
Household Products 0.2% |
|||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
1,144 | 1,141,024 | |||||||||||||
Independent Power and Renewable Electricity Producers 0.7% |
|||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 (d) |
2,043 | 2,043,177 | |||||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 (d) |
1,313 | 1,318,861 | |||||||||||||
Granite Acquisition Inc.: |
|||||||||||||||
Term Loan B, 5.00%, 12/19/21 |
1,116 | 1,127,809 | |||||||||||||
Term Loan C, 5.00%, 12/19/21 |
49 | 49,624 | |||||||||||||
4,539,471 | |||||||||||||||
Industrial Conglomerates 0.3% |
|||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
2,272 | 2,213,646 | |||||||||||||
Insurance 0.8% |
|||||||||||||||
Alliant Holdings I, Inc.: |
|||||||||||||||
Term Loan B, 5.00%, 12/20/19 |
584 | 582,346 | |||||||||||||
Term Loan B1, 5.00%, 12/20/19 |
138 | 137,625 | |||||||||||||
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/28/18 |
1,301 | 1,293,786 | |||||||||||||
Cooper Gay Swett & Crawford of Delaware Holding Corp.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 |
1,044 | 960,572 | |||||||||||||
2nd Lien Term Loan C, 8.25%, 10/16/20 |
500 | 430,835 | |||||||||||||
Sedgwick Claims Management Services, Inc.: |
|||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 |
1,097 | 1,080,810 | |||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 |
665 | 650,038 | |||||||||||||
5,136,012 | |||||||||||||||
Internet Software & Services 0.5% |
|||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |
1,169 | 1,161,372 | |||||||||||||
Go
Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |
801 | 801,352 | |||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |
1,443 | 1,446,357 | |||||||||||||
3,409,081 | |||||||||||||||
IT Services 1.8% |
|||||||||||||||
First Data Corp.: |
|||||||||||||||
2018 Extended Term Loan, 3.67%, 3/24/18 |
7,087 | 7,074,294 | |||||||||||||
2018 Term Loan, 3.67%, 9/24/18 |
1,640 | 1,638,458 | |||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |
754 | 702,321 | |||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |
275 | 244,050 | |||||||||||||
SunGard Data Systems, Inc.: |
|||||||||||||||
Term Loan C, 3.92%, 2/28/17 |
705 | 704,337 | |||||||||||||
Term Loan E, 4.00%, 3/08/20 |
379 | 379,068 | |||||||||||||
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |
810 | 810,046 | |||||||||||||
11,552,574 | |||||||||||||||
Leisure Products 0.1% |
|||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |
422 | 419,612 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 39 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Machinery 0.6% |
|||||||||||||||
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18 |
USD |
1,025 | $ | 1,020,887 | |||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
536 | 528,160 | |||||||||||||
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |
305 | 305,278 | |||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
1,310 | 1,305,606 | |||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
820 | 815,558 | |||||||||||||
3,975,489 | |||||||||||||||
Media 4.0% |
|||||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 |
961 | 963,238 | |||||||||||||
Cengage Learning Acquisitions, Inc.: |
|||||||||||||||
1st Lien Term Loan, 7.00%, 3/31/20 |
3,454 | 3,453,236 | |||||||||||||
Term Loan, 0.00%, 7/03/15 (a)(j) |
2,005 | | |||||||||||||
Charter Communications Operating LLC: |
|||||||||||||||
Term Loan E, 3.00%, 7/01/20 |
1,167 | 1,162,848 | |||||||||||||
Term Loan G, 4.25%, 9/12/21 |
640 | 644,794 | |||||||||||||
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |
2,563 | 2,451,256 | |||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
1,281 | 1,272,134 | |||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |
882 | 877,943 | |||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
2,514 | 2,494,187 | |||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
1,163 | 1,165,900 | |||||||||||||
Numericable U.S. LLC: |
|||||||||||||||
Term Loan B1, 4.50%, 5/21/20 |
1,106 | 1,107,199 | |||||||||||||
Term Loan B2, 4.50%, 5/21/20 |
957 | 957,879 | |||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
945 | 937,426 | |||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |
1,083 | 1,082,129 | |||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
2,411 | 2,404,784 | |||||||||||||
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |
EUR |
442 | 493,653 | ||||||||||||
Virgin Media Investment Holdings Ltd.: |
|||||||||||||||
Term Loan B, 3.50%, 6/07/20 |
USD |
410 | 408,737 | ||||||||||||
Term Loan E, 4.25%, 6/30/23 |
GBP |
790 | 1,219,008 | ||||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 (d) |
USD |
1,516 | 1,516,230 | ||||||||||||
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |
107 | 106,739 | |||||||||||||
Ziggo Financing Partnership: |
|||||||||||||||
Term Loan B1, 3.50%, 1/15/22 |
489 | 483,925 | |||||||||||||
Term Loan B2A, 3.50%, 1/15/22 |
333 | 330,083 | |||||||||||||
Term Loan B3, 3.50%, 1/15/22 |
548 | 542,868 | |||||||||||||
26,076,196 | |||||||||||||||
Metals & Mining 0.6% |
|||||||||||||||
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 |
255 | 235,875 | |||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
1,991 | 1,987,444 | |||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
1,463 | 1,462,515 | |||||||||||||
3,685,834 | |||||||||||||||
Multiline Retail 0.8% |
|||||||||||||||
BJs Wholesale Club, Inc. (b): |
|||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
583 | 580,476 | |||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
575 | 569,969 | |||||||||||||
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 (d) |
2,410 | 2,427,473 | |||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |
1,634 | 1,620,053 | |||||||||||||
5,197,971 |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Oil, Gas & Consumable Fuels 2.1% |
|||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |
USD |
1,491 | $ | 1,192,064 | |||||||||||
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |
1,335 | 1,327,217 | |||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
1,925 | 1,500,626 | |||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |
1,127 | 1,086,298 | |||||||||||||
Fieldwood Energy LLC: |
|||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
464 | 443,474 | |||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
420 | 321,002 | |||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
540 | 534,859 | |||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |
112 | 67,995 | |||||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |
1,645 | 1,661,450 | |||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
900 | 882,000 | |||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |
275 | 265,375 | |||||||||||||
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |
1,005 | 954,750 | |||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |
105 | 94,530 | |||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |
458 | 445,113 | |||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |
368 | 343,760 | |||||||||||||
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 (d) |
1,935 | 1,925,325 | |||||||||||||
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |
297 | 294,773 | |||||||||||||
13,340,611 | |||||||||||||||
Pharmaceuticals 1.4% |
|||||||||||||||
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |
1,292 | 1,295,535 | |||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |
849 | 846,466 | |||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |
2,089 | 2,083,822 | |||||||||||||
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21 |
789 | 784,303 | |||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |
1,642 | 1,631,047 | |||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
1,385 | 1,382,149 | |||||||||||||
Valeant Pharmaceuticals International, Inc.: |
|||||||||||||||
Series C2 Term Loan B, 3.50%, 12/11/19 |
478 | 476,370 | |||||||||||||
Series E Term Loan B, 3.50%, 8/05/20 |
721 | 718,656 | |||||||||||||
9,218,348 | |||||||||||||||
Professional Services 0.8% |
|||||||||||||||
Advantage Sales & Marketing, Inc.: |
|||||||||||||||
2014 1st Lien Term Loan, 4.25%, 7/23/21 |
484 | 481,248 | |||||||||||||
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |
605 | 602,919 | |||||||||||||
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |
420 | 415,096 | |||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
608 | 605,876 | |||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |
850 | 844,331 | |||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
1,051 | 1,040,762 | |||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
1,160 | 1,145,901 | |||||||||||||
5,136,133 | |||||||||||||||
Real Estate Management & Development 0.7%
|
|||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |
941 | 941,381 | |||||||||||||
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |
1,145 | 1,147,022 |
40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Real Estate Management & Development (concluded) |
|||||||||||||||
Realogy Corp.: |
|||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
USD |
47 | $ | 46,382 | |||||||||||
Term Loan B, 3.75%, 3/05/20 |
2,090 | 2,086,913 | |||||||||||||
4,221,698 | |||||||||||||||
Road & Rail 0.2% |
|||||||||||||||
Road Infrastructure Investment LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 |
1,007 | 977,166 | |||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 |
675 | 600,750 | |||||||||||||
1,577,916 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.6% |
|||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 (b) |
2,667 | 2,668,120 | |||||||||||||
Freescale Semiconductor, Inc.: |
|||||||||||||||
Term Loan B4, 4.25%, 2/28/20 |
716 | 714,166 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
375 | 376,991 | |||||||||||||
3,759,277 | |||||||||||||||
Software 1.5% |
|||||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
458 | 449,437 | |||||||||||||
GCA Services Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
560 | 554,400 | |||||||||||||
Term Loan B, 4.25%, 11/01/19 |
523 | 522,058 | |||||||||||||
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |
1,105 | 1,094,572 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |
607 | 576,825 | |||||||||||||
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |
233 | 233,431 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |
1,837 | 1,875,103 | |||||||||||||
Mitchell International, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
629 | 624,331 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
1,200 | 1,184,748 | |||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |
843 | 820,573 | |||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |
815 | 813,976 | |||||||||||||
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |
150 | 149,391 | |||||||||||||
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |
560 | 538,300 | |||||||||||||
9,437,145 | |||||||||||||||
Specialty Retail 1.2% |
|||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
1,449 | 1,446,675 | |||||||||||||
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |
1,194 | 1,190,454 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
2,425 | 2,408,886 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
888 | 886,886 | |||||||||||||
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 (b)(d) |
2,085 | 2,098,969 | |||||||||||||
8,031,870 | |||||||||||||||
Technology Hardware, Storage & Peripherals 0.2% |
|||||||||||||||
Dell, Inc., Term Loan B, 4.50%, 4/29/20 (b) |
1,107 | 1,110,893 | |||||||||||||
Textiles, Apparel & Luxury Goods 0.4% |
|||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 (b) |
1,240 | 1,047,747 | |||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 (b) |
1,033 | 972,753 | |||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 (b) |
780 | 781,247 | |||||||||||||
2,801,747 | |||||||||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||||||
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 (b) |
853 | 848,337 | |||||||||||||
Wireless Telecommunication Services 0.2%
|
|||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 (b) |
1,527 | 1,511,482 | |||||||||||||
Total Floating Rate Loan Interests 42.9% |
278,366,635 |
Foreign Agency Obligations | Par (000) |
Value | |||||||||||||||||
Cyprus Government International Bond, 4.63%, 2/03/20 (c) |
EUR |
2,600 | $ | 2,829,518 | |||||||||||||||
Iceland Government International Bond: |
|||||||||||||||||||
4.88%, 6/16/16 |
USD |
580 | 605,680 | ||||||||||||||||
5.88%, 5/11/22 |
3,030 | 3,458,827 | |||||||||||||||||
Portugal Obrigacoes do Tesouro OT, 4.45%, 6/15/18 (c) |
EUR |
2,350 | 2,955,544 | ||||||||||||||||
Total Foreign Agency Obligations 1.5% |
9,849,569 | ||||||||||||||||||
Non-Agency Mortgage-Backed Securities |
|||||||||||||||||||
Collateralized Mortgage Obligations 2.4% |
|||||||||||||||||||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |
USD |
4,904 | 4,450,210 | ||||||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: |
|||||||||||||||||||
Series 2005-17, Class 1A6, 5.50%, 9/25/35 |
1,153 | 1,127,872 | |||||||||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 |
2,519 | 2,292,721 | |||||||||||||||||
Series 2007-HY5, Class 3A1, 4.79%, 9/25/37 (b) |
1,706 | 1,568,040 | |||||||||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.59%, 10/25/35 (b) |
1,733 | 1,552,296 | |||||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |
4,162 | 4,238,169 | |||||||||||||||||
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.40%, 2/26/37 (b)(c) |
406 | 404,982 | |||||||||||||||||
15,634,290 | |||||||||||||||||||
Commercial Mortgage-Backed Securities 9.4%
| |||||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.75%, 2/10/51 (b) |
1,656 | 1,799,943 | |||||||||||||||||
COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (c) |
5,930 | 6,013,477 | |||||||||||||||||
Commercial Mortgage Pass-Through Certificates (b)(c): |
|||||||||||||||||||
Series 2013-LC13, Class D, 4.88%, 8/10/46 |
3,530 | 3,648,509 | |||||||||||||||||
Series 2014-KYO, Class F, 3.67%, 6/11/27 |
1,855 | 1,847,393 | |||||||||||||||||
Series 2014-PAT, Class E, 3.32%, 8/13/27 |
1,000 | 991,514 | |||||||||||||||||
Series 2014-PAT, Class F, 2.61%, 8/13/27 |
2,000 | 1,894,594 | |||||||||||||||||
Commercial Mortgage Trust, Series 2013-LC6: |
|||||||||||||||||||
Class B, 3.74%, 1/10/46 |
1,110 | 1,150,110 | |||||||||||||||||
Class D, 4.29%, 1/10/46 (b)(c) |
1,330 | 1,287,344 | |||||||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39 |
1,850 | 1,954,827 | |||||||||||||||||
Credit Suisse Mortgage Capital Certificates (b): |
|||||||||||||||||||
Series 2007-C2, Class A2, 5.45%, 1/15/49 |
5 | 4,985 | |||||||||||||||||
Series 2007-C5, Class AAB, 5.62%, 9/15/40 |
930 | 971,416 | |||||||||||||||||
Series 2014-SURF, Class E, 3.27%, 2/15/29 (c) |
1,000 | 998,733 | |||||||||||||||||
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (c) |
4,830 | 4,720,605 | |||||||||||||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.79%, 7/10/38 (b) |
1,610 | 1,689,169 | |||||||||||||||||
GS
Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c) |
1,995 | 2,052,268 | |||||||||||||||||
GS
Mortgage Securities Trust (b): |
|||||||||||||||||||
Series 2006-GG6, Class AM, 5.55%, 4/10/38 |
3,680 | 3,801,514 | |||||||||||||||||
Series 2014-GSFL, Class D, 4.07%, 7/15/31 (c) |
1,140 | 1,138,829 | |||||||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (b)(c) |
1,400 | 1,422,215 | |||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|||||||||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 |
155 | 155,242 | |||||||||||||||||
Series 2007-CB18, Class A4, 5.44%, 6/12/47 |
2,027 | 2,145,903 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) |
|||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. (concluded): |
|||||||||||||||
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (b) |
USD |
2,140 | $ | 2,296,404 | |||||||||||
Series 2012-LC9, Class XA, 1.89%, 12/15/47 (b) |
14,479 | 1,324,636 | |||||||||||||
LB-UBS Commercial Mortgage Trust (b): |
|||||||||||||||
Series 2007-C2, Class AM, 5.49%, 2/15/40 |
2,500 | 2,641,837 | |||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 |
4,401 | 4,627,284 | |||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.82%, 6/12/50 (b) |
1,392 | 1,459,914 | |||||||||||||
Talisman Finance PLC, Series 6, Class A, 0.25%, 10/22/16 (b) |
EUR |
1,252 | 1,387,120 | ||||||||||||
Titan Europe PLC, Series 2007-1X, Class A, 8.00%, 1/20/17 (b) |
GBP |
1,338 | 1,694,468 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (b) |
USD |
2,019 | 2,152,973 | ||||||||||||
WF-RBS Commercial Mortgage Trust: |
|||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 |
1,085 | 1,169,618 | |||||||||||||
Series 2012-C8, Class C, 4.88%, 8/15/45 (b) |
1,395 | 1,520,722 | |||||||||||||
Series 2014-C20, Class XA, 1.24%, 5/15/47 (b) |
14,861 | 1,108,369 | |||||||||||||
61,071,935 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities 0.3% |
|||||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.21%, 11/15/45 (b)(c) |
16,361 | 1,790,506 | |||||||||||||
Scientific Instruments: Control & Filter 0.3%
|
|||||||||||||||
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class GFX, 3.38%, 12/15/19 (c) |
2,500 | 2,216,520 | |||||||||||||
Total Non-Agency Mortgage-Backed Securities 12.4% |
80,713,251 | ||||||||||||||
U.S. Government Sponsored Agency Securities |
|||||||||||||||
Collateralized Mortgage Obligations 0.9% |
|||||||||||||||
Freddie Mac Mortgage-Backed Securities: |
|||||||||||||||
Series K032, Class A2, 3.31%, 5/25/23 (b) |
3,500 | 3,731,262 | |||||||||||||
Series 3986, Class M, REMIC, 4.50%, 9/15/41 |
2,206 | 2,419,005 | |||||||||||||
6,150,267 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations 1.2% |
|||||||||||||||
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.03%, 12/25/17 (b) |
18,874 | 1,668,295 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, Class X1 (b): |
|||||||||||||||
Series K042, 1.06%, 12/25/24 |
35,089 | 2,949,928 | |||||||||||||
Series K707, 1.55%, 12/25/18 |
42,301 | 2,163,843 | |||||||||||||
Series K710, 1.78%, 5/25/19 |
13,167 | 841,178 | |||||||||||||
7,623,244 | |||||||||||||||
Mortgage-Backed Securities 3.2% |
|||||||||||||||
Fannie Mae Mortgage-Backed Securities: |
|||||||||||||||
3.50%, 8/01/26 |
6,811 | 7,268,529 | |||||||||||||
5.00%, 7/01/208/01/23 |
4,637 | 4,942,675 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 |
7,981 | 8,618,670 | |||||||||||||
20,829,874 | |||||||||||||||
Total U.S. Government Sponsored Agency Securities 5.3% |
34,603,385 |
Other Interests (k) | Beneficial Interest (000) |
Value | |||||||||||||||||
Auto Components 0.0% |
|||||||||||||||||||
Lear Corp. Escrow |
USD |
1,000 | $ | 8,750 | |||||||||||||||
Construction Materials 0.0% |
|||||||||||||||||||
USI Senior Holdings |
6 | | |||||||||||||||||
Total Other Interests 0.0% |
8,750 | ||||||||||||||||||
Preferred Securities |
|||||||||||||||||||
Capital Trusts |
Par (000) |
||||||||||||||||||
Banks 2.7% |
|||||||||||||||||||
Bank of America Corp., Series V, 5.13% (b)(f)(i) |
3,470 | 3,417,950 | |||||||||||||||||
Citigroup, Inc., 5.95% (b)(f)(i) |
1,370 | 1,387,125 | |||||||||||||||||
JPMorgan Chase & Co., Series U, 6.13% (b)(f)(i) |
6,690 | 6,927,495 | |||||||||||||||||
JPMorgan Chase & Co., Series V, 5.00% (b)(f)(i) |
3,000 | 2,951,250 | |||||||||||||||||
Wells Fargo & Co., Series S, 5.90% (b)(f)(i) |
3,000 | 3,126,540 | |||||||||||||||||
17,810,360 | |||||||||||||||||||
Capital Markets 0.8% |
|||||||||||||||||||
Credit Suisse Group AG, 6.25% (b)(c)(f)(i) |
1,445 | 1,431,851 | |||||||||||||||||
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(i) |
1,920 | 1,982,400 | |||||||||||||||||
Morgan Stanley, Series H, 5.45% (b)(f)(i) |
1,426 | 1,459,154 | |||||||||||||||||
4,873,405 | |||||||||||||||||||
Diversified Financial Services 1.9% |
|||||||||||||||||||
Bank of America Corp.: |
|||||||||||||||||||
Series U, 5.20% (b)(f)(i) |
1,250 | 1,206,250 | |||||||||||||||||
Citigroup, Inc., 5.90% (b)(f)(i) |
5,000 | 5,018,750 | |||||||||||||||||
Macquarie Bank Ltd., 10.25%, 6/20/57 (b) |
1,450 | 1,621,245 | |||||||||||||||||
Societe Generale SA, 6.00% (b)(c)(f)(i) |
4,825 | 4,584,329 | |||||||||||||||||
12,430,574 | |||||||||||||||||||
Insurance 2.8% |
|||||||||||||||||||
The Allstate Corp., 6.13%, 5/15/67 (b)(f) |
3,000 | 3,180,000 | |||||||||||||||||
AXA SA, 6.46% (b)(c)(f)(i) |
1,625 | 1,735,500 | |||||||||||||||||
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f) |
2,500 | 2,850,000 | |||||||||||||||||
Liberty Mutual Group, Inc.: |
|||||||||||||||||||
7.00%, 3/07/67 (b)(c)(f) |
1,575 | 1,604,531 | |||||||||||||||||
7.80%, 3/07/87 (c)(f) |
1,500 | 1,800,000 | |||||||||||||||||
Swiss Re Capital I LP, 6.85% (b)(c)(f)(i) |
3,000 | 3,148,500 | |||||||||||||||||
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f) |
3,500 | 3,631,250 | |||||||||||||||||
17,949,781 | |||||||||||||||||||
Total Capital Trusts 8.2% |
53,064,120 | ||||||||||||||||||
Preferred Stocks |
Shares | ||||||||||||||||||
Capital Markets 0.9% |
|||||||||||||||||||
The Goldman Sachs Group, Inc., Series J, 5.50% (b)(i) |
202,526 | 5,050,998 | |||||||||||||||||
SCE Trust III, 5.75% (b)(i) |
21,200 | 593,600 | |||||||||||||||||
5,644,598 | |||||||||||||||||||
Consumer Finance 0.0% |
|||||||||||||||||||
Ally Financial, Inc., Series A, 8.50% (b)(i) |
8,657 | 229,757 | |||||||||||||||||
Diversified Financial Services 0.5% |
|||||||||||||||||||
Morgan Stanley, 6.88% (b) |
120,000 | 3,254,400 | |||||||||||||||||
Diversified Telecommunication Services 0.1%
|
|||||||||||||||||||
Orange SA, 4.00% (b) |
200,000 | 243,600 | |||||||||||||||||
Total Preferred Stocks 1.5% |
9,372,355 |
42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Trust Preferreds | Shares | Value | |||||||||||||||||
Diversified Financial Services 0.4% |
|||||||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) |
105,753 | $ | 2,743,203 | ||||||||||||||||
Total Preferred Securities 10.1% |
65,179,678 | ||||||||||||||||||
Warrants |
|||||||||||||||||||
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 | 16,542 | |||||||||||||||||
Total Long-Term Investments (Cost $919,176,254) 141.6% |
919,340,000 |
Short-Term Securities | Shares | Value | |||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (m)(n) |
1,278,380 | $ | 1,278,380 | ||||||||||||
Total Short-Term Securities (Cost $1,278,380) 0.2% |
1,278,380 | ||||||||||||||
Options Purchased (Cost $44,978) 0.0% |
| ||||||||||||||
Total Investments (Cost $920,499,612) 141.8% |
920,618,380 | ||||||||||||||
Liabilities in Excess of Other Assets (41.8)% |
(271,050,354 | ) | |||||||||||||
Net Assets 100.0% |
$ | 649,568,026 |
Notes to Schedule of Investments
(a) | Non-income producing security. |
|||
(b) | Variable rate security. Rate shown is as of report date. |
|||
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold
in transactions exempt from registration to qualified institutional investors. |
|||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation/ (Depreciation) |
||||||||
BNP Paribas Securities Corp. |
$ | 963,700 | | |||||||
Bank of America N.A. |
1,516,230 | $ | (6,063 | ) | ||||||
Barclays Bank PLC |
3,536,922 | (5,245 | ) | |||||||
Citigroup Global Markets, Inc. |
2,210,874 | 24,319 | ||||||||
Credit Suisse Securities (USA) LLC |
292,175 | 3,625 | ||||||||
Deutsche Bank AG |
1,318,861 | 6,469 | ||||||||
J.P. Morgan Securities LLC |
482,394 | 394 | ||||||||
Merrill Lynch International |
380,334 | 1,738 | ||||||||
Morgan Stanley & Co. LLC |
3,420,973 | 2,410 | ||||||||
RBC Capital Markets, LLC |
1,925,325 | 19,350 |
(e) | Zero-coupon bond. |
|||
(f) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase
agreements. |
|||
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
|||
(h) | Convertible security. |
|||
(i) | Security is perpetual in nature and has no stated maturity date. |
|||
(j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|||
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|||
(l) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase
price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
|||
(m) | During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of
Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2014 |
Net Activity |
Shares Held at February 28, 2015 |
Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
7,390,390 | (6,112,010 | ) | 1,278,380 | $ | 1,302 |
(n) | Represents the current yield as of report date. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
| As of February 28, 2015, reverse repurchase agreements outstanding were as follows: |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest |
|||||||||||||||||
Barclays Capital, Inc. |
0.35% |
2/28/14 |
Open |
$ | 3,109,000 | $ | 3,120,063 | |||||||||||||||
Barclays Capital, Inc. |
0.35% |
2/28/14 |
Open |
3,202,000 | 3,213,394 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.38% |
3/10/14 |
Open |
6,339,571 | 6,363,394 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
4/16/14 |
Open |
500,000 | 502,658 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
611,000 | 614,238 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
1,633,000 | 1,641,655 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
278,000 | 279,473 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
960,000 | 965,088 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
502,000 | 504,661 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/17/14 |
Open |
1,244,000 | 1,249,743 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
5/9/14 |
Open |
1,125,643 | 1,130,734 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
5/13/14 |
Open |
933,000 | 937,541 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
5/13/14 |
Open |
1,049,000 | 1,054,105 | |||||||||||||||||
UBS
Securities LLC |
0.35% |
5/13/14 |
Open |
1,693,000 | 1,697,806 | |||||||||||||||||
UBS
Securities LLC |
0.45% |
5/13/14 |
Open |
811,000 | 813,960 | |||||||||||||||||
UBS
Securities LLC |
(0.50)% |
5/13/14 |
Open |
980,000 | 976,026 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
5/13/14 |
Open |
2,326,000 | 2,336,377 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
5/13/14 |
Open |
788,000 | 791,515 | |||||||||||||||||
Barclays Capital, Inc. |
0.40% |
5/14/14 |
Open |
3,311,000 | 3,321,706 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
5/27/14 |
Open |
700,000 | 703,243 | |||||||||||||||||
Barclays Capital, Inc. |
(1.75)% |
6/25/14 |
Open |
518,870 | 512,590 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
7/2/14 |
Open |
1,288,000 | 1,293,195 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
7/11/14 |
Open |
411,750 | 413,482 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
7/15/14 |
Open |
1,208,000 | 1,212,611 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
7/23/14 |
Open |
2,410,417 | 2,418,555 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.59% |
8/12/14 |
Open |
855,000 | 857,817 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.59% |
8/12/14 |
Open |
643,000 | 645,118 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
1,227,506 | 1,230,619 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
3,164,425 | 3,172,450 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
3,386,250 | 3,394,838 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
2,793,750 | 2,800,835 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
2,269,975 | 2,275,732 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
3,108,750 | 3,116,634 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
2,991,199 | 2,998,785 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/16/14 |
Open |
2,378,880 | 2,384,913 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/16/14 |
Open |
2,669,040 | 2,676,424 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
1,242,000 | 1,245,415 | |||||||||||||||||
Barclays Capital, Inc. |
0.44% |
9/17/14 |
Open |
1,061,000 | 1,063,140 | |||||||||||||||||
Barclays Capital, Inc. |
0.55% |
9/17/14 |
Open |
1,278,000 | 1,281,222 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
1,239,000 | 1,242,407 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
489,000 | 490,345 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
942,000 | 944,590 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
869,000 | 871,390 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
1,175,000 | 1,178,231 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
941,000 | 943,588 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
657,000 | 658,807 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
833,000 | 835,291 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
658,000 | 659,810 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
877,000 | 879,412 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
716,000 | 717,969 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/17/14 |
Open |
629,000 | 630,730 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
9/18/14 |
Open |
620,940 | 622,779 | |||||||||||||||||
RBC
Capital Markets LLC |
0.34% |
9/19/14 |
Open |
598,400 | 599,321 | |||||||||||||||||
RBC
Capital Markets LLC |
0.34% |
9/19/14 |
Open |
967,725 | 969,215 | |||||||||||||||||
RBC
Capital Markets LLC |
0.34% |
9/19/14 |
Open |
349,800 | 350,836 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
9/19/14 |
Open |
693,000 | 695,040 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
9/19/14 |
Open |
576,850 | 578,548 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
9/19/14 |
Open |
548,250 | 549,864 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
1,873,585 | 1,878,165 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
1,447,800 | 1,451,339 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
834,063 | 836,101 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
905,450 | 907,663 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
796,800 | 798,748 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
9/22/14 |
Open |
820,124 | 822,128 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/22/14 |
Open |
1,019,323 | 1,022,041 |
44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest |
|||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/22/14 |
Open |
$ | 908,040 | $ | 910,461 | |||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/22/14 |
Open |
891,053 | 893,429 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/22/14 |
Open |
935,588 | 938,082 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
9/22/14 |
Open |
856,069 | 858,352 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.65% |
9/22/14 |
Open |
833,565 | 835,973 | |||||||||||||||||
UBS
Securities LLC |
0.48% |
9/22/14 |
Open |
2,610,000 | 2,615,568 | |||||||||||||||||
UBS
Securities LLC |
0.50% |
9/22/14 |
Open |
4,400,000 | 4,409,778 | |||||||||||||||||
UBS
Securities LLC |
0.50% |
9/22/14 |
Open |
3,027,575 | 3,034,303 | |||||||||||||||||
UBS
Securities LLC |
0.50% |
9/22/14 |
Open |
4,071,094 | 4,080,141 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.50% |
10/2/14 |
Open |
1,437,000 | 1,439,994 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
1,284,000 | 1,287,210 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
739,000 | 740,848 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
1,316,000 | 1,319,290 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
729,000 | 730,823 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
1,176,000 | 1,178,940 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
10/2/14 |
Open |
1,019,000 | 1,021,547 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/30/14 |
Open |
617,865 | 619,121 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/5/14 |
Open |
1,598,000 | 1,601,089 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.34% |
11/7/14 |
Open |
7,278,000 | 7,285,836 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
11/17/14 |
Open |
445,950 | 446,787 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.35% |
11/25/14 |
Open |
1,557,268 | 1,558,721 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
11/25/14 |
Open |
512,775 | 513,527 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
11/25/14 |
Open |
516,313 | 517,070 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.35% |
11/28/14 |
Open |
603,000 | 603,545 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
12/3/14 |
Open |
349,594 | 350,064 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
12/3/14 |
Open |
501,830 | 502,505 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
12/3/14 |
Open |
587,813 | 588,603 | |||||||||||||||||
RBC
Capital Markets LLC |
0.34% |
12/3/14 |
Open |
305,020 | 305,274 | |||||||||||||||||
RBC
Capital Markets LLC |
0.34% |
12/3/14 |
Open |
315,180 | 315,442 | |||||||||||||||||
RBC
Capital Markets LLC |
0.45% |
12/3/14 |
Open |
330,225 | 330,588 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.64% |
12/4/14 |
Open |
564,000 | 564,872 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.64% |
12/4/14 |
Open |
595,000 | 595,920 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.64% |
12/4/14 |
Open |
745,000 | 746,152 | |||||||||||||||||
RBC
Capital Markets LLC |
0.65% |
12/4/14 |
Open |
1,509,450 | 1,511,821 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
1,878,000 | 1,880,353 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
2,160,000 | 2,162,706 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
2,025,000 | 2,027,537 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
1,800,000 | 1,802,255 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
2,035,000 | 2,037,549 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
1,700,000 | 1,702,130 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
1,580,000 | 1,581,979 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/9/14 |
Open |
1,865,000 | 1,867,336 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.65% |
12/10/14 |
Open |
678,902 | 679,895 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.65% |
12/15/14 |
Open |
1,652,400 | 1,654,667 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
295,000 | 295,364 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,344,000 | 1,345,658 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,211,000 | 1,212,494 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
799,000 | 799,985 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
787,000 | 787,971 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,273,000 | 1,274,570 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,416,000 | 1,417,746 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
729,000 | 729,899 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,025,000 | 1,026,264 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
702,000 | 702,866 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
395,000 | 395,487 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
611,000 | 611,754 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,968,000 | 1,970,427 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
693,000 | 693,855 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
694,000 | 694,856 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
768,000 | 768,947 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
819,000 | 820,010 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,211,000 | 1,212,494 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
763,000 | 763,941 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
649,000 | 649,800 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
344,000 | 344,424 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 45 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value | Face Value Including Accrued Interest |
|||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
$ | 1,181,000 | $ | 1,182,457 | |||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
193,000 | 193,238 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,503,000 | 1,504,854 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
401,000 | 401,495 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,000,000 | 1,001,233 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
947,000 | 948,168 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
391,000 | 391,482 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
456,000 | 456,562 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,021,000 | 1,022,259 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
913,000 | 914,126 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,474,000 | 1,475,818 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,025,000 | 1,026,264 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
138,000 | 138,170 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
574,000 | 574,708 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,582,000 | 1,583,951 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,291,000 | 1,292,592 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
384,000 | 384,474 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,173,000 | 1,174,447 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
397,000 | 397,490 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
521,000 | 521,643 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
79,000 | 79,097 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
819,000 | 820,010 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
868,000 | 869,071 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,093,000 | 1,094,348 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
797,000 | 797,983 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
967,000 | 968,193 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
993,000 | 994,225 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
721,000 | 721,889 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
465,000 | 465,574 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,346,000 | 1,347,660 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,479,000 | 1,480,824 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
473,000 | 473,583 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
450,000 | 450,555 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,549,000 | 1,550,910 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
122,000 | 122,150 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
828,000 | 829,021 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
488,000 | 488,602 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
944,000 | 945,164 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
765,000 | 765,944 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
541,000 | 541,667 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
713,000 | 713,879 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
569,000 | 569,702 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/17/14 |
Open |
1,483,000 | 1,484,829 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
12/18/14 |
Open |
370,000 | 370,450 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/14 |
Open |
462,000 | 462,562 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/14 |
Open |
760,000 | 760,925 | |||||||||||||||||
UBS
Securities LLC |
0.40% |
12/18/14 |
Open |
2,857,500 | 2,859,818 | |||||||||||||||||
UBS
Securities LLC |
0.50% |
12/18/14 |
Open |
1,234,955 | 1,236,207 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/18/14 |
Open |
419,738 | 420,206 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
12/18/14 |
Open |
600,838 | 601,508 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.50% |
12/19/14 |
Open |
5,929,000 | 5,933,743 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.50% |
12/19/14 |
Open |
3,025,000 | 3,027,420 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.50% |
12/19/14 |
Open |
1,199,000 | 1,199,959 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.50% |
12/19/14 |
Open |
1,426,000 | 1,427,426 | |||||||||||||||||
UBS
Securities LLC |
0.60% |
12/19/14 |
Open |
979,200 | 980,375 | |||||||||||||||||
UBS
Securities LLC |
0.60% |
12/19/14 |
Open |
1,036,925 | 1,038,169 | |||||||||||||||||
UBS
Securities LLC |
0.60% |
12/19/14 |
Open |
1,050,975 | 1,052,236 | |||||||||||||||||
UBS
Securities LLC |
0.60% |
12/19/14 |
Open |
845,813 | 846,827 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
12/19/14 |
Open |
855,221 | 856,333 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
12/19/14 |
Open |
1,031,835 | 1,033,176 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
12/19/14 |
Open |
1,676,111 | 1,678,290 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.50% |
12/19/14 |
Open |
1,309,000 | 1,310,309 |
46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
As of February 28, 2015, reverse repurchase agreements outstanding were as follows (concluded): |
Counterparty | Interest Rate |
Trade Date |
Maturity Date1 |
Face Value |
Face Value Including Accrued Interest |
|||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
1/6/15 |
Open |
$ | 427,000 | $ | 427,384 | |||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
1/13/15 |
Open |
1,523,000 | 1,524,193 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
1/15/15 |
Open |
1,171,000 | 1,171,878 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
1/26/15 |
Open |
354,848 | 355,049 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
2/4/15 |
Open |
495,000 | 495,206 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
2/4/15 |
Open |
1,260,850 | 1,261,375 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/6/15 |
Open |
959,669 | 960,006 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
2/11/15 |
Open |
642,000 | 642,193 | |||||||||||||||||
Morgan Stanley & Co. LLC |
0.22% |
2/18/15 |
3/18/15 |
20,134,000 | 20,134,639 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
560,057 | 560,108 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
701,000 | 701,064 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
680,432 | 680,494 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
168,558 | 168,574 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
342,791 | 342,822 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
161,738 | 161,753 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/23/15 |
Open |
214,500 | 214,520 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
1,864,800 | 1,864,914 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
1,633,631 | 1,633,731 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
955,966 | 956,025 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
852,840 | 852,892 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
740,631 | 740,677 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/25/15 |
Open |
790,935 | 790,983 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
2/25/15 |
Open |
832,050 | 832,105 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.60% |
2/25/15 |
Open |
721,000 | 721,048 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.65% |
2/25/15 |
Open |
986,790 | 986,861 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.65% |
2/25/15 |
Open |
856,163 | 856,224 | |||||||||||||||||
RBC
Capital Markets LLC |
(1.00)% |
2/25/15 |
Open |
328,440 | 328,404 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/25/15 |
Open |
655,785 | 655,825 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/25/15 |
Open |
712,215 | 712,259 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/25/15 |
Open |
742,646 | 742,692 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/25/15 |
Open |
669,818 | 669,858 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/25/15 |
Open |
670,766 | 670,807 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
2/26/15 |
Open |
1,121,000 | 1,121,056 | |||||||||||||||||
RBC
Capital Markets LLC |
(2.00)% |
2/26/15 |
Open |
326,525 | 326,471 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
2/27/15 |
Open |
687,206 | 687,234 | |||||||||||||||||
Total |
$ | 278,245,466 | $ | 278,720,582 |
1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| As of February 28, 2015, financial futures contracts outstanding were as follows: |
Contracts Long/Short |
Issue | Exchange | Expiration | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
(62) |
5-Year U.S. Treasury Note |
Chicago Board of Trade |
June 2015 |
USD | 7,395,438 | $ | (8,161 | ) | |||||||||||||||||||
(137) |
10-Year U.S. Treasury Note |
Chicago Board of Trade |
June 2015 |
USD | 17,508,172 | (29,043 | ) | ||||||||||||||||||||
(116) |
Long U.S. Treasury Bond |
Chicago Board of Trade |
June 2015 |
USD | 18,773,875 | (102,021 | ) | ||||||||||||||||||||
82 |
Ultra Long U.S. Treasury Bond |
Chicago Board of Trade |
June 2015 |
USD | 13,799,063 | 117,889 | |||||||||||||||||||||
Total |
$ | (21,336 | ) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 47 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
| As of February 28, 2015, forward foreign currency contracts outstanding were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
EUR |
170,000 | USD |
192,475 | State Street Bank and Trust Co. |
4/21/15 |
$ | (2,128 | ) | ||||||||||||||||||||
GBP |
208,000 | USD |
318,638 | Citibank N.A. |
4/21/15 |
2,375 | ||||||||||||||||||||||
GBP |
1,258,000 | USD |
1,908,756 | Toronto Dominion Bank |
4/21/15 |
32,754 | ||||||||||||||||||||||
USD |
1,262,870 | CAD |
1,511,000 | UBS AG |
4/21/15 |
55,022 | ||||||||||||||||||||||
USD |
115,941 | EUR |
101,000 | Bank of America N.A. |
4/21/15 |
2,852 | ||||||||||||||||||||||
USD |
478,274 | EUR |
419,000 | Bank of America N.A. |
4/21/15 |
9,123 | ||||||||||||||||||||||
USD |
108,684 | EUR |
97,000 | Bank of America N.A. |
4/21/15 |
74 | ||||||||||||||||||||||
USD |
21,343,230 | EUR |
18,495,000 | Citibank N.A. |
4/21/15 |
634,520 | ||||||||||||||||||||||
USD |
171,470 | EUR |
151,000 | Goldman Sachs & Co. |
4/21/15 |
2,396 | ||||||||||||||||||||||
USD |
118,571 | EUR |
104,000 | Royal Bank of Scotland PLC |
4/21/15 |
2,123 | ||||||||||||||||||||||
USD |
254,601 | EUR |
225,000 | UBS AG |
4/21/15 |
2,670 | ||||||||||||||||||||||
USD |
30,650,886 | GBP |
20,206,000 | Bank of America N.A. |
4/21/15 |
(533,656 | ) | |||||||||||||||||||||
Total |
$ | 208,125 |
| As of February 28, 2015, OTC options purchased were as follows: |
Description | Counterparty | Put/ Call |
Strike Price |
Expiration Date |
Contracts | Value | ||||||||||
Marsico Parent Superholdco LLC |
Goldman Sachs & Co. |
Call |
USD 942.86 |
12/14/19 |
46 |
|
| As of February 28, 2015, centrally cleared interest rate swaps outstanding were as follows: |
Fixed Rate |
Floating Rate |
Clearinghouse | Expiration Date |
Notional Amount (000) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
2.54% |
3-month LIBOR |
Chicago Mercantile |
9/04/24 |
USD |
18,700 | $ | 737,007 | ||||||||||||||||||||
2.60% |
3-month LIBOR |
Chicago Mercantile |
9/04/24 |
USD |
18,700 | (740,932 | ) | ||||||||||||||||||||
Total |
$ | (3,925 | ) |
| As of February 28, 2015, OTC credit default swaps buy protection outstanding were as follows: |
Issuer | Pay Fixed Rate |
Counterparty | Expiration Date |
Notional Amount (000) |
Value | Premiums Paid |
Unrealized Depreciation |
|||||||||||||||||||
Westpac Banking Corp. |
1.00% |
Deutsche Bank AG |
9/20/17 |
USD 1 |
$ (9) |
$ | 8 | $ | (17 | ) | ||||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00% |
Deutsche Bank AG |
9/20/17 |
USD 1 |
(10) |
8 | (18 | ) | ||||||||||||||||||
Total |
$(19) |
$ | 16 | $ | (35 | ) |
| As of February 28, 2015, OTC interest rate swaps outstanding were as follows: |
Fixed Rate |
Floating Rate |
Counterparty/ Clearinghouse |
Expiration Date |
Notional Amount (000) |
Market Value |
Premiums Received |
Unrealized Depreciation |
|||||||||||||
11.15% |
1-Day BROIS |
Deutsche Bank AG |
1/04/16 |
BRL 56,933 |
$(310,158) | $ | (593) | $ | (309,565) |
| For Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not
apply for purposes of this report, which may combine such industry subclassifications for reporting ease. |
|||
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement
purposes. 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. The categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the
risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows: |
| Level 1 unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability
to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
48 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. For information about the Funds policy regarding valuation of investments and derivative financial
instruments, refer to Note 2 of the Notes to Financial Statements. |
||||
As of February 28, 2015, the following tables summarize the Funds 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 |
| $ | 85,777,260 | $ | 15,455,887 | $ | 101,233,147 | |||||||||||
Common Stocks |
$ | 2,543,742 | 822,736 | 565,124 | 3,931,602 | |||||||||||||
Corporate Bonds |
| 338,101,367 | 8,966,799 | 347,068,166 | ||||||||||||||
Floating Rate Loan Interests |
| 256,723,451 | 21,643,184 | 278,366,635 | ||||||||||||||
Foreign Agency Obligations |
| 9,849,569 | | 9,849,569 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 73,776,126 | 6,937,125 | 80,713,251 | ||||||||||||||
Other Interests |
| | 8,750 | 8,750 | ||||||||||||||
Preferred Securities |
11,871,958 | 51,676,995 | | 63,548,953 | ||||||||||||||
U.S. Government Sponsored Agency Securities |
| 34,603,385 | | 34,603,385 | ||||||||||||||
Warrants |
| | 16,542 | 16,542 | ||||||||||||||
Money Market Funds |
1,278,380 | | | 1,278,380 | ||||||||||||||
Total |
$ | 15,694,080 | $ | 851,330,889 | $ | 53,593,411 | $ | 920,618,380 |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Derivative Financial Instruments1 |
||||||||||||||||||
Assets: |
||||||||||||||||||
Interest rate contracts |
$ | 117,889 | $ | 737,007 | | $ | 854,896 | |||||||||||
Foreign currency exchange contracts |
743,909 | 743,909 | ||||||||||||||||
Liabilities: |
||||||||||||||||||
Interest rate contracts |
(139,225 | ) | (1,050,497 | ) | | (1,189,722 | ) | |||||||||||
Credit rate contracts |
| (35 | ) | | (35 | ) | ||||||||||||
Foreign currency exchange contracts |
| (535,784 | ) | | (535,784 | ) | ||||||||||||
Total |
$ | (21,336 | ) | $ | (105,400 | ) | | $ | (126,736 | ) |
1 Derivative financial instruments are swaps, financial futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement
purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Assets: |
||||||||||||||||||
Cash |
$ | 1,186,592 | | | $ | 1,186,592 | ||||||||||||
Cash pledged for financial futures contracts |
469,500 | | | 469,500 | ||||||||||||||
Cash pledged as collateral for reverse repurchase agreements |
600,000 | | | 600,000 | ||||||||||||||
Cash pledged as collateral for OTC derivatives |
90,000 | | | 90,000 | ||||||||||||||
Cash pledged for centrally cleared swaps |
10,000 | | | 10,000 | ||||||||||||||
Foreign currency at value |
19,657 | | | 19,657 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Reverse repurchase agreements |
| $ | (278,720,582 | ) | | (278,720,582 | ) | |||||||||||
Cash received as collateral for reverse repurchase agreements |
| (198,000 | ) | | (198,000 | ) | ||||||||||||
Total |
$ | 2,375,749 | $ | (278,918,582 | ) | | $ | (276,542,833 | ) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 49 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited
Duration Income Trust (BLW) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning
and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable
inputs were used in determining fair value: |
Common Stocks |
Asset-Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Non-Agency Mortgage- Backed Securities |
Other Interests |
Unfunded Floating Rate Loan Interests (Liabilities) |
Warrants | Total | ||||||||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2014 |
$ | 2,748,166 | $ | 14,418,405 | $ | 8,907,388 | $ | 33,197,391 | | $ | 8,750 | $ | (175 | ) | |
$59,279,925 |
||||||||||||||||||||||
Transfers into Level 31 |
| | | 5,568,235 | | | | $14,419 |
5,582,654 |
|||||||||||||||||||||||||||||
Transfers out of Level 32 |
| (10,116,243 | ) | | (14,142,897 | ) | | | | |
(24,259,140) |
|||||||||||||||||||||||||||
Accrued discounts/premiums |
| (41,233 | ) | (464 | ) | 23,665 | $ | 915 | | | |
(17,117) |
||||||||||||||||||||||||||
Net
realized gain |
(1 | ) | (413,707 | ) | (3,036,848 | ) | 30,133 | | | | |
(3,420,423) |
||||||||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(2,183,041 | ) | 451,169 | 2,973,382 | (379,501 | ) | 33,293 | | 175 | 2,123 |
897,600 |
|||||||||||||||||||||||||||
Purchases |
| 12,120,799 | 495,529 | 3,501,575 | 6,902,917 | | | |
23,020,820 |
|||||||||||||||||||||||||||||
Sales |
| (963,303 | ) | (372,188 | ) | (6,155,417 | ) | | | | |
(7,490,908) |
||||||||||||||||||||||||||
Closing Balance, as of February 28, 2015 |
$ | 565,124 | $ | 15,455,887 | $ | 8,966,799 | $ | 21,643,184 | 6,937,125 | $ | 8,750 | | $16,542 |
$53,593,411 |
||||||||||||||||||||||||
Net
change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |
$ | (2,183,041 | ) | $ | 455,869 | $ | (435,653 | ) | $ | (430,583 | ) | $ | 33,293 | | | $2,123 |
$(2,557,992) |
50 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Statements of Assets and Liabilities |
February 28, 2015
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |
BlackRock Limited Duration Income Trust (BLW)1 |
||||||||||||
Assets |
|||||||||||||||
Investments at value unaffiliated2 |
$ | 181,616,611 | $ | 805,139,034 | $ | 919,340,000 | |||||||||
Investments at value affiliated3 |
| | 1,278,380 | ||||||||||||
Cash |
99,981 | 3,119,964 | 1,186,592 | ||||||||||||
Cash pledged for financial futures contracts |
| | 469,500 | ||||||||||||
Investments sold receivable |
2,453,293 | 10,681,703 | 11,845,366 | ||||||||||||
Cash pledged as collateral for reverse repurchase agreements |
| | 600,000 | ||||||||||||
Interest receivable |
1,029,697 | 4,563,142 | 9,274,118 | ||||||||||||
Swaps receivable |
| | 1,827,734 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
12,042 | 148,623 | 743,909 | ||||||||||||
Foreign currency at value4 |
2,102 | 2,192 | 19,657 | ||||||||||||
Variation margin receivable on financial futures contracts |
| | 45,109 | ||||||||||||
Cash pledged as collateral for OTC derivatives |
| | 90,000 | ||||||||||||
Dividends receivable |
| | 1,696 | ||||||||||||
Principal paydowns receivable |
| | 735 | ||||||||||||
Swap premiums paid |
| | 16 | ||||||||||||
Cash pledged for centrally cleared swaps |
| | 10,000 | ||||||||||||
Deferred offering costs |
| 16,873 | 18,165 | ||||||||||||
Prepaid expenses |
1,942 | 12,945 | 15,685 | ||||||||||||
Other assets |
| | 269,432 | ||||||||||||
Total assets |
185,215,668 | 823,684,476 | 947,036,094 | ||||||||||||
Liabilities |
|||||||||||||||
Bank borrowings payable |
52,000,000 | 231,000,000 | | ||||||||||||
Reverse repurchase agreements |
| | 278,720,582 | ||||||||||||
Investments purchased payable |
5,912,195 | 27,649,265 | 14,770,319 | ||||||||||||
Swaps payable |
| | 1,827,799 | ||||||||||||
Investment advisory fees payable |
137,069 | 455,019 | 386,139 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
15,431 | 60,728 | 535,784 | ||||||||||||
Officers and Directors fees payable |
2,514 | 10,772 | 352,319 | ||||||||||||
Unrealized depreciation on OTC derivatives |
| | 309,600 | ||||||||||||
Income dividends payable |
77,967 | 125,024 | 91,109 | ||||||||||||
Interest expense payable |
38,190 | 167,451 | | ||||||||||||
Cash received as collateral for reverse repurchase agreements |
| | 198,000 | ||||||||||||
Variation margin payable on financial futures contracts |
| | 29,276 | ||||||||||||
Variation margin payable on centrally cleared swaps |
| | 1,135 | ||||||||||||
Swap premiums received |
| | 593 | ||||||||||||
Offering costs payable |
| 10,007 | 12,486 | ||||||||||||
Other accrued expenses payable |
113,331 | 253,770 | 232,927 | ||||||||||||
Total liabilities |
58,296,697 | 259,732,036 | 297,468,068 | ||||||||||||
Net Assets |
$ | 126,918,971 | $ | 563,952,440 | $ | 649,568,026 | |||||||||
Net Assets Consist of |
|||||||||||||||
Paid-in capital5,6,7 |
$ | 128,319,712 | $ | 660,033,945 | $ | 703,327,827 | |||||||||
Distributions in excess of net investment income |
(86,327 | ) | (674,343 | ) | (3,396,935 | ) | |||||||||
Accumulated net realized loss |
(408,152 | ) | (85,588,374 | ) | (50,589,792 | ) | |||||||||
Net unrealized appreciation/depreciation |
(906,262 | ) | (9,818,788 | ) | 226,926 | ||||||||||
Net Assets |
$ | 126,918,971 | $ | 563,952,440 | $ | 649,568,026 | |||||||||
Net asset value per share |
$ | 14.03 | $ | 15.15 | $ | 17.55 | |||||||||
1 Consolidated Statement of Assets and Liabilities |
|||||||||||||||
2 Investments at cost unaffiliated |
$ | 182,519,416 | $ | 815,045,713 | $ | 919,221,232 | |||||||||
3 Investments at cost affiliated |
| | $ | 1,278,380 | |||||||||||
4 Foreign currency at cost |
$ | 2,170 | $ | 2,196 | $ | 19,623 | |||||||||
5 Par value per share |
$ | 0.001 | $ | 0.100 | $ | 0.001 | |||||||||
6 Shares outstanding |
9,044,041 | 37,232,488 | 37,003,854 | ||||||||||||
7 Shares authorized |
unlimited | 200 million | unlimited |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 51 |
Statements of Operations |
Six Months Ended February 28, 2015
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |
BlackRock Limited Duration Income Trust (BLW)1 |
||||||||||||
Investment Income |
|||||||||||||||
Interest |
$ | 4,407,091 | $ | 19,430,864 | $ | 25,016,227 | |||||||||
Dividends unaffiliated |
34,993 | 152,649 | 413,875 | ||||||||||||
Dividends affiliated |
142 | 144 | 1,302 | ||||||||||||
Total income |
4,442,226 | 19,583,657 | 25,431,404 | ||||||||||||
Expenses |
|||||||||||||||
Investment advisory |
891,891 | 2,954,158 | 2,553,119 | ||||||||||||
Custodian |
38,567 | 120,385 | 91,962 | ||||||||||||
Professional |
56,091 | 61,537 | 97,998 | ||||||||||||
Accounting services |
15,548 | 50,326 | 46,526 | ||||||||||||
Offering |
| 51,761 | 55,725 | ||||||||||||
Transfer agent |
13,009 | 31,677 | 37,997 | ||||||||||||
Officer and Directors |
5,772 | 25,161 | 32,770 | ||||||||||||
Printing |
6,674 | 11,792 | 13,048 | ||||||||||||
Registration |
4,700 | 7,017 | 6,433 | ||||||||||||
Miscellaneous |
15,156 | 30,920 | 51,503 | ||||||||||||
Total expenses excluding interest expense and income tax |
1,047,408 | 3,344,734 | 2,987,081 | ||||||||||||
Interest expense |
242,477 | 1,074,203 | 716,387 | ||||||||||||
Income tax |
| 4,878 | | ||||||||||||
Total expenses |
1,289,885 | 4,423,815 | 3,703,468 | ||||||||||||
Less fees waived by Manager |
(133 | ) | (178 | ) | (2,027 | ) | |||||||||
Total expenses after fees waived and paid indirectly |
1,289,752 | 4,423,637 | 3,701,441 | ||||||||||||
Net investment income |
3,152,474 | 15,160,020 | 21,729,963 | ||||||||||||
Realized
and Unrealized Gain (Loss) |
|||||||||||||||
Net realized gain (loss) from: |
|||||||||||||||
Investments |
(688,453 | ) | (4,002,462 | ) | (7,582,951 | ) | |||||||||
Financial futures contracts |
| | (1,801,111 | ) | |||||||||||
Foreign currency transactions |
276,813 | 1,296,164 | 8,018,051 | ||||||||||||
Options written |
| | 93,500 | ||||||||||||
Swaps |
| | (18,449 | ) | |||||||||||
(411,640 | ) | (2,706,298 | ) | (1,290,960 | ) | ||||||||||
Net change in unrealized appreciation/depreciation on: |
|||||||||||||||
Investments |
(1,104,006 | ) | (5,600,249 | ) | (12,525,932 | ) | |||||||||
Financial futures contracts |
| | 72,226 | ||||||||||||
Foreign currency translations |
(82,584 | ) | (238,324 | ) | (1,818,176 | ) | |||||||||
Options written |
| | (11,948 | ) | |||||||||||
Swaps |
| | (291,389 | ) | |||||||||||
Unfunded floating rate loan interests |
6,227 | 27,493 | 2,520 | ||||||||||||
(1,180,363 | ) | (5,811,080 | ) | (14,572,699 | ) | ||||||||||
Net realized and unrealized loss |
(1,592,003 | ) | (8,517,378 | ) | (15,863,659 | ) | |||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 1,560,471 | $ | 6,642,642 | $ | 5,866,304 |
1 | Consolidated Statement of Operations. |
52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Statements of Changes in Net Assets | BlackRock Defined
Opportunity Credit Trust (BHL) |
Six Months Ended February 28, |
Year Ended August 31, |
||||||||||
Increase (Decrease) in Net
Assets: |
2015 (Unaudited) | 2014 | |||||||||
Operations |
|||||||||||
Net investment income |
$ | 3,152,474 | $ | 6,953,558 | |||||||
Net realized gain (loss) |
(411,640 | ) | 1,555,241 | ||||||||
Net change in unrealized appreciation/depreciation |
(1,180,363 | ) | (1,214,434 | ) | |||||||
Net increase in net assets resulting from operations |
1,560,471 | 7,294,365 | |||||||||
Distributions
to Shareholders From1 |
|||||||||||
Net investment income |
(3,705,740 | ) | (7,542,730 | ) | |||||||
Net realized gain |
(1,286,571 | ) | | ||||||||
Decrease in net assets resulting from distributions to shareholders |
(4,992,311 | ) | (7,542,730 | ) | |||||||
Net
Assets |
|||||||||||
Total decrease in net assets |
(3,431,840 | ) | (248,365 | ) | |||||||
Beginning of period |
130,350,811 | 130,599,176 | |||||||||
End of period |
$ | 126,918,971 | $ | 130,350,811 | |||||||
Undistributed (distributions in excess of) net investment income, end of period |
$ | (86,327 | ) | $ | 466,939 |
1 | Distributions for annual periods determined in accordance with federal income tax regulations. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 53 |
Consolidated Statements of Changes in Net Assets | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
Six Months Ended February 28, |
Year Ended August 31, |
||||||||||
Increase (Decrease) in Net
Assets: |
2015 (Unaudited) | 2014 | |||||||||
Operations |
|||||||||||
Net investment income |
$ | 15,160,020 | $ | 32,487,698 | |||||||
Net realized gain (loss) |
(2,706,298 | ) | 606,314 | ||||||||
Net change in unrealized appreciation/depreciation |
(5,811,080 | ) | 771,265 | ||||||||
Net increase in net assets resulting from operations |
6,642,642 | 33,865,277 | |||||||||
Distributions
to Shareholders From1 |
|||||||||||
Net investment income |
(15,153,623 | ) | (33,203,943 | ) | |||||||
Net
Assets |
|||||||||||
Total increase (decrease) in net assets |
(8,510,981 | ) | 661,334 | ||||||||
Beginning of period |
572,463,421 | 571,802,087 | |||||||||
End of period |
$ | 563,952,440 | $ | 572,463,421 | |||||||
Distributions in excess of net investment income, end of period |
$ | (674,343 | ) | $ | (680,740 | ) |
1 | Distributions for annual periods determined in accordance with federal income tax regulations. |
54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Consolidated Statements of Changes in Net Assets | BlackRock Limited Duration Income Trust (BLW) |
Six Months Ended February 28, |
Year Ended August 31, |
||||||||||
Increase (Decrease) in Net
Assets: |
2015 (Unaudited) | 2014 | |||||||||
Operations |
|||||||||||
Net investment income |
$ | 21,729,963 | $ | 46,667,443 | |||||||
Net realized gain (loss) |
(1,290,960 | ) | 4,294,232 | ||||||||
Net change in unrealized appreciation/depreciation |
(14,572,699 | ) | 14,593,852 | ||||||||
Net increase in net assets resulting from operations |
5,866,304 | 65,555,527 | |||||||||
Distributions
to Shareholders From1 |
|||||||||||
Net investment income |
(25,680,675 | ) | (45,292,717 | ) | |||||||
Net
Assets |
|||||||||||
Total increase (decrease) in net assets |
(19,814,371 | ) | 20,262,810 | ||||||||
Beginning of period |
669,382,397 | 649,119,587 | |||||||||
End of period |
$ | 649,568,026 | $ | 669,382,397 | |||||||
Undistributed (distributions in excess of) net investment income, end of period |
$ | (3,396,935 | ) | $ | 553,777 |
1 | Distributions for annual periods determined in accordance with federal income tax regulations. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 55 |
Statements of Cash Flows | |
Six Months Ended February 28, 2015
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
BlackRock Limited Duration Income Trust (BLW) |
||||||||||||
Cash
Provided by Operating Activities |
|||||||||||||||
Net increase in net assets resulting from operations |
$ | 1,560,471 | $ | 6,642,642 | $ | 5,866,304 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |
|||||||||||||||
(Increase) decrease in interest receivable |
(4,764 | ) | (146,167 | ) | 556,771 | ||||||||||
Increase in swaps receivable |
| | (1,245,742 | ) | |||||||||||
(Increase) decrease in other assets |
| 38,072 | (3,500 | ) | |||||||||||
Increase in variation margin receivable on financial futures contracts |
| | (17,838 | ) | |||||||||||
Decrease in swap premiums paid |
| | 3 | ||||||||||||
(Increase) decrease in prepaid expenses |
2,181 | (3,562 | ) | (4,715 | ) | ||||||||||
Decrease in cash pledged for financial futures contracts |
| | 186,000 | ||||||||||||
Decrease in cash pledged as collateral for OTC derivatives |
400,000 | | | ||||||||||||
Increase in cash pledged as collateral for reverse repurchase agreements |
| | (592,000 | ) | |||||||||||
Increase in cash received for reverse repurchase agreements |
| | (304,000 | ) | |||||||||||
Decrease in investment advisory fees payable |
(16,059 | ) | (52,111 | ) | (63,975 | ) | |||||||||
Decrease in interest expense and fees payable |
(987 | ) | (7,593 | ) | (184,054 | ) | |||||||||
Decrease in other accrued expenses payable |
(15,848 | ) | (95,194 | ) | (29,779 | ) | |||||||||
Increase in variation margin payable on financial futures contracts |
| | 21,120 | ||||||||||||
Increase in variation margin payable on centrally cleared swaps |
| | 1,135 | ||||||||||||
Increase in swaps payable |
| | 1,263,852 | ||||||||||||
Decrease in swap premiums received |
| | (279 | ) | |||||||||||
Increase (decrease) in Officers and Directors fees payable |
(7 | ) | (354 | ) | 16,717 | ||||||||||
Net realized loss on investments and options written |
690,515 | 3,993,779 | 9,121,400 | ||||||||||||
Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests
|
1,180,363 | 5,811,080 | 14,644,500 | ||||||||||||
Amortization of premium and accretion of discount on investments |
(154,587 | ) | (640,292 | ) | 608,542 | ||||||||||
Proceeds from sales of long-term investments |
34,040,314 | 148,755,225 | 188,043,486 | ||||||||||||
Purchases of long-term investments |
(32,662,955 | ) | (145,764,172 | ) | (183,537,385 | ) | |||||||||
Net proceeds from sales of short-term securities |
2,958,501 | 3,456,864 | 6,112,010 | ||||||||||||
Premiums paid on closing options written |
| | (93,500 | ) | |||||||||||
Net cash provided by operating activities |
7,977,138 | 21,988,217 | 40,365,073 | ||||||||||||
Cash
Used for Financing Activities |
|||||||||||||||
Net borrowing of reverse repurchase agreements |
| | (14,985,090 | ) | |||||||||||
Proceeds from bank borrowings |
22,000,000 | 78,000,000 | | ||||||||||||
Payments for bank borrowings |
(25,000,000 | ) | (82,000,000 | ) | | ||||||||||
Cash payments for offering costs |
| (75,129 | ) | (75,129 | ) | ||||||||||
Cash dividends paid to Common Shareholders |
(4,986,497 | ) | (15,150,512 | ) | (25,680,972 | ) | |||||||||
Amortization of deferred offering costs |
| 51,761 | 55,725 | ||||||||||||
Net cash used for financing activities |
(7,986,497 | ) | (19,173,880 | ) | (40,685,466 | ) | |||||||||
Cash
Impact from Foreign Exchange Fluctuations |
|||||||||||||||
Cash impact from foreign exchange fluctuations |
$ | 18 | $ | 320 | $ | 16,533 | |||||||||
Cash
and Foreign Currency |
|||||||||||||||
Net increase (decrease) in cash |
(9,341 | ) | 2,814,657 | (303,860 | ) | ||||||||||
Cash and foreign currency at beginning of period |
111,424 | 307,499 | 1,510,109 | ||||||||||||
Cash and foreign currency at end of period |
$ | 102,083 | $ | 3,122,156 | $ | 1,206,249 | |||||||||
Supplemental
Disclosure of Cash Flow Information |
|||||||||||||||
Cash paid during the period for interest |
$ | 243,464 | $ | 1,081,796 | $ | 900,441 |
56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Financial Highlights | BlackRock Defined
Opportunity Credit Trust (BHL) |
Six Months Ended February 28, 2015 (Unaudited) |
Year Ended August 31, |
|
|||||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||||||
Per
Share Operating Performance |
|||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 14.41 | $ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 | |||||||||||||||
Net investment income1 |
0.35 | 0.77 | 0.87 | 0.85 | 0.86 | 0.85 | |||||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.18 | ) | 0.03 | 0.30 | 0.90 | (0.45 | ) | 0.87 | |||||||||||||||||||
Net increase from investment operations |
0.17 | 0.80 | 1.17 | 1.75 | 0.41 | 1.72 | |||||||||||||||||||||
Distributions from:2 |
|||||||||||||||||||||||||||
Net investment income |
(0.41 | ) | (0.83 | ) | (0.85 | ) | (0.80 | ) | (0.79 | ) | (0.70 | ) | |||||||||||||||
Net realized gain |
(0.14 | ) | | | | | | ||||||||||||||||||||
Total distributions |
(0.55 | ) | (0.83 | ) | (0.85 | ) | (0.80 | ) | (0.79 | ) | (0.70 | ) | |||||||||||||||
Net asset value, end of period |
$ | 14.03 | $ | 14.41 | $ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | |||||||||||||||
Market price, end of period |
$ | 13.17 | $ | 13.84 | $ | 13.77 | $ | 13.94 | $ | 12.65 | $ | 12.86 | |||||||||||||||
Total
Return3 |
|||||||||||||||||||||||||||
Based on net asset value |
1.51%4 | 5.98% | 8.52% | 13.94% | 2.93% | 14.39% | |||||||||||||||||||||
Based on market price |
(0.79)%4 | 6.75% | 4.82% | 17.12% | 4.17% | 23.33% | |||||||||||||||||||||
Ratios
to Average Net Assets |
|||||||||||||||||||||||||||
Total expenses |
2.04% | 5 | 1.92% | 1.92% | 1.91% | 2.02% | 1.91% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly |
2.04% | 5 | 1.92% | 1.92% | 1.91% | 2.02% | 1.90% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense |
1.66% | 5 | 1.60% | 1.58% | 6 | 1.61% | 6 | 1.71% | 1.65% | ||||||||||||||||||
Net investment income |
4.99% | 5 | 5.31% | 6.04% | 6.24% | 6.10% | 6.40% | ||||||||||||||||||||
Supplemental
Data |
|||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 126,919 | $ | 130,351 | $ | 130,599 | $ | 127,455 | $ | 118,897 | $ | 122,062 | |||||||||||||||
Borrowings outstanding, end of period (000) |
$ | 52,000 | $ | 55,000 | $ | 49,000 | $ | 55,000 | $ | 43,000 | $ | 24,000 | |||||||||||||||
Asset coverage, end of period per $1,000 |
$ | 3,441 | $ | 3,370 | $ | 3,665 | $ | 3,317 | $ | 3,765 | $ | 6,086 | |||||||||||||||
Portfolio turnover rate |
19% | 59% | 85% | 53% | 91% | 102% |
1 | Based on average shares outstanding. |
2 | Distributions for annual periods determined in accordance with federal income tax regulations. |
3 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
4 | Aggregate total return. |
5 | Annualized. |
6 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 57 |
Financial Highlights | BlackRock Floating Rate
Income Strategies Fund, Inc. (FRA) |
Six Months Ended February 28, 20151 (Unaudited) |
Year Ended August 31, |
|
|||||||||||||||||||||||||
20141 | 20131 | 20121 | 2011 | 2010 | |||||||||||||||||||||||
Per
Share Operating Performance |
|||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.38 | $ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 | |||||||||||||||
Net investment income2 |
0.41 | 0.87 | 0.99 | 0.97 | 0.96 | 0.91 | |||||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.23 | ) | 0.04 | 0.42 | 0.90 | (0.36 | ) | 1.48 | |||||||||||||||||||
Net increase from investment operations |
0.18 | 0.91 | 1.41 | 1.87 | 0.60 | 2.39 | |||||||||||||||||||||
Distributions from:3 |
|||||||||||||||||||||||||||
Net investment income |
(0.41 | ) | (0.89 | ) | (1.03 | ) | (0.93 | ) | (0.86 | ) | (0.94 | ) | |||||||||||||||
Net realized gain |
| | | | (0.06 | ) | (0.02 | ) | |||||||||||||||||||
Total distributions |
(0.41 | ) | (0.89 | ) | (1.03 | ) | (0.93 | ) | (0.92 | ) | (0.96 | ) | |||||||||||||||
Net asset value, end of period |
$ | 15.15 | $ | 15.38 | $ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | |||||||||||||||
Market price, end of period |
$ | 13.83 | $ | 14.26 | $ | 14.96 | $ | 15.20 | $ | 13.33 | $ | 14.61 | |||||||||||||||
Total
Return4 |
|||||||||||||||||||||||||||
Based on net asset value |
1.48%5 | 6.45% | 9.68% | 13.91% | 4.04% | 18.91% | |||||||||||||||||||||
Based on market price |
(0.09)%5 | 1.33% | 5.28% | 21.74% | (2.91)% | 27.59% | |||||||||||||||||||||
Ratios
to Average Net Assets |
|||||||||||||||||||||||||||
Total expenses |
1.59% | 6 | 1.48% | 1.54% | 7 | 1.67% | 8 | 1.60% | 1.45% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly |
1.59% | 6 | 1.48% | 1.52% | 7 | 1.67% | 8 | 1.60% | 1.45% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax |
1.20% | 6 | 1.15% | 1.15% | 7,9 | 1.35% | 8,9 | 1.30% | 1.22% | ||||||||||||||||||
Net investment income |
5.45% | 6 | 5.65% | 6.49% | 6.67% | 6.44% | 6.43% | ||||||||||||||||||||
Supplemental
Data |
|||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 563,952 | $ | 572,463 | $ | 571,802 | $ | 276,990 | $ | 259,205 | $ | 264,379 | |||||||||||||||
Borrowings outstanding, end of period (000) |
$ | 231,000 | $ | 235,000 | $ | 214,000 | $ | 117,000 | $ | 93,000 | $ | 53,000 | |||||||||||||||
Asset coverage, end of period per $1,000 |
$ | 3,441 | $ | 3,436 | $ | 3,672 | $ | 3,367 | $ | 3,787 | $ | 5,988 | |||||||||||||||
Portfolio turnover rate |
19% | 58% | 88% | 53% | 91% | 96% |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Distributions for annual periods determined in accordance with federal income tax regulations. |
4 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
5 | Aggregate total return. |
6 | Annualized |
7 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively. |
8 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively. |
9 | For the year ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively. |
58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Financial Highlights | BlackRock Limited
Duration Income Trust (BLW) |
Six Months Ended February 28, 20151 (Unaudited) |
Year Ended August 31, |
|
|||||||||||||||||||||||||
20141 | 20131 | 20121 | 2011 | 2010 | |||||||||||||||||||||||
Per
Share Operating Performance |
|||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 18.09 | $ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 | |||||||||||||||
Net investment income2 |
0.59 | 1.26 | 1.30 | 1.31 | 1.34 | 1.12 | |||||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.44 | ) | 0.51 | 0.25 | 0.88 | (0.37 | ) | 1.62 | |||||||||||||||||||
Net increase from investment operations |
0.15 | 1.77 | 1.55 | 2.19 | 0.97 | 2.74 | |||||||||||||||||||||
Distributions from net investment income3 |
(0.69 | ) | (1.22 | ) | (1.39 | ) | (1.33 | ) | (1.24 | ) | (0.90 | ) | |||||||||||||||
Net asset value, end of period |
$ | 17.55 | $ | 18.09 | $ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | |||||||||||||||
Market price, end of period |
$ | 15.98 | $ | 16.81 | $ | 16.89 | $ | 18.00 | $ | 16.01 | $ | 16.76 | |||||||||||||||
Total
Return4 |
|||||||||||||||||||||||||||
Based on net asset value |
1.32%5 | 10.77% | 9.13% | 13.86% | 5.85% | 19.00% | |||||||||||||||||||||
Based on market price |
(0.71)% | 5 | 6.89% | 1.47% | 21.68% | 2.77% | 26.04% | ||||||||||||||||||||
Ratio
to Average Net Assets |
|||||||||||||||||||||||||||
Total expenses |
1.15% | 6 | 1.14% | 1.12% | 1.05% | 1.01% | 0.82% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly |
1.15% | 6 | 1.14% | 1.12% | 1.05% | 1.00% | 0.81% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense |
0.93% | 6 | 0.92% | 0.90% | 0.89% | 0.87% | 0.73% | ||||||||||||||||||||
Net investment income |
6.74% | 6 | 7.00% | 7.34% | 7.82% | 7.75% | 6.90% | ||||||||||||||||||||
Supplemental
Data |
|||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 649,568 | $ | 669,382 | $ | 649,120 | $ | 642,391 | $ | 609,818 | $ | 619,381 | |||||||||||||||
Borrowings outstanding, end of period (000) |
$ | 278,721 | $ | 293,890 | $ | 273,347 | $ | 296,476 | $ | 244,120 | $ | 123,233 | |||||||||||||||
Asset coverage, end of period per $1,000 |
$ | 3,331 | $ | 3,278 | $ | 3,375 | $ | 3,167 | $ | 3,498 | $ | 6,026 | |||||||||||||||
Portfolio turnover rate7 |
20% | 57% | 71% | 54% | 106% | 248% |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Distributions for annual periods determined in accordance with federal income tax regulations. |
4 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions. |
5 | Aggregate total return. |
6 | Annualized. |
7 | Includes mortgage dollar rolls (MDRs). Additional information regarding portfolio turnover is as follows: |
Six Months Ended February 28, 2015 |
Year Ended August 31, |
|||||||||||||||||||||||||
(Unaudited) |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
2010 |
||||||||||||||||
Portfolio turnover (excluding MDRs) |
20 | % | 57 | % | 71 | % | 54 | % | 87 | % | 113 | % |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 59 |
Notes to Financial Statements (Unaudited) |
Trust 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 |
60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 61 |
Notes to Financial Statements (continued) |
the Funds future obligations under such investments or
borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a senior security. Furthermore, if required by an
exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or
custodian as collateral for certain investments or obligations.
62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 63 |
Notes to Financial Statements (continued) |
generally the lending rate offered by one or more European
banks, such as the London Interbank Offered Rate (LIBOR), the prime rate offered by one or more U.S. banks or the certificate of deposit
rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these
investments to be investments in debt securities for purposes of its investment policies.
64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
Counterparty |
|
Reverse Repurchase Agreements |
|
Fair Value of Non-cash Collateral Pledged Including Accrued Interest1 |
|
Cash Collateral Pledged1 |
|
Net Amount |
||||||||||
Barclays Capital, Inc |
$ | 31,941,212 | $ | (31,941,212 | ) | | | |||||||||||
BNP Paribas Securities Corp. |
10,695,716 | (10,695,716 | ) | | | |||||||||||||
Credit Suisse Securities (USA) LLC |
12,898,857 | (12,898,857 | ) | | | |||||||||||||
Deutsche Bank Securities, Inc |
74,108,164 | (74,108,164 | ) | | | |||||||||||||
HSBC Securities (USA), Inc. |
67,766,214 | (67,766,214 | ) | | | |||||||||||||
Morgan Stanley & Co. LLC |
20,134,639 | (20,134,639 | ) | |||||||||||||||
RBC Capital Markets LLC |
7,930,387 | (7,930,387 | ) | | | |||||||||||||
UBS Securities LLC |
53,245,393 | (53,245,393 | ) | | | |||||||||||||
Total |
$ | 278,720,582 | $ | (278,720,582 | ) | | |
1 | Net collateral with a value of $310,063,396 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 65 |
Notes to Financial Statements (continued) |
investments held by the Funds are denominated. The contract is
marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of
forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to
movements in the value of the referenced foreign currencies.
BLW |
||||||||||||||||||||||||||||||||
Calls |
|
|
Puts |
|||||||||||||||||||||||||||||
|
Contracts |
|
Notional (000)1 |
|
Premium Received |
|
|
Contracts |
|
Notional (000)1 |
|
Premium Received |
||||||||||||||||||||
Outstanding options, beginning of period |
| $ | 18,700 | $ | 93,500 | | $ | 18,700 | $ | 93,500 | ||||||||||||||||||||||
Options written |
| | | | | | ||||||||||||||||||||||||||
Options exercised |
| (18,700 | ) | (93,500 | ) | | | | ||||||||||||||||||||||||
Options expired |
| | | | (18,700 | ) | (93,500 | ) | ||||||||||||||||||||||||
Options closed |
| | | | | | ||||||||||||||||||||||||||
Outstanding options, end of period |
| | | | | |
1 | Amount shown is in the currency in which the transaction was denominated. |
66 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
|
Credit default swaps The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
|
Interest rate swaps The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another partys stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
Fair Values of Derivative Financial Instruments as of February 28, 2015 | ||||||||||||||||||
Value | ||||||||||||||||||
BHL | FRA | BLW | ||||||||||||||||
Statements of Assets and Liabilities Location |
Derivative Assets |
Derivative Liabilities |
Derivative Assets |
Derivative Liabilities |
Derivative Assets |
Derivative Liabilities |
||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC swaps; Swap premiums paid/received; Investments at value unaffiliated2; Options written at value |
| | | | $ 854,896 | $1,190,315 | |||||||||||
Foreign currency exchange contracts | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | $ | 12,042 | $ | 15,431 | $ | 148,623 | $ | 60,728 | 743,909 | 535,784 | |||||||
Credit contracts | Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | 16 | 35 | |||||||||||
Total |
$ | 12,042 | $ | 15,431 | $ | 148,623 | $ | 60,728 | $1,598,821 | $1,726,134 |
1 | Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current days variation margin is reported within the Statements of Assets and Liabilities. |
2 | Includes options purchased at value as reported in the Schedules of Investments. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 67 |
Notes to Financial Statements (continued) | |
The Effect of Derivative
Financial Instruments in the Statements of Operations Six Months Ended February 28, 2015 |
|||||||||||||||||||||||||||
BHL | FRA | BLW | BHL | FRA | BLW | ||||||||||||||||||||||
Net Realized Gain (Loss) From | Net Change in Unrealized Appreciation/Depreciation on |
||||||||||||||||||||||||||
Interest rate contracts: |
|||||||||||||||||||||||||||
Financial futures contracts |
| | $ | (1,801,111 | ) | | | $ | 72,226 | ||||||||||||||||||
Swaps |
| | (18,441 | ) | | | (291,397 | ) | |||||||||||||||||||
Options1 |
| | (108,193 | ) | | | 186,984 | ||||||||||||||||||||
Foreign currency exchange contracts: |
|||||||||||||||||||||||||||
Foreign currency transactions/translations |
$ | 259,924 | $ | 1,302,052 | 8,088,322 | $ | (82,602 | ) | $ | (238,644 | ) | (1,853,730 | ) | ||||||||||||||
Credit contracts: |
|||||||||||||||||||||||||||
Swaps |
| (8 | ) | | | 8 | |||||||||||||||||||||
Total |
$ | 259,924 | $ | 1,302,052 | $ | 6,160,569 | $ | (82,602 | ) | $ | (238,644 | ) | $ | (1,885,909 | ) |
1 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
|
BHL |
|
FRA |
|
BLW |
|||||||||
Financial future contracts: |
||||||||||||||
Average notional value of contracts long |
| | $ | 11,161,063 | ||||||||||
Average notional value of contracts short |
| | $ | 44,489,969 | ||||||||||
Forward foreign currency exchange contracts: |
||||||||||||||
Average amounts purchased in USD |
$ | 1,882,943 | $ | 9,610,965 | $ | 57,316,723 | ||||||||
Average amounts sold in USD |
$ | 280,128 | $ | 1,111,721 | $ | 2,105,010 | ||||||||
Options: |
||||||||||||||
Average notional value of swaption contracts purchased |
| | | |||||||||||
Average notional value of swaption contracts written |
| | $ | 18,700,000 | 2 | |||||||||
Credit default swaps: |
||||||||||||||
Average notional value-buy protection |
| | $ | 1,000 | ||||||||||
Average notional value-sell protection |
| | | |||||||||||
Interest rate swaps: |
| |||||||||||||
Average notional value-pays fixed rate |
| | $ | 18,700,000 | ||||||||||
Average notional value-receives fixed rate |
| | $ | 39,826,708 |
2 | Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter. |
68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
right of offset in bankruptcy, insolvency or other events. In
addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds net
assets decline by a stated percentage or the Funds fail to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate
payment of any net liability owed to the counterparty.
BHL |
|
Assets |
|
Liabilities |
||||||
Derivative Financial
Instruments: |
||||||||||
Forward foreign currency exchange contracts |
$ | 12,042 | $ | 15,431 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
| | ||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 12,042 | $ | 15,431 |
FRA |
|
Assets |
|
Liabilities |
||||||
Derivative Financial
Instruments: |
||||||||||
Forward foreign currency exchange contracts |
$ | 148,623 | $ | 60,728 | ||||||
Derivatives not subject to an MNA or similar agreement |
| | ||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 148,623 | $ | 60,728 |
BLW |
|
Assets |
|
Liabilities |
||||||
Derivative Financial
Instruments: |
||||||||||
Financial futures contracts |
$ | 45,109 | $ | 29,276 | ||||||
Forward foreign currency exchange contracts |
743,909 | 535,784 | ||||||||
Swaps Centrally cleared |
| 1,135 | ||||||||
Swaps OTC1 |
16 | 310,193 | ||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
$ | 789,034 | 876,388 | |||||||
Derivatives not subject to an MNA or similar agreement |
(45,109 | ) | (30,411 | ) | ||||||
Total derivative assets and liabilities subject to an MNA |
$ | 743,925 | $ | 845,977 |
1 | Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 69 |
Notes to Financial Statements (continued) |
BHL |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets1 |
||||||||||||
Citibank N.A. |
$ | 12,042 | | | | $ | 12,042 | |||||||||||||||
Total |
$ | 12,042 | | | | $ | 12,042 |
BHL |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset2 |
|
Non-cash Collateral Pledged |
|
Cash Collateral Pledged3 |
|
Net Amount of Derivative Liabilities4 |
||||||||||||
Bank of America N.A. |
$ | 14,156 | | | | $ | 14,156 | |||||||||||||||
Deutsche Bank AG |
1,275 | | | | 1,275 | |||||||||||||||||
Total |
$ | 15,431 | | | | $ | 15,431 |
FRA |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets1 |
||||||||||||
Citibank N.A. |
$ | 43,022 | | | | $ | 43,022 | |||||||||||||||
UBS AG |
105,601 | | | | 105,601 | |||||||||||||||||
Total |
$ | 148,623 | | | | $ | 148,623 |
FRA |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset2 |
|
Non-cash Collateral Pledged |
|
Cash Collateral Pledged3 |
|
Net Amount of Derivative Liabilities4 |
||||||||||||
Bank of America N.A. |
$ | 55,014 | | | | $ | 55,014 | |||||||||||||||
Royal Bank of Scotland PLC |
5,714 | | | | 5,714 | |||||||||||||||||
Total |
$ | 60,728 | | | | $ | 60,728 |
BLW |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets1 |
||||||||||||
Bank of America N.A. |
$ | 12,049 | $ | (12,049 | ) | | | | ||||||||||||||
Citibank N.A. |
636,895 | | | | $ | 636,895 | ||||||||||||||||
Credit Suisse International |
||||||||||||||||||||||
Deutsche Bank AG |
16 | (16 | ) | | | | ||||||||||||||||
Goldman Sachs Bank USA |
2,396 | | | | 2,396 | |||||||||||||||||
Royal Bank of Scotland PLC |
2,123 | | | | 2,123 | |||||||||||||||||
Toronto Dominion Bank |
32,754 | | | | 32,754 | |||||||||||||||||
UBS AG |
57,692 | | | | 57,692 | |||||||||||||||||
Total |
$ | 743,925 | $ | (12,065 | ) | | | $ | 731,860 |
BLW |
|
|
|
|
|
|||||||||||||||||
Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset2 |
|
Non-cash Collateral Pledged |
|
Cash Collateral Pledged3 |
|
Net Amount of Derivative Liabilities4 |
||||||||||||
Bank of America N.A. |
$ | 533,656 | $ | (12,049 | ) | | | $ | 521,607 | |||||||||||||
Deutsche Bank AG |
310,193 | (16 | ) | | | 310,177 | ||||||||||||||||
State Street Bank and Trust Co. |
2,128 | | | | 2,128 | |||||||||||||||||
Total |
$ | 845,977 | $ | (12,065 | ) | | | $ | 833,912 |
1 | Net amount represents the net amount receivable from the counterparty in the event of default. |
2 | The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA. |
3 | Excess of the collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
4 | Net amount represents the net amount payable due to the counterparty in the event of default. |
70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (continued) |
BHL | 1.00% | |
FRA | 0.75% | |
BLW | 0.55% |
Purchases | ||||||||||||||||
|
BHL |
|
FRA |
|
BLW |
|||||||||||
Non-U.S. Government Securities |
$ | 34,678,446 | $ | 156,571,870 | $ | 174,705,570 | ||||||||||
U.S.
Government Securities |
| | $ | 12,071,661 | ||||||||||||
Total Purchases |
$ | 35,678,446 | $ | 156,571,870 | $ | 186,777,231 | ||||||||||
Sales | ||||||||||||||||
|
BHL |
|
FRA |
|
BLW |
|||||||||||
Non-U.S. Government Securities |
||||||||||||||||
(includes paydowns) |
$ | 35,239,982 | $ | 155,713,836 | $ | 173,874,397 | ||||||||||
U.S.
Government Securities |
| | $ | 11,943,885 | ||||||||||||
Total Sales |
$ | 35,239,982 | $ | 155,713,836 | $ | 185,818,282 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 71 |
Notes to Financial Statements (continued) |
Expires August 31, |
|
FRA |
|
BLW |
||||||
2015 |
$ | 169,958 | | |||||||
2016 |
20,623,334 | $ | 284,006 | |||||||
2017 |
30,228,590 | 9,996,868 | ||||||||
2018 |
27,716,009 | 37,509,275 | ||||||||
2019 |
2,206,081 | | ||||||||
Total |
$ | 80,943,972 | $ | 47,790,149 |
|
BHL |
|
FRA |
|
BLW |
|||||||||
Tax
cost |
$ | 182,968,512 | $ | 817,345,375 | $ | 923,984,737 | ||||||||
Gross unrealized appreciation |
1,098,285 | 8,690,025 | 21,483,021 | |||||||||||
Gross unrealized depreciation |
(2,450,186 | ) | (20,896,366 | ) | (24,849,378 | ) | ||||||||
Net
unrealized depreciation |
$ | (1,351,901 | ) | $ | (12,206,341 | ) | $ | (3,366,357 | ) |
Commitment Amounts | |
BHL | $ 64,000,000 |
FRA | $280,000,000 |
|
Average Amount of Bank Borrowings |
|
Daily Weighted Average Interest Rate |
|||||||
BHL
|
$ | 52,607,735 | 0.92% | |||||||
FRA |
$ | 233,060,773 | 0.92% |
72 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Notes to Financial Statements (concluded) |
potentially expose the Funds to market, issuer and
counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds exposure
to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the
Statements of Assets and Liabilities, less any collateral held by the Funds.
Common Dividend Per Share | |
BHL | $0.0583 |
FRA | $0.0674 |
BLW | $0.0995 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 73 |
Officers and Directors |
Karen
P. Robards, Vice Chairperson of the Board, Chairperson of the
Audit Committee and Director
Michael J. Castellano, Director and Member of the Audit Committee
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F.
Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Barbara G. Novick, Director
John M. Perlowski, Director, President and Chief
Executive Officer
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Charles Park, Chief Compliance Officer
Janey Ahn,
Secretary
Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Funds. Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Funds. |
Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 |
Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110 Transfer Agent Common Shares Computershare Trust Company, N.A. Canton, MA 02021 |
Independent
Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP New York, NY 10036 |
Address of the Funds 100 Bellevue Parkway Wilmington, DE 19809 |
74 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Additional Information |
Fund Certification
Dividend Policy
General Information
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 75 |
Additional Information (continued) |
General Information (concluded)
Section 19(a) Notices
February 28, 2015 |
||||||||||||||||||||||||||||||||||||||||||||
Total Fiscal Year to Date Cumulative Distributions by Character |
Percentage of Fiscal Year to Date Cumulative Distributions by Character |
|
||||||||||||||||||||||||||||||||||||||||||
|
Net Investment Income |
|
Net Realized Capital Gains Short Term |
|
Net Realized Capital Gains Long Term |
|
Return of Capital |
|
Total Per Common Share |
|
Net Investment Income |
|
Net Realized Capital Gains Short Term |
|
Net Realized Capital Gains Long Term |
|
Return of Capital |
|
Total Per Common Share |
|||||||||||||||||||||||||
BHL
|
$ | 0.455211 | | | $ | 0.096789 | $ | 0.552000 | 82% | | | 18% | 100 | % | ||||||||||||||||||||||||||||||
BLW
|
$ | 0.662359 | | | $ | 0.031641 | $ | 0.694000 | 95% | | | 5% | 100 | % |
Shelf Offering Program
76 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 |
Additional Information (concluded) |
BlackRock Privacy Principles
SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 77 |
CEFT-BK3-2/15-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 |
2 |
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 1, 2015
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 1, 2015
By: | /s/ Neal J. Andrews |
Neal J. Andrews | |
Chief Financial Officer (principal financial officer) of | |
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: May 1, 2015
3 |