N-CSR 1 d823921dncsr.htm BLACKROCK DEBT STRATEGIES FUND, INC. BLACKROCK DEBT STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-08603

Name of Fund:  BlackRock Debt Strategies Fund, Inc. (DSU)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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: 12/31/2019

Date of reporting period: 12/31/2019

 

Item 1 – Report to Stockholders

 

 

LOGO   DECEMBER 31, 2019

 

   2019 Annual Report

 

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Limited Duration Income Trust (BLW)

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information

 

Section 19(a)

BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) and BlackRock Limited Duration Income Trust’s (BLW) (each a “Fund” and collectively, the “Funds”), amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

December 31, 2019

 

     Total Fiscal Period to Date
Cumulative Distributions by Character		     Percentage of Fiscal Period 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		  

DSU

   $ 0.702202     $ —     $ —     $ 0.061698 *    $ 0.763900       92 %      0 %      0 %      8 %      100 % 

FRA

     0.372091       —       —       0.012609 *      0.384700       97       0       0       3       100  

BLW

     0.466456       —       —       0.005444 *      0.471900       99       0       0       1       100  

 

  *

The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

 

Section 19(a) notices for each Fund, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

On September 5, 2019, the Funds, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Fund’s Board of Directors/Trustees (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, DSU distributes a fixed amount of $0.0711 per share on a monthly basis, FRA distributes a fixed amount of $0.0788 per share on a monthly basis and BLW distributes a fixed amount of $0.0981 per share on a monthly basis.

The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Under its Plan, each Fund will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Funds will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Funds are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

 

 

2    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

The Markets in Review

Dear Shareholder,

U.S. equities and bonds finished the last year of the decade with impressive returns, putting an exclamation point on a decade of strong performance despite the fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. In many ways, it was fitting that the themes of 2019 — geopolitical uncertainty, fears of recession, and decisive monetary stimulus — put the capstone on a decade that was defined by grappling with these competing forces.

Equity and bond markets posted solid returns, particularly in the second half of the year, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. U.S. large cap equities advanced the most, while equities at the high end of the risk spectrum — emerging markets and U.S. small cap — lagged while still posting solid returns.

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.

As equity performance faltered in late 2018 and global economic growth slowed, the U.S. Federal Reserve (the “Fed”) shifted away from policies designed to decrease inflation in favor of renewed efforts to stimulate economic activity. The Fed left interest rates unchanged in January 2019, then reduced interest rates three times thereafter, starting in July 2019. Similarly, the Fed took measures to support liquidity in short-term lending markets. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan signaled a continuation of accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.

Looking ahead, we believe U.S. economic growth will stabilize and gradually improve in 2020. The primary drivers of recent market performance — trade and monetary policies — could take a back seat to a nascent expansion in manufacturing and a recent uptick in global growth. The headwinds of policy uncertainty in 2019 could become tailwinds in 2020 due to pro-cyclical policy shifts.

Overall, we favor increasing investment risk to benefit from the brighter outlook. In addition to having a positive view for equities overall, we favor emerging market equities over developed market equities. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, government bonds continue to be important portfolio stabilizers, while emerging market bonds, particularly local currency bonds, offer relatively attractive income opportunities.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2019
     6-month   12-month

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

   10.92%   31.49%

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

   7.30   25.52

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

   7.01   22.01

Emerging market equities
(MSCI Emerging Markets Index)

   7.09   18.42

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

   1.03   2.28

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

   1.36   8.91

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

   2.45   8.72

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

   2.21   7.26

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

   3.98   14.32
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

THIS PAGE IS NOT PART OF YOUR FUND REPORT      3  

Table of Contents

 

      Page  

Section 19(a) Notice

      2  

Section 19(b) Disclosure

     2  

The Markets in Review

     3  

Annual Report:

   

Fund Summaries

      5  

The Benefits and Risks of Leveraging

      14  

Derivative Financial Instruments

      14  

Financial Statements

   

Schedules of Investments

      15  

Statements of Assets and Liabilities

      77  

Statements of Operations

      78  

Statements of Changes in Net Assets

      80  

Statements of Cash Flows

      82  

Financial Highlights

      84  

Notes to Financial Statements

      87  

Report of Independent Registered Public Accounting Firm

      100  

Important Tax Information

      101  

Disclosure of Sub-Advisory Agreement

      102  

Automatic Dividend Reinvestment Plans

      104  

Director and Officer Information

      105  

Additional Information

      108  

Glossary of Terms Used in this Report

      110  

 

 

4        

Fund Summary  as of December 31, 2019    BlackRock Debt Strategies Fund, Inc.

 

Fund Overview

BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to provide capital appreciation.

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

On September 5, 2019, the Board approved a change in the fiscal year-end of the Fund, effective as of December 31, 2019, from February 28 to December 31.

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

   DSU

Initial Offering Date

   March 27, 1998

Current Distribution Rate on Closing Market Price as of December 31, 2019 ($11.20)(a)

   7.62%

Current Monthly Distribution per Common Share(b)

   $0.0711

Current Annualized Distribution per Common Share(b)

   $0.8532

Leverage as of December 31, 2019(c)

   30%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14.

 

Market Price and Net Asset Value Per Share Summary

 

      12/31/19     

12/31/18

      Change      High      Low  

Market Price

    $ 11.20      $ 9.77        14.64 %     $ 11.20      $ 9.74  

Net Asset Value

      12.25        11.40        7.46        12.32        11.40  

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

 

LOGO

 

 

FUND SUMMARY      5  

Fund Summary  as of December 31, 2019 (continued)    BlackRock Debt Strategies Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2019 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

       15.97 %       7.08 %       7.02 % 

Fund at Market Price(a)(b)

       23.72        7.18        7.65  

Reference Benchmark(c)

       11.46        5.36        5.30  

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

       14.32        6.36        6.14  

S&P/LSTA Leveraged Loan Index(e)

             8.64        4.35        4.45  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

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

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 
  (e) 

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

The Fund’s positioning within floating rate loan interests (“bank loans”) made the largest contribution to portfolio returns, followed by holdings in high yield bonds. From a sector perspective, positioning within technology, health care and cable & satellite represented the three largest contributors, though holdings in most sectors were additive given strong overall market performance. In terms of credit ratings, B-rated credits were the largest contributors to Fund performance, followed by BB-rated and CCC-rated issues.

There were no meaningful detractors from an asset allocation perspective during the period. From a sector perspective, the Fund’s exposure to oil field services represented the lone detractor as energy-related sectors came under pressure.

Describe recent portfolio activity.

From an asset allocation perspective, the Fund added to its bank loan positioning relative to both high yield bonds and collateralized loan obligations (“CLOs”) over the period. This brought total loan exposure to approximately 85% of the portfolio, with high yield at approximately 15% and no exposure to CLOs at period end. Sector expressions remained broadly consistent over the past several quarters, though single name positioning is arguably more important to portfolio performance. The Fund’s top five issuer positions comprised approximately 9% of portfolio assets at the close of the period.

Describe portfolio positioning at period end.

At period end, bank loans remained the largest allocation in the portfolio, while high yield bonds also represented a meaningful position. The Fund’s largest positions were within the technology, consumer cyclical services and health care sectors. By contrast, the Fund had less exposure to communications names — specifically within wirelines and cable — as well as less exposure to retailers and home construction. Within energy, the Fund emphasized higher quality issuers within the midstream, independent energy and oil field services sectors. From a credit rating perspective, the Fund’s core positioning remained between BB-rated and B-rated issues, with a higher allocation to B-rated names at period end. The Fund also held a small CCC-rated allocation.

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    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Fund Summary  as of December 31, 2019 (continued)    BlackRock Debt Strategies Fund, Inc.

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     12/31/19    

02/28/19

  

Floating Rate Loan Interests

     81 %      70 % 

Corporate Bonds

     15       26  

Investment Companies

     3       2  

Preferred Securities

     1       1  

Asset-Backed Securities

     —       1  

Other

     — (a)      — (a) 

 

  (a) 

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

 

CREDIT QUALITY ALLOCATION (b)(c)

 

     12/31/19    

02/28/19

  

BBB/Baa

     7 %      9 % 

BB/Ba

     27       33  

B

     59       50  

CCC/Caa

     3       5  

N/R

     4       3  

 

  (b) 

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

 
  (c) 

Excludes Options Purchased.

 
 

 

 

FUND SUMMARY      7  

Fund Summary  as of December 31, 2019    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Fund Overview

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

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

On September 5, 2019, the Board approved a change in the fiscal year-end of the Fund, effective as of December 31, 2019, from August 31 to December 31.

Fund Information

 

Symbol on NYSE

   FRA

Initial Offering Date

   October 31, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2019 ($13.44)(a)

   7.04%

Current Monthly Distribution per Common Share(b)

   $0.0788

Current Annualized Distribution per Common Share(b)

   $0.9456

Leverage as of December 31, 2019(c)

  29%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/19     

12/31/18

      Change      High      Low  

Market Price

   $ 13.44      $ 11.90        12.94 %     $ 13.52      $ 11.82  

Net Asset Value

     14.55        13.77        5.66        14.68        13.76  

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

 

LOGO

 

 

8    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Fund Summary  as of December 31, 2019 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2019 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

       12.98 %       5.17 %       5.71 % 

Fund at Market Price(a)(b)

       20.76        3.71        6.22  

S&P/LSTA Leveraged Loan Index(c)

             8.64        4.35        4.45  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

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

 
  (c) 

An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

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

Past performance is not indicative of future results.

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

What factors influenced performance?

Credit markets performed well over the period and the Fund’s core allocation to floating rate loan interests (“bank loans”) performed in sympathy with the broader credit market. By sector, exposure to names within technology, health care and consumer cyclical services added the most to absolute performance. From a credit rating perspective, B-rated positions were the largest absolute contributors to return, followed by holdings rated BB and BBB. Importantly, returns for all ratings categories CCC and above were positive over the period. From an asset allocation perspective, core bank loan positions drove most of the Fund’s performance, while liquid loan index positions were additive as well.

By sector, metals & mining was the sole, modest detractor over the period as the bank loan market saw strong total returns across the board. The Fund’s very small position in loans in the CC ratings category detracted modestly. From an asset allocation perspective, the strategy’s small equity allocation was just slightly detractive over the period.

Describe recent portfolio activity.

Positioning within respect to credit ratings remained relatively consistent over the period, with a focus on loans in the B range while underweighting CCCs. The investment adviser has tactically managed sector-level exposures, although the Fund’s single-name positioning is arguably more important to portfolio composition. In that light, the Fund’s top five issuer-level positions comprise approximately 6% of the portfolio. The investment adviser is an active user of liquid products within the loan market and tactically shifted these exposures throughout the period.

Describe portfolio positioning at period end

By credit rating, B-rated loans were the Fund’s largest position at period end. The Fund had very little exposure to the CCC-rated component of the loan market. Within single B area, the Fund was focused on the higher quality B1/B2 portion, with less exposure to B3s. Also reflecting a focus on relative quality, the Fund had a clear preference for loans with spreads in the 200-300 basis point (2%-3%) range over the London Inter-Bank Offered Rate reference rate as opposed to positions offering spreads in the 400 basis point or higher range. The largest sector positions included consumer cyclical services, pharmaceuticals and aerospace & defense, while retailers, other financials and leisure names were most notably underweight. Additionally, the Fund had a bias toward larger loan tranches and loan/bond capital structures relative to the loan-only segment. From a vintage year perspective, the investment adviser was more cautious on transactions initiated since 2017, given the arguably more aggressive lending standards and weaker protections for loan holders seen in recent years.

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.

 

 

FUND SUMMARY      9  

Fund Summary  as of December 31, 2019 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

    

12/31/19

     08/31/19  

Floating Rate Loan Interests

     94 %      95 % 

Investment Companies

     5       4  

Corporate Bonds

     1       1  

Other

     — (a)      — (a) 

 

  (a)

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

 

CREDIT QUALITY ALLOCATION (c)(d)

 

     12/31/19     08/31/19  

A

     — %      — %(b) 

BBB/Baa

     8       8  

BB/Ba

     27       34  

B

     58       52  

CCC/Caa

     2       2  

N/R

     5       4  

 

  (b) 

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

 
  (c) 

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

 
  (d)

Excludes Short-Term Securities and Options Purchased.

 
 

 

 

10    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Fund Summary  as of December 31, 2019    BlackRock Limited Duration Income Trust

 

Fund Overview

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

On September 5, 2019, the Board approved a change in the fiscal year-end of the Fund, effective as of December 31, 2019, from August 31 to December 31.

Fund Information

 

Symbol on NYSE

   BLW

Initial Offering Date

   July 30, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2019 ($16.39)(a)

   7.18%

Current Monthly Distribution per Common Share(b)

   $0.0981

Current Annualized Distribution per Common Share(b)

   $1.1772

Leverage as of December 31, 2019(c)

   26%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Represents reverse repurchase agreements 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). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 14.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/19     

12/31/18

      Change      High      Low  

Market Price

   $ 16.39      $ 13.37        22.59 %     $ 16.55      $ 13.34  

Net Asset Value

     17.05        15.60        9.29        17.15        15.60  

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

 

LOGO

 

 

FUND SUMMARY      11  

Fund Summary  as of December 31, 2019 (continued)    BlackRock Limited Duration Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2019 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

       16.80 %       7.62 %       7.44 % 

Fund at Market Price(a)(b)

       31.00        9.45        8.56  

Reference Benchmark(c)

       9.39        4.52        4.31  

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

      14.32        6.36        6.14  

S&P/LSTA Leveraged Loan Index(e)

       8.64        4.35        4.45  

BATS S Benchmark(f)

             5.31        2.82        2.28  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

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

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 
  (e) 

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 
  (f) 

A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index.

 

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

Past performance is not indicative of future results.

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

What factors influenced performance?

Positive contributions to the Fund’s absolute performance over the period came from allocations to credit sectors including high yield corporate bonds, senior floating rate loan interests (“bank loans”) and capital securities. Exposure to commercial mortgage-backed securities (“CMBS”) also added to performance. Lastly, non-U.S. dollar exposure contributed positively.

The largest detractors from the Fund’s performance came from its exposures to municipal bonds, U.S. Treasuries and agency collateralized mortgage obligations.

Describe recent portfolio activity.

Over the period, the Fund significantly increased its allocation to U.S. Treasuries. In addition, the Fund modestly increased its allocation in high yield bonds. Allocations to most of the Fund’s other relevant sectors remained relatively constant.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate bonds, senior bank loans, CMBS, asset-backed securities and emerging market debt. The Fund also had exposure to government sectors, including U.S. Treasuries.

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.

 

 

12    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Fund Summary  as of December 31, 2019 (continued)    BlackRock Limited Duration Income Trust

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     12/31/19    

08/31/19

  

Corporate Bonds

     48 %      47 % 

Floating Rate Loan Interests

     31       31  

Capital Trusts

     6       5  

U.S. Government Sponsored Agency Securities

     4       4  

Asset-Backed Securities

     3       4  

U.S. Treasury Obligations

     2       2  

Foreign Agency Obligations

     2       2  

Investment Companies

     2       2  

Preferred Stocks

     1       1  

Non-Agency Mortgage-Backed Securities

     1       1  

Short-Term Securities

     — (a)      1  

Others

     — (b)      — (c) 

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Includes a less than 1% holding in each of the following investment types: Common Stocks, Other Interests, Trust Preferred and Warrants.

 

CREDIT QUALITY ALLOCATION (d)(e)

 

     12/31/19    

08/31/19

  

AAA/Aaa

     1 %      6 % 

AA/Aa

     3       —  

A

     7       5  

BBB/Baa

     15       17  

BB/Ba

     35       35  

B

     34       31  

CCC/Caa

     4       5  

N/R

     1       1  

 

  (d) 

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

 
  (e) 

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

 
 

 

 

FUND SUMMARY      13  

The Benefits and Risks of Leveraging

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

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

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

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

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

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

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

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

Derivative Financial Instruments

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

 

 

14    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security    

Shares

     Value  

Common Stocks — 0.1%

 

Diversified Financial Services — 0.1%

 

Kcad Holdings I Ltd.(a)(b)

       1,075,282,733     $ 731,192  
   

 

 

  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)(c)

       10,718       64  
   

 

 

  
Media — 0.0%  

Adelphia Communications Corp., Class A(a)(b)(c)(d)

       400,000       4  

Adelphia Recovery Trust(b)

       396,568       4  
   

 

 

  
        8  
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

       1,664       85,696  

Preferred Proppants LLC(a)

       14,576       32,796  
   

 

 

  
        118,492  
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(b)

       1,707       13,315  
   

 

 

  
Software — 0.0%  

Avaya Holdings Corp.(b)

       40       540  
   

 

 

  

Total Common Stocks — 0.1%
(Cost — $12,497,579)

 

     863,611  
   

 

 

  
            Par
(000)		         

Corporate Bonds — 21.4%

 

Aerospace & Defense — 1.6%

 

Arconic, Inc., 5.13%, 10/01/24

     USD       441       480,690  

Bombardier, Inc.(d):

      

6.13%, 01/15/23

       664       680,932  

7.50%, 12/01/24

       58       60,937  

7.50%, 03/15/25

       31       31,968  

Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(d)(e)

       515       539,220  

Moog, Inc., 4.25%, 12/15/27(d)

       106       107,866  

Signature Aviation US Holdings,
Inc.(d):

      

5.38%, 05/01/26

       42       44,210  

4.00%, 03/01/28

       292       288,000  

TransDigm UK Holdings PLC, 6.88%, 05/15/26

       493       525,045  

TransDigm, Inc.(d):

      

6.25%, 03/15/26

       4,263       4,615,166  

5.50%, 11/15/27

       245       247,751  

Triumph Group, Inc.,
6.25%, 09/15/24(d)

       260       273,325  

Wolverine Escrow LLC, 9.00%, 11/15/26(d)

       1,790       1,875,025  
   

 

 

  
        9,770,135  
Auto Components — 0.3%  

Allison Transmission, Inc., 5.88%, 06/01/29(d)

       315       344,925  

GKN Holdings Ltd., 4.63%, 05/12/32

     GBP       100       136,394  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.38%, 12/15/25

     USD       308       323,015  

6.25%, 05/15/26

       306       325,890  

5.25%, 05/15/27(d)

       253       258,725  

IHO Verwaltungs GmbH, (3.63% Cash or 4.38% PIK), 3.63%, 05/15/25(e)

     EUR       100       117,357  

NM Holdings Co. LLC, Series B, 9.50%, 07/01/05(a)(b)(c)

     USD       5,125       1  

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.:

      

4.38%, 05/15/26

     EUR       134       157,552  

6.25%, 05/15/26(d)

     USD       122       131,455  
Security          Par
(000)		     Value  
Auto Components (continued)  

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

     USD       168     $ 162,960  

Venture Holdings Co. LLC,
12.00%, 06/01/09(a)(b)(c)

       5,150       1  
   

 

 

  
        1,958,275  
Banks — 0.0%  

Allied Irish Banks PLC (5 year EUR Swap + 3.95%), 4.13%, 11/26/25(f)

     EUR       100       115,899  

Banco Espirito Santo SA(b)(c):

      

2.63%, 05/08/17

       100       19,069  

4.75%, 01/15/18

       200       38,138  

4.00%, 01/21/19

       100       19,069  
   

 

 

  
        192,175  
Building Products — 0.2%  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(d)

     USD       35       35,175  

CPG Merger Sub LLC, 8.00%, 10/01/21(d)

       446       447,115  

Masonite International Corp., 5.38%, 02/01/28(d)

       198       209,138  

Standard Industries, Inc.(d):

      

5.50%, 02/15/23

       4       4,065  

6.00%, 10/15/25

       238       250,197  
   

 

 

  
        945,690  
Capital Markets — 0.0%  

LABL Escrow Issuer LLC, 6.75%, 07/15/26(d)

       243       258,188  
   

 

 

  
Chemicals — 0.4%  

Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d)

       1,030       1,055,750  

Blue Cube Spinco LLC:

      

9.75%, 10/15/23

       313       336,575  

10.00%, 10/15/25

       355       392,548  

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

       134       140,700  

Monitchem HoldCo 3 SA, 5.25%, 03/15/25

     EUR       100       117,442  

PQ Corp., 5.75%, 12/15/25(d)

     USD       507       529,815  
   

 

 

  
        2,572,830  
Commercial Services & Supplies — 0.5%  

ADT Security Corp., 4.88%, 07/15/32(d)

       583       534,902  

Core & Main LP, 6.13%, 08/15/25(d)

       473       493,103  

GFL Environmental, Inc.(d):

      

5.38%, 03/01/23

       21       21,630  

7.00%, 06/01/26

       400       422,560  

5.13%, 12/15/26

       657       690,757  

8.50%, 05/01/27

       344       378,400  

Summer BC Holdco B Sarl, 5.75%, 10/31/26

     EUR       100       116,769  

United Rentals North America, Inc.:

      

5.50%, 07/15/25

     USD       2       2,078  

5.88%, 09/15/26

       46       49,347  

5.50%, 05/15/27

       324       347,091  

5.25%, 01/15/30

       2       2,153  
   

 

 

  
        3,058,790  
Communications Equipment — 0.3%  

ViaSat, Inc., 5.63%, 04/15/27(d)

       558       597,060  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.38%, 05/15/25

       92       94,836  

5.75%, 01/15/27(d)

       1,287       1,307,914  
   

 

 

  
        1,999,810  
Construction & Engineering — 0.1%  

Brand Industrial Services, Inc.,
8.50%, 07/15/25(d)

       248       254,200  

SPIE SA, 2.63%, 06/18/26

     EUR       100       117,218  
 

 

 

SCHEDULES OF INVESTMENTS      15  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

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

SRS Distribution, Inc., 8.25%, 07/01/26(d)

     USD       258     $ 266,385  
   

 

 

  
        637,803  
Construction Materials — 0.3%  

American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28(d)

       266       269,990  

Core & Main Holdings LP, (8.625% Cash or 9.38% PIK), 8.63%, 09/15/24(d)(e)

       336       349,440  

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

       449       475,940  

Williams Scotsman International, Inc., 6.88%, 08/15/23(d)

       531       558,877  
   

 

 

  
        1,654,247  
Consumer Finance — 0.5%  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(e)

     EUR       100       92,127  

Navient Corp.:

      

7.25%, 09/25/23

     USD       5       5,650  

6.13%, 03/25/24

       96       104,160  

5.88%, 10/25/24

       180       192,600  

Refinitiv US Holdings, Inc.:

      

4.50%, 05/15/26(d)

     EUR       855       1,043,690  

4.50%, 05/15/26

       100       122,069  

Springleaf Finance Corp., 5.38%, 11/15/29

     USD       114       118,993  

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

       977       1,068,594  
   

 

 

  
        2,747,883  
Containers & Packaging — 0.6%  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(d)(e)

       541       559,367  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.13%, 08/15/26(d)

       200       205,000  

4.75%, 07/15/27

     GBP       100       138,951  

OI European Group BV, 2.88%, 02/15/25

     EUR       100       116,225  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 07/15/24(d)

     USD       223       230,526  

Trivium Packaging Finance BV(d):

      

5.50%, 08/15/26

       748       788,205  

8.50%, 08/15/27

       1,154       1,283,825  
   

 

 

  
        3,322,099  
Diversified Consumer Services — 0.2%  

APX Group, Inc.:

      

8.75%, 12/01/20

       215       215,000  

7.88%, 12/01/22

       216       217,890  

Ascend Learning LLC, 6.88%, 08/01/25(d)

       558       585,900  

Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, 04/15/26(d)

       12       13,043  
   

 

 

  
        1,031,833  
Diversified Financial Services — 0.4%  

Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(d)

       800       859,760  

Arrow Global Finance PLC, 5.13%, 09/15/24

     GBP       100       134,712  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d)

     USD       200       211,000  

Intrum AB, 2.75%, 07/15/22

     EUR       50       56,843  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(e)

       100       115,928  

Murphy Oil USA, Inc., 4.75%, 09/15/29

     USD       119       125,672  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(d)

       587       606,078  

VZ Vendor Financing BV, 2.50%, 01/31/24

     EUR       100       114,413  
   

 

 

  
        2,224,406  
Security          Par
(000)		     Value  
Diversified Telecommunication Services — 0.5%  

CenturyLink, Inc.:

      

5.63%, 04/01/25

     USD       170     $ 180,634  

5.13%, 12/15/26(d)

       559       568,855  

Series P, 7.60%, 09/15/39

       181       189,145  

Series U, 7.65%, 03/15/42

       443       464,042  

SoftBank Group Corp.:

      

4.00%, 04/20/23

     EUR       100       119,655  

4.00%, 09/19/29

       100       116,354  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       58       64,380  

6.00%, 09/30/34

       479       513,727  

7.20%, 07/18/36

       14       16,587  

7.72%, 06/04/38

       51       62,730  

Telecom Italia SpA:

      

5.30%, 05/30/24(d)

       514       552,550  

2.75%, 04/15/25

     EUR       100       118,415  

Telesat Canada/Telesat LLC,
4.88%, 06/01/27(d)(g)

     USD       235       239,113  
   

 

 

  
        3,206,187  
Electric Utilities — 0.1%  

NextEra Energy Operating Partners LP(d):

      

4.25%, 07/15/24

       393       409,211  

4.50%, 09/15/27

       84       87,570  
   

 

 

  
        496,781  
Electronic Equipment, Instruments & Components — 0.1%  

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

       630       677,250  
   

 

 

  
Energy Equipment & Services — 0.2%  

Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(d)

       107       113,153  

Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(d)

       167       169,874  

USA Compression Partners LP/USA Compression Finance Corp.:

      

6.88%, 04/01/26

       344       361,200  

6.88%, 09/01/27

       362       377,059  
   

 

 

  
        1,021,286  
Environmental, Maintenance, & Security Service — 0.1%  

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

       380       382,375  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) — 0.5%  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(d)

       128       135,040  

GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26

       80       88,432  

Iron Mountain, Inc., 4.88%, 09/15/27(d)

       302       311,815  

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

      

4.50%, 09/01/26

       139       146,298  

4.50%, 01/15/28

       520       542,100  

MPT Operating Partnership LP/MPT Finance Corp., 4.63%, 08/01/29

       329       338,870  

Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(d)

       742       766,115  

VICI Properties LP/VICI Note Co., Inc., 4.63%, 12/01/29(d)

       683       712,027  
   

 

 

  
        3,040,697  
Equity Real Estate Investment Trusts (REITs) — 0.0%  

GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25

       90       98,784  
   

 

 

  
 

 

 

16    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food & Staples Retailing — 0.1%  

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC(d):

      

4.63%, 01/15/27

     USD       284     $ 283,659  

5.88%, 02/15/28

       389       413,312  

Post Holdings, Inc., 5.50%, 12/15/29(d)

       2       2,133  
   

 

 

  
        699,104  
Food Products — 0.4%  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(d)

       479       481,395  

JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28(d)

       118       130,501  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d):

      

6.50%, 04/15/29

       755       839,016  

5.50%, 01/15/30

       294       315,785  

Performance Food Group, Inc.,
5.50%, 10/15/27(d)

       201       214,819  

Simmons Foods, Inc., 7.75%, 01/15/24(d)

       174       187,485  
   

 

 

  
        2,169,001  
Health Care Equipment & Supplies — 0.5%  

Avantor, Inc.(d):

      

6.00%, 10/01/24

       1,111       1,184,582  

9.00%, 10/01/25

       266       297,263  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(d)

       1,676       1,665,525  
   

 

 

  
        3,147,370  
Health Care Providers & Services — 1.4%  

AHP Health Partners, Inc., 9.75%, 07/15/26(d)

       200       219,750  

Centene Corp.(d)(g):

      

4.25%, 12/15/27

       533       548,324  

4.63%, 12/15/29

       1,287       1,353,087  

CHS/Community Health Systems, Inc.(d):

      

8.63%, 01/15/24

       628       665,680  

8.00%, 03/15/26

       288       296,640  

Encompass Health Corp., 5.75%, 11/01/24

       69       69,776  

Envision Healthcare Crop., 8.75%, 10/15/26(d)

       262       162,440  

HCA, Inc.:

      

5.38%, 09/01/26

       80       89,100  

5.63%, 09/01/28

       616       701,994  

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

       588       568,890  

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

       65       70,281  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(d)(e)

       302       280,779  

Surgery Center Holdings, Inc.,
10.00%, 04/15/27(d)

       193       211,818  

Team Health Holdings, Inc., 6.38%, 02/01/25(d)

       118       78,765  

Tenet Healthcare Corp.:

      

8.13%, 04/01/22

       1,183       1,308,694  

4.88%, 01/01/26(d)

       1,052       1,101,865  

5.13%, 11/01/27(d)

       642       678,112  

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

       117       124,605  
   

 

 

  
        8,530,600  
Health Care Technology — 0.1%  

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

       229       235,298  

IQVIA, Inc., 5.00%, 05/15/27(d)

       535       565,952  
   

 

 

  
        801,250  
Hotels, Restaurants & Leisure — 0.9%  

1011778 BC ULC/New Red Finance, Inc., 4.38%, 01/15/28(d)

       218       218,545  
Security          Par
(000)		     Value  
Hotels, Restaurants & Leisure (continued)  

Cedar Fair LP, 5.25%, 07/15/29(d)

     USD       176     $ 189,640  

Golden Nugget, Inc., 6.75%, 10/15/24(d)

       991       1,025,685  

Hilton Domestic Operating Co., Inc., 4.88%, 01/15/30

       684       724,633  

Lions Gate Capital Holdings LLC(d):

      

6.38%, 02/01/24

       26       27,171  

5.88%, 11/01/24

       21       21,105  

MGM Resorts International, 5.75%, 06/15/25

       110       123,200  

Sabre GLBL, Inc., 5.25%, 11/15/23(d)

       221       226,801  

Scientific Games International, Inc.(d):

      

5.00%, 10/15/25

       211       220,759  

8.25%, 03/15/26

       897       988,942  

7.00%, 05/15/28

       196       210,210  

7.25%, 11/15/29

       193       209,405  

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

       99       100,733  

Stonegate Pub Co. Financing PLC(3 mo. LIBOR GBP + 4.38%), 5.17%, 03/15/22(h)

     GBP       100       132,797  

Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32

       100       168,231  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(d)

     USD       165       175,313  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(d)

       262       280,995  

Yum! Brands, Inc.:

      

4.75%, 01/15/30(d)

       285       298,537  

5.35%, 11/01/43

       14       13,860  
   

 

 

  
        5,356,562  
Household Durables — 0.0%  

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

       7       7,105  

Lennar Corp., 5.25%, 06/01/26

       143       156,585  

Tempur Sealy International, Inc., 5.50%, 06/15/26

       2       2,108  
   

 

 

  
        165,798  
Independent Power and Renewable Electricity Producers — 0.5%  

Calpine Corp.:

      

5.75%, 01/15/25

       31       31,814  

5.25%, 06/01/26(d)

       226       235,322  

4.50%, 02/15/28(d)

       391       394,468  

5.13%, 03/15/28(d)

       961       980,893  

Clearway Energy Operating LLC:

      

5.75%, 10/15/25

       149       156,822  

4.75%, 03/15/28(d)

       256       259,520  

NRG Energy, Inc.:

      

6.63%, 01/15/27

       326       353,710  

5.75%, 01/15/28

       2       2,170  

5.25%, 06/15/29(d)

       420       454,125  

TerraForm Power Operating LLC(d):

      

5.00%, 01/31/28

       89       94,101  

4.75%, 01/15/30

       236       240,130  
   

 

 

  
        3,203,075  
Industrial Conglomerates — 0.4%  

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 09/15/24(d)

       60       61,650  

Vertiv Group Corp., 10.00%, 05/15/24(d)

       2,314       2,475,980  
   

 

 

  
        2,537,630  
Insurance — 0.3%  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(d)

       705       755,020  

Assicurazioni Generali SpA(3 mo. Euribor + 5.35%), 5.50%, 10/27/47(f)

     EUR       100       137,829  
 

 

 

SCHEDULES OF INVESTMENTS      17  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Insurance (continued)  

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

     USD       826     $ 873,495  
   

 

 

  
        1,766,344  
Interactive Media & Services — 0.3%  

Netflix, Inc.:

      

4.88%, 04/15/28

       213       221,243  

5.88%, 11/15/28

       36       39,908  

3.88%, 11/15/29

     EUR       149       176,743  

3.63%, 06/15/30

       100       115,255  

4.88%, 06/15/30(d)

     USD       364       369,687  

Twitter, Inc., 3.88%, 12/15/27(d)

       88       87,954  

Uber Technologies, Inc.(d):

      

7.50%, 11/01/23

       241       251,845  

8.00%, 11/01/26

       135       140,738  

7.50%, 09/15/27

       120       123,113  
   

 

 

  
        1,526,486  
IT Services — 0.5%  

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

       1,525       1,544,062  

Camelot Finance SA, 4.50%, 11/01/26(d)

       487       500,393  

Harland Clarke Holdings Corp.,
8.38%, 08/15/22(d)

       712       580,280  

Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, 03/15/30(d)

       142       144,485  

Xerox Corp., 4.80%, 03/01/35

       181       166,996  
   

 

 

  
        2,936,216  
Leisure Products — 0.0%  

Mattel, Inc., 5.88%, 12/15/27(d)

       152       160,170  
   

 

 

  
Machinery — 0.2%  

Colfax Corp., 6.38%, 02/15/26(d)

       226       246,340  

Platin 1426 GmbH, 5.38%, 06/15/23

     EUR       100       112,966  

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

     USD       205       211,663  

SPX FLOW, Inc., 5.88%, 08/15/26(d)

       209       221,017  

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

       699       692,010  
   

 

 

  
        1,483,996  
Media — 3.0%  

Altice Financing SA(d):

      

6.63%, 02/15/23

       1,051       1,069,392  

7.50%, 05/15/26

       408       438,600  

Altice France SA:

      

7.38%, 05/01/26(d)

       1,139       1,222,876  

5.88%, 02/01/27

     EUR       100       126,191  

8.13%, 02/01/27(d)

     USD       534       601,418  

Altice Luxembourg SA:

      

7.63%, 02/15/25(d)

       530       550,538  

8.00%, 05/15/27

     EUR       100       125,630  

10.50%, 05/15/27(d)

     USD       1,361       1,551,608  

AMC Networks, Inc., 4.75%, 08/01/25

       121       121,454  

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

      

5.13%, 05/01/27

       890       938,950  

5.00%, 02/01/28

       68       71,354  

5.38%, 06/01/29

       956       1,022,920  

4.75%, 03/01/30

       561       571,115  

Clear Channel Worldwide Holdings, Inc.(d):

      

9.25%, 02/15/24

       807       893,752  

5.13%, 08/15/27

       1,341       1,396,383  

Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(d)

       1,065       1,134,225  

CSC Holdings LLC:

      

5.25%, 06/01/24

       344       370,660  
Security          Par
(000)		     Value  
Media (continued)  

10.88%, 10/15/25(d)

     USD       1,357     $ 1,516,447  

5.75%, 01/15/30(d)

       544       580,720  

Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(d)

       368       372,251  

DISH DBS Corp., 5.88%, 07/15/22

       674       714,440  

eircom Finance DAC, 3.50%, 05/15/26

     EUR       100       118,196  

Entertainment One Ltd., 4.63%, 07/15/26

     GBP       100       143,038  

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

     USD       105       115,238  

iHeartCommunications, Inc.:

      

6.38%, 05/01/26

       124       134,045  

5.25%, 08/15/27(d)

       15       15,695  

LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(d)

       200       212,000  

Live Nation Entertainment, Inc.,
4.75%, 10/15/27(d)

       33       34,155  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(d)

       252       254,520  

SES SA, (5 year EUR Swap + 5.40%),
5.63%(f)(i)

     EUR       100       125,630  

Sirius XM Radio, Inc., 5.50%, 07/01/29(d)

     USD       198       214,086  

Univision Communications, Inc.(d):

      

5.13%, 05/15/23

       22       21,945  

5.13%, 02/15/25

       166       164,133  

Virgin Media Finance PLC, 5.75%, 01/15/25(d)

       456       469,110  

Virgin Media Secured Finance PLC, 4.88%, 01/15/27

     GBP       100       137,813  

WMG Acquisition Corp., 4.13%, 11/01/24

     EUR       90       104,183  

Ziggo Bond Co. BV, 6.00%, 01/15/27(d)

     USD       309       325,995  

Ziggo BV(d):

      

5.50%, 01/15/27

       188       199,750  

4.88%, 01/15/30

       200       206,462  
   

 

 

  
        18,386,918  
Metals & Mining — 0.7%  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(d)

       317       334,435  

Constellium SE(d):

      

6.63%, 03/01/25

       300       311,280  

5.88%, 02/15/26

       1,176       1,243,620  

Freeport-McMoRan, Inc., 5.45%, 03/15/43

       1,397       1,445,895  

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

       309       314,794  

Kaiser Aluminum Corp., 4.63%, 03/01/28(d)

       100       102,600  

Novelis Corp., 5.88%, 09/30/26(d)

       251       267,090  

thyssenkrupp AG, 2.88%, 02/22/24

     EUR       64       74,018  
   

 

 

  
        4,093,732  
Multiline Retail — 0.0%  

Dufry One BV, 2.00%, 02/15/27

       100       113,662  
   

 

 

  
Oil, Gas & Consumable Fuels — 2.5%  

Antero Resources Corp., 5.38%, 11/01/21

     USD       117       111,406  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(d)

       324       322,260  

Callon Petroleum Co., Series WI, 6.38%, 07/01/26

       110       111,607  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       129       130,916  

8.25%, 07/15/25

       281       287,322  

Cheniere Energy Partners LP:

      

5.63%, 10/01/26

       283       299,272  

4.50%, 10/01/29(d)

       450       462,420  

Series WI, 5.25%, 10/01/25

       12       12,505  

Chesapeake Energy Corp.:

      

4.88%, 04/15/22

       430       339,700  
 

 

 

18    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

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

5.75%, 03/15/23

     USD       72     $ 48,735  

11.50%, 01/01/25(d)

       400       378,000  

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

       334       334,234  

Comstock Resources, Inc., 9.75%, 08/15/26

       97       88,028  

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

       555       472,793  

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

       221       190,060  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 05/01/27(d)

       365       370,019  

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

       625       637,500  

DCP Midstream Operating LP:

      

5.38%, 07/15/25

       22       23,925  

5.13%, 05/15/29

       118       122,425  

6.45%, 11/03/36(d)

       250       262,500  

6.75%, 09/15/37(d)

       226       237,300  

eG Global Finance PLC:

      

6.75%, 02/07/25(d)

       303       307,545  

6.25%, 10/30/25

     EUR       142       168,440  

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

      

5.50%, 01/30/26

     USD       368       379,960  

5.75%, 01/30/28

       338       355,322  

EnLink Midstream Partners LP:

      

4.40%, 04/01/24

       136       131,934  

4.85%, 07/15/26

       39       36,563  

5.60%, 04/01/44

       249       201,690  

5.05%, 04/01/45

       20       15,800  

Extraction Oil & Gas, Inc.(d):

      

7.38%, 05/15/24

       383       239,375  

5.63%, 02/01/26

       133       79,800  

Matador Resources Co., 5.88%, 09/15/26

       361       361,902  

MEG Energy Corp.(d):

      

6.38%, 01/30/23

       147       147,368  

7.00%, 03/31/24

       73       73,456  

6.50%, 01/15/25

       600       624,060  

Murphy Oil Corp.:

      

5.75%, 08/15/25

       105       109,825  

5.88%, 12/01/27

       100       105,000  

Nabors Industries, Inc., 4.63%, 09/15/21

       447       444,206  

Neptune Energy Bondco PLC,
6.63%, 05/15/25(d)

       200       199,876  

NGPL PipeCo LLC, 7.77%, 12/15/37(d)

       186       240,160  

Noble Holding International Ltd., 7.75%, 01/15/24

       20       10,390  

NuStar Logistics LP, 6.00%, 06/01/26

       124       131,130  

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

      

6.25%, 06/01/24

       132       137,280  

5.63%, 10/15/27

       477       504,427  

PDC Energy, Inc.:

      

6.13%, 09/15/24

       66       66,825  

5.75%, 05/15/26

       9       8,978  

QEP Resources, Inc.:

      

5.38%, 10/01/22

       675       678,375  

5.25%, 05/01/23

       165       163,350  

5.63%, 03/01/26

       117       114,104  

Range Resources Corp.:

      

5.88%, 07/01/22

       181       179,642  

5.00%, 08/15/22

       80       78,400  

Rowan Cos., Inc., 4.88%, 06/01/22

       599       437,270  

SM Energy Co.:

      

6.13%, 11/15/22

       101       102,010  

5.00%, 01/15/24

       453       431,482  
Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

5.63%, 06/01/25

     USD       29     $ 27,526  

6.75%, 09/15/26

       44       43,120  

6.63%, 01/15/27

       39       38,331  

Southwestern Energy Co.:

      

6.20%, 01/23/25

       38       34,854  

7.75%, 10/01/27

       16       14,819  

SRC Energy, Inc., 6.25%, 12/01/25

       29       29,218  

Sunoco LP/Sunoco Finance Corp.:

      

5.50%, 02/15/26

       57       59,138  

5.88%, 03/15/28

       151       160,333  

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

      

5.50%, 09/15/24

       62       62,310  

5.50%, 01/15/28

       26       25,480  

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

      

5.13%, 02/01/25

       75       77,813  

5.38%, 02/01/27

       17       17,638  

6.50%, 07/15/27(d)

       165       180,675  

6.88%, 01/15/29(d)

       368       408,480  

5.50%, 03/01/30(d)

       255       262,012  

Transocean, Inc.:

      

8.38%, 12/15/21

       99       101,475  

9.00%, 07/15/23(d)

       558       589,387  

Viper Energy Partners LP, 5.38%, 11/01/27(d)

       88       91,520  

WPX Energy, Inc.:

      

8.25%, 08/01/23

       261       300,150  

5.75%, 06/01/26

       28       29,890  

5.25%, 10/15/27

       78       82,290  
   

 

 

  
        15,145,331  
Paper & Forest Products — 0.0%  

International Paper Co., 7.30%, 11/15/39

       5       6,927  
   

 

 

  
Pharmaceuticals — 0.6%  

Bausch Health Americas, Inc.,
8.50%, 01/31/27(d)

       173       197,012  

Bausch Health Cos., Inc.:

      

4.50%, 05/15/23

     EUR       340       386,145  

6.13%, 04/15/25(d)

     USD       3       3,100  

9.00%, 12/15/25(d)

       382       434,410  

7.00%, 01/15/28(d)

       216       238,421  

5.00%, 01/30/28(d)

       421       432,110  

5.25%, 01/30/30(d)

       415       430,355  

Catalent Pharma Solutions, Inc.,
5.00%, 07/15/27(d)

       251       262,923  

Charles River Laboratories International, Inc., 4.25%, 05/01/28(d)

       103       104,931  

Eagle Holding Co. II LLC(d)(e):

      

(7.63% Cash or 8.38% PIK), 7.63%, 05/15/22

       114       115,794  

(7.75% Cash or 8.50% PIK), 7.75%, 05/15/22

       262       266,030  

Elanco Animal Health, Inc., 4.90%, 08/28/28

       236       256,821  

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

       122       124,745  

Nidda Healthcare Holding GmbH, Series NOV, 3.50%, 09/30/24

     EUR       100       115,675  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(d)

     USD       168       167,160  

Rossini Sarl, 6.75%, 10/30/25

     EUR       168       209,646  

Synlab Unsecured Bondco PLC, 8.25%, 07/01/23

       100       117,498  
   

 

 

  
        3,862,776  
Professional Services — 0.3%  

ASGN, Inc., 4.63%, 05/15/28(d)

     USD       231       237,440  
 

 

 

SCHEDULES OF INVESTMENTS      19  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Professional Services (continued)  

Dun & Bradstreet Corp.(d):

      

6.88%, 08/15/26

     USD       410     $ 452,538  

10.25%, 02/15/27

       600       690,000  
   

 

 

  
        1,379,978  
Real Estate Management & Development — 0.1%  

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

       218       226,175  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27

     GBP       50       75,780  
   

 

 

  
        301,955  
Road & Rail — 0.1%  

Herc Holdings, Inc., 5.50%, 07/15/27(d)

     USD       274       288,385  

Hertz Corp.(d):

      

7.63%, 06/01/22

       133       138,320  

6.00%, 01/15/28

       235       235,000  
   

 

 

  
        661,705  
Semiconductors & Semiconductor Equipment — 0.0%  

Sensata Technologies BV, 5.00%, 10/01/25(d)

       47       51,054  
   

 

 

  
Software — 0.8%  

CDK Global, Inc., 5.25%, 05/15/29(d)

       105       112,613  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(d)

       287       310,319  

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

       861       873,915  

MSCI, Inc., 4.00%, 11/15/29(d)

       58       58,798  

RP Crown Parent LLC, 7.38%, 10/15/24(d)

       602       625,327  

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

       981       1,040,900  

SS&C Technologies, Inc., 5.50%, 09/30/27(d)

       1,067       1,139,022  

TIBCO Software, Inc., 11.38%, 12/01/21(d)

       675       699,502  
   

 

 

  
        4,860,396  
Specialty Retail — 0.1%  

IAA, Inc., 5.50%, 06/15/27(d)

       367       389,938  

PetSmart, Inc., 7.13%, 03/15/23(d)

       41       40,180  
   

 

 

  
        430,118  
Technology Hardware, Storage & Peripherals — 0.1%  

NCR Corp.(d):

      

5.75%, 09/01/27

       92       97,980  

6.13%, 09/01/29

       208       225,705  

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

       306       319,005  
   

 

 

  
        642,690  
Thrifts & Mortgage Finance — 0.1%  

Nationstar Mortgage Holdings, Inc.(d):

      

8.13%, 07/15/23

       174       184,182  

9.13%, 07/15/26

       139       153,943  
   

 

 

  
        338,125  
Transportation Infrastructure — 0.0%  

Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(f)(i)

     EUR       100       109,590  
   

 

 

  
Utilities — 0.0%  

Vistra Operations Co. LLC, 5.63%, 02/15/27(d)

     USD       99       104,321  
   

 

 

  
Wireless Telecommunication Services — 0.5%  

Altice France SA, 5.50%, 01/15/28(d)

       726       746,001  

Sprint Capital Corp.:

      

6.88%, 11/15/28

       197       212,267  

8.75%, 03/15/32

       393       477,004  

Sprint Corp.:

      

7.88%, 09/15/23

       424       467,812  
Security          Par
(000)		     Value  
Wireless Telecommunication Services (continued)  

7.13%, 06/15/24

     USD       117     $ 126,214  

7.63%, 02/15/25

       89       97,664  

7.63%, 03/01/26

       121       133,439  

VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/26(d)

       962       990,860  
   

 

 

  
        3,251,261  
   

 

 

  

Total Corporate Bonds — 21.4%
(Cost — $133,927,293)

 

     129,521,665  
   

 

 

  

Floating Rate Loan Interests(h) — 117.3%

 

Aerospace & Defense — 2.5%

 

1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

       2,190       2,202,938  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 12/06/25

       1,361       1,375,720  

Bleriot US Bidco, Inc., Term Loan B,
(3 mo. LIBOR + 4.75%), 6.69%, 10/31/26

       1,307       1,318,030  

Dynasty Acquisition Co., Inc., 2019 Term Loan B1, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

       4,073       4,097,464  

Nordam Group, Inc., Term Loan B,
(1 mo. LIBOR + 5.50%), 7.25%, 04/09/26(a)

       786       782,129  

TransDigm, Inc.:

      

2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.30%, 06/09/23

       4,503       4,515,066  

2018 Term Loan G, 08/22/24(j)

       765       766,937  
   

 

 

  
        15,058,284  
Air Freight & Logistics — 0.9%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 1.75%), 3.51%, 01/15/25

       1,980       1,991,566  

WestJet Airlines Ltd., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.72%, 12/11/26

       3,671       3,700,515  
   

 

 

  
        5,692,081  
Airlines — 0.9%  

Allegiant Travel Co., Term Loan B, (3 mo. LIBOR + 4.50%), 6.39%, 02/05/24(a)

       1,772       1,782,685  

American Airlines, Inc.:

      

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 3.74%, 12/14/23

       2,103       2,109,387  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 3.80%, 04/28/23

       1,257       1,259,614  
   

 

 

  
        5,151,686  
Auto Components — 2.3%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 04/30/26

       7,553       7,567,270  

USI, Inc.:

      

2017 Repriced Term Loan, 05/16/24(j)

       4,439       4,434,077  

2019 Incremental Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 12/02/26

       253       254,371  

Wand NewCo 3, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 02/05/26

       1,685       1,696,647  
   

 

 

  
        13,952,365  
Banks — 0.7%  

Capri Finance LLC, 2017 1st Lien Term Loan, 11/01/24(j)

       4,074       4,025,272  
   

 

 

  
Building Materials — 1.1%  

Allied Universal Holdco LLC:

      

2019 Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       575       577,946  

2019 Term Loan B, (1 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       5,808       5,837,253  
   

 

 

  
        6,415,199  
 

 

 

20    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Building Products — 1.0%  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24

     USD       1,422     $ 1,420,395  

LSF10 XL Bidco SCA, EUR Term Loan B3, (EURIBOR + 4.00%), 4.00%, 10/12/26

     EUR       1,000       1,104,673  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.20%, 12/19/23

     USD       3,790       3,796,777  
   

 

 

  
        6,321,845  
Capital Markets — 2.3%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 02/13/25

       4,014       3,996,947  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 12/27/22

       1,250       1,256,065  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 04/12/24

       1,763       1,748,116  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 5.50%, 06/03/26

       1,544       1,539,098  

RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 3.80%, 03/27/23

       1,917       1,931,369  

Travelport Finance (Luxembourg) Sarl:

      

2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 10.94%, 05/28/27(a)

       1,370       1,143,950  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.94%, 05/29/26

       2,165       2,017,351  
   

 

 

  
        13,632,896  
Chemicals — 3.8%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.94%, 01/31/24

       3,845       3,851,759  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 3.69%, 06/01/24

       966       967,096  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       3,426       3,408,852  

Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 05/16/24

       871       874,978  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/03/25

       1,145       1,116,243  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B,
06/28/24(j)

       776       769,878  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 11/07/24

       1,283       1,289,882  

Invictus US LLC:

      

1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 03/28/25

       1,209       1,166,544  

2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.68%, 03/30/26

       390       361,725  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.44%, 03/01/26

       3,328       3,343,757  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 05/15/24

       925       918,993  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.56%, 10/14/24

       2,431       2,438,976  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.43%, 02/08/25

       2,119       2,129,202  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.56%, 08/07/20

       526       523,071  
   

 

 

  
        23,160,956  
Security          Par
(000)		     Value  
Commercial Services & Supplies — 5.0%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 11/10/23

     USD       1,847     $ 1,852,558  

Aramark Services, Inc., 2019 Term Loan B4, 01/27/27(j)

       1,143       1,148,361  

Asurion LLC:

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.30%, 08/04/25

       2,164       2,188,886  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 4.80%, 08/04/22

       1,498       1,505,566  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/23

       1,633       1,641,678  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/24

       1,935       1,945,204  

Creative Artists Agency, LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 11/27/26

       3,980       4,009,850  

Diamond (BC) BV, Term Loan, 09/06/24(j)

       1,882       1,838,276  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.69%, 05/09/25

       482       453,820  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/30/25

       1,222       1,222,659  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.69%, 11/03/23

       541       429,364  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 4.06%, 09/19/26

       727       731,061  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.94%, 09/23/26

       1,866       1,869,484  

US Ecology, Inc., Term Loan B,
(1 mo. LIBOR + 2.50%), 4.30%, 08/14/26

       468       471,220  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/27/25

       6,123       6,158,978  

West Corp.:

      

2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 10/10/24

       2,142       1,809,954  

2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.43%, 10/10/24

       1,418       1,185,697  
   

 

 

  
        30,462,616  
Communications Equipment — 0.5%  

Avantor, Inc., 2017 1st Lien Term Loan,
(1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/21/24

       1,708       1,722,358  

Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.76%, 09/26/25

       1,262       1,265,099  
   

 

 

  
        2,987,457  
Construction & Engineering — 1.2%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.18%, 06/21/24

       3,287       3,275,066  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 5.49%, 04/12/25

       528       526,478  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/23/25

       2,296       2,275,428  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 12/08/23

       1,018       1,013,280  
   

 

 

  
        7,090,252  
 

 

 

SCHEDULES OF INVESTMENTS      21  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Construction Materials — 2.4%  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 01/15/27

     USD       3,763     $ 3,779,574  

Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.66%, 08/01/24

       4,855       4,852,487  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 03/29/25

       3,570       3,580,569  

Forterra Finance LLC, 2017 Term Loan B, 10/25/23(j)

       952       929,930  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 08/13/25

       686       688,488  

Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.16%, 06/01/26(a)

       836       842,565  
   

 

 

  
        14,673,613  
Containers & Packaging — 2.5%  

Berry Global, Inc.:

      

2019 Term Loan Y, (3 mo. LIBOR + 2.00%), 3.89%, 07/01/26

       2,816       2,833,059  

Term Loan W, (1 mo. LIBOR + 2.00%), 3.72%, 10/01/22

       5,590       5,605,131  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.23%, 04/03/24

       2,587       2,575,748  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.10%, 12/29/23

       3,050       3,021,051  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 07/31/26

       959       958,703  
   

 

 

  
        14,993,692  
Distributors — 0.4%  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 08/28/24

       3,304       2,684,368  
   

 

 

  
Diversified Consumer Services — 3.7%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 07/12/24

       1,207       1,214,210  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.24%, 01/15/27

       3,105       3,069,596  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 11/07/23

       2,034       2,048,111  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 07/12/25

       1,982       1,963,401  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.99%, 05/15/24

       1,132       1,133,854  

Serta Simmons Bedding LLC:

      

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 5.24%, 1.00% Floor), 11/08/23

       1,113       714,727  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 9.79%, 1.00% Floor), 11/08/24

       115       33,859  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.25%, 11/14/22

       5,525       5,470,427  

TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 03/19/26

       2,643       2,665,977  
Security          Par
(000)		     Value  
Diversified Consumer Services (continued)  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 07/13/23

     USD       3,972     $ 3,959,833  
   

 

 

  
        22,273,995  
Diversified Financial Services — 2.5%  

Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 6.80%, 08/01/26

       3,543       3,510,161  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/04/24

       5,054       5,077,657  

Allsup’s Convenience Stores, Inc., Term Loan, (3 mo. LIBOR + 6.25%), 8.00%, 11/18/24(a)

       1,241       1,231,456  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       1,346       1,338,049  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 07/03/24(a)

       1,506       1,511,188  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 09/06/25

       625       559,704  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 07/30/25

       1,235       1,240,125  

Starwood Property Trust, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 07/27/26

       695       699,172  
   

 

 

  
        15,167,512  
Diversified Telecommunication Services — 1.9%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 01/31/25

       1,891       1,897,424  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       1,334       1,337,590  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.54%, 11/04/26

       1,303       1,318,480  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 03/01/27

       1,676       1,681,607  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/15/24

       1,800       1,798,140  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 3.99%, 08/15/26

       1,568       1,575,736  

Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR - GBP + 3.25%), 3.96%, 01/15/27

     GBP       1,400       1,854,440  
   

 

 

  
        11,463,417  
Electric Utilities — 0.3%  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan,
1.00%, 11/10/20(a)(b)(c)

     USD       2,375       —  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.49%, 12/31/25

       1,554       1,562,006  
   

 

 

  
        1,562,006  
Electrical Equipment — 1.0%  

Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/25

       1,965       1,976,610  

Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/01/24

       4,248       4,247,863  
   

 

 

  
        6,224,473  
 

 

 

22    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Energy Equipment & Services — 0.4%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.30%, 02/12/25(a)

     USD       1,838     $ 1,830,719  

Pioneer Energy Services Corp., Term Loan,
(1 mo. LIBOR + 7.75%, 1.00% Floor),
9.55%, 11/08/22(a)

       770       739,200  
   

 

 

  
        2,569,919  
Equity Real Estate Investment Trusts (REITs) — 1.9%  

Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.96%, 08/09/26(a)

       1,848       1,857,609  

Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.54%, 01/02/26

       1,334       1,329,611  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 03/21/25

       2,990       2,999,472  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.79%, 12/20/24

       5,209       5,230,916  
   

 

 

  
        11,417,608  
Food & Staples Retailing — 1.7%  

Albertsons LLC:

      

2019 Term Loan B7, (1 mo. LIBOR + 2.75%), 4.55%, 11/17/25

       506       510,448  

2019 Term Loan B8, (1 mo. LIBOR + 2.75%), 4.55%, 08/17/26

       13       13,254  

BCPE Empire Holdings, Inc.:

      

2019 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

       30       30,471  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

       1,217       1,218,826  

Hearthside Food Solutions LLC:

      

2018 Incremental Term Loan, 05/23/25(j)

       1,948       1,936,978  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 5.49%, 05/23/25

       691       682,575  

US Foods, Inc.:

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 06/27/23

       3,041       3,049,317  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/13/26

       2,937       2,946,742  
   

 

 

  
        10,388,611  
Food Products — 2.9%  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.55%, 11/19/26

       3,865       3,869,012  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 10/01/25(j)

       1,158       1,162,234  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 10/10/23

       4,109       4,108,237  

Hostess Brands LLC, 2019 Term Loan,
08/03/25(j)

       198       198,147  

JBS USA LUX SA, 2019 Term Loan B,
(1 mo. LIBOR + 2.00%), 3.80%, 05/01/26

       786       790,359  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/23

       7,089       7,105,717  
   

 

 

  
        17,233,706  
Health Care Equipment & Supplies — 1.7%  

Immucor, Inc., Extended Term Loan B,
(3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 06/15/21

       5,298       5,272,972  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.31%, 06/30/25

       5,363       5,294,936  
   

 

 

  
        10,567,908  
Security          Par
(000)		     Value  
Health Care Providers & Services — 3.9%  

AHP Health Partners, Inc., 2018 Term Loan,
(1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 06/30/25

     USD       846     $ 851,666  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 06/07/23

       3,057       3,074,821  

Da Vinci Purchaser Corp., 2019 Term Loan, 12/03/26(j)

       1,120       1,120,000  

DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 06/06/25

       919       913,321  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.41%, 12/20/24

       966       943,002  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 10/10/25

       2,594       2,205,897  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.29%, 03/05/26(a)

       728       710,132  

Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.56%, 07/02/25

       2,705       2,717,061  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/06/26

       1,765       1,756,175  

HCA, Inc., Term Loan B12, (1 mo. LIBOR + 1.75%), 3.55%, 03/13/25

       948       952,652  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 06/07/23

       2,186       2,151,838  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 10/20/22

       2,875       2,379,128  

NVA Holdings, Inc., Term Loan B3, (PRIME + 1.75%), 6.50%, 02/02/25

       2,234       2,231,404  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 02/06/24

       1,100       887,184  

Vizient, Inc., 2019 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 05/06/26

       986       988,616  
   

 

 

  
        23,882,897  
Health Care Services — 0.9%  

Emerald TopCo., Inc., Term Loan, 07/24/26(j)

       2,707       2,719,912  

WP CityMD Bidco LLC, 2019 Term Loan B, 08/13/26(j)

       2,724       2,724,572  
   

 

 

  
        5,444,484  
Health Care Technology — 1.9%  

Athenahealth, Inc., 2019 Term Loan B,
(3 mo. LIBOR + 4.50%), 6.40%, 02/11/26

       5,802       5,823,432  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.30%, 03/01/24

       4,046       4,056,869  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 10/10/25

       1,066       1,071,004  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 1.75%), 3.69%, 03/07/24

       279       280,423  
   

 

 

  
        11,231,728  
Hotels, Restaurants & Leisure — 6.7%  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.54%, 02/02/26(a)

       501       504,545  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 3.72%, 10/19/24

       1,085       1,089,242  
 

 

 

SCHEDULES OF INVESTMENTS      23  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

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

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 09/15/23

     USD       1,415     $ 1,423,114  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 12/23/24

       4,041       4,045,534  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 08/08/21

       598       600,463  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 11/30/23

       2,894       2,912,811  

Golden Nugget LLC, 2017 Incremental Term Loan B, (3 mo. LIBOR + 2.75%), 4.72%, 10/04/23

       1,122       1,124,432  

Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 3.54%, 06/22/26

       3,440       3,461,788  

IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.22%, 02/05/25

       4,286       4,309,127  

KFC Holding Co., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.49%, 04/03/25

       881       882,910  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 10/15/25

       643       644,515  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/29/24

       1,437       1,431,789  

Playtika Holding Corp., Term Loan B,
(1 mo. LIBOR + 6.00%, 1.00% Floor), 7.80%, 12/10/24

       1,699       1,715,066  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 02/22/24

       1,196       1,202,061  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 08/14/24

       2,261       2,265,226  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.44%, 07/10/25

       6,309       6,359,054  

Station Casinos LLC, 2016 Term Loan B,
(1 mo. LIBOR + 2.50%), 4.30%, 06/08/23

       3,301       3,313,599  

Whatabrands LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.94%, 08/02/26

       3,018       3,032,984  
   

 

 

  
        40,318,260  
Independent Power and Renewable Electricity Producers — 0.6%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 01/15/25

       495       496,629  

Calpine Corp.:

      

2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.30%, 08/12/26

       1,072       1,078,060  

Term Loan B9, (3 mo. LIBOR + 2.25%), 4.20%, 04/05/26

       1,942       1,952,048  
   

 

 

  
        3,526,737  
Industrial Conglomerates — 1.7%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 11/30/23

       5,789       5,769,049  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.90%, 11/28/21

       1,828       1,827,722  

Sundyne US Purchaser, Inc., Term Loan,
(1 mo. LIBOR + 4.00%), 5.80%, 05/15/26

       2,443       2,455,441  
   

 

 

  
        10,052,212  
Security          Par
(000)		     Value  
Insurance — 4.1%  

Alliant Holdings I, Inc., 2018 Term Loan B,
(1 mo. LIBOR + 3.00%), 4.80%, 05/09/25

     USD       3,449     $ 3,447,110  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 05/09/25

       1,202       1,202,956  

AmWINS Group, Inc., 2017 Term Loan B, 01/25/24(j)

       3,689       3,714,999  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 10/22/24

       3,081       3,087,604  

Davis Vision, Inc., 1st Lien Term Loan B,
(1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 12/02/24

       676       676,626  

Hub International Ltd.:

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.69%, 04/25/25

       2,558       2,555,002  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.90%, 04/25/25

       2,503       2,525,978  

Sedgwick Claims Management Services, Inc.:

      

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 09/03/26

       2,099       2,115,709  

Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/31/25

       5,756       5,754,159  
   

 

 

  
        25,080,143  
Interactive Media & Services — 0.7%  

Ancestry.com Operations, Inc., Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 10/19/23

       1,551       1,527,052  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.90%, 11/03/23

       1,539       1,490,953  

TierPoint LLC, 2017 1st Lien Term Loan,
(1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 05/06/24

       1,355       1,317,237  
   

 

 

  
        4,335,242  
IT Services — 2.7%  

Altran Technologies SA, 1st Lien Term Loan,
(1 mo. LIBOR + 2.50%), 4.26%, 03/20/25

       619       618,975  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 10/31/26

       3,128       3,145,204  

Epicor Software Corp., 1st Lien Term Loan,
(1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 06/01/22

       3,003       3,016,841  

Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 11/27/24

       1,069       1,077,219  

Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.16%, 08/01/25

       1,121       688,485  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/01/23

       2,525       2,531,246  

Trans Union LLC, 2019 Term Loan B5,
(1 mo. LIBOR + 1.75%), 3.55%, 11/16/26

       3,239       3,250,229  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 05/15/26

       2,239       2,251,544  
   

 

 

  
        16,579,743  
Leisure Products — 0.1%  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.44%, 06/19/24(a)

       790       738,416  
   

 

 

  
Life Sciences Tools & Services — 2.6%  

Albany Molecular Research, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 5.05%, 1.00% Floor), 08/30/24

       1,270       1,261,069  
 

 

 

24    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Life Sciences Tools & Services (continued)  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 8.80%, 1.00% Floor), 08/30/25

     USD       75     $ 74,719  

eResearchTechnology, Inc., 2019 Term Loan, 11/20/26(j)

       2,482       2,497,513  

Sotera Health Holdings LLC, 2019 Term Loan, 12/11/26(j)

       11,579       11,604,698  
   

 

 

  
        15,437,999  
Machinery — 1.6%  

Clark Equipment Company, 2019 Term Loan B,
(3 mo. LIBOR + 1.75%), 3.69%, 05/18/24

       547       548,881  

Gardner Denver, Inc., 2017 Term Loan B,
(1 mo. LIBOR + 2.75%), 4.55%, 07/30/24

       2,307       2,320,443  

Terex Corp., 2019 Term Loan B1, (2 mo. LIBOR + 2.75%), 4.59%, 01/31/24

       386       388,013  

Titan Acquisition Ltd., 2018 Term Loan B,
(1 mo. LIBOR + 3.00%), 4.80%, 03/28/25

       5,381       5,285,270  

Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 10/23/25(a)

       1,166       1,168,564  
   

 

 

  
        9,711,171  
Media — 9.9%  

Altice Financing SA:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.51%, 01/31/26

       1,357       1,347,197  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.49%, 07/15/25

       255       253,914  

Altice France SA, 2018 Term Loan B13,
(1 mo. LIBOR + 4.00%), 5.74%, 08/14/26

       2,033       2,034,512  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.55%, 04/30/25

       3,626       3,649,492  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 08/21/26

       8,330       8,368,774  

Connect Finco Sarl, Term Loan B,
12/11/26(j)

       6,124       6,149,200  

CSC Holdings LLC, 2019 Term Loan B5,
(1 mo. LIBOR + 2.50%), 4.24%, 04/15/27

       1,585       1,590,215  

Diamond Sports Group LLC, Term Loan,
(1 mo. LIBOR + 3.25%), 5.03%, 08/24/26

       1,791       1,786,788  

Gray Television, Inc., 2018 Term Loan C,
(1 mo. LIBOR + 2.50%), 4.20%, 01/02/26

       1,461       1,469,613  

iHeartCommunications, Inc., Exit Term Loan,
(1 mo. LIBOR + 4.00%), 5.69%, 05/01/26

       2,220       2,236,168  

Intelsat Jackson Holdings SA, 2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 11/27/23

       455       455,405  

Learfield Communications LLC, 2016 1st Lien Term Loan, 12/01/23(j)

       3,228       2,829,368  

Liberty Latin America Ltd., Term Loan B,
(1 mo. LIBOR + 5.00%), 6.74%, 10/22/26

       1,488       1,504,740  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 03/24/25

       1,579       1,574,142  

MH Sub I LLC, 2017 1st Lien Term Loan,
(1 mo. LIBOR + 3.75%), 5.55%, 09/13/24

       2,428       2,430,505  

Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 2.25%), 3.99%, 08/15/26

       846       851,866  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.45%, 09/18/26

       1,790       1,798,342  

PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 4.30%, 05/29/26

       1,571       1,580,164  

PSAV Holdings LLC, 2018 1st Lien Term Loan,
(3 mo. LIBOR + 3.25%, 1.00% Floor), 4.94%, 03/03/25(a)

       4,008       3,987,754  

Radiate Holdco LLC, 1st Lien Term Loan,
(1 mo. LIBOR + 3.00%), 4.80%, 02/01/24

       2,282       2,288,730  
Security          Par
(000)		     Value  
Media (continued)  

Terrier Media Buyer, Inc., Term Loan B,
(3 mo. LIBOR + 4.25%), 6.15%, 12/17/26

     USD       1,698     $ 1,713,927  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 09/28/23(a)

       4,338       4,348,971  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 03/15/24

       816       804,251  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 05/18/25

       2,434       2,419,460  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.24%, 04/15/25

       2,578       2,584,885  
   

 

 

  
        60,058,383  
Metals & Mining — 0.9%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 6.41%, 07/31/25

       1,716       1,506,129  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, 03/08/24(j)

       3,909       3,919,926  
   

 

 

  
        5,426,055  
Multiline Retail — 0.2%  

Eyemart Express LLC, 2017 Term Loan B,
(1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 08/04/24

       916       917,427  

Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 7.71%, 10/25/23

       394       323,817  
   

 

 

  
        1,241,244  
Oil & Gas Equipment & Services — 0.3%  

McDermott Technology Americas, Inc.:

      

2018 1st Lien Term Loan, 10/21/21(j)

       873       889,672  

2018 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 05/09/25

       1,961       1,141,592  
   

 

 

  
        2,031,264  
Oil, Gas & Consumable Fuels — 0.9%  

California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.18%, 12/31/21

       2,002       1,484,777  

Chesapeake Energy Corp., 2019 Last Out Term Loan, 06/09/24(j)

       588       604,658  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 09/27/24

       919       811,363  

Edgewater Generation LLC, Term Loan,
12/13/25(j)

       1,765       1,685,516  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       727       722,964  
   

 

 

  
        5,309,278  
Personal Products — 0.5%  

Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.19%, 10/01/26

       3,250       3,277,626  
   

 

 

  
Pharmaceuticals — 4.0%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 28 - 5.31%, 05/04/25

       1,750       1,566,946  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.05%, 05/18/26

       2,353       2,359,354  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.06%, 04/29/24

       1,832       1,749,084  
 

 

 

SCHEDULES OF INVESTMENTS      25  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.74%, 11/15/27

     USD       2,404     $ 2,422,919  

Jaguar Holding Co. II, 2018 Term Loan,
(1 mo. LIBOR + 2.50%, 1.00% Floor), 4.30%, 08/18/22

       7,685       7,721,151  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.74%, 06/02/25

       8,245       8,286,124  
   

 

 

  
        24,105,578  
Professional Services — 1.5%  

ASGN, Inc., 2019 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 04/02/25

       631       633,026  

Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 02/09/26

       2,471       2,481,112  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 6.79%, 02/06/26

       4,557       4,593,091  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.44%, 08/04/25(a)

       1,438       1,416,320  
   

 

 

  
        9,123,549  
Real Estate Management & Development — 2.2%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 04/18/24

       3,989       4,002,211  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 08/21/25

       3,500       3,501,357  

ESH Hospitality, Inc., 2019 Term Loan B,
(1 mo. LIBOR + 2.00%), 3.80%, 09/18/26

       894       900,720  

Forest City Enterprises LP, 2019 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 12/08/25

       2,500       2,509,899  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 02/08/25

       852       843,139  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 01/23/25

       1,295       1,299,020  
   

 

 

  
        13,056,346  
Road & Rail — 0.3%  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 09/29/25

       878       879,008  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 06/13/23(j)

       1,283       1,184,483  
   

 

 

  
        2,063,491  
Semiconductors & Semiconductor Equipment — 0.2%  

Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/29/25

       427       429,321  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/26

       736       740,571  
   

 

 

  
        1,169,892  
Software — 17.1%  

Applied Systems, Inc.(j):

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.19%, 09/19/24

       4,427       4,440,287  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 8.94%, 09/19/25

       764       776,987  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 10/02/25

       3,328       3,286,481  

Cerence, Inc., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.69%, 10/01/24(a)

       991       938,973  

Cypress Intermediate Holdings III, Inc:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 4.55%., 1.00% Floor), 04/29/24

       2,764       2,767,186  
Security          Par
(000)		     Value  
Software (continued)  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 8.55%., 1.00% Floor), 04/27/25

     USD       740     $ 741,110  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 5.34%, 05/28/24

       341       302,880  

DTI Holdco, Inc., 2018 Term Loan B,
(2 mo. LIBOR + 4.75%, 1.00% Floor), 6.68%, 09/30/23

       1,089       1,015,753  

Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 4.00%), 5.94%, 04/17/26

       3,850       3,867,215  

Financial & Risk US Holdings, Inc.:

      

2018 EUR Term Loan, (EURIBOR + 4.00%), 5.05%, 10/01/25

     EUR       961       1,084,191  

2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 10/01/25

     USD       7,028       7,087,310  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 02/01/22

       8,486       8,519,216  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 08/05/22

       5,135       5,152,451  

Kronos, Inc:

      

2017 Term Loan B, (3 mo. LIBOR + 3.00%, 4.91%., 1.00% Floor), 11/01/23

       7,220       7,252,236  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 10.16%, 1.00% Floor), 11/01/24

       2,510       2,556,008  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 09/30/24

       4,860       4,878,715  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 11/29/24

       3,660       3,624,217  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.05%, 12/01/25(a)

       887       848,983  

Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/30/25

       596       591,879  

RP Crown Parent LLC, 2016 Term Loan B,
(1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 10/12/23

       2,649       2,663,576  

Severin Acquisition LLC, 2018 Term Loan B, 08/01/25(j)

       1,519       1,507,877  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/24

       5,128       5,158,183  

Solera LLC, Term Loan B, 03/03/23(j)

       3,506       3,509,413  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.19%, 09/30/22

       6,496       6,507,493  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       677       681,364  

SS&C Technologies, Inc.:

      

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       977       983,130  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       4,782       4,811,210  

Tempo Acquisition LLC, Term Loan,
(1 mo. LIBOR + 2.75%), 4.55%, 05/01/24

       5,283       5,310,721  

Tibco Software, Inc., 2019 Term Loan B,
(1 mo. LIBOR + 4.00%), 5.71%, 06/30/26

       4,543       4,558,306  

Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 05/04/26

       3,288       3,306,763  

Vertafore, Inc., 2018 1st Lien Term Loan,
(1 mo. LIBOR + 3.25%), 5.05%, 07/02/25

       4,625       4,565,946  
   

 

 

  
        103,296,060  
Specialty Retail — 2.5%  

Belron Finance US LLC:

      

2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 4.44%, 11/07/26

       1,163       1,166,640  
 

 

 

26    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Specialty Retail (continued)  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.14%, 11/07/24

     USD       1,457     $ 1,461,634  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.15%, 11/13/25

       2,029       2,036,117  

IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.06%, 06/28/26(a)

       941       948,519  

Leslie’s Poolmart, Inc., 2018 Term Loan,
(1 mo. LIBOR + 3.50%, 1.00% Floor), 5.34%, 08/16/23

       758       707,531  

MED ParentCo LP:

      

1st Lien Delayed Draw Term Loan,
(1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       81       80,546  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       1,515       1,512,471  

Midas Intermediate Holdco II LLC, Incremental Term Loan B, 08/18/21(j)

       1,417       1,389,720  

PetSmart, Inc., Term Loan B2, 03/11/22(j)

       4,777       4,720,100  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.41%, 12/20/24

       1,156       1,154,665  
   

 

 

  
        15,177,943  
Technology Hardware, Storage & Peripherals — 0.5%  

Western Digital Corp., 2018 Term Loan B4,
(3 mo. LIBOR + 1.75%), 3.45%, 04/29/23

       2,966       2,978,162  
   

 

 

  
Textiles, Apparel & Luxury Goods — 0.5%  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.19%, 08/27/26(a)

       2,989       3,010,945  
   

 

 

  
Thrifts & Mortgage Finance — 0.7%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.80%, 05/23/25

       4,254       4,266,273  
   

 

 

  
Trading Companies & Distributors — 0.9%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 01/02/25

       1,268       1,272,613  

HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 3.55%, 10/17/23

       4,126       4,149,771  

United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 10/31/25

       264       265,719  
   

 

 

  
        5,688,103  
Utilities — 0.4%  

ExGen Renewables IV LLC, Term Loan B,
(3 mo. LIBOR + 3.00%, 1.00% Floor), 4.91%, 11/28/24

       2,188       2,155,245  
   

 

 

  
Wireless Telecommunication Services — 0.8%  

Geo Group, Inc., 2018 Term Loan B,
(1 mo. LIBOR + 2.00%), 3.80%, 03/22/24

       1,464       1,310,343  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(c)(e)

       522       334,275  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/11/25

       3,404       3,414,293  
   

 

 

  
        5,058,911  
   

 

 

  

Total Floating Rate Loan Interests — 117.3%
(Cost — $709,948,506)

 

     710,005,117  
   

 

 

  
Security              
Shares		     Value  

Investment Companies — 5.1%

 

Equity Fund — 5.1%

 

Invesco Senior Loan ETF

       1,338,368     $ 30,541,558  
     

 

 

  

Total Investment Companies — 5.1%
(Cost — $30,306,536)

 

     30,541,558  
     

 

 

  
           

Beneficial

Interest

(000)

         

Other Interests(a)(b)(k) — 0.0%

 

IT Services — 0.0%

 

Millennium Corp.

     USD       1,156       —  

Millennium Lender Claims

       1,084       —  
     

 

 

  

Total Other Interests — 0.0%
(Cost — $—)

 

     —  
     

 

 

  
            Par
(000)		         

Preferred Securities – 1.4%

 

Capital Trusts — 1.3%

 

Banks(i) — 0.3%  

Banco de Sabadell SA, 6.50%(f)

     EUR       200       234,435  

Bankia SA, 6.38%(f)

       200       243,128  

CaixaBank SA, 6.75%(f)

       200       251,822  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.13%(h)

     USD       100       77,006  

ING Groep NV, 6.75%(f)

       200       216,990  

Wells Fargo & Co., Series U, 5.88%(f)

       840       934,500  
     

 

 

  
        1,957,881  

Building Materials — 0.0%

 

Holcim Finance Luxembourg SA, 3.00%(f)(i)

     EUR       100       118,339  
     

 

 

  
Capital Markets — 0.0%  

Goldman Sachs Group, Inc., Series P, 5.00%(f)(i)

     USD       182       183,365  
     

 

 

  

Diversified Financial Services(i) — 0.8%

 

Bank of America Corp.,(f):

      

Series AA, 6.10%

       752       837,578  

Series DD, 6.30%

       155       179,025  

Series X, 6.25%

       350       388,937  

Series Z, 6.50%

       232       263,320  

HBOS Capital Funding LP, 6.85%

       200       204,200  

HSBC Holdings PLC, 6.00%(f)

       600       639,000  

JPMorgan Chase & Co.,(f):

      

Series 1, 5.41%

       52       52,468  

Series FF, 5.00%

       865       899,600  

Series V, 5.42%

       780       785,850  

Royal Bank of Scotland Group PLC, 8.63%(f)

       246       263,835  
     

 

 

  
        4,513,813  
Diversified Telecommunication Services(i) — 0.1%  

Koninklijke KPN NV, 2.00%(f)

     EUR       100       114,223  

Telefonica Europe BV(f):

      

3.88%

       100       121,893  

4.38%

       100       125,069  
     

 

 

  
        361,185  
 

 

 

SCHEDULES OF INVESTMENTS      27  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Electric Utilities — 0.0%  

Naturgy Finance BV, 3.38%(f)(i)

     EUR       100     $ 120,291  

RWE AG, 2.75%, 04/21/75(f)

       10       11,375  
     

 

 

  
        131,666  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

       100       119,999  
   

 

 

  
Utilities — 0.1%  

Electricite de France SA(f)(i):

      

3.00%

       200       231,070  

4.00%

       100       122,365  
     

 

 

  
        353,435  
Wireless Telecommunication Services — 0.0%  

Vodafone Group PLC, 3.10%, 01/03/79(l)

       100       117,779  
     

 

 

  

Total Capital Trusts — 1.3%
(Cost — $7,494,232)

 

     7,857,462  
     

 

 

  
            Shares         

Preferred Stock – 0.1%

 

Capital Markets — 0.1%  

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

       13,550       363,411  
     

 

 

  

Total Preferred Stocks — 0.1%
(Cost — $338,750)

 

     363,411  
     

 

 

  

Trust Preferred – 0.0%

 

Diversified Financial Services — 0.0%  

GMAC Capital Trust I, Series 2, 7.70%, 2/15/40(f)

       4,196       109,306  
     

 

 

  

Total Trust Preferreds — 0.0%
(Cost — $106,563)

 

     109,306  
     

 

 

  

Total Preferred Securities — 1.4%
(Cost — $7,939,545)

 

     8,330,179  
     

 

 

  

Warrants — 0.0%

 

Metals & Mining — 0.0%  

AFGlobal Corp. (Expires 12/20/20)(a)

       5,283       —  
     

 

 

  
                
Shares		     Value  
Transportation Infrastructure — 0.0%  

Turbo Cayman Ltd. (Strike Price $0.01)(a)

       1     $ —  
     

 

 

  

Total Warrants — 0.0%
(Cost — $—)

 

     —  
     

 

 

  

Total Long-Term Investments — 145.3%
(Cost — $894,619,459)

 

     879,262,130  
     

 

 

  

Options Purchased — 0.0%
(Cost — $66,804)

 

     142,678  
     

 

 

  

Total Investments — 145.3%
(Cost — $894,686,263)

 

     879,404,808  

Liabilities in Excess of Other Assets — (45.3)%

 

     (274,164,654 ) 
     

 

 

  

Net Assets — 100.0%

 

   $ 605,240,154  
     

 

 

  

 

(a) 

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

(b) 

Non-income producing security.

(c) 

Issuer filed for bankruptcy and/or is in default.

(d) 

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

(e) 

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

(f) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(g) 

When-issued security.

(h) 

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

(i) 

Perpetual security with no stated maturity date.

(j) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(k) 

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

(l) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

 

 

During the period ended December 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
02/28/19		      Net
Activity		      Shares
Held at
12/31/19		      Value at
12/31/19		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class(b)

      3,616,393        (3,616,393 )       —      $ —      $ 26,680      $ 6      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

As of period end, the entity is no longer held by the Fund.

 

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

 

 

28    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

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

Long Contracts

                  

Euro Stoxx 50 Index

      1          03/20/20        $ 42        $ (193 ) 

Euro Stoxx 600 Index

      1          03/20/20          8          (35 ) 
                 

 

 

  
                  $ (228 ) 
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		        Currency
Sold		        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
EUR     153,000        USD     172,145        UBS AG        02/05/20        $ (173 ) 
USD     8,295,859        EUR     7,508,000        Citibank N.A.        02/05/20          (143,135 ) 
USD     2,141,881        GBP     1,658,000        Barclays Bank PLC        02/05/20          (56,379 ) 
                       

 

 

  
    Net unrealized depreciation        $ (199,687 ) 
                     

 

 

  

Exchange-Traded Options Purchased

 

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

Energy Select Sector SPDR Fund

      305          01/17/20        USD     60.21        USD     1,831        $ 27,908  

Energy Select Sector SPDR Fund

      205          01/17/20        USD     59.21        USD     1,231          31,468  

SPDR S&P Oil & Gas Exploration & Production ETF

      305          01/17/20        USD     22.00        USD     723          56,272  

SPDR S&P Oil & Gas Exploration & Production ETF

      255          01/17/20        USD     23.00        USD     604          27,030  
                          

 

 

  
                           $ 142,678  
                          

 

 

  

OTC Credit Default Swaps — Buy Protection

 

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

UPC Holding BV

      5.00 %      Quarterly       JPMorgan Chase Bank N.A.       06/20/24     EUR     20     $ (3,824 )    $ (4,258 )    $ 434  

UPC Holding BV

      5.00       Quarterly       BNP Paribas S.A.       06/20/24     EUR     4       (789 )      (929 )      140  

UPC Holding BV

      5.00       Quarterly       Bank of America N.A.       06/20/24     EUR     10       (1,912 )      (2,221 )      309  
              

 

 

    

 

 

    

 

 

  
               $ (6,525 )    $ (7,408 )    $ 883  
              

 

 

    

 

 

    

 

 

  

OTC Credit Default Swaps — Sell Protection

 

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

Casino Guichard Perrachon SA

      1.00 %      Quarterly     JPMorgan Chase Bank N.A.     06/20/23     B     EUR       10     $ (1,610 )    $ (728 )    $ (882 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     Bank of America N.A.     06/20/23     B     EUR       9       (1,489 )      (1,037 )      (452 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     B     EUR       5       (877 )      (523 )      (354 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     Citibank N.A.     06/20/23     B     EUR       9       (1,459 )      (929 )      (530 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     B     EUR       9       (1,460 )      (930 )      (530 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     B     EUR       4       (585 )      (349 )      (236 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     Barclays Bank PLC     06/20/23     B     EUR       6       (932 )      (533 )      (399 ) 

CenturyLink, Inc.

      1.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       170       (3,160 )      (10,531 )      7,371  

Chesapeake Energy Corp.

      5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       168       (64,550 )      259       (64,809 ) 

Chesapeake Energy Corp.

      5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       478       (183,658 )      3,718       (187,376 ) 

Tesco PLC

      1.00       Quarterly     Citibank N.A.     12/20/23     B+     EUR       50       905       (596 )      1,501  

 

 

SCHEDULES OF INVESTMENTS      29  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

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

Casino Guichard Perrachon SA

      5.00 %       Quarterly       Credit Suisse International       06/20/24     B     EUR       5     $ (358 )    $ (356 )    $ (2 ) 

Casino Guichard Perrachon SA

      5.00       Quarterly       Credit Suisse International       06/20/24     B     EUR       5       (317 )      (363 )      46  

Telecom Italia SpA

      1.00       Quarterly       Goldman Sachs International       06/20/24     B+     EUR       10       (62 )      (828 )      766  

Telecom Italia SpA

      1.00       Quarterly       Citibank N.A.       06/20/24     B+     EUR       3       (16 )      (80 )      64  

Telecom Italia SpA

      1.00       Quarterly       Bank of America N.A.       06/20/24     B+     EUR       3       (15 )      (79 )      64  

Telecom Italia SpA

      1.00       Quarterly       Citibank N.A.       06/20/24     B+     EUR       3       (15 )      (82 )      67  

Garfunkelux Holdco 2 SA

      5.00       Quarterly       Credit Suisse International       12/20/24     B+     EUR       10       284       (134 )      418  

Garfunkelux Holdco 2 SA

      5.00       Quarterly       Credit Suisse International       12/20/24     B+     EUR       20       568       —       568  

CenturyLink, Inc.

      1.00       Quarterly       Barclays Bank PLC       06/20/25     B+     USD       185       (12,299 )      (27,403 )      15,104  

Telecom Italia SpA

      1.00       Quarterly       Citibank N.A.       06/20/26     B+     EUR       5       (281 )      (708 )      427  

Virgin Media Finance PLC

      5.00       Quarterly       Credit Suisse International       12/20/26     B     EUR       10       2,243       2,440       (197 ) 
                

 

 

    

 

 

    

 

 

  
                 $ (269,143 )    $ (39,772 )    $ (229,371 ) 
                

 

 

    

 

 

    

 

 

  

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

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

 

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

 

      Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		  

OTC Swaps

    $ 6,417      $ (53,597 )     $ 27,279      $ (255,767 ) 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                     

Options purchased

                     

Investments at value — unaffiliated(a)

    $ —      $ —      $ 142,678      $ —      $ —      $ —      $ 142,678  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        33,696        —        —        —        —        33,696  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 33,696      $ 142,678      $ —      $ —      $ —      $ 176,374  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(b)

    $ —      $ —      $ 228      $ —      $ —      $ —      $ 228  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        199,687        —        —        199,687  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap

premiums received

      —        309,364        —        —        —        —        309,364  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 309,364      $ 228      $ 199,687      $ —      $ —      $ 509,279  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes options purchased at value as reported in the Schedule of Investments.

 
  (b) 

Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

 

 

30    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Derivative Financial Instruments Categorized by Risk Exposure (continued)

 

For the period ended December 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		     

Interest

Rate

Contracts

     

Other

Contracts

      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ 9,797      $ —      $ (28,472 )     $ —      $ (18,675 ) 

Forward foreign currency exchange contracts

      —        —        —        935,994        —        —        935,994  

Options purchased(a)

      —        —        (161,866 )       —        (43,958 )       —        (205,824 ) 

Swaps

      —        13,113        —        —        600,428        —        613,541  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 13,113      $ (152,069 )     $ 935,994      $ 527,998      $ —      $ 1,325,036  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		     

Interest

Rate

Contracts

     

Other

Contracts

      Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ (3,324 )     $ —      $ 2,253      $ —      $ (1,071 ) 

Forward foreign currency exchange contracts

      —        —        —        (352,702 )       —        —        (352,702 ) 

Options purchased(a)

      —        —        84,589        —        —        —        84,589  

Swaps

      —        (194,523 )       —        —        (569,000 )       —        (763,523 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ (194,523 )     $ 81,265      $ (352,702 )     $ (566,747 )     $ —      $ (1,032,707 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

         

Average notional value of contracts – long

    $ 46,588  

Average notional value of contracts – short

    $ 252,884  

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 22,178,497  

Average amounts sold — in USD

    $ 10,210,939  

Options:

   

Average value of option contracts purchased

    $ 53,717  

Credit default swaps:

   

Average notional value — buy protection

    $ 28,349  

Average notional value — sell protection

    $ 1,309,432  

Total return swaps:

   

Average notional value

    $ — (a) 

 

  (a) 

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments:

      

Futures contracts

    $ —      $ —  

Forward foreign currency exchange contracts

      —        199,687  

Options

      142,678 (a)       —  

Swaps — OTC(b)

      33,696        309,364  
  

 

 

     

 

 

  

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

    $ 176,374      $ 509,051  

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

      (142,678 )       —  
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 33,696      $ 509,051  
  

 

 

     

 

 

  

 

  (a) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 
  (b) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

 

 

 

SCHEDULES OF INVESTMENTS      31  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Derivative Financial Instruments — Offsetting as of Period End (continued)

 

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

 

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

Bank of America N.A.

    $ 373        $ (373 )       $ —        $ —        $ —  

Barclays Bank PLC

      26,452          (26,452 )         —          —          —  

BNP Paribas S.A.

      140          (140 )         —          —          —  

Citibank N.A.

      2,059          (2,059 )         —          —          —  

Credit Suisse International

      3,472          (1,052 )         —          —          2,420  

Goldman Sachs International

      766          (766 )         —          —          —  

JPMorgan Chase Bank N.A.

      434          (434 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 33,696        $ (31,276 )       $ —        $ —        $ 2,420  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

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

Bank of America N.A.

    $ 3,789        $ (373 )       $ —        $ —        $ 3,416  

Barclays Bank PLC

      347,430          (26,452 )         —          —          320,978  

BNP Paribas S.A.

      929          (140 )         —          —          789  

Citibank N.A.

      146,060          (2,059 )         —          —          144,001  

Credit Suisse International

      1,052          (1,052 )         —          —          —  

Goldman Sachs International

      828          (766 )         —          —          62  

JPMorgan Chase Bank N.A.

      8,790          (434 )         —          —          8,356  

UBS AG

      173          —          —          —          173  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 509,051        $ (31,276 )       $ —        $ —        $ 477,775  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount represents the net amount payable due to counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3      Total  

Assets:

               

Investments:

               

Long-Term Investments:

                

Common Stocks(a)

    $ 13,859        $ 85,760        $ 763,992      $ 863,611  

Corporate Bonds(a)

      —          129,521,663          2        129,521,665  

Floating Rate Loan Interests(a)

      —          679,661,494          30,343,623        710,005,117  

Investment Companies

     30,541,558          —          —        30,541,558  

Other Interests

      —          —          — (b)       — (b) 

Preferred Securities(a)

      472,717          7,857,462          —        8,330,179  

Warrants

      —          —          —        —  

Options Purchased:

               

Equity Contracts

     83,302          59,376          —        142,678  

Unfunded floating rate loan interests(c)

      —          167,290          —        167,290  
  

 

 

       

 

 

       

 

 

     

 

 

  
   $ 31,111,436        $ 817,353,045        $ 31,107,617      $ 879,572,098  
  

 

 

       

 

 

       

 

 

     

 

 

  

 

 

32    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(d)

 

Assets:

 

Credit contracts

   $ —        $ 27,279        $ —        $ 27,279  

Liabilities:

 

Credit contracts

     —          (255,767 )         —          (255,767 ) 

Equity contracts

     (228 )         —          —          (228 ) 

Forward foreign currency contracts

     —          (199,687 )         —          (199,687 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (228 )       $ (428,175 )       $ —        $ (428,403 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b)

Rounds to less than $1.

 
  (c)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (d) 

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $262,000,000 is categorized as Level 2 within the disclosure hierarchy.

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		      Corporate
Bonds		      Floating
Rate Loan
Interests		      Other
Interests		     Warrants     

Options

Purchased

      Total  

Assets:

                    

Opening balance, as of February 28, 2019

    $ 3,075,400      $ 8,149,827      $ 42,349,614      $ — (a)    $ —      $ —      $ 53,574,841  

Transfers into Level 3

      —        —        5,839,888        —       —        —        5,839,888  

Transfers out of Level 3(b)

      —        —        (24,460,480 )       —       —        —        (24,460,480 ) 

Accrued discounts/premiums

      —        —        22,490        —       —        —        22,490  

Net realized gain (loss)

      (7,838,389 )       (1,581,795 )       (151,988 )       —       (30 )       (5,867 )       (9,578,069 ) 

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

      6,546,822        2,923,642        126,751        —       30        5,867        9,603,112  

Purchases

      10,161,243        204,106        16,145,692        —       —        —        26,511,041  

Sales

      (11,181,084 )       (9,695,778 )       (9,528,344 )       —       —        —        (30,405,206 ) 
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Closing balance, as of December 31, 2019

    $ 763,992      $ 2      $ 30,343,623      $ — (a)    $ —      $ —      $ 31,107,617  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019(d)

    $ (1,336,995 )     $ —      $ 97,932      $ —     $ —      $ —      $ (1,239,063 ) 
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

  (a)

Rounds to less than $1.

 
  (b) 

As of February 28, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments at the beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (d) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

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

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      33  

Schedule of Investments

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security    
Shares		     Value  

Common Stocks — 0.2%

 

Diversified Financial Services — 0.0%

 

Kcad Holdings I Ltd.(a)(b)

       309,827,230     $ 210,683  
   

 

 

  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

       14,906       89  
   

 

 

  
Media — 0.1%  

Clear Channel Outdoor Holdings, Inc.(b)

       114,650       327,899  

iHeartMedia, Inc., Class A(b)

       5,727       96,786  
   

 

 

  
    424,685  
Metals & Mining — 0.0%  

Preferred Proppants LLC(a)(b)

       12,198       27,446  
   

 

 

  
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(b)

       1,860       14,508  
   

 

 

  
Software — 0.0%  

Avaya Holdings Corp.(b)

       66       891  
   

 

 

  
Utilities — 0.1%  

Texgen LLC(a)(b)

       8,431       318,270  
   

 

 

  

Total Common Stocks — 0.2%
(Cost — $4,775,643)

 

     996,572  
   

 

 

  
            Par
(000)		         

Corporate Bonds — 1.2%

 

Aerospace & Defense — 0.3%

 

Wolverine Escrow LLC, 9.00%, 11/15/26(c)

     USD       1,555     $ 1,628,862  
   

 

 

  
Diversified Consumer Services — 0.1%  

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

       170       178,288  
   

 

 

  
Electric Utilities — 0.0%  

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

       1,061       —  
   

 

 

  
Industrial Conglomerates — 0.2%  

Vertiv Group Corp., 10.00%, 05/15/24(c)

       871       931,970  
   

 

 

  
Media — 0.0%  

CSC Holdings LLC, 10.88%, 10/15/25(c)

       79       88,283  
   

 

 

  
Metals & Mining — 0.1%  

Freeport-McMoRan, Inc., 3.88%, 03/15/23

       625       636,394  
   

 

 

  
Oil, Gas & Consumable Fuels — 0.1%  

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

       790       672,985  
   

 

 

  
Software — 0.4%  

Infor (US), Inc., 6.50%, 05/15/22

       1,176       1,193,640  

Informatica LLC, 7.13%, 07/15/23(c)

       658       667,870  
   

 

 

  
    1,861,510  
   

 

 

  

Total Corporate Bonds — 1.2%
(Cost — $5,973,386)

 

     5,998,292  
   

 

 

  

Floating Rate Loan Interests(d) — 133.7%

 

Aerospace & Defense — 3.0%  

1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

       1,979       1,990,761  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 12/06/25

       1,160       1,172,614  

Bleriot US Bidco, Inc., Term Loan B, (3 mo. LIBOR + 4.75%), 6.69%, 10/31/26

       1,135       1,144,561  
Security          Par
(000)		     Value  
Aerospace & Defense (continued)  

Dynasty Acquisition Co., Inc., 2019 Term Loan B1, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

     USD       3,680     $ 3,702,817  

Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 7.25%, 04/09/26(a)

       786       782,130  

TransDigm, Inc.:

      

2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.30%, 06/09/23

       6,253       6,269,454  

2018 Term Loan G, 08/22/24(e)

       663       664,678  
   

 

 

  
        15,727,015  
Air Freight & Logistics — 1.0%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 1.75%), 3.51%, 01/15/25

       1,757       1,767,220  

WestJet Airlines Ltd., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.72%, 12/11/26

       3,195       3,220,688  
   

 

 

  
        4,987,908  
Airlines — 0.8%  

Allegiant Travel Co., Term Loan B, (3 mo. LIBOR + 4.50%), 6.39%, 02/05/24(a)

       1,486       1,495,059  

American Airlines, Inc.:

      

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 3.74%, 12/14/23

       1,833       1,838,779  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 3.80%, 04/28/23

       1,079       1,081,064  
   

 

 

  
        4,414,902  
Auto Components — 2.3%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 04/30/26

       6,555       6,566,895  

USI, Inc.:

      

2017 Repriced Term Loan, 05/16/24(e)

       3,848       3,844,478  

2019 Incremental Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 12/02/26

       220       221,193  

Wand NewCo 3, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 02/05/26

       1,416       1,426,065  
   

 

 

  
        12,058,631  
Banks — 0.7%  

Capri Finance LLC, 2017 1st Lien Term Loan, 11/01/24(e)

       3,532       3,489,325  
   

 

 

  
Building Materials — 1.2%  

Allied Universal Holdco LLC:

      

2019 Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       569       571,516  

2019 Term Loan B, (1 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       5,744       5,772,308  
   

 

 

  
        6,343,824  
Building Products — 1.1%  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24

       1,412       1,411,265  

LSF10 XL Bidco SCA, EUR Term Loan B3, (3 mo. LIBOR + 4.00%), 4.00%, 10/12/26

     EUR       1,000       1,104,672  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.20%, 12/19/23

     USD       3,422       3,427,368  
   

 

 

  
        5,943,305  
Capital Markets — 2.4%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 02/13/25

       3,483       3,468,395  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 12/27/22

       1,217       1,222,611  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 04/12/24

       1,533       1,519,883  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 5.50%, 06/03/26

       1,353       1,348,694  
 

 

 

34    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Capital Markets (continued)  

RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 3.80%, 03/27/23

     USD       2,322     $ 2,339,961  

Travelport Finance (Luxembourg) Sarl:

      

2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 10.94%, 05/28/27(a)

       1,145       956,075  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.94%, 05/29/26

       1,887       1,758,683  
   

 

 

  
        12,614,302  
Chemicals — 5.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.94%, 01/31/24

       4,238       4,244,701  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 3.69%, 06/01/24

       3,515       3,520,243  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       3,196       3,180,090  

Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 05/16/24

       1,069       1,073,973  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/03/25

       1,009       983,962  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, 06/28/24(e)

       719       713,684  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 11/07/24

       1,258       1,265,489  

Invictus US LLC:

      

1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 03/28/25

       1,046       1,009,185  

2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.68%, 03/30/26

       430       398,825  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.44%, 03/01/26

       2,891       2,904,154  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 05/15/24

       1,060       1,052,395  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.56%, 10/14/24

       3,616       3,627,632  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.43%, 02/08/25

       2,226       2,236,446  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.56%, 08/07/20

       422       419,880  
   

 

 

  
        26,630,659  
Commercial Services & Supplies — 6.1%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 11/10/23

       3,106       3,115,743  

Aramark Services, Inc.:

      

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 03/11/25

       274       274,826  

2019 Term Loan B4, 01/27/27(e)

       988       992,634  

Asurion LLC:

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.30%, 08/04/25

       1,882       1,903,643  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 4.80%, 08/04/22

       1,574       1,581,816  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/23

       2,952       2,966,970  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/24

       1,162       1,168,321  

Creative Artists Agency, LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 11/27/26

       3,199       3,222,993  

Diamond (BC) BV, Term Loan, 09/06/24(e)

       1,627       1,589,446  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.69%, 05/09/25

       575       541,985  
Security          Par
(000)		     Value  
Commercial Services & Supplies (continued)  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/30/25

     USD       1,061     $ 1,062,191  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.69%, 11/03/23

       470       372,694  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 4.06%, 09/19/26

       1,005       1,011,504  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.94%, 09/23/26

       2,435       2,440,248  

US Ecology, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 08/14/26

       408       410,807  

Verisure Holding AB, EUR Term Loan B1E, (3 mo. LIBOR + 3.00%), 3.00%, 10/20/22

     EUR       1,000       1,122,653  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/27/25

     USD       5,478       5,509,858  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 10/10/24

       3,238       2,736,203  
   

 

 

  
        32,024,535  
Communications Equipment — 0.5%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/21/24

       1,423       1,435,148  

Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.76%, 09/26/25

       1,319       1,322,864  
   

 

 

  
        2,758,012  
Construction & Engineering — 1.4%  

AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 03/13/25

       703       703,814  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(e)

       2,940       2,929,149  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 5.49%, 04/12/25

       449       447,753  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/23/25

       2,260       2,239,237  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 12/08/23

       904       899,668  
   

 

 

  
        7,219,621  
Construction Materials — 2.6%  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 01/15/27

       3,274       3,288,662  

Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.44%, 08/01/24

       5,003       5,001,380  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 03/29/25

       3,099       3,108,930  

Forterra Finance LLC, 2017 Term Loan B, 10/25/23(e)

       828       808,212  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 08/13/25

       804       806,424  

Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.16%, 06/01/26(a)

       730       735,037  
   

 

 

  
        13,748,645  
Containers & Packaging — 2.6%  

Berry Global, Inc.:

      

2019 Term Loan Y, (3 mo. LIBOR + 2.00%), 3.89%, 07/01/26

       2,627       2,642,854  

Term Loan W, (1 mo. LIBOR + 2.00%), 3.72%, 10/01/22

       4,782       4,795,504  
 

 

 

SCHEDULES OF INVESTMENTS      35  

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Containers & Packaging (continued)  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.23%, 04/03/24

     USD       2,777     $ 2,765,052  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.69%, 12/29/23

       2,658       2,632,128  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 07/31/26

       836       835,741  
   

 

 

  
        13,671,279  
Distributors — 0.4%  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 08/28/24

       2,761       2,242,923  
   

 

 

  
Diversified Consumer Services — 4.1%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 07/12/24

       1,580       1,589,363  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.24%, 01/15/27

       3,046       3,011,957  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 11/07/23

       2,874       2,893,374  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 07/12/25

       1,724       1,707,466  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.99%, 05/15/24

       1,154       1,155,321  

Serta Simmons Bedding LLC:

      

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 5.24%, 1.00% Floor), 11/08/23

       945       606,831  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 9.79%, 1.00% Floor), 11/08/24

       126       37,063  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.25%, 11/14/22

       4,708       4,661,778  

TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 03/19/26

       2,242       2,261,277  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 07/13/23

       3,445       3,434,767  
   

 

 

  
        21,359,197  
Diversified Financial Services — 2.6%  

Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 6.80%, 08/01/26

       3,066       3,037,670  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/04/24

       4,258       4,277,715  

Allsup’s Convenience Stores, Inc., Term Loan, (3 mo. LIBOR + 6.25%), 8.00%, 11/18/24(a)

       1,077       1,069,370  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       1,172       1,165,007  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 07/03/24(a)

       1,915       1,922,289  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 09/06/25

       578       517,265  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 07/30/25

       1,112       1,116,065  

Starwood Property Trust, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 07/27/26

       606       609,894  
   

 

 

  
        13,715,275  
Diversified Telecommunication Services — 2.8%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 01/31/25

       1,866       1,872,709  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       1,162       1,165,114  
Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 11/04/26

     USD       1,132     $ 1,145,448  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 03/01/27

       1,931       1,936,890  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/15/24

       2,214       2,211,571  

TDC A/S, Term Loan, (1 mo. LIBOR + 2.75%), 2.75%, 06/04/25

     EUR       819       923,443  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 3.99%, 08/15/26

     USD       1,367       1,373,323  

Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR - GBP + 3.25%), 3.96%, 01/15/27

     GBP       1,000       1,324,600  

Zayo Group LLC:

      

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.05%, 01/19/24

     USD       290       290,739  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.80%, 01/19/21

       2,335       2,338,563  
   

 

 

  
        14,582,400  
Electric Utilities — 0.4%  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/20(a)(b)(f)

       1,710       —  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 12/31/25

       1,836       1,845,732  
   

 

 

  
        1,845,732  
Electrical Equipment — 1.2%  

Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/25

       2,594       2,609,400  

Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/01/24

       3,818       3,817,786  
   

 

 

  
        6,427,186  
Energy Equipment & Services — 0.5%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 02/12/25(a)

       1,597       1,591,456  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.55%, 11/08/22(a)

       845       811,200  
   

 

 

  
        2,402,656  
Equity Real Estate Investment Trusts (REITs) — 2.3%  

Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.96%, 08/09/26(a)

       1,610       1,618,015  

Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 01/02/26

       1,158       1,154,318  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 03/21/25

       2,931       2,940,927  

RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/11/24

       1,058       1,063,617  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.79%, 12/20/24

       5,381       5,403,711  
   

 

 

  
        12,180,588  
Food & Staples Retailing — 1.8%  

Albertsons LLC:

      

2019 Term Loan B7, (1 mo. LIBOR + 2.75%), 4.55%, 11/17/25

       442       445,813  

2019 Term Loan B8, (1 mo. LIBOR + 2.75%), 4.55%, 08/17/26

       12       11,617  
 

 

 

36    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food & Staples Retailing (continued)  

BCPE Empire Holdings, Inc.:

      

2019 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

     USD       27     $ 26,605  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

       1,062       1,064,207  

Hearthside Food Solutions LLC:

      

2018 Incremental Term Loan, 05/23/25(e)

       2,068       2,056,779  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 5.49%, 05/23/25

       577       569,878  

US Foods, Inc.:

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 06/27/23

       2,653       2,660,220  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/13/26

       2,557       2,565,387  
   

 

 

  
        9,400,506  
Food Products — 3.3%  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.55%, 11/19/26

       4,397       4,401,171  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 10/01/25(e)

       993       996,189  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 10/10/23

       4,254       4,252,830  

Hostess Brands LLC, 2019 Term Loan, 08/03/25(e)

       171       171,127  

JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/01/26

       679       683,375  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/23

       6,894       6,910,184  
   

 

 

  
        17,414,876  
Health Care Equipment & Supplies — 2.1%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 06/15/21

       5,240       5,215,740  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.69%, 09/24/24

       799       650,370  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 06/30/25(e)

       5,142       5,076,164  
   

 

 

  
        10,942,274  
Health Care Providers & Services — 5.0%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 06/30/25

       816       820,930  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 06/07/23

       2,660       2,675,316  

Da Vinci Purchaser Corp., 2019 Term Loan, 12/03/26(e)

       968       968,000  

DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 06/06/25

       796       791,019  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.41%, 12/20/24

       844       823,414  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 10/10/25

       2,196       1,867,851  

Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.60%, 05/02/23(a)

       1,053       1,060,623  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.44%, 03/05/26(a)

       608       592,746  

Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.56%, 07/02/25

       2,339       2,349,543  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/06/26

       1,531       1,523,345  
Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

HCA, Inc.:

      

Term Loan B12, (1 mo. LIBOR + 1.75%), 3.55%, 03/13/25

     USD       1,346     $ 1,352,470  

Term Loan B13, (1 mo. LIBOR + 1.75%), 3.55%, 03/18/26

       1,778       1,787,090  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 06/07/23

       1,890       1,860,876  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 10/20/22

       2,492       2,062,410  

NVA Holdings, Inc., Term Loan B3, (PRIME + 1.75%), 6.50%, 02/02/25

       2,026       2,023,605  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 02/06/24

       1,540       1,241,855  

Vizient, Inc., 2019 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 05/06/26

       867       869,152  

Zotec Partners LLC, 2018 Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.80%, 02/14/24(a)

       1,186       1,188,714  
   

 

 

  
        25,858,959  
Health Care Services — 0.9%  

Emerald TopCo., Inc., Term Loan, 07/24/26(e)

       2,340       2,351,110  

WP CityMD Bidco LLC, 2019 Term Loan B, 08/13/26(e)

       2,360       2,360,496  
   

 

 

  
        4,711,606  
Health Care Technology — 2.0%  

Athenahealth, Inc., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 6.40%, 02/11/26

       5,030       5,048,847  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.30%, 03/01/24

       3,647       3,657,187  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 10/10/25

       1,059       1,064,120  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 1.75%), 3.69%, 03/07/24

       499       501,417  
   

 

 

  
        10,271,571  
Hotels, Restaurants & Leisure — 8.7%  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.54%, 02/02/26(a)

       435       438,491  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 3.72%, 10/19/24

       1,396       1,401,653  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 09/15/23

       1,191       1,198,020  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 12/23/24

       4,871       4,875,892  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 08/08/21

       1,322       1,327,928  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 11/30/23

       3,097       3,116,762  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.94%, 03/13/25

       148       146,949  

Golden Nugget LLC, 2017 Incremental Term Loan B, (3 mo. LIBOR + 2.75%), 4.72%, 10/04/23

       1,857       1,861,538  

Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 3.54%, 06/22/26

       2,950       2,968,581  

IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.22%, 02/05/25

       3,744       3,763,637  

KFC Holding Co., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.49%, 04/03/25

       1,408       1,411,686  
 

 

 

SCHEDULES OF INVESTMENTS      37  

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

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

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 10/15/25

     USD       599     $ 600,819  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/29/24

       1,128       1,123,782  

Playtika Holding Corp., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.80%, 12/10/24

       1,475       1,488,738  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 02/22/24

       2,814       2,828,506  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 08/14/24

       3,188       3,193,755  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.44%, 07/10/25

       5,300       5,341,489  

Station Casinos LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 06/08/23

       2,942       2,953,416  

Tackle Sarl, 2017 EUR Term Loan, (3 mo. LIBOR + 3.75%), 3.75%, 08/08/22

     EUR       1,000       1,123,573  

Whatabrands LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.94%, 08/02/26

     USD       2,626       2,639,077  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 05/30/25

       1,565       1,572,168  
   

 

 

  
        45,376,460  
Independent Power and Renewable Electricity Producers — 0.9%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.66%, 05/31/22

       36       35,981  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 01/15/25

       238       238,666  

Calpine Corp.:

      

2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.30%, 08/12/26

       724       728,308  

Term Loan B9, (3 mo. LIBOR + 2.25%), 4.20%, 04/05/26

       3,674       3,693,013  
   

 

 

  
        4,695,968  
Industrial Conglomerates — 1.7%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 11/30/23

       5,071       5,053,362  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.90%, 11/28/21

       1,590       1,589,374  

Sundyne US Purchaser, Inc., Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 05/15/26

       2,122       2,132,965  
   

 

 

  
        8,775,701  
Insurance — 4.7%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 05/09/25

       3,608       3,605,692  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 05/09/25

       1,045       1,045,628  

AmWINS Group, Inc., 2017 Term Loan B, 01/25/24(e)

       3,197       3,219,619  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 10/22/24

       2,875       2,881,321  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 12/02/24

       1,814       1,815,123  

Hub International Ltd.:

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.69%, 04/25/25

       3,398       3,393,104  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.90%, 04/25/25

       1,548       1,562,211  
Security          Par
(000)		     Value  
Insurance (continued)  

Sedgwick Claims Management Services, Inc.:

      

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 09/03/26

     USD       1,819     $ 1,833,642  

Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/31/25

       4,938       4,936,957  
   

 

 

  
        24,293,297  
Interactive Media & Services — 0.7%  

Ancestry.com Operations, Inc., Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 10/19/23

       1,352       1,330,647  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.90%, 11/03/23

       1,340       1,298,343  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 05/06/24

       1,227       1,192,847  
   

 

 

  
        3,821,837  
IT Services — 3.5%  

Altran Technologies SA, 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 4.26%, 03/20/25

       668       668,100  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 10/31/26

       2,717       2,731,943  

Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 06/01/22

       2,601       2,613,091  

Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 11/27/24

       914       920,623  

Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.16%, 08/01/25

       975       598,816  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/01/23

       2,184       2,188,689  

Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.55%, 11/16/26

       4,122       4,135,901  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 05/15/26

       4,619       4,643,842  
   

 

 

  
        18,501,005  
Leisure Products — 0.2%  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.44%, 06/19/24(a)

       1,010       944,721  
   

 

 

  
Life Sciences Tools & Services — 2.6%  

Albany Molecular Research, Inc:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 5.05%., 1.00% Floor), 08/30/24

       734       728,972  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 8.80%., 1.00% Floor), 08/30/25

       395       393,519  

eResearchTechnology, Inc., 2019 Term Loan, 11/20/26(e)

       2,155       2,168,469  

Sotera Health Holdings LLC, 2019 Term Loan, 12/11/26(e)

       10,047       10,069,015  
   

 

 

  
        13,359,975  
Machinery — 1.9%  

Clark Equipment Company, 2019 Term Loan B, (3 mo. LIBOR + 1.75%), 3.69%, 05/18/24

       596       597,889  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.44%, 01/31/24(a)

       134       134,804  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 07/30/24

       2,278       2,290,903  
 

 

 

38    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Machinery (continued)  

Terex Corp., 2019 Term Loan B1, (2 mo. LIBOR + 2.75%), 4.59%, 01/31/24

     USD       323     $ 324,175  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 03/28/25

       5,603       5,502,633  

Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 10/23/25(a)

       993       995,232  
   

 

 

  
        9,845,636  
Media — 11.5%  

Altice Financing SA:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.51%, 01/31/26

       708       702,900  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.49%, 07/15/25

       241       240,171  

Altice France SA:

      

2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 5.74%, 08/14/26

       3,573       3,575,970  

USD Term Loan B12, (1 mo. LIBOR + 3.68%), 5.43%, 01/31/26

       534       534,100  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.55%, 04/30/25

       4,396       4,424,017  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 08/21/26

       7,229       7,262,425  

Connect Finco Sarl, Term Loan B, 12/11/26(e)

       5,285       5,306,412  

CSC Holdings LLC:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 3.99%, 07/17/25

       1,345       1,345,473  

2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 4.24%, 04/15/27

       1,674       1,679,386  

Diamond Sports Group LLC, Term Loan, (1 mo. LIBOR + 3.25%), 5.03%, 08/24/26

       1,865       1,861,445  

Gray Television, Inc.:

      

2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.95%, 02/07/24

       607       608,650  

2018 Term Loan C, (1 mo. LIBOR + 2.50%), 4.20%, 01/02/26

       821       825,181  

iHeartCommunications, Inc., Exit Term Loan, (1 mo. LIBOR + 4.00%), 5.69%, 05/01/26

       2,715       2,734,310  

Intelsat Jackson Holdings SA, 2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 11/27/23

       395       395,352  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 12/01/23

       2,786       2,441,596  

Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 6.74%, 10/22/26

       1,291       1,305,524  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 03/24/25

       1,372       1,367,802  

MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 3.38%, 02/15/24

       1,062       1,064,768  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 09/13/24

       2,225       2,227,695  

Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 2.25%), 3.99%, 08/15/26

       738       743,205  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.45%, 09/18/26

       1,558       1,565,260  

PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 4.30%, 05/29/26

       1,357       1,364,652  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.23%, 03/03/25(a)

       3,468       3,450,705  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 02/01/24

       2,057       2,063,547  
Security          Par
(000)		     Value  
Media (continued)  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.05%, 01/03/24

     USD       190     $ 189,681  

Terrier Media Buyer, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 6.15%, 12/17/26

       1,467       1,480,760  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 09/28/23(a)

       3,761       3,770,227  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 03/15/24

       1,151       1,134,517  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 05/18/25

       2,108       2,095,259  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.24%, 04/15/25

       2,392       2,398,227  
   

 

 

  
        60,159,217  
Metals & Mining — 0.9%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, 07/31/25(e)

       1,488       1,305,596  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 03/08/24

       3,389       3,398,484  
   

 

 

  
        4,704,080  
Multiline Retail — 0.3%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 08/04/24

       965       966,487  

Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 7.71%, 10/25/23

       963       792,036  
   

 

 

  
        1,758,523  
Oil & Gas Equipment & Services — 0.3%  

McDermott Technology Americas, Inc.:

      

2018 1st Lien Term Loan, 10/21/21(e)

       763       777,184  

2018 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 05/09/25

       1,717       999,983  
   

 

 

  
        1,777,167  
Oil, Gas & Consumable Fuels — 0.8%  

California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.18%, 12/31/21

       1,737       1,287,921  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 09/27/24

       803       708,663  

Edgewater Generation LLC, Term Loan, 12/13/25(e)

       1,520       1,451,483  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       791       786,468  
   

 

 

  
        4,234,535  
Personal Products — 0.6%  

Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.19%, 10/01/26

       2,826       2,849,274  
   

 

 

  
Pharmaceuticals — 4.4%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.31%, 05/04/25

       1,515       1,357,078  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.05%, 05/18/26

       2,071       2,076,671  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.06%, 04/29/24

       1,591       1,519,652  
 

 

 

SCHEDULES OF INVESTMENTS      39  

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.74%, 11/15/27

     USD       2,769     $ 2,790,234  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.30%, 08/18/22

       7,606       7,641,025  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.74%, 06/02/25

       7,667       7,705,219  
   

 

 

  
        23,089,879  
Professional Services — 1.6%  

ASGN, Inc., 2019 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 04/02/25

       732       734,122  

Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 02/09/26

       2,065       2,073,572  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 6.79%, 02/06/26

       4,149       4,181,860  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.41%, 08/04/25(a)

       1,274       1,255,295  
   

 

 

  
        8,244,849  
Real Estate Management & Development — 2.4%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 04/18/24

       4,649       4,665,188  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 08/21/25

       3,111       3,111,666  

ESH Hospitality, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/18/26

       775       780,670  

Forest City Enterprises LP, 2019 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 12/08/25

       2,091       2,099,369  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 02/08/25

       780       772,114  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 01/23/25

       1,192       1,196,115  
   

 

 

  
        12,625,122  
Road & Rail — 0.3%  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 09/29/25

       734       734,323  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 06/13/23(e)

       1,109       1,023,963  
   

 

 

  
        1,758,286  
Semiconductors & Semiconductor Equipment — 0.3%  

Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/29/25

       857       861,073  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/26

       640       643,854  
   

 

 

  
        1,504,927  
Software — 18.0%  

Applied Systems, Inc.(e):

      

2017 1st Lien Term Loan, 09/19/24

       3,834       3,845,787  

2017 2nd Lien Term Loan,09/19/25

       726       738,084  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 10/02/25

       2,962       2,925,586  

Cerence, Inc., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.69%, 10/01/24(a)

       863       817,692  

Cypress Intermediate Holdings III, Inc.:

      

2017 1st Lien Term Loan, 04/29/24(e)

       2,748       2,751,321  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.55%, 04/27/25

       814       815,221  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 5.34%, 05/28/24

       1,459       1,297,717  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.68%, 09/30/23

       1,416       1,320,502  
Security          Par
(000)		     Value  
Software (continued)  

Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 4.00%), 5.94%, 04/17/26

     USD       3,339     $ 3,353,256  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, 10/01/25(e)

       6,512       6,566,880  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 02/01/22

       7,141       7,168,830  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 08/05/22

       4,174       4,187,795  

Kronos, Inc.:

      

2017 Term Loan B, (3 mo. LIBOR + 3.00%, 4.91%, 1.00% Floor), 11/01/23

       6,260       6,287,346  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 10.16%, 1.00% Floor), 11/01/24

       2,135       2,174,134  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 09/30/24

       4,238       4,253,585  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 11/29/24

       3,163       3,131,438  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.05%, 12/01/25(a)

       850       813,875  

Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/30/25

       694       689,710  

RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 10/12/23

       3,118       3,135,575  

Severin Acquisition LLC, 2018 Term Loan B, 08/01/25(e)

       1,313       1,303,675  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/24

       4,641       4,667,580  

Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 03/03/23

       3,936       3,939,395  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.19%, 09/30/22

       5,861       5,871,246  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       1,530       1,540,157  

SS&C Technologies, Inc.:

      

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       2,207       2,220,943  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       1,557       1,566,493  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 05/01/24

       4,747       4,771,460  

Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.71%, 06/30/26

       4,537       4,552,386  

Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 05/04/26

       2,858       2,874,356  

Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 07/02/25

       4,287       4,232,063  
   

 

 

  
        93,814,088  
Specialty Retail — 2.9%  

Belron Finance US LLC:

      

2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 4.44%, 11/07/26

       893       895,795  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.14%, 11/07/24

       2,929       2,937,138  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.15%, 11/13/25

       448       450,152  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.50%), 5.31%, 06/23/25

     GBP       1,000       1,310,175  

IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.06%, 06/28/26(a)

     USD       826       831,918  
 

 

 

40    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

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

(Percentages shown are based on Net Assets)

 

Security              
Par
(000)		     Value  
Specialty Retail (continued)  

Leslie’s Poolmart, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.34%, 08/16/23

     USD       661     $ 617,329  

MED ParentCo LP:

      

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       70       70,186  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       1,320       1,317,932  

Midas Intermediate Holdco II LLC, Incremental Term Loan B, 08/18/21(e)

       1,237       1,213,402  

PetSmart, Inc., Term Loan B2,
03/11/22(e)

       4,233       4,182,501  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.41%, 12/20/24

       1,240       1,237,840  
   

 

 

  
        15,064,368  
Technology Hardware, Storage & Peripherals — 0.5%  

Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.45%, 04/29/23

       2,795       2,805,682  
   

 

 

  
Textiles, Apparel & Luxury Goods — 0.5%  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.19%, 08/27/26(a)

       2,592       2,611,025  
   

 

 

  
Thrifts & Mortgage Finance — 0.7%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.80%, 05/23/25

       3,698       3,708,756  
   

 

 

  
Trading Companies & Distributors — 1.0%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 01/02/25

       1,076       1,080,364  

HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 3.55%, 10/17/23

       3,819       3,841,401  

United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 10/31/25

       224       225,404  
   

 

 

  
        5,147,169  
Utilities — 0.4%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.91%, 11/28/24

       1,908       1,879,778  
   

 

 

  
Wireless Telecommunication Services — 1.2%  

Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 03/22/24

       1,976       1,769,095  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(g)

       451       288,514  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/11/25

       4,304       4,316,749  
   

 

 

  
        6,374,358  
   

 

 

  

Total Floating Rate Loan Interests — 133.7%
(Cost — $699,975,310)

 

     698,713,395  
   

 

 

  
            Shares         

Investment Companies — 6.9%

 

Equity Fund — 6.9%  

Invesco Senior Loan ETF

       1,575,000       35,941,500  
   

 

 

  

Total Investment Companies — 6.9%
(Cost — $35,640,961)

 

     35,941,500  
   

 

 

  
Security          Beneficial
Interest
(000)		     Value  

Other Interests(a)(b)(h) — 0.0%

 

IT Services — 0.0%  

Millennium Corp.

     USD       1,607     $ —  

Millennium Lender Claims

       1,508       —  
   

 

 

  

Total Other Interests — 0.0%
(Cost $—)

 

     —  
   

 

 

  
            Shares         

Warrants — 0.1%

 

Media — 0.1%  

iHeartMedia, Inc. (Expires 05/01/39)

       43,029       727,147  
   

 

 

  

Total Warrants — 0.1%
(Cost — $774,479)

 

     727,147  
   

 

 

  

Total Long-Term Investments — 142.1%
(Cost — $747,139,779)

 

     742,376,906  
   

 

 

  

Options Purchased — 0.0%
(Cost — $57,426)

 

     122,865  
   

 

 

  

Total Investments — 142.1%
(Cost — $747,197,205)

 

     742,499,771  

Liabilities in Excess of Other Assets — (42.1)%

 

     (219,955,062 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 522,544,709  
   

 

 

  

 

(a) 

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

(b) 

Non-income producing security.

(c) 

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

(d) 

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

(e) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(f) 

Issuer filed for bankruptcy and/or is in default.

(g) 

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) 

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

 

 

 

SCHEDULES OF INVESTMENTS      41  

Schedule of Investments  (continued)

December 31, 2019

   

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

 

During the period ended December 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliated Persons and/or Related Parties   Shares
Held at
08/31/19		     Shares
Purchased		     Shares
Sold		     Shares
Held at
12/31/19		     Value at
12/31/19		     Income     Net
Realized
Gain (Loss) (a)		     Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class(b)(c)

     —       —       —       —     $ —     $ 8,933     $ 5     $ —  

iShares iBoxx USD High Yield Corporate Bond
ETF(b)

     —       17,680       (17,680 )      —       —       —       2,169       —  
         

 

 

    

 

 

    

 

 

    

 

 

  
          $ —     $ 8,933     $ 2,174     $ —  
         

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

As of period end, the entity is no longer held by the Fund.

 
  (c) 

Represents net shares purchased (sold).

 

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

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		        Currency
Sold		        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD     4,991,016        EUR     4,515,000        Natwest Markets PLC        02/05/20        $ (83,846 ) 
USD     2,391,207        GBP     1,851,000        Barclays Bank PLC        02/05/20          (62,941 ) 
                       

 

 

  
                        $ (146,787 ) 
                       

 

 

  

Exchange-Traded Options Purchased

 

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

Energy Select Sector SPDR Fund

      260          01/17/20        USD     60.21        USD     1,561        $ 23,790  

Energy Select Sector SPDR Fund

      175          01/17/20        USD     59.21        USD     1,051          26,863  

SPDR S&P Oil & Gas Exploration & Production ETF

      265          01/17/20        USD     22.00        USD     628          48,892  

SPDR S&P Oil & Gas Exploration & Production ETF

      220          01/17/20        USD     23.00        USD     521          23,320  
                          

 

 

  
                           $ 122,865  
                          

 

 

  

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                     

Options purchased

                     

Investments at value — unaffiliated(a)

    $ —      $ —      $ 122,865      $ —      $ —      $ —      $ 122,865  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 146,787      $ —      $ —      $ 146,787  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes options purchased at value as reported in the Schedule of Investments.

 

 

 

42    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

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

 

Derivative Financial Instruments Categorized by Risk Exposure (continued)

 

For the period ended December 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                     

Forward foreign currency exchange contracts

    $ —      $ —      $ —      $ (69,658 )     $ —      $ —      $ (69,658 ) 

Options purchased(a)

      —        —        (85,910 )       —        —        —        (85,910 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ (85,910 )     $ (69,658 )     $ —      $ —      $ (155,568 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

 

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

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Forward foreign currency exchange contracts

    $ —      $ —      $ —      $ (237,245 )     $ —      $ —      $ (237,245 ) 

Options purchased(a)

      —        —        92,367        —        —        —        92,367  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ 92,367      $ (237,245 )     $ —      $ —      $ (144,878 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

         

Average amounts purchased — in USD

    $ 11,095,708  

Average amounts sold — in USD

    $ 3,677,181  

Options:

   

Average value of option contracts purchased

    $ 78,056  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Forward foreign currency exchange contracts

    $ —      $ 146,787  

Options

      122,865 (a)       —  
  

 

 

     

 

 

  

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

    $ 122,865      $ 146,787  

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

      (122,865 )       —  
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ —      $ 146,787  
  

 

 

     

 

 

  

 

  (a)

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 

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

 

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

Natwest Markets PLC

    $ 83,846        $ —        $ —        $ —        $ 83,846  

Barclays Bank PLC

      62,941          —          —          —          62,941  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 146,787        $ —        $ —        $ —        $ 146,787  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

Net amount represents the net amount payable due to counterparty in the event of default

 
  (b)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized

 

 

 

SCHEDULES OF INVESTMENTS      43  

Schedule of Investments  (continued)

December 31, 2019

   

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

 

Fair Value Hierarchy as of Period End

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

The following tables summarize the Fund’s investments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3      Total  

Assets:

               

Investments:

               

Long-Term Investments:

               

Common Stocks(a)

    $ 440,084        $ 89        $ 556,399      $ 996,572  

Corporate Bonds(a)

     —          5,998,292          —        5,998,292  

Floating Rate Loan Interests (a)

      —          668,826,696          29,886,699        698,713,395  

Investment Companies

     35,941,500          —          —        35,941,500  

Other Interests

     —          —          — (b)       — (b) 

Warrants

     —          727,147          —        727,147  

Options Purchased

               

Equity Contracts

      72,212          50,653          —        122,865  

Unfunded floating rate loan interests(c)

      —          149,328          —        149,328  
  

 

 

       

 

 

       

 

 

     

 

 

  
   $ 36,453,796        $ 675,752,205        $ 30,443,098      $ 742,649,099  
  

 

 

       

 

 

       

 

 

     

 

 

  

Derivative Financial Instruments

 

Liabilities:(d)

 

Forward foreign currency contracts

   $ —        $ (146,787 )       $ —      $ (146,787 ) 
  

 

 

       

 

 

       

 

 

     

 

 

  

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Rounds to less than $1.

 
  (c) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (d) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Common
Stocks		      Corporate
Bonds		     

Other
Interests

      Floating
Rate Loan
Interests		      Total  

Assets:

               

Opening Balance, as of August 31, 2019

    $ 564,703      $ 875,355      $ — (a)     $ 24,982,577      $ 26,422,635  

Transfers into Level 3(b)

      —        —        —        12,286,684        12,286,684  

Transfers out of Level 3(c)

      —        —        —        (9,477,117 )       (9,477,117 ) 

Accrued discounts/premiums

      —        1,519        —        10,813        12,332  

Net realized gain (loss)

      —        (3,064 )       —        (97,483 )       (100,547 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

      (8,304 )       (28,938 )       —        375,499        338,257  

Purchases

      —        —        —        6,462,704        6,462,704  

Sales

      —        (844,872 )       —        (4,656,978 )       (5,501,850 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing Balance, as of December 31, 2019

    $ 556,399      $ —      $ — (a)     $ 29,886,699      $ 30,443,098  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019 (d)

    $ (8,304 )     $ —      $ —      $ 293,355      $ 285,051  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Rounds to less than $1.

 
  (b) 

As of August 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (c) 

As August 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (d) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (e) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

44    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security              
Shares		     Value  

Common Stocks — 0.1%

      

Diversified Financial Services — 0.1%

      

Arrow Global Group PLC

       3,556     $ 11,945  

Kcad Holdings I Ltd.(a)(b)

       546,753,936       371,793  
     

 

 

  
        383,738  
Health Care Management Services — 0.0%              

New Millennium HoldCo, Inc.(b)

       8,511       51  
     

 

 

  
Household Durables — 0.0%                  

Berkline Benchcraft Equity LLC(a)(b)

       3,155       —  
     

 

 

  
Media — 0.0%                  

Clear Channel Outdoor Holdings, Inc.(b)

       38,911       111,285  

iHeartMedia, Inc., Class A(b)

       1,943       32,837  
     

 

 

  
        144,122  
Metals & Mining — 0.0%                  

Ameriforge Group, Inc.(b)

       801       41,251  

Preferred Proppants LLC(a)

       5,738       12,911  
     

 

 

  
        54,162  
Software — 0.0%                  

Avaya Holdings Corp.(b)

       19       256  
     

 

 

  
Utilities — 0.0%                  

Texgen LLC(a)(b)

       3,661       138,203  
     

 

 

  

Total Common Stocks — 0.1%
(Cost — $6,591,413)

 

     720,532  
     

 

 

  
            Par
(000)		         
Asset-Backed Securities — 4.3%        

522 Funding Clo I Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 7.34%),
9.24%, 01/15/33(c)(d)

     USD       250       250,025  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%),
4.97%, 10/21/28(c)(d)

       1,000       960,672  

ALM VI Ltd., Series 2012-6A, Class BR3, (3 mo. LIBOR US + 1.75%), 3.75%, 07/15/26(c)(d)

       1,000       980,876  

ALM XII Ltd., Series 2015-12A, Class C1R2, (3 mo. LIBOR US + 2.65%), 4.65%, 04/16/27(c)(d)

       1,000       999,985  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 4.70%, 07/15/27(c)(d)

       270       261,455  

Anchorage Capital CLO Ltd.(c)(d):

      

Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 7.44%, 01/28/31

       850       788,268  

Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 4.54%, 01/28/31

       250       238,766  

Series 2015-7A, Class DR, (3 mo. LIBOR US + 2.70%), 4.70%, 10/15/27

       1,000       999,982  

Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 7.69%, 07/28/28

       1,000       985,215  

BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 9.53%, 10/20/32(c)(d)

       250       249,947  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%),
8.71%, 07/20/32(c)(d)

       500       477,458  

CarVal CLO Ltd., Series 2018-1A, Class E, 7.77%, 07/16/31(c)(e)

       500       469,258  

Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 5.58%, 07/23/30(c)(d)

       500       497,447  
Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

CIFC Funding II Ltd., Series 2015-2A, Class DR, 4.45%, 04/15/27(c)(e)

     USD       500     $ 499,992  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(c)

       410       396,973  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%),
4.65%, 04/18/31(c)(d)

       250       237,848  

Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%),
8.82%, 10/15/32(c)(d)

       950       949,852  

Litigation Fee Residual Funding, 4.00%, 10/30/27(a)(c)

       858       855,309  

Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 8.37%, 01/20/29(c)(d)

       500       486,222  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.14%, 01/27/26(c)(d)

       1,500       1,496,398  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 5.67%, 04/20/26(c)(d)

       300       300,003  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 7.00%, 01/15/28(c)(d)

       790       753,405  

Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%),
7.17%, 10/20/27(c)(d)

       500       475,674  

Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 8.27%, 07/20/30(c)(d)

       500       484,391  

OZLM Funding Ltd., Series 2012-1A, Class CR2, (3 mo. LIBOR US + 3.60%),
5.55%, 07/22/29(c)(d)

       250       244,069  

OZLM VIII Ltd., Series 2014-8A(c)(d):

      

Class BRR, (3 mo. LIBOR US + 2.20%), 4.20%, 10/17/29

       2,500       2,418,122  

Class CRR, (3 mo. LIBOR US + 3.15%), 5.15%, 10/17/29

       250       241,638  

OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.00%), 5.97%, 01/20/29(c)(d)

       1,000       993,332  

OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%),
7.51%, 01/20/31(c)(d)

       250       229,115  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.22%), 8.13%, 11/14/29(c)(d)

       1,750       1,682,147  

Rockford Tower CLO Ltd.(c)(d):

      

Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.25%, 04/15/29

       250       242,353  

Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 5.45%, 10/15/29

       500       496,499  

Sterling Coofs Trust(a)(c):

      

Series 2004-1, Class A, 2.36%, 04/15/29

       1,693       62,959  

Series 2004-2, Class Note, 2.08%, 03/30/30

       2,512       97,335  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 5.93%, 01/23/28(c)(d)

       1,000       1,000,004  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%),
8.51%, 07/15/29(c)(d)

       500       487,784  

Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.25%),
6.22%, 01/20/29(c)(d)

       1,000       1,000,433  

Wellfleet CLO Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%),
3.95%, 01/17/31(c)(d)

       500       463,323  
 

 

 

SCHEDULES OF INVESTMENTS      45  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%),
5.22%, 07/20/28(c)(d)

     USD       500     $ 499,289  

York CLO Ltd.(c)(d):

      

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.57%, 10/20/29

       250       250,556  

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%), 8.91%, 01/20/30

       1,000       1,003,025  
     

 

 

  

Total Asset-Backed Securities — 4.3%
(Cost — $27,040,913)

 

     26,507,404  
     

 

 

  

Corporate Bonds — 63.6%

      

Aerospace & Defense — 2.7%

      

Amsted Industries, Inc., 5.63%, 07/01/27(c)

       156       165,360  

Arconic, Inc.:

      

5.40%, 04/15/21

       10       10,309  

5.87%, 02/23/22

       730       779,511  

5.13%, 10/01/24(f)

       808       881,475  

Bombardier, Inc.(c):

      

8.75%, 12/01/21(f)

       635       695,722  

5.75%, 03/15/22

       108       111,544  

6.00%, 10/15/22

       8       7,998  

6.13%, 01/15/23(f)

       338       346,619  

7.50%, 12/01/24

       135       141,835  

7.50%, 03/15/25

       296       305,247  

7.88%, 04/15/27(f)

       1,392       1,432,020  

Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(c)(g)

       717       750,720  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c)

       378       404,460  

Moog, Inc.(c):

      

5.25%, 12/01/22

       270       273,699  

4.25%, 12/15/27

       147       149,587  

Signature Aviation US Holdings, Inc.(c):

      

5.38%, 05/01/26

       271       285,257  

4.00%, 03/01/28

       409       403,397  

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

       464       494,160  

TransDigm, Inc.(c):

      

6.25%, 03/15/26(f)

       6,014       6,510,817  

5.50%, 11/15/27

       538       544,042  

Triumph Group, Inc., 6.25%, 09/15/24(c)

       346       363,732  

Wolverine Escrow LLC(c):

      

8.50%, 11/15/24

       230       238,050  

9.00%, 11/15/26

       983       1,029,692  
     

 

 

  
        16,325,253  
Air Freight & Logistics — 0.0%  

XPO Logistics, Inc., 6.75%, 08/15/24(c)

       18       19,554  
   

 

 

  
Airlines — 1.4%  

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(c)(f)

       1,052       1,060,761  

American Airlines Pass-Through Trust:

      

Series 2013-2, Class A, 4.95%, 07/15/24(f)

       1,918       1,999,864  

Series 2017-1, Class B, 4.95%, 08/15/26

       1,212       1,279,691  

Avianca Holdings SA, 9.00%, 05/10/23(c)

       239       219,880  

Latam Finance Ltd., 6.88%, 04/11/24(c)

       203       213,975  

United Airlines Pass-Through Trust(f):

      

Series 2014-2, Class B, 4.63%, 03/03/24

       1,441       1,486,063  

Series 2015-1, Class A, 3.70%, 06/01/24

       2,430       2,499,391  
     

 

 

  
        8,759,625  
Security          Par
(000)		     Value  
Auto Components — 1.1%  

Allison Transmission, Inc.(c):

      

5.00%, 10/01/24

     USD       28     $ 28,665  

5.88%, 06/01/29

       319       349,305  

Aptiv PLC, 4.40%, 10/01/46

       240       231,342  

GKN Holdings Ltd., 4.63%, 05/12/32

     GBP       100       136,394  

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

     USD       67       69,680  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.25%, 02/01/22

       299       304,681  

6.75%, 02/01/24

       314       325,775  

4.75%, 09/15/24(c)

       40       41,100  

6.38%, 12/15/25

       120       125,850  

6.25%, 05/15/26

       392       417,480  

5.25%, 05/15/27(c)

       374       382,464  

IHO Verwaltungs GmbH, (3.63% Cash or 4.38% PIK), 3.63%, 05/15/25(g)

     EUR       100       117,357  

Jaguar Land Rover Automotive PLC, Series DEC, 6.88%, 11/15/26

       100       117,778  

Panther BF Aggregator 2 LP/Panther Finance Co., Inc.:

      

4.38%, 05/15/26

       100       117,577  

6.25%, 05/15/26(c)

     USD       1,708       1,840,370  

8.50%, 05/15/27(c)(f)

       1,751       1,860,437  

Tesla, Inc., 5.30%, 08/15/25(c)

       271       262,870  
     

 

 

  
        6,729,125  
Banks — 2.0%  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(h)

     EUR       100       115,900  

Banco BPM SpA, 2.50%, 06/21/24

       100       115,891  

Banco Espirito Santo SA(b)(i):

      

4.75%, 01/15/20

       100       19,069  

4.00%, 01/21/21

       100       19,069  

Barclays PLC:

      

4.38%, 09/11/24

     USD       580       609,374  

3.65%, 03/16/25(f)

       3,600       3,747,149  

5.20%, 05/12/26

       200       218,749  

BBVA Bancomer SA, 6.75%, 09/30/22(c)

       192       209,040  

CIT Group, Inc., 5.00%, 08/01/23

       582       627,105  

HSBC Holdings PLC, 4.38%, 11/23/26(f)

       395       427,208  

Nordea Bank AB, 4.50%, 03/26/20

     EUR       1,020       1,155,820  

Promerica Financial Corp., 9.70%, 05/14/24(c)

     USD       200       207,937  

Santander Holdings USA, Inc., 4.50%, 07/17/25(f)

       1,750       1,889,205  

Santander UK Group Holdings PLC, 2.88%, 08/05/21(f)

       950       958,852  

Standard Chartered PLC(3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(c)(f)(h)

       1,500       1,553,363  
     

 

 

  
        11,873,731  
Beverages — 0.1%  

Central American Bottling Corp., 5.75%, 01/31/27(c)

       176       185,845  

Crown European Holdings SA, 2.25%, 02/01/23(c)

     EUR       100       116,935  
     

 

 

  
        302,780  
Building Materials — 0.0%  

CEMEX Finance LLC, 4.63%, 06/15/24

       100       116,832  

Jeld-Wen, Inc., 4.63%, 12/15/25(c)

     USD       138       142,071  
     

 

 

  
        258,903  
Building Products — 0.4%  

Advanced Drainage Systems, Inc., 5.00%, 09/30/27(c)

       262       270,187  

Beacon Roofing Supply, Inc.(c):

      

4.88%, 11/01/25

       18       18,090  

4.50%, 11/15/26

       88       90,640  
 

 

 

46    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Building Products (continued)  

CPG Merger Sub LLC, 8.00%, 10/01/21(c)

     USD       324     $ 324,810  

Jeld-Wen, Inc., 4.88%, 12/15/27(c)

       19       19,428  

Masonite International Corp.(c):

      

5.75%, 09/15/26

       86       91,375  

5.38%, 02/01/28

       120       126,750  

Standard Industries, Inc.(c):

      

5.50%, 02/15/23

       66       67,072  

5.38%, 11/15/24

       404       415,110  

6.00%, 10/15/25

       600       630,750  

5.00%, 02/15/27

       36       37,530  

4.75%, 01/15/28

       46       47,150  
     

 

 

  
        2,138,892  
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(c)

       146       154,760  
   

 

 

  
Capital Markets — 0.3%  

Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(h)(j)

       210       217,560  

Intertrust Group BV, 3.38%, 11/15/25

     EUR       100       117,779  

LABL Escrow Issuer LLC, 6.75%, 07/15/26(c)

     USD       380       403,750  

Morgan Stanley, 4.00%, 07/23/25(f)

       965       1,044,192  

Owl Rock Capital Corp., 5.25%, 04/15/24

       88       93,383  

Stevens Holding Co., Inc., 6.13%, 10/01/26(c)

       167       182,447  
     

 

 

  
        2,059,111  
Chemicals — 1.4%  

Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(g)

       256       261,120  

Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(c)

       1,830       1,875,750  

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

       608       629,280  

Blue Cube Spinco LLC:

      

9.75%, 10/15/23

       596       640,891  

10.00%, 10/15/25

       380       420,193  

Chemours Co.:

      

6.63%, 05/15/23

       259       259,992  

7.00%, 05/15/25

       20       20,150  

Cydsa SAB de CV, 6.25%, 10/04/27(c)

       252       259,324  

Element Solutions, Inc., 5.88%, 12/01/25(c)(f)

       1,384       1,448,010  

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

       165       173,250  

Monitchem HoldCo 3 SA, 5.25%, 03/15/25

     EUR       100       117,442  

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

     USD       67       69,177  

Orbia Advance Corp SAB de CV, 5.50%, 01/15/48(c)

       200       204,500  

PQ Corp.(c):

      

6.75%, 11/15/22

       457       472,424  

5.75%, 12/15/25

       543       567,435  

WR Grace & Co-Conn(c):

      

5.13%, 10/01/21(f)

       741       772,255  

5.63%, 10/01/24

       200       221,000  
     

 

 

  
        8,412,193  
Commercial Services & Supplies — 1.2%  

ADT Security Corp.:

      

6.25%, 10/15/21

       139       146,645  

3.50%, 07/15/22

       55       55,997  

4.13%, 06/15/23

       9       9,281  

4.88%, 07/15/32(c)

       575       527,562  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(c)

       147       152,880  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(c)

       383       393,532  

Clean Harbors, Inc.(c)(f):

      

4.88%, 07/15/27

       276       290,490  

5.13%, 07/15/29

       172       184,487  

Core & Main LP, 6.13%, 08/15/25(c)

       1,044       1,088,370  
Security          Par
(000)		     Value  
Commercial Services & Supplies (continued)  

Fortress Transportation & Infrastructure Investors LLC(c):

      

6.75%, 03/15/22

     USD       71     $ 74,018  

6.50%, 10/01/25

       78       82,329  

GFL Environmental, Inc.(c):

      

5.38%, 03/01/23

       30       30,900  

5.13%, 12/15/26

       458       481,532  

8.50%, 05/01/27

       511       562,100  

Harland Clarke Holdings Corp.,
8.38%, 08/15/22(c)

       398       324,370  

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

       380       395,200  

Mobile Mini, Inc., 5.88%, 07/01/24

       499       518,960  

Pitney Bowes, Inc., 4.13%, 10/01/21(f)

       500       506,875  

Ritchie Bros Auctioneers, Inc.,
5.38%, 01/15/25(c)

       472       492,060  

Summer BC Holdco B Sarl,
5.75%, 10/31/26

     EUR       100       116,769  

United Rentals North America, Inc.:

      

4.63%, 10/15/25

     USD       285       293,009  

5.50%, 05/15/27

       339       363,161  

3.88%, 11/15/27

       200       204,190  
     

 

 

  
        7,294,717  
Communications Equipment — 0.9%  

CommScope, Inc.(c):

      

5.50%, 03/01/24

       707       737,047  

6.00%, 03/01/26

       256       272,320  

Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(c)

       164       173,225  

Motorola Solutions, Inc., 3.75%, 05/15/22(f)

       843       871,753  

Nokia OYJ:

      

3.38%, 06/12/22

       106       107,325  

4.38%, 06/12/27

       149       155,333  

6.63%, 05/15/39

       200       231,606  

ViaSat, Inc., 5.63%, 04/15/27(c)

       593       634,510  

Zayo Group LLC/Zayo Capital, Inc.(f):

      

6.00%, 04/01/23

       531       542,947  

6.38%, 05/15/25

       535       551,494  

5.75%, 01/15/27(c)

       1,416       1,439,010  
     

 

 

  
        5,716,570  
Construction & Engineering — 0.2%  

Brand Industrial Services, Inc., 8.50%, 07/15/25(c)

       341       349,525  

frontdoor, Inc., 6.75%, 08/15/26(c)

       560       610,400  

SPIE SA, 2.63%, 06/18/26

     EUR       100       117,218  

SRS Distribution, Inc., 8.25%, 07/01/26(c)

     USD       266       274,645  
     

 

 

  
        1,351,788  
Construction Materials — 0.7%  

American Builders & Contractors Supply Co., Inc.(c):

      

5.88%, 05/15/26

       412       437,750  

4.00%, 01/15/28

       375       380,625  

Core & Main Holdings LP, (8.625% Cash or 9.38% PIK), 8.63%, 09/15/24(c)(g)

       464       482,560  

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

       1,956       2,073,360  

Navistar International Corp., 6.63%, 11/01/25(c)

       448       456,400  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(c)

       136       143,990  

Williams Scotsman International, Inc.(c):

      

7.88%, 12/15/22

       98       102,165  

6.88%, 08/15/23

       391       411,527  
     

 

 

  
        4,488,377  
Consumer Discretionary — 0.3%  

Nielsen Co. Luxembourg Sarl,
5.00%, 02/01/25(c)

       135       139,050  

Viking Cruises Ltd.(c):

      

6.25%, 05/15/25

       315       327,994  

5.88%, 09/15/27(f)

       998       1,066,612  
     

 

 

  
        1,533,656  
 

 

 

SCHEDULES OF INVESTMENTS      47  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Consumer Finance — 1.6%  

Ally Financial, Inc., 8.00%, 11/01/31(f)

     USD       1,543     $ 2,141,838  

Credivalores-Crediservicios SAS, 9.75%, 07/27/22(c)

       200       202,938  

Mulhacen Pte Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 08/01/23(g)

     EUR       119       109,632  

Muthoot Finance Ltd., 6.13%, 10/31/22(c)

     USD       427       443,724  

Navient Corp.:

      

5.00%, 10/26/20

       310       314,557  

6.63%, 07/26/21

       113       119,498  

7.25%, 09/25/23

       129       145,774  

6.13%, 03/25/24

       86       93,310  

5.88%, 10/25/24

       129       138,030  

Refinitiv US Holdings, Inc.:

      

4.50%, 05/15/26(c)

     EUR       400       488,276  

4.50%, 05/15/26

       100       122,069  

6.25%, 05/15/26(c)(f)

     USD       1,610       1,756,912  

8.25%, 11/15/26(c)(f)

       972       1,094,715  

Springleaf Finance Corp.:

      

6.13%, 05/15/22

       70       75,163  

6.88%, 03/15/25

       281       319,637  

7.13%, 03/15/26

       374       432,419  

6.63%, 01/15/28

       221       249,465  

5.38%, 11/15/29

       164       171,183  

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

       1,418       1,550,937  
     

 

 

  
        9,970,077  
Containers & Packaging — 1.4%  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(c)(g)

       691       714,459  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.13%, 08/15/26(c)(f)

       262       268,550  

4.75%, 07/15/27(c)

     GBP       100       138,951  

4.75%, 07/15/27

       100       138,951  

Berry Global, Inc.:

      

1.00%, 01/15/25(k)

     EUR       100       112,578  

4.88%, 07/15/26(c)

     USD       405       427,153  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

       196       205,555  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26(f)

       523       552,419  

Greif, Inc., 6.50%, 03/01/27(c)

       61       65,880  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(c)

       201       212,558  

Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(c)(f)

       1,450       1,493,645  

OI European Group BV, 2.88%, 02/15/25

     EUR       100       116,225  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(c):

      

(3 mo. LIBOR US + 3.50%),
5.50%, 07/15/21(d)

     USD       433       433,541  

5.13%, 07/15/23

       146       149,468  

7.00%, 07/15/24(f)

       344       355,610  

Sealed Air Corp.(c):

      

5.13%, 12/01/24

       46       49,565  

6.88%, 07/15/33

       44       51,920  

Silgan Holdings, Inc., 4.13%, 02/01/28(c)

       228       228,068  

Trivium Packaging Finance BV:

      

3.75%, 08/15/26

     EUR       100       118,726  

5.50%, 08/15/26(c)

     USD       1,004       1,057,965  

8.50%, 08/15/27(c)(f)

       1,367       1,520,787  
     

 

 

  
        8,412,574  
Diversified Consumer Services — 0.7%  

APX Group, Inc.:

      

8.75%, 12/01/20(f)

       243       243,000  

7.88%, 12/01/22(f)

       336       338,940  

8.50%, 11/01/24(c)

       60       61,800  
Security          Par
(000)		     Value  
Diversified Consumer Services (continued)  

Ascend Learning LLC, 6.88%, 08/01/25(c)

     USD       1,007     $ 1,057,350  

Graham Holdings Co., 5.75%, 06/01/26(c)

       211       225,243  

Laureate Education, Inc., 8.25%, 05/01/25(c)

       114       122,693  

Pinnacle Bidco PLC, 6.38%, 02/15/25

     GBP       100       138,421  

Prime Security Services Borrower LLC/Prime Finance, Inc.(c):

      

9.25%, 05/15/23

     USD       251       263,236  

5.25%, 04/15/24

       330       349,140  

5.75%, 04/15/26(f)

       482       523,876  

Service Corp. International, 5.13%, 06/01/29

       248       263,500  

ServiceMaster Co. LLC, 5.13%, 11/15/24(c)

       797       826,887  
     

 

 

  
        4,414,086  
Diversified Financial Services — 1.2%  

Allied Universal Holdco LLC/Allied Universal Finance Corp.(c):

      

6.63%, 07/15/26(f)

       1,222       1,313,283  

9.75%, 07/15/27

       98       104,691  

Arrow Global Finance PLC, 5.13%, 09/15/24

     GBP       100       134,712  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(c)

     USD       223       235,265  

Garfunkelux Holdco 3 SA, 7.50%, 08/01/22

     EUR       100       111,890  

General Motors Financial Co., Inc., 4.38%, 09/25/21(f)

     USD       530       549,174  

Gilex Holding Sarl, 8.50%, 05/02/23(c)

       182       195,424  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(c)(f)

       2,442       2,565,992  

Intrum AB, 3.00%, 09/15/27

     EUR       100       110,358  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(g)

       100       115,928  

Lloyds Banking Group PLC(5 year CMT + 4.82%), 6.75%(h)(j)

     USD       450       487,125  

MSCI, Inc., 5.25%, 11/15/24(c)

       39       40,068  

Murphy Oil USA, Inc., 4.75%, 09/15/29

       163       172,139  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(c)(f)

       804       830,130  

Usiminas International Sarl, 5.88%, 07/18/26(c)

       200       208,250  

VZ Vendor Financing BV, 2.50%, 01/31/24

     EUR       100       114,413  

WMG Acquisition Corp., 5.50%, 04/15/26(c)

     USD       166       174,715  
     

 

 

  
        7,463,557  
Diversified Telecommunication Services — 1.5%  

CenturyLink, Inc.:

      

5.63%, 04/01/25(f)

       566       601,403  

5.13%, 12/15/26(c)

       777       790,699  

Series P, 7.60%, 09/15/39

       175       182,875  

Series U, 7.65%, 03/15/42

       357       373,957  

Series W, 6.75%, 12/01/23(f)

       512       571,520  

Series Y, 7.50%, 04/01/24(f)

       864       974,160  

Cincinnati Bell, Inc., 7.00%, 07/15/24(c)

       312       327,210  

Frontier Communications Corp.(c):

      

8.50%, 04/01/26

       164       166,050  

8.00%, 04/01/27(f)

       1,478       1,544,510  

GCI LLC, 6.63%, 06/15/24(c)

       153       165,623  

Level 3 Financing, Inc.:

      

5.38%, 08/15/22

       155       155,574  

5.63%, 02/01/23

       61       61,183  

5.13%, 05/01/23

       295       296,844  

5.38%, 05/01/25

       90       93,150  

5.25%, 03/15/26(f)

       865       899,600  

SoftBank Group Corp.:

      

4.50%, 04/20/25

     EUR       100       122,128  

4.75%, 07/30/25

       100       123,094  

Telecom Argentina SA, 8.00%, 07/18/26(c)

     USD       3       2,851  
 

 

 

48    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       137     $ 152,070  

6.00%, 09/30/34

       368       394,680  

7.20%, 07/18/36

       19       22,511  

7.72%, 06/04/38

       58       71,340  

Telecom Italia SpA:

      

4.00%, 04/11/24

     EUR       150       186,132  

5.30%, 05/30/24(c)(f)

     USD       600       645,000  

2.75%, 04/15/25

     EUR       100       118,415  

Verizon Communications, Inc.,
3.38%, 02/15/25(f)

     USD       156       165,252  
     

 

 

  
        9,207,831  
Electric Utilities — 0.5%  

Black Hills Corp., 3.15%, 01/15/27(f)

       305       308,662  

Electricite de France SA, 4.50%, 12/04/69

       200       203,882  

Enel Finance International NV,
3.63%, 05/25/27(c)(f)

       900       932,536  

Energuate Trust, 5.88%, 05/03/27(c)

       200       206,250  

Exelon Corp., 3.40%, 04/15/26(f)

       140       146,279  

Inkia Energy Ltd., 5.88%, 11/09/27(c)

       377       392,905  

NextEra Energy Operating Partners LP(c):

      

4.25%, 07/15/24

       528       549,780  

4.25%, 09/15/24

       101       105,040  

4.50%, 09/15/27

       111       115,717  

Talen Energy Supply LLC:

      

6.50%, 06/01/25

       50       42,671  

10.50%, 01/15/26(c)

       50       47,562  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.:

      

11.50%, 10/01/20(a)

       300       —  

10.50%, 11/01/20

       31       152  

10.25%, 12/31/49(a)(e)(i)

       47       —  
     

 

 

  
        3,051,436  
Electronic Equipment, Instruments & Components — 0.2%  

CDW LLC/CDW Finance Corp.:

      

5.50%, 12/01/24(f)

       655       727,050  

5.00%, 09/01/25

       107       111,815  

4.25%, 04/01/28

       54       56,633  

Itron, Inc., 5.00%, 01/15/26(c)

       25       25,906  
     

 

 

  
        921,404  
Energy Equipment & Services — 0.5%  

Apergy Corp., 6.38%, 05/01/26

       239       252,145  

Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(c)

       147       155,453  

Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(c)

       240       244,130  

Halliburton Co., 3.80%, 11/15/25(f)

       100       106,679  

Odebrecht Oil & Gas Finance Ltd., 0.00%(c)(j)(l)

     BRL       43       320  

Pattern Energy Group, Inc., 5.88%, 02/01/24(c)

     USD       299       307,596  

Transocean, Inc.:

      

8.38%, 12/15/21

       51       52,275  

9.00%, 07/15/23(c)

       920       971,750  

USA Compression Partners LP/USA Compression Finance Corp.:

      

6.88%, 04/01/26

       322       338,100  

6.88%, 09/01/27

       503       523,925  
     

 

 

  
        2,952,373  
Environmental, Maintenance, & Security Service — 0.2%  

GFL Environmental, Inc., 7.00%, 06/01/26(c)

       725       765,890  

Tervita Corp., 7.63%, 12/01/21(c)

       343       345,144  

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

       313       326,302  
     

 

 

  
        1,437,336  
Security          Par
(000)		     Value  
Equity Real Estate Investment Trusts (REITs) — 2.0%  

AvalonBay Communities, Inc.,
3.45%, 06/01/25(f)

     USD       1,245     $ 1,316,030  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(c)

       167       176,185  

ERP Operating LP, 3.38%, 06/01/25(f)

       1,015       1,066,838  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c)

       389       391,844  

GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26

       174       192,340  

Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24

       337       343,319  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

       30       30,825  

Iron Mountain, Inc.(c):

      

4.88%, 09/15/27

       397       409,903  

4.88%, 09/15/29

       198       201,128  

iStar, Inc., 5.25%, 09/15/22

       67       68,759  

Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26

       40       43,550  

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

      

5.63%, 05/01/24(f)

       1,334       1,459,049  

4.50%, 09/01/26(f)

       637       670,442  

5.75%, 02/01/27(c)

       27       30,105  

4.50%, 01/15/28

       432       450,360  

MPT Operating Partnership LP/MPT Finance Corp.:

      

5.50%, 05/01/24

       73       74,916  

5.00%, 10/15/27(f)

       991       1,050,460  

4.63%, 08/01/29(f)

       456       469,680  

Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(c)

       585       604,013  

SBA Communications Corp., 4.88%, 09/01/24(f)

       1,195       1,239,812  

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

       234       242,775  

Trust F/1401, 6.95%, 01/30/44

       706       819,401  

Ventas Realty LP, 4.13%, 01/15/26(f)

       650       696,368  

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

       224       242,007  
     

 

 

  
        12,290,109  
Equity Real Estate Investment Trusts (REITs) — 0.0%  

GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25

       108       118,541  
   

 

 

  
Food & Staples Retailing — 0.3%  

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

      

6.63%, 06/15/24

       186       194,679  

5.75%, 03/15/25

       70       72,450  

7.50%, 03/15/26(c)

       107       120,108  

4.63%, 01/15/27(c)

       408       407,510  

5.88%, 02/15/28(c)

       351       372,937  

BRF GmbH, 4.35%, 09/29/26

       200       205,938  

Post Holdings, Inc., 5.50%, 12/15/29(c)

       584       622,719  
     

 

 

  
        1,996,341  
Food Products — 1.2%  

Aramark Services, Inc.(c):

      

5.00%, 04/01/25

       623       649,477  

5.00%, 02/01/28(f)

       542       571,133  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(c)

       416       418,080  

Darling Ingredients, Inc., 5.25%, 04/15/27(c)

       302       321,253  

Graphic Packaging International LLC, 4.75%, 07/15/27(c)

       89       95,230  
 

 

 

SCHEDULES OF INVESTMENTS      49  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food Products (continued)  

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

      

5.88%, 07/15/24

     USD       412     $ 423,717  

5.75%, 06/15/25(f)

       1,006       1,042,467  

6.75%, 02/15/28

       361       399,243  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(c):

      

6.50%, 04/15/29

       735       816,791  

5.50%, 01/15/30

       701       752,944  

MARB BondCo PLC:

      

7.00%, 03/15/24

       200       207,750  

6.88%, 01/19/25(c)

       200       211,500  

Performance Food Group, Inc., 5.50%, 10/15/27(c)

       279       298,181  

Post Holdings, Inc.(c):

      

5.50%, 03/01/25

       246       257,685  

5.75%, 03/01/27

       253       271,343  

5.63%, 01/15/28

       73       78,658  

Simmons Foods, Inc., 7.75%, 01/15/24(c)

       270       290,925  
     

 

 

  
        7,106,377  
Health Care Equipment & Supplies — 0.9%  

Avantor, Inc.(c)(f):

      

6.00%, 10/01/24

       1,750       1,865,902  

9.00%, 10/01/25

       1,102       1,231,518  

Hill-Rom Holdings, Inc., 4.38%, 09/15/27(c)

       92       94,645  

Hologic, Inc.(c):

      

4.38%, 10/15/25

       57       58,853  

4.63%, 02/01/28

       206       218,360  

Immucor, Inc., 11.13%, 02/15/22(c)

       100       99,750  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(c)

       1,749       1,738,069  

Teleflex, Inc.:

      

4.88%, 06/01/26

       87       90,915  

4.63%, 11/15/27

       58       61,469  
     

 

 

  
        5,459,481  
Health Care Providers & Services — 3.1%  

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

       146       147,095  

AHP Health Partners, Inc., 9.75%, 07/15/26(c)

       213       234,034  

Centene Corp.:

      

6.13%, 02/15/24

       37       38,388  

5.38%, 06/01/26(c)(f)

       336       356,580  

4.25%, 12/15/27(c)

       683       702,636  

4.63%, 12/15/29(c)

       1,782       1,873,506  

CHS/Community Health Systems, Inc.(c):

      

8.63%, 01/15/24

       704       746,240  

8.00%, 03/15/26

       737       759,110  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(c)(g)

       97       98,527  

Encompass Health Corp., 5.75%, 11/01/24

       46       46,518  

Envision Healthcare Crop., 8.75%, 10/15/26(c)

       321       199,020  

HCA, Inc.:

      

5.38%, 02/01/25

       490       541,857  

5.88%, 02/15/26

       46       52,308  

5.38%, 09/01/26(f)

       430       478,912  

5.63%, 09/01/28(f)

       934       1,064,386  

5.88%, 02/01/29(f)

       798       922,687  

MEDNAX, Inc., 5.25%, 12/01/23(c)

       168       171,780  

Molina Healthcare, Inc.:

      

5.38%, 11/15/22

       172       182,833  

4.88%, 06/15/25(c)

       168       172,620  

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

       714       690,795  

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

       175       189,219  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(c)(f)(g)

       433       402,829  
Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

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

     USD       599     $ 633,442  

Surgery Center Holdings, Inc.(c):

      

6.75%, 07/01/25(f)

       432       432,000  

10.00%, 04/15/27

       267       293,032  

Team Health Holdings, Inc.,
6.38%, 02/01/25(c)(f)

       90       60,075  

Tenet Healthcare Corp.:

      

8.13%, 04/01/22

       615       680,344  

4.63%, 07/15/24(f)

       530       542,587  

4.63%, 09/01/24(c)

       377       393,060  

4.88%, 01/01/26(c)(f)

       1,632       1,709,357  

6.25%, 02/01/27(c)(f)

       537       577,946  

5.13%, 11/01/27(c)(f)

       959       1,012,944  

UnitedHealth Group, Inc., 3.75%, 07/15/25(f)

       1,470       1,587,982  

Vizient, Inc., 6.25%, 05/15/27(c)

       407       435,490  

WellCare Health Plans, Inc.:

      

5.25%, 04/01/25

       310       322,400  

5.38%, 08/15/26(c)

       343       365,295  
     

 

 

  
        19,117,834  
Health Care Technology — 0.4%  

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

       817       839,467  

IQVIA, Inc.:

      

3.25%, 03/15/25

     EUR       148       169,313  

3.25%, 03/15/25(c)

       100       114,401  

5.00%, 10/15/26(c)

     USD       463       488,465  

5.00%, 05/15/27(c)

       637       673,854  
     

 

 

  
        2,285,500  
Hotels, Restaurants & Leisure — 4.5%  

1011778 BC ULC/New Red Finance, Inc.(c):

      

4.25%, 05/15/24

       10       10,250  

5.00%, 10/15/25(f)

       1,410       1,455,825  

3.88%, 01/15/28

       423       424,057  

4.38%, 01/15/28

       302       302,755  

Boyd Gaming Corp., 6.00%, 08/15/26

       112       120,120  

Boyne USA, Inc., 7.25%, 05/01/25(c)

       220       239,250  

Cedar Fair LP, 5.25%, 07/15/29(c)

       584       629,260  

Churchill Downs, Inc.(c):

      

5.50%, 04/01/27

       899       952,940  

4.75%, 01/15/28

       344       355,180  

CPUK Finance Ltd., 4.25%, 02/28/47

     GBP       100       134,541  

Eldorado Resorts, Inc.:

      

6.00%, 04/01/25

     USD       91       95,550  

6.00%, 09/15/26

       117       128,846  

Golden Nugget, Inc., 6.75%, 10/15/24(c)(f)

       1,641       1,698,435  

Hilton Domestic Operating Co., Inc.:

      

5.13%, 05/01/26

       697       733,592  

4.88%, 01/15/30

       1,093       1,157,930  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

       49       52,063  

IRB Holding Corp., 6.75%, 02/15/26(c)

       212       222,070  

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

      

5.00%, 06/01/24

       35       36,269  

5.25%, 06/01/26

       368       388,240  

4.75%, 06/01/27

       5       5,263  

LHMC Finco 2 Sarl, (7.25% Cash or 8.00% PIK), 7.25%, 10/02/25(g)

     EUR       100       116,236  

Lions Gate Capital Holdings LLC(c):

      

6.38%, 02/01/24

     USD       25       26,126  

5.88%, 11/01/24

       171       171,855  

McDonald’s Corp., 3.70%, 01/30/26(f)

       405       437,013  
 

 

 

50    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

MGM Resorts International:

      

7.75%, 03/15/22

     USD       575     $ 643,281  

6.00%, 03/15/23

       416       456,560  

5.75%, 06/15/25

       44       49,280  

4.63%, 09/01/26

       11       11,660  

Sabre GLBL, Inc.(c):

      

5.38%, 04/15/23

       147       150,602  

5.25%, 11/15/23

       210       215,513  

Scientific Games International, Inc.:

      

5.00%, 10/15/25(c)(f)

       1,186       1,240,852  

3.38%, 02/15/26

     EUR       100       116,074  

8.25%, 03/15/26(c)

     USD       955       1,052,887  

7.00%, 05/15/28(c)

       280       300,300  

7.25%, 11/15/29(c)

       277       300,545  

Six Flags Entertainment Corp.(c):

      

4.88%, 07/31/24

       849       879,776  

5.50%, 04/15/27(f)

       354       377,452  

Spirit Issuer PLC:

      

Series A2, (3 mo. LIBOR GBP + 2.70%), 3.49%, 12/28/31(d)

     GBP       1,800       2,336,606  

Series A5, 5.47%, 12/28/34

       4,500       6,204,513  

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

     USD       406       413,105  

Unique Pub Finance Co. PLC:

      

Series A4, 5.66%, 06/30/27

     GBP       50       75,780  

Series N, 6.46%, 03/30/32

       100       168,231  

Wyndham Destinations, Inc.:

      

5.40%, 04/01/24

     USD       13       13,764  

5.75%, 04/01/27

       216       234,360  

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

       121       127,655  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(c)

       170       180,625  

Wynn Macau Ltd., 5.50%, 10/01/27(c)(f)

       600       620,625  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(c)

       494       529,815  

Yum! Brands, Inc.:

      

3.88%, 11/01/23

       98       100,940  

4.75%, 01/15/30(c)

       597       625,357  

5.35%, 11/01/43

       71       70,290  
     

 

 

  
        27,390,114  
Household Durables — 0.6%  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp.(c):

      

6.13%, 07/01/22

       207       210,105  

6.25%, 09/15/27

       243       256,365  

Controladora Mabe SA de CV, 5.60%, 10/23/28(c)

       200       220,250  

Lennar Corp.:

      

8.38%, 01/15/21

       134       141,705  

6.25%, 12/15/21

       380       399,000  

4.88%, 12/15/23

       122       130,540  

4.75%, 05/30/25

       260       279,500  

5.25%, 06/01/26

       28       30,660  

4.75%, 11/29/27

       497       535,517  

MDC Holdings, Inc., 6.00%, 01/15/43

       122       126,880  

Meritage Homes Corp., 5.13%, 06/06/27

       50       53,375  

PulteGroup, Inc., 6.38%, 05/15/33(f)

       469       547,557  

Taylor Morrison Communities, Inc., 5.88%, 06/15/27(c)

       264       290,400  

Tempur Sealy International, Inc.,
5.50%, 06/15/26

       180       189,675  

TRI Pointe Group, Inc.:

      

4.88%, 07/01/21

       112       114,800  

5.25%, 06/01/27

       15       15,675  
Security          Par
(000)		     Value  
Household Durables (continued)  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24

     USD       11     $ 11,963  
     

 

 

  
        3,553,967  
Household Products — 0.1%  

ACCO Brands Corp., 5.25%, 12/15/24(c)

       85       88,506  

Berkline Benchcraft LLC, 4.50%, 06/01/20(a)(b)(i)

       200       —  

Energizer Holdings, Inc.(c):

      

6.38%, 07/15/26

       46       48,990  

7.75%, 01/15/27(f)

       483       539,777  

Spectrum Brands, Inc., 5.00%, 10/01/29(c)

       162       167,265  
     

 

 

  
        844,538  
Independent Power and Renewable Electricity Producers — 1.1%  

Calpine Corp.:

      

5.75%, 01/15/25(f)

       608       623,960  

5.25%, 06/01/26(c)

       718       747,617  

4.50%, 02/15/28(c)

       581       586,153  

5.13%, 03/15/28(c)

       1,345       1,372,841  

Clearway Energy Operating LLC:

      

5.75%, 10/15/25

       224       235,760  

4.75%, 03/15/28(c)

       309       313,249  

NRG Energy, Inc.:

      

6.63%, 01/15/27(f)

       990       1,074,150  

5.75%, 01/15/28

       63       68,355  

5.25%, 06/15/29(c)

       1,019       1,101,794  

TerraForm Power Operating LLC(c):

      

4.25%, 01/31/23

       181       186,334  

5.00%, 01/31/28

       228       241,067  

4.75%, 01/15/30

       347       353,073  
     

 

 

  
        6,904,353  
Industrial Conglomerates — 0.1%  

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

       209       221,540  

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

       552       593,400  
     

 

 

  
        814,940  
Insurance — 1.4%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(c)

       173       188,137  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(c)

       1,031       1,104,149  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(f)

       360       380,123  

AmWINS Group, Inc., 7.75%, 07/01/26(c)

       221       244,234  

Aon PLC, 3.88%, 12/15/25(f)

       1,115       1,200,148  

Assicurazioni Generali SpA(3 mo. Euribor + 5.35%), 5.50%, 10/27/47(h)

     EUR       100       137,829  

Global Atlantic Fin Co., 8.63%, 04/15/21(c)(f)

     USD       750       801,621  

GTCR AP Finance, Inc., 8.00%, 05/15/27(c)

       355       369,200  

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

       1,308       1,383,210  

Lincoln National Corp., 3.35%, 03/09/25(f)

       845       879,678  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(h)

     EUR       400       485,596  

Nationstar Mortgage Holdings, Inc.(c):

      

8.13%, 07/15/23

     USD       712       753,666  

9.13%, 07/15/26

       144       159,480  

Nationwide Building Society (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(c)(f)(h)

       595       619,737  
     

 

 

  
        8,706,808  
Interactive Media & Services — 0.7%  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(c)

       303       318,907  

Match Group, Inc., 5.63%, 02/15/29(c)

       177       188,505  
 

 

 

SCHEDULES OF INVESTMENTS      51  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Interactive Media & Services (continued)  

Netflix, Inc.:

      

4.88%, 04/15/28

     USD       109     $ 113,218  

5.88%, 11/15/28(f)

       754       835,854  

3.88%, 11/15/29

     EUR       100       118,620  

5.38%, 11/15/29(c)

     USD       793       844,529  

3.63%, 06/15/30

     EUR       100       115,255  

4.88%, 06/15/30(c)

     USD       515       523,047  

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

       154       150,535  

Twitter, Inc., 3.88%, 12/15/27(c)

       129       128,933  

Uber Technologies, Inc.(c):

      

7.50%, 11/01/23(f)

       253       264,385  

8.00%, 11/01/26

       185       192,863  

7.50%, 09/15/27

       164       168,254  
     

 

 

  
        3,962,905  
IT Services — 0.6%  

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

       1,601       1,621,012  

Camelot Finance SA, 4.50%, 11/01/26(c)

       679       697,672  

Fair Isaac Corp., 4.00%, 06/15/28(c)

       169       170,268  

Gartner, Inc., 5.13%, 04/01/25(c)

       174       181,177  

InterXion Holding NV, 4.75%, 06/15/25

     EUR       100       121,144  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(c)

     USD       470       492,325  

WEX, Inc., 4.75%, 02/01/23(c)

       177       178,328  

Xerox Corp., 4.80%, 03/01/35

       203       187,294  
     

 

 

  
        3,649,220  
Leisure Products — 0.2%  

Mattel, Inc.(c):

      

6.75%, 12/31/25(f)

       638       685,722  

5.88%, 12/15/27

       293       308,749  
     

 

 

  
        994,471  
Machinery — 0.6%  

Colfax Corp.(c):

      

6.00%, 02/15/24

       575       610,937  

6.38%, 02/15/26

       270       294,300  

Manitowoc Co., Inc., 9.00%, 04/01/26(c)

       192       201,120  

Mueller Water Products, Inc.,
5.50%, 06/15/26(c)

       362       381,457  

Platin 1426 GmbH, 5.38%, 06/15/23

     EUR       109       123,133  

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

     USD       353       364,473  

SPX FLOW, Inc.(c):

      

5.63%, 08/15/24

       206       214,498  

5.88%, 08/15/26

       89       94,118  

Terex Corp., 5.63%, 02/01/25(c)(f)

       352       363,440  

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

       797       789,030  

Wabash National Corp., 5.50%, 10/01/25(c)

       241       241,000  
     

 

 

  
        3,677,506  
Media — 7.4%  

Altice Financing SA(c):

      

6.63%, 02/15/23

       440       447,700  

7.50%, 05/15/26(f)

       1,143       1,228,725  

Altice France SA:

      

7.38%, 05/01/26(c)(f)

       2,104       2,258,939  

5.88%, 02/01/27

     EUR       100       126,191  

8.13%, 02/01/27(c)

     USD       707       796,259  

3.38%, 01/15/28

     EUR       100       115,535  

5.50%, 01/15/28(c)

     USD       1,255       1,289,575  

Altice Luxembourg SA:

      

7.63%, 02/15/25(c)

       643       667,916  

8.00%, 05/15/27

     EUR       100       125,630  

10.50%, 05/15/27(c)

     USD       1,273       1,451,284  

AMC Networks, Inc., 4.75%, 08/01/25

       333       334,249  
Security          Par
(000)		     Value  
Media (continued)  

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

      

4.00%, 03/01/23(f)

     USD       670     $ 679,212  

5.13%, 05/01/27(f)

       1,237       1,305,035  

5.88%, 05/01/27

       349       369,067  

5.00%, 02/01/28

       34       35,677  

5.38%, 06/01/29(f)

       1,621       1,734,470  

4.75%, 03/01/30

       229       233,129  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(f)

       2,425       2,670,355  

Clear Channel Worldwide Holdings, Inc.(c):

      

9.25%, 02/15/24

       1,509       1,671,217  

5.13%, 08/15/27

       1,774       1,847,266  

Comcast Corp., 3.95%, 10/15/25(f)

       3,000       3,274,238  

Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(c)

       1,466       1,561,290  

CSC Holdings LLC:

      

6.75%, 11/15/21

       187       201,259  

5.38%, 07/15/23(c)(f)

       1,109       1,136,725  

5.25%, 06/01/24

       123       132,533  

7.75%, 07/15/25(c)

       202       215,374  

6.63%, 10/15/25(c)(f)

       235       249,981  

10.88%, 10/15/25(c)(f)

       1,614       1,803,645  

5.50%, 05/15/26(c)(f)

       200       211,748  

5.38%, 02/01/28(c)

       200       213,250  

6.50%, 02/01/29(c)

       865       964,475  

5.75%, 01/15/30(c)

       862       920,185  

Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(c)

       650       657,509  

Discovery Communications LLC(f):

      

3.25%, 04/01/23

       1,490       1,533,256  

3.45%, 03/15/25

       170       176,604  

DISH DBS Corp.:

      

6.75%, 06/01/21(f)

       627       659,886  

5.88%, 07/15/22(f)

       1,365       1,446,900  

5.00%, 03/15/23

       358       367,254  

5.88%, 11/15/24

       217       221,747  

eircom Finance DAC, 3.50%, 05/15/26

     EUR       100       118,196  

Entercom Media Corp., 6.50%, 05/01/27(c)

     USD       286       306,020  

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

       177       194,257  

iHeartCommunications, Inc.:

      

6.38%, 05/01/26

       264       286,626  

5.25%, 08/15/27(c)

       132       138,112  

4.75%, 01/15/28(c)

       78       79,950  

Intelsat Jackson Holdings SA:

      

5.50%, 08/01/23(f)

       745       639,985  

9.75%, 07/15/25(c)

       658       608,650  

Lamar Media Corp., 5.75%, 02/01/26

       124       131,428  

LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(c)

       400       424,000  

Live Nation Entertainment, Inc.(c):

      

4.88%, 11/01/24

       29       30,015  

4.75%, 10/15/27

       199       205,965  

Meredith Corp., 6.88%, 02/01/26

       56       58,223  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(c)

       177       187,177  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(c)

       146       151,293  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(c)

       60       61,050  

Sable International Finance Ltd., 5.75%, 09/07/27(c)

       200       212,000  

Sirius XM Radio, Inc.(c):

      

4.63%, 07/15/24

       152       159,600  
 

 

 

52    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Media (continued)  

5.00%, 08/01/27

     USD       332     $ 350,260  

5.50%, 07/01/29

       903       976,360  

TEGNA, Inc., 5.50%, 09/15/24(c)

       66       68,310  

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

       200       213,500  

Telesat Canada/Telesat LLC, 4.88%, 06/01/27(c)

       332       337,810  

Univision Communications, Inc.(c):

      

5.13%, 05/15/23(f)

       366       365,085  

5.13%, 02/15/25

       133       131,504  

Videotron Ltd., 5.13%, 04/15/27(c)

       439       469,730  

Virgin Media Finance PLC,
5.75%, 01/15/25(c)(f)

       855       879,581  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

     GBP       100       136,103  

Virgin Media Secured Finance PLC(c):

      

5.50%, 08/15/26

     USD       200       210,000  

5.50%, 05/15/29

       200       211,750  

Ziggo Bond Co. BV(c):

      

5.88%, 01/15/25

       470       484,396  

6.00%, 01/15/27

       199       209,945  

Ziggo BV:

      

4.25%, 01/15/27

     EUR       100       120,723  

5.50%, 01/15/27(c)

     USD       666       707,625  

4.88%, 01/15/30(c)

       200       206,462  
     

 

 

  
        45,406,981  
Metals & Mining — 1.8%  

Allegheny Technologies, Inc., 5.88%, 12/01/27

       280       294,000  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(c)

       221       233,155  

Constellium SE(c):

      

5.75%, 05/15/24

       506       519,915  

6.63%, 03/01/25(f)

       1,269       1,316,714  

5.88%, 02/15/26

       838       886,185  

Freeport-McMoRan, Inc.:

      

3.55%, 03/01/22

       686       694,575  

3.88%, 03/15/23

       1,119       1,139,399  

5.00%, 09/01/27

       226       237,300  

5.25%, 09/01/29

       187       200,333  

5.40%, 11/14/34

       161       168,648  

5.45%, 03/15/43

       1,559       1,613,565  

Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(c)

       200       213,500  

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

       371       377,956  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(c)

       135       142,425  

Kaiser Aluminum Corp., 4.63%, 03/01/28(c)

       143       146,718  

Nexa Resources SA, 5.38%, 05/04/27(c)

       237       252,109  

Novelis Corp.(c):

      

6.25%, 08/15/24

       1,373       1,439,934  

5.88%, 09/30/26

       502       534,181  

thyssenkrupp AG:

      

1.88%, 03/06/23

     EUR       43       48,339  

2.88%, 02/22/24

       84       97,148  

Vale Overseas Ltd., 6.25%, 08/10/26(f)

     USD       188       219,960  
     

 

 

  
        10,776,059  
Multi-Utilities — 0.3%  

Brooklyn Union Gas Co., 3.41%, 03/10/26(c)(f)

       1,475       1,534,006  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(c)

       314       337,158  
     

 

 

  
        1,871,164  
Multiline Retail — 0.0%  

Dufry One BV, 2.00%, 02/15/27

     EUR       100       113,662  
   

 

 

  
Security          Par
(000)		     Value  
Offshore Drilling & Other Services — 0.0%  

Entegris, Inc., 4.63%, 02/10/26(c)

     USD       190     $ 196,650  
   

 

 

  
Oil, Gas & Consumable Fuels — 5.2%  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

       55       51,013  

Antero Resources Corp., 5.38%, 11/01/21

       164       156,159  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(c)

       239       237,717  

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

       173       160,241  

Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(l)

       150       103,751  

Callon Petroleum Co.:

      

6.13%, 10/01/24

       180       183,409  

Series WI, 6.38%, 07/01/26

       330       334,820  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       248       251,683  

8.25%, 07/15/25

       243       248,467  

Centennial Resource Production LLC, 6.88%, 04/01/27(c)

       255       265,200  

Cheniere Energy Partners LP:

      

5.63%, 10/01/26

       321       339,457  

4.50%, 10/01/29(c)

       646       663,830  

Series WI, 5.25%, 10/01/25

       48       50,020  

Chesapeake Energy Corp.:

      

6.63%, 08/15/20(f)

       349       345,510  

4.88%, 04/15/22(f)

       870       687,300  

5.75%, 03/15/23(f)

       224       151,621  

11.50%, 01/01/25(c)

       520       491,400  

Citgo Holding, Inc., 9.25%, 08/01/24(c)

       228       244,530  

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

       876       876,613  

Comstock Resources, Inc., 9.75%, 08/15/26

       224       203,280  

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

       623       530,721  

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

       287       246,820  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.25%, 04/01/23

       21       21,420  

5.63%, 05/01/27(c)

       389       394,349  

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

       1,170       1,193,400  

DCP Midstream Operating LP:

      

5.38%, 07/15/25(f)

       188       204,450  

5.13%, 05/15/29

       99       102,713  

6.45%, 11/03/36(c)

       226       237,300  

6.75%, 09/15/37(c)(f)

       392       411,600  

Denbury Resources, Inc.(c):

      

9.00%, 05/15/21

       389       376,357  

9.25%, 03/31/22

       70       65,975  

eG Global Finance PLC:

      

6.75%, 02/07/25(c)

       396       401,940  

6.25%, 10/30/25

     EUR       142       168,440  

8.50%, 10/30/25(c)

     USD       252       267,435  

Enbridge, Inc. (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(f)(h)

       1,565       1,697,383  

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

      

5.50%, 01/30/26

       650       671,125  

5.75%, 01/30/28

       418       439,422  

EnLink Midstream LLC, 5.38%, 06/01/29

       82       77,080  

EnLink Midstream Partners LP:

      

4.40%, 04/01/24

       240       232,824  

4.15%, 06/01/25

       17       15,980  

4.85%, 07/15/26

       99       92,813  
 

 

 

SCHEDULES OF INVESTMENTS      53  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

5.60%, 04/01/44

     USD       176     $ 142,560  

5.05%, 04/01/45

       28       22,120  

Extraction Oil & Gas, Inc.(c):

      

7.38%, 05/15/24

       302       188,750  

5.63%, 02/01/26

       572       343,200  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.00%, 05/15/23

       78       77,220  

5.63%, 06/15/24

       41       39,565  

6.50%, 10/01/25

       95       91,913  

6.25%, 05/15/26

       111       106,005  

Geopark Ltd., 6.50%, 09/21/24(c)

       200       208,437  

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

       484       432,575  

Hess Corp., 4.30%, 04/01/27

       50       53,321  

Hess Midstream Operations LP, 5.63%, 02/15/26(c)

       210       218,586  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)

       1,469       1,561,152  

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

       317       297,980  

Matador Resources Co., 5.88%, 09/15/26

       337       337,842  

MEG Energy Corp.(c):

      

6.38%, 01/30/23

       255       255,637  

7.00%, 03/31/24

       80       80,500  

6.50%, 01/15/25(f)

       765       795,676  

MPLX LP, 4.25%, 12/01/27(c)

       185       194,789  

Murphy Oil Corp.:

      

5.75%, 08/15/25

       105       109,825  

5.88%, 12/01/27

       143       150,150  

5.88%, 12/01/42

       105       96,600  

Nabors Industries, Inc., 4.63%, 09/15/21

       186       184,837  

Neptune Energy Bondco PLC, 6.63%, 05/15/25(c)

       200       199,876  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(c)

       74       77,515  

NGPL PipeCo LLC, 7.77%, 12/15/37(c)

       227       293,099  

Noble Holding International Ltd.(f):

      

7.75%, 01/15/24

       18       9,351  

7.88%, 02/01/26(c)

       182       131,950  

NuStar Logistics LP, 6.00%, 06/01/26

       163       172,372  

Odebrecht Offshore Drilling Finance Ltd.(c):

      

6.72%, 12/01/22

     BRL       68       67,000  

(7.72% PIK), 7.72%, 12/01/26(g)

       9       2,060  

Pacific Drilling SA, 8.38%, 10/01/23(c)

     USD       621       566,662  

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

      

6.25%, 06/01/24

       139       144,560  

5.38%, 01/15/25

       251       258,530  

5.25%, 08/15/25

       59       60,623  

5.63%, 10/15/27

       271       286,582  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25

       137       146,247  

PDC Energy, Inc.:

      

1.13%, 09/15/21(m)

       888       833,780  

6.13%, 09/15/24

       103       104,287  

5.75%, 05/15/26

       108       107,730  

Petrobras Global Finance BV:

      

6.13%, 01/17/22

       114       122,051  

5.30%, 01/27/25

       152       165,034  

8.75%, 05/23/26

       176       226,072  

6.00%, 01/27/28

       189       215,224  

7.25%, 03/17/44

       160       194,050  

Petroleos Mexicanos, 6.50%, 03/13/27(f)

       117       123,959  

QEP Resources, Inc.:

      

6.88%, 03/01/21

       456       471,960  

5.38%, 10/01/22

       178       178,890  

5.25%, 05/01/23

       138       136,620  

5.63%, 03/01/26(f)

       224       218,456  
Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Range Resources Corp.:

      

5.75%, 06/01/21

     USD       166     $ 165,585  

5.88%, 07/01/22

       116       115,130  

5.00%, 08/15/22

       145       142,100  

Rowan Cos., Inc., 4.88%, 06/01/22

       527       384,710  

Saudi Arabian Oil Co., 3.50%, 04/16/29

       200       207,375  

SM Energy Co.:

      

6.13%, 11/15/22

       143       144,430  

5.00%, 01/15/24

       142       135,255  

5.63%, 06/01/25(f)

       125       118,646  

6.75%, 09/15/26

       122       119,560  

6.63%, 01/15/27

       34       33,417  

Southwestern Energy Co.:

      

6.20%, 01/23/25

       23       21,096  

7.75%, 10/01/27

       28       25,934  

SRC Energy, Inc., 6.25%, 12/01/25

       122       122,915  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26(f)

       235       244,140  

Sunoco LP/Sunoco Finance Corp.:

      

6.00%, 04/15/27

       141       150,517  

Series WI, 4.88%, 01/15/23

       213       217,797  

Series WI, 5.50%, 02/15/26

       33       34,238  

Series WI, 5.88%, 03/15/28

       124       131,664  

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

      

4.75%, 10/01/23

       26       25,935  

5.50%, 09/15/24

       462       464,310  

5.50%, 01/15/28(f)

       174       170,520  

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

      

5.13%, 02/01/25

       118       122,425  

5.88%, 04/15/26

       314       333,625  

5.38%, 02/01/27

       2       2,075  

6.50%, 07/15/27(c)

       324       354,780  

5.00%, 01/15/28

       279       284,580  

6.88%, 01/15/29(c)

       786       872,460  

5.50%, 03/01/30(c)

       364       374,010  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(f)

       280       297,913  

Viper Energy Partners LP, 5.38%, 11/01/27(c)

       123       127,920  

WPX Energy, Inc.:

      

8.25%, 08/01/23

       100       115,000  

5.25%, 09/15/24

       84       89,250  

5.75%, 06/01/26

       61       65,118  

5.25%, 10/15/27

       104       109,720  

YPF SA, 8.50%, 07/28/25

       250       235,234  
     

 

 

  
        31,958,732  
Paper & Forest Products — 0.0%  

Norbord, Inc., 6.25%, 04/15/23(c)

       152       162,640  
   

 

 

  
Pharmaceuticals — 3.1%  

AbbVie, Inc., 3.60%, 05/14/25(f)

       695       734,250  

Allergan Funding SCS, 3.45%, 03/15/22(f)

       2,460       2,516,493  

Bausch Health Americas, Inc.,
8.50%, 01/31/27(c)(f)

       1,109       1,262,929  

Bausch Health Cos., Inc.:

      

5.50%, 03/01/23(c)

       199       199,995  

4.50%, 05/15/23

     EUR       346       392,960  

5.88%, 05/15/23(c)(f)

     USD       237       239,074  

7.00%, 03/15/24(c)

       317       329,680  

6.13%, 04/15/25(c)(f)

       974       1,006,366  

5.50%, 11/01/25(c)(f)

       1,314       1,373,130  

9.00%, 12/15/25(c)

       501       569,737  

5.75%, 08/15/27(c)

       145       157,325  
 

 

 

54    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

7.00%, 01/15/28(c)

     USD       305     $ 336,659  

5.00%, 01/30/28(c)

       625       641,494  

7.25%, 05/30/29(c)

       525       599,812  

5.25%, 01/30/30(c)

       616       638,792  

Catalent Pharma Solutions, Inc., 5.00%, 07/15/27(c)

       495       518,513  

Charles River Laboratories International,
Inc.(c):

      

5.50%, 04/01/26

       365       392,375  

4.25%, 05/01/28

       167       170,131  

CVS Health Corp.(f):

      

4.75%, 12/01/22

       165       176,114  

4.10%, 03/25/25

       2,355       2,528,479  

Eagle Holding Co. II LLC, (7.75% Cash or 8.50% PIK), 7.75%, 05/15/22(c)(f)(g)

       342       347,260  

Elanco Animal Health, Inc., 4.90%, 08/28/28

       176       191,527  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(c)

       1,567       1,617,438  

MEDNAX, Inc., 6.25%, 01/15/27(c)(f)

       572       586,300  

Nidda BondCo GmbH, 7.25%, 09/30/25

     EUR       100       120,246  

Nidda Healthcare Holding GmbH, Series NOV, 3.50%, 09/30/24

       100       115,675  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(c)(f)

     USD       920       915,400  
     

 

 

  
        18,678,154  
Professional Services — 0.3%  

ASGN, Inc., 4.63%, 05/15/28(c)

       286       293,974  

Dun & Bradstreet Corp.(c):

      

6.88%, 08/15/26(f)

       1,114       1,229,577  

10.25%, 02/15/27

       497       571,550  
     

 

 

  
        2,095,101  
Real Estate — 0.1%  

Prologis LP, 3.75%, 11/01/25(f)

       255       276,093  
   

 

 

  
Real Estate Management & Development — 0.2%  

ADLER Real Estate AG, 3.00%, 04/27/26

     EUR       100       118,299  

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

     USD       174       180,525  

Heimstaden Bostad AB (5 year EUR Swap + 3.67%), 3.25%(h)(j)

     EUR       100       112,450  

Howard Hughes Corp., 5.38%, 03/15/25(c)

     USD       281       292,943  

Newmark Group, Inc., 6.13%, 11/15/23

       106       116,898  

Residomo SRO, 3.38%, 10/15/24

     EUR       100       116,446  
     

 

 

  
        937,561  
Road & Rail — 0.5%  

Europcar Mobility Group, 4.00%, 04/30/26

       100       108,547  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(c)

     USD       169       160,127  

Herc Holdings, Inc., 5.50%, 07/15/27(c)

       416       437,840  

Hertz Corp.(c):

      

7.63%, 06/01/22

       142       147,680  

6.00%, 01/15/28

       326       326,000  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(c)

       1,651       1,885,992  

United Rentals North America, Inc.:

      

5.88%, 09/15/26

       17       18,237  

5.25%, 01/15/30

       161       173,284  
     

 

 

  
        3,257,707  
Semiconductors & Semiconductor Equipment — 1.0%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

       73       82,216  

Analog Devices, Inc.(f):

      

3.90%, 12/15/25

       375       403,162  

3.50%, 12/05/26

       275       288,540  

Applied Materials, Inc., 3.90%, 10/01/25(f)

       285       310,722  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 01/15/24(f)

       1,515       1,570,183  

Microchip Technology, Inc.,
1.63%, 02/15/25(m)

       86       185,008  
Security          Par
(000)		     Value  
Semiconductors & Semiconductor Equipment (continued)  

ON Semiconductor Corp., 1.00%, 12/01/20(m)

     USD       274     $ 372,364  

Qorvo, Inc.:

      

5.50%, 07/15/26

       234       249,210  

4.38%, 10/15/29(c)

       82       85,895  

QUALCOMM, Inc., 3.45%, 05/20/25(f)

       1,570       1,660,572  

Sensata Tech, Inc., 4.38%, 02/15/30(c)

       190       193,690  

Sensata Technologies BV(c):

      

5.63%, 11/01/24

       229       254,762  

5.00%, 10/01/25(f)

       324       351,945  
     

 

 

  
        6,008,269  
Software — 2.3%  

ACI Worldwide, Inc., 5.75%, 08/15/26(c)

       696       749,940  

CA, Inc., 3.60%, 08/15/22(f)

       555       567,832  

CDK Global, Inc.:

      

4.88%, 06/01/27

       655       691,844  

5.25%, 05/15/29(c)

       138       148,005  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(c)(f)

       1,047       1,132,069  

Infor US, Inc., 6.50%, 05/15/22(f)

       2,144       2,176,160  

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

       1,486       1,508,290  

MSCI, Inc., 4.00%, 11/15/29(c)

       83       84,141  

Nuance Communications, Inc., 5.63%, 12/15/26

       453       482,778  

Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, 03/15/30(c)

       203       206,553  

PTC, Inc., 6.00%, 05/15/24

       227       236,931  

RP Crown Parent LLC, 7.38%, 10/15/24(c)

       758       787,372  

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

       1,829       1,940,679  

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

       292       300,030  

SS&C Technologies, Inc., 5.50%, 09/30/27(c)(f)

       1,824       1,947,120  

TIBCO Software, Inc., 11.38%, 12/01/21(c)

       676       700,539  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(c)

       200       199,500  
     

 

 

  
        13,859,783  
Specialty Retail — 0.6%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24

       334       344,855  

Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(c)

       324       335,340  

Group 1 Automotive, Inc.:

      

5.00%, 06/01/22

       155       157,131  

5.25%, 12/15/23(c)

       18       18,495  

IAA, Inc., 5.50%, 06/15/27(c)

       372       395,250  

L Brands, Inc.:

      

6.88%, 11/01/35

       401       358,895  

6.75%, 07/01/36

       71       62,303  

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

       32       33,520  

PetSmart, Inc.(c):

      

7.13%, 03/15/23

       51       49,980  

5.88%, 06/01/25

       903       919,931  

Staples, Inc., 7.50%, 04/15/26(c)

       982       1,018,825  
     

 

 

  
        3,694,525  
Technology Hardware, Storage & Peripherals — 0.4%  

Dell International LLC/EMC Corp., 7.13%, 06/15/24(c)(f)

       931       982,205  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25(f)

       375       416,842  

NCR Corp.(c):

      

5.75%, 09/01/27

       220       234,300  

6.13%, 09/01/29

       238       258,259  

Western Digital Corp., 4.75%, 02/15/26(f)

       589       614,032  
     

 

 

  
        2,505,638  
 

 

 

SCHEDULES OF INVESTMENTS      55  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Textiles, Apparel & Luxury Goods — 0.0%  

William Carter Co., 5.63%, 03/15/27(c)

     USD       160     $ 172,000  
   

 

 

  
Thrifts & Mortgage Finance — 0.1%  

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

      

5.25%, 03/15/22

       23       23,891  

5.25%, 10/01/25

       395       409,813  
     

 

 

  
        433,704  
Transportation Infrastructure — 0.1%  

Ferrovial Netherlands BV (5 year EUR Swap + 2.13%), 2.12%(h)(j)

     EUR       100       109,590  

Heathrow Finance PLC, 4.13%, 09/01/29

     GBP       100       134,474  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(c)(f)

     USD       435       459,638  
     

 

 

  
        703,702  
Utilities — 0.1%  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(c)

       293       181,385  

Vistra Operations Co. LLC(c):

      

3.55%, 07/15/24

       29       29,378  

5.50%, 09/01/26

       8       8,480  

5.63%, 02/15/27

       422       444,682  

5.00%, 07/31/27

       158       165,107  
     

 

 

  
        829,032  
Wireless Telecommunication Services — 1.8%  

C&W Senior Financing DAC, 6.88%, 09/15/27(c)

       329       351,809  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(c)

       1,273       1,309,599  

Iron Mountain, Inc., 3.00%, 01/15/25

     EUR       100       115,264  

Level 3 Financing, Inc., 4.63%, 09/15/27(c)

     USD       143       146,403  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(c)

       137       138,370  

Rogers Communications, Inc., 5.00%, 03/15/44(f)

       545       660,511  

SBA Communications Corp., 4.00%, 10/01/22

       401       408,519  

Sprint Capital Corp.:

      

6.88%, 11/15/28

       700       754,250  

8.75%, 03/15/32

       213       258,529  

Sprint Corp.(f):

      

7.88%, 09/15/23

       519       572,628  

7.13%, 06/15/24

       626       675,297  

7.63%, 02/15/25

       159       174,479  

7.63%, 03/01/26

       552       608,746  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(c)(f)

       228       229,525  

T-Mobile USA, Inc.:

      

4.00%, 04/15/22

       197       201,679  

6.38%, 03/01/25

       282       291,399  

6.50%, 01/15/26

       227       243,392  

4.50%, 02/01/26(f)

       498       510,450  

4.75%, 02/01/28(f)

       479       501,901  

VICI Properties LP/VICI Note Co., Inc.(c):

      

4.25%, 12/01/26

       1,344       1,384,320  

4.63%, 12/01/29

       955       995,587  

Vodafone Group PLC, 3.10%, 01/03/79(e)

     EUR       100       117,778  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK),
9.63%, 06/01/22(c)(g)

     USD       141       140,784  
     

 

 

  
        10,791,219  
   

 

 

  

Total Corporate Bonds — 63.6%
(Cost — $372,989,900)

 

     388,851,090  
   

 

 

  
Security          Par
(000)		     Value  

Floating Rate Loan Interests(d) — 41.0%

 

Aerospace & Defense — 0.9%  

1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

     USD       702     $ 706,243  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 12/06/25

       393       397,208  

Bleriot US Bidco, Inc,Term Loan B, (3 mo. LIBOR + 4.75%), 6.69%, 10/31/26

       396       399,796  

Dynasty Acquisition Co., Inc., 2019 Term Loan B1, (3 mo. LIBOR + 4.00%), 5.94%, 04/06/26

       1,306       1,313,612  

TransDigm, Inc.:

      

2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.30%, 06/09/23

       2,327       2,333,103  

2018 Term Loan G, 08/22/24(n)

       242       242,864  
     

 

 

  
        5,392,826  
Air Freight & Logistics — 0.3%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 1.75%), 3.51%, 01/15/25

       714       718,001  

WestJet Airlines Ltd., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.72%, 12/11/26

       1,143       1,152,190  
     

 

 

  
        1,870,191  
Airlines — 0.2%  

American Airlines, Inc.:

      

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 3.74%, 12/14/23

       881       884,064  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 3.80%, 04/28/23

       393       393,551  
     

 

 

  
        1,277,615  
Auto Components — 0.7%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 04/30/26

       2,438       2,442,473  

USI, Inc.:

      

2017 Repriced Term Loan, 05/16/24(n)

       1,513       1,511,801  

2019 Incremental Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 12/02/26

       85       85,461  

Wand NewCo 3, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 02/05/26

       487       490,053  
     

 

 

  
        4,529,788  
Banks — 0.2%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 11/01/24

       1,243       1,227,632  
   

 

 

  
Building Materials — 0.4%  

Allied Universal Holdco LLC:

      

2019 Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       205       206,353  

2019 Term Loan B, (1 mo. LIBOR + 4.25%), 6.05%, 07/10/26

       2,074       2,084,166  
   

 

 

  
        2,290,519  
Building Products — 0.3%  

CPG International, Inc., 2017 Term Loan, 05/05/24(n)

       575       574,565  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.20%, 12/19/23

       1,440       1,442,292  
     

 

 

  
        2,016,857  
Capital Markets — 0.8%  

Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 02/13/25

       1,299       1,293,819  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 12/27/22

       486       488,237  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 04/12/24

       597       591,953  
 

 

 

56    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Capital Markets (continued)  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 5.50%, 06/03/26

     USD       466     $ 464,109  

RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 3.80%, 03/27/23

       803       808,737  

Travelport Finance (Luxembourg) Sarl:

      

2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 10.94%, 05/28/27(a)

       410       342,350  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.94%, 05/29/26

       794       739,854  
     

 

 

  
        4,729,059  
Chemicals — 1.6%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.94%, 01/31/24

       1,527       1,529,542  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 3.69%, 06/01/24

       1,146       1,147,686  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       1,392       1,385,377  

Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 05/16/24

       265       265,993  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/03/25

       344       335,517  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B,
06/28/24(n)

       281       278,865  

Encapsys LLC, 1st Lien Term Loan,
11/07/24(n)

       566       569,352  

Invictus US LLC:

      

1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 03/28/25

       346       333,474  

2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.68%, 03/30/26

       135       125,213  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.44%, 03/01/26

       962       966,307  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 05/15/24

       271       268,781  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.56%, 10/14/24

       1,003       1,006,639  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.43%, 02/08/25

       883       887,068  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.56%, 08/07/20

       476       473,255  
     

 

 

  
        9,573,069  
Commercial Services & Supplies — 1.9%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 11/10/23

       1,058       1,060,798  

Aramark Services, Inc.:

      

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 03/11/25

       663       665,227  

2019 Term Loan B4, 01/27/27(n)

       361       362,693  

Asurion LLC:

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.30%, 08/04/25

       671       678,716  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 4.80%, 08/04/22

       177       178,116  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/23

       1,357       1,364,147  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.80%, 11/03/24

       386       388,120  

Creative Artists Agency, LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 11/27/26

       1,306       1,315,795  

Diamond (BC) BV, Term Loan, 09/06/24(n)

       881       860,795  
Security          Par
(000)		     Value  
Commercial Services & Supplies (continued)  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.69%, 05/09/25

     USD       190     $ 179,115  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/30/25

       387       387,577  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.69%, 11/03/23

       171       136,011  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 4.06%, 09/19/26

       262       264,090  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.94%, 09/23/26

       967       969,128  

US Ecology, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 08/14/26

       158       159,087  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/27/25

       1,842       1,852,970  

West Corp.:

      

2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 10/10/24

       1,061       896,885  

2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.43%, 10/10/24

       99       82,340  
     

 

 

  
        11,801,610  
Communications Equipment — 0.2%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/21/24

       481       485,169  

Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.76%, 09/26/25

       580       581,818  
     

 

 

  
        1,066,987  
Construction & Engineering — 0.4%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(n)

       1,165       1,160,224  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 5.49%, 04/12/25

       128       127,930  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/23/25

       809       801,695  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 12/08/23

       401       399,145  
     

 

 

  
        2,488,994  
Construction Materials — 0.8%  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 01/15/27

       1,136       1,140,551  

Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.44%, 08/01/24

       2,017       2,016,200  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 03/29/25

       1,012       1,015,079  

Forterra Finance LLC, 2017 Term Loan B, 10/25/23(n)

       289       282,387  

Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 08/13/25

       270       270,933  

Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.16%, 06/01/26(a)

       261       263,291  
     

 

 

  
        4,988,441  
Containers & Packaging — 0.8%  

Berry Global, Inc.:

      

2019 Term Loan Y, (3 mo. LIBOR + 2.00%), 3.89%, 07/01/26

       546       549,604  

Term Loan W, (1 mo. LIBOR + 2.00%), 3.72%, 10/01/22

       1,595       1,599,064  
 

 

 

SCHEDULES OF INVESTMENTS      57  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Containers & Packaging (continued)  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.23%, 04/03/24

     USD       1,221     $ 1,215,779  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.69%, 12/29/23

       1,165       1,154,311  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 07/31/26

       301       300,907  
     

 

 

  
        4,819,665  
Distributors — 0.1%  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 08/28/24

       1,108       899,927  
   

 

 

  
Diversified Consumer Services — 1.2%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 07/12/24

       570       573,468  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.24%, 01/15/27

       1,086       1,073,930  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 11/07/23

       593       597,220  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, 07/12/25(n)

       973       963,633  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.99%, 05/15/24

       414       414,967  

Serta Simmons Bedding LLC:

      

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.24%, 11/08/23

       326       209,001  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.79%, 11/08/24

       40       11,643  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.25%, 11/14/22

       1,835       1,817,155  

TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 03/19/26

       749       755,724  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 07/13/23

       1,169       1,165,856  
     

 

 

  
        7,582,597  
Diversified Financial Services — 1.2%  

Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 6.80%, 08/01/26

       835       827,176  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.55%, 04/04/24

       1,595       1,602,016  

Allsup’s Convenience Stores, Inc., Term Loan, (3 mo. LIBOR + 6.25%), 8.00%, 11/18/24(a)

       442       438,817  

Connect Finco Sarl, Term Loan B, 12/11/26(n)

       2,155       2,163,496  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       419       416,256  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 07/03/24(a)

       666       668,912  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 09/06/25

       188       168,260  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 07/30/25

       572       574,283  

Starwood Property Trust, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 07/27/26

       215       216,673  
     

 

 

  
        7,075,889  
Security          Par
(000)		     Value  
Diversified Telecommunication Services — 0.8%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 01/31/25

     USD       687     $ 689,277  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/16/24

       439       440,359  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 11/04/26

       414       418,918  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 03/01/27

       566       567,990  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 11/15/24

       855       854,313  

TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25

     EUR       819       923,443  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 3.99%, 08/15/26

     USD       466       467,911  

Zayo Group LLC:

      

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.05%, 01/19/24

       95       95,242  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.80%, 01/19/21

       758       758,626  
     

 

 

  
        5,216,079  
Electric Utilities — 0.1%  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan,
1.00%, 11/10/20(a)(b)(i)

       780       —  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 12/31/25

       606       608,949  
     

 

 

  
        608,949  
Electrical Equipment — 0.4%  

Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/25

       1,170       1,176,753  

Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/01/24

       1,444       1,443,952  
     

 

 

  
        2,620,705  
Energy Equipment & Services — 0.1%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.30%, 02/12/25(a)

       545       543,303  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
9.55%, 11/08/22(a)

       260       249,600  
     

 

 

  
        792,903  
Equity Real Estate Investment Trusts (REITs) — 0.7%  

Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.96%, 08/09/26(a)

       577       579,438  

Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 01/02/26

       417       415,594  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 03/21/25

       986       989,609  

RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/11/24

       356       357,818  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.79%, 12/20/24

       1,873       1,880,457  
     

 

 

  
        4,222,916  
 

 

 

58    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food & Staples Retailing — 0.6%  

Albertsons LLC:

      

2019 Term Loan B7, (1 mo. LIBOR + 2.75%), 4.55%, 11/17/25

     USD       154     $ 154,828  

2019 Term Loan B8, (1 mo. LIBOR + 2.75%), 4.55%, 08/17/26

       4       4,288  

BCPE Empire Holdings, Inc.:

      

2019 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

       9       9,345  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 06/11/26

       373       373,786  

Hearthside Food Solutions LLC:

      

2018 Incremental Term Loan, 05/23/25(n)

       651       647,701  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 5.49%, 05/23/25

       270       266,949  

US Foods, Inc.:

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 06/27/23

       1,086       1,088,871  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/13/26

       913       915,852  
     

 

 

  
        3,461,620  
Food Products — 0.8%  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.49%, 10/01/25

       348       348,671  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 10/10/23

       1,593       1,592,318  

Hostess Brands LLC, 2019 Term Loan, 08/03/25(n)

       65       65,048  

JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/01/26

       253       254,769  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/23

       2,577       2,582,596  
     

 

 

  
        4,843,402  
Health Care Equipment & Supplies — 0.7%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor),
6.94%, 06/15/21

       1,847       1,837,917  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.69%, 09/24/24

       265       215,935  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 06/30/25(n)

       2,020       1,994,195  
     

 

 

  
        4,048,047  
Health Care Providers & Services — 1.4%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.30%, 06/30/25

       340       342,117  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 06/07/23

       966       971,310  

Da Vinci Purchaser Corp., 2019 Term Loan, 12/03/26(n)

       362       362,000  

DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 06/06/25

       289       286,617  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor),
6.41%, 12/20/24

       367       358,227  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%),
5.55%, 10/10/25

       908       772,338  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.44%, 03/05/26(a)

       217       211,488  
Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%),
5.56%, 07/02/25

     USD       819     $ 822,896  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/06/26

       584       581,080  

HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 3.55%, 03/18/26

       767       770,883  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 06/07/23

       732       720,626  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.30%, 10/20/22

       853       706,202  

NVA Holdings, Inc., Term Loan B3, (PRIME + 1.75%), 6.50%, 02/02/25

       802       800,786  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 02/06/24

       535       431,695  

Vizient, Inc., 2019 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 05/06/26

       299       299,795  
     

 

 

  
    8,438,060  
Health Care Services — 0.3%  

Emerald TopCo., Inc., Term Loan, 07/24/26(n)

       1,002       1,007,189  

WP CityMD Bidco LLC, 2019 Term Loan B, 08/13/26(n)

       923       923,194  
     

 

 

  
    1,930,383  
Health Care Technology — 0.6%  

Athenahealth, Inc., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 6.40%, 02/11/26

       1,912       1,919,274  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.30%, 03/01/24

       1,379       1,383,051  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 10/10/25

       394       395,357  
     

 

 

  
    3,697,682  
Hotels, Restaurants & Leisure — 2.8%  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.55%, 11/19/26

       1,490       1,491,385  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.54%, 02/02/26(a)

       283       285,244  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%),
3.72%, 10/19/24

       367       368,541  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 3.85%, 09/15/23

       412       414,257  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 12/23/24

       2,004       2,005,984  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 08/08/21

       437       438,518  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.80%, 11/30/23

       1,022       1,028,482  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.94%, 03/13/25

       49       48,983  

Golden Nugget LLC, 2017 Incremental Term Loan B, (3 mo. LIBOR + 2.75%), 4.72%, 10/04/23

       519       520,408  

Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 3.54%, 06/22/26

       1,015       1,021,583  
 

 

 

SCHEDULES OF INVESTMENTS      59  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.22%, 02/05/25

     USD       1,277     $ 1,283,550  

KFC Holding Co., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.49%, 04/03/25

       503       504,520  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 10/15/25

       196       196,632  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 04/29/24

       381       379,193  

Playtika Holding Corp., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor),
7.80%, 12/10/24

       578       583,424  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 02/22/24

       985       989,700  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.55%, 08/14/24

       1,059       1,060,465  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.44%, 07/10/25

       1,797       1,811,454  

Station Casinos LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 06/08/23

       1,221       1,225,874  

Whatabrands LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.94%, 08/02/26

       940       944,174  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 05/30/25

       583       585,422  
     

 

 

  
        17,187,793  
Independent Power and Renewable Electricity Producers — 0.3%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.66%, 05/31/22

       20       19,519  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 01/15/25

       800       803,179  

Calpine Corp.:

      

2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.30%, 08/12/26

       798       801,985  

Term Loan B9, (3 mo. LIBOR + 2.25%), 4.20%, 04/05/26

       275       276,007  
     

 

 

  
        1,900,690  
Industrial Conglomerates — 0.6%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 11/30/23

       2,067       2,060,176  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.90%, 11/28/21

       606       605,556  

Sundyne US Purchaser, Inc., Term Loan, (1 mo. LIBOR + 4.00%), 5.80%, 05/15/26

       722       725,423  
     

 

 

  
        3,391,155  
Insurance — 1.4%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 05/09/25

       1,424       1,423,658  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.99%, 05/09/25

       288       288,704  

AmWINS Group, Inc., 2017 Term Loan B, 01/25/24(n)

       1,192       1,200,266  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%),
5.30%, 10/22/24

       692       693,083  
Security          Par
(000)		     Value  
Insurance (continued)  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
4.80%, 12/02/24

     USD       593     $ 593,274  

Hub International Ltd.:

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.69%, 04/25/25

       1,301       1,299,308  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.90%, 04/25/25

       709       715,509  

Sedgwick Claims Management Services, Inc.:

      

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 09/03/26

       630       634,651  

Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/31/25

       1,658       1,657,176  
     

 

 

  
        8,505,629  
Interactive Media & Services — 0.2%  

Ancestry.com Operations, Inc., Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 10/19/23

       503       494,942  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.90%, 11/03/23

       461       447,125  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
5.55%, 05/06/24

       442       430,037  
     

 

 

  
        1,372,104  
IT Services — 1.0%  

Altran Technologies SA, 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 4.26%, 03/20/25

       211       211,238  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 10/31/26

       857       861,713  

Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.05%, 06/01/22

       879       882,777  

Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 11/27/24

       391       393,983  

Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.16%, 08/01/25

       273       167,668  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/01/23

       857       859,212  

Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.55%, 11/16/26

       1,278       1,282,497  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 05/15/26

       1,607       1,615,711  
     

 

 

  
        6,274,799  
Life Sciences Tools & Services — 0.8%  

Albany Molecular Research, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 5.05%, 1.00% Floor), 08/30/24

       287       285,264  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 8.80%, 1.00% Floor), 08/30/25

       130       129,512  

eResearchTechnology, Inc., 2019 Term Loan, 11/20/26(n)

       810       815,062  

Sotera Health Holdings LLC, 2019 Term Loan, 12/11/26(n)

       3,654       3,662,379  
     

 

 

  
        4,892,217  
Machinery — 0.6%  

Clark Equipment Company, 2019 Term Loan B, (3 mo. LIBOR + 1.75%), 3.69%, 05/18/24

       189       189,523  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.44%, 01/31/24(a)

       60       59,804  
 

 

 

60    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Machinery (continued)  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 07/30/24

     USD       781     $ 785,716  

Terex Corp., 2019 Term Loan B1, (2 mo. LIBOR + 2.75%), 4.59%, 01/31/24

       116       116,703  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 03/28/25

       2,094       2,057,069  

Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.30%, 10/23/25(a)

       330       330,474  
     

 

 

  
        3,539,289  
Media — 3.2%  

Altice Financing SA, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.51%, 01/31/26

       82       81,268  

Altice France SA:

      

2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 5.74%, 08/14/26

       1,463       1,464,055  

USD Term Loan B12, (1 mo. LIBOR + 3.68%), 5.43%, 01/31/26

       253       252,840  

Cable One, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 05/01/24

       254       254,451  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.55%, 04/30/25

       1,481       1,490,580  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 08/21/26

       2,547       2,558,434  

CSC Holdings LLC:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 3.99%, 07/17/25

       457       457,519  

2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 4.24%, 04/15/27

       454       455,763  

Diamond Sports Group LLC, Term Loan, (1 mo. LIBOR + 3.25%), 5.03%, 08/24/26

       708       706,752  

Gray Television, Inc.:

      

2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.95%, 02/07/24

       469       469,766  

2018 Term Loan C, (1 mo. LIBOR + 2.50%), 4.20%, 01/02/26

       70       70,765  

iHeartCommunications, Inc., Exit Term Loan, (1 mo. LIBOR + 4.00%), 5.69%, 05/01/26

       645       649,667  

Intelsat Jackson Holdings SA, 2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 11/27/23

       145       145,129  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.05%, 12/01/23

       1,075       942,314  

Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 6.74%, 10/22/26

       409       413,601  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 03/24/25

       532       530,596  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 09/13/24

       873       873,773  

Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 2.25%), 3.99%, 08/15/26

       263       264,601  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.45%, 09/18/26

       532       534,479  

PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 4.30%, 05/29/26

       518       520,780  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.23%, 03/03/25(a)

       1,323       1,316,719  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 02/01/24

       734       736,148  
Security          Par
(000)		     Value  
Media (continued)  

Terrier Media Buyer, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 6.15%, 12/17/26

     USD       503     $ 507,718  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 09/28/23(a)

       1,480       1,483,225  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.55%, 03/15/24

       530       522,259  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 05/18/25

       867       861,414  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.24%, 04/15/25

       824       826,245  
     

 

 

  
        19,390,861  
Metals & Mining — 0.3%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 6.41%, 07/31/25

       611       535,873  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, 03/08/24(n)

       1,136       1,139,189  
     

 

 

  
        1,675,062  
Multiline Retail — 0.0%  

Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 7.71%, 10/25/23

       354       291,324  
   

 

 

  
Oil & Gas Equipment & Services — 0.1%  

McDermott Technology Americas, Inc.:

      

2018 1st Lien Term Loan, 10/21/21(n)

       302       307,259  

2018 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 05/09/25

       663       385,983  
     

 

 

  
        693,242  
Oil, Gas & Consumable Fuels — 0.2%  

California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.18%, 12/31/21

       600       445,260  

CITGO Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor),
8.80%, 08/01/23

       2       2,029  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 09/27/24

       280       247,423  

Edgewater Generation LLC, Term Loan, 12/13/25(n)

       601       573,948  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 5.96%, 02/07/25

       251       249,130  
     

 

 

  
    1,517,790  
Personal Products — 0.1%  

Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.19%, 10/01/26

       821       827,888  
   

 

 

  
Pharmaceuticals — 1.4%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.31%, 05/04/25

       660       590,945  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.05%, 05/18/26

       726       727,740  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.06%, 04/29/24

       544       519,434  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.74%, 11/15/27

       890       896,789  
 

 

 

SCHEDULES OF INVESTMENTS      61  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor),
4.30%, 08/18/22

     USD       2,943     $ 2,956,937  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.74%, 06/02/25

       2,783       2,796,816  
     

 

 

  
    8,488,661  
Professional Services — 0.4%  

ASGN, Inc., 2019 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.55%, 04/02/25

       250       251,278  

Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.00%),
5.80%, 02/09/26

       656       658,640  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 6.79%, 02/06/26

       1,356       1,366,740  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.41%, 08/04/25(a)

       402       395,675  
     

 

 

  
    2,672,333  
Real Estate Management & Development — 0.7%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 04/18/24

       1,600       1,605,671  

DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 08/21/25

       1,049       1,049,050  

ESH Hospitality, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/18/26

       283       284,829  

Forest City Enterprises LP, 2019 Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 12/08/25

       780       783,287  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 02/08/25

       355       351,132  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.80%, 01/23/25

       383       384,585  
     

 

 

  
        4,458,554  
Road & Rail — 0.1%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 06/13/23(n)

       448       413,748  
   

 

 

  
Semiconductors & Semiconductor Equipment — 0.2%  

Cabot Microelectronics Corporation, 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.81%, 11/14/25

       475       476,716  

Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 05/29/25

       350       351,393  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/26

       225       226,592  
     

 

 

  
        1,054,701  
Software — 5.7%  

Applied Systems, Inc.(n):

      

2017 1st Lien Term Loan, 09/19/24

       1,473       1,477,657  

2017 2nd Lien Term Loan, 09/19/25

       250       253,846  

BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 10/02/25

       1,290       1,273,612  

Cerence, Inc., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.69%, 10/01/24(a)

       318       301,305  

Cypress Intermediate Holdings III, Inc.:

      

2017 1st Lien Term Loan, 04/29/24(n)

       1,035       1,036,071  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.55%, 04/27/25

       248       248,372  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 5.34%, 05/28/24

       499       443,697  
Security          Par
(000)		     Value  
Software (continued)  

DTI Holdco, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.75%, 1.00% Floor),
6.68%, 09/30/23

     USD       495     $ 461,274  

Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 4.00%), 5.94%, 04/17/26

       1,431       1,437,682  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, 10/01/25(n)

       2,423       2,443,178  

Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 02/01/22

       2,973       2,984,533  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 08/05/22

       1,535       1,540,422  

Kronos, Inc.:

      

2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.91%, 11/01/23

       2,642       2,653,320  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.16%, 11/01/24

       615       626,273  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 09/30/24

       1,615       1,621,280  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 11/29/24

       1,067       1,056,291  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.05%, 12/01/25(a)

       267       255,333  

Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%),
5.05%, 05/30/25

       236       234,795  

RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.55%, 10/12/23

       960       965,384  

Severin Acquisition LLC, 2018 Term Loan B, 08/01/25(n)

       492       488,141  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 02/05/24

       1,704       1,713,526  

Solera LLC, Term Loan B, 03/03/23(n)

       1,435       1,435,930  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.19%, 09/30/22

       2,217       2,221,385  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       490       492,814  

SS&C Technologies, Inc.:

      

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       707       711,289  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25

       459       462,324  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 4.55%, 05/01/24

       1,987       1,997,746  

Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.71%, 06/30/26

       1,704       1,709,550  

Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 05/04/26

       854       858,795  

Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 07/02/25

       1,476       1,457,306  
     

 

 

  
        34,863,131  
Specialty Retail — 1.0%  

Belron Finance US LLC:

      

2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 4.44%, 11/07/26

       420       421,315  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.14%, 11/07/24

       747       748,941  

Term Loan B, (3 mo. LIBOR + 2.25%), 4.15%, 11/13/25

       184       184,830  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.50%), 5.31%, 06/23/25

     GBP       1,000       1,310,175  
 

 

 

62    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Specialty Retail (continued)  

IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.06%, 06/28/26(a)

     USD       287     $ 289,435  

Leslie’s Poolmart, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.34%, 08/16/23

       204       190,122  

MED ParentCo LP:

      

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       24       24,222  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.05%, 08/31/26

       456       454,837  

Midas Intermediate Holdco II LLC, Incremental Term Loan B, 08/18/21(n)

       541       530,523  

PetSmart, Inc., Term Loan B2, 03/11/22(n)

       1,737       1,715,721  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.41%, 12/20/24

       387       386,519  
     

 

 

  
    6,256,640  
Technology Hardware, Storage & Peripherals — 0.2%  

Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.45%, 04/29/23

       980       983,937  
   

 

 

  
Textiles, Apparel & Luxury Goods — 0.2%  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.19%, 08/27/26(a)

       953       960,066  
   

 

 

  
Thrifts & Mortgage Finance — 0.3%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.80%, 05/23/25

       1,584       1,588,282  
   

 

 

  
Trading Companies & Distributors — 0.3%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.05%, 01/02/25

       431       432,696  

HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 3.55%, 10/17/23

       1,066       1,072,131  

United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 10/31/25

       104       104,659  
     

 

 

  
    1,609,486  
Utilities — 0.1%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
4.91%, 11/28/24

       688       677,711  
   

 

 

  
Wireless Telecommunication Services — 0.3%  

Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 03/22/24

       633       567,144  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(g)

       248       158,424  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.55%, 04/11/25

       927       929,970  
     

 

 

  
    1,655,538  
   

 

 

  

Total Floating Rate Loan Interests — 41.0%
(Cost — $250,873,134)

 

     250,655,043  
   

 

 

  

Foreign Agency Obligations — 2.9%

 

Argentina — 0.0%

 

Argentine Republic Government International Bond:

      

6.88%, 04/22/21

       236       126,481  

4.63%, 01/11/23

       118       58,853  
     

 

 

  
        185,334  
Security          Par
(000)		     Value  
Bahrain — 0.1%  

CBB International Sukuk Co. 7 SPC

     USD       200     $ 232,750  
     

 

 

  
Colombia — 0.1%  

Colombia Government International Bond:

      

8.13%, 05/21/24

       238       292,219  

4.50%, 01/28/26(f)

       236       257,240  

3.88%, 04/25/27

       200       212,000  
     

 

 

  
        761,459  
Cyprus — 0.5%  

Cyprus Government International Bond(c)

     EUR       2,600       2,921,196  
     

 

 

  
Dominican Republic — 0.0%  

Dominican Republic International Bond

     USD       159       171,422  
   

 

 

  
Egypt — 0.2%  

Egypt Government Bond:

      

16.00%, 06/11/22

     EGP       2,625       168,981  

14.30%, 09/03/22

       5,685       355,832  

Egypt Government International Bond

     USD       882       890,269  
     

 

 

  
        1,415,082  
Iceland — 0.6%  

Iceland Government International Bond(f)

       3,030       3,280,091  
   

 

 

  
Indonesia — 0.2%  

Indonesia Government International Bond:

      

4.75%, 01/08/26

       395       438,820  

5.35%, 02/11/49(f)

       200       257,688  

Indonesia Treasury Bond

     IDR       6,090,000       413,238  
     

 

 

  
        1,109,746  
Mexico — 0.0%  

Mexico Government International Bond(f)

     USD       210       224,897  
     

 

 

  
Nigeria — 0.1%  

Nigeria Government International Bond(f)

       484       534,820  
     

 

 

  
Portugal — 0.6%  

Portugal Government International Bond(c)

       3,190       3,578,095  
     

 

 

  
Qatar — 0.1%  

Qatar Government International Bond:

      

4.50%, 04/23/28

       490       561,662  

4.00%, 03/14/29(c)(f)

       200       223,563  
     

 

 

  
        785,225  
Russia — 0.2%  

Russian Foreign Bond - Eurobond:

      

4.75%, 05/27/26

     EUR       400       446,750  

4.25%, 06/23/27

       400       436,800  
     

 

 

  
        883,550  
Saudi Arabia — 0.1%  

Saudi Government International Bond

       385       436,012  
     

 

 

  
South Africa — 0.0%  

Republic of South Africa Government International Bond

       199       213,303  
     

 

 

  
Turkey — 0.0%  

Turkey Government International Bond

       200       208,938  
     

 

 

  
Ukraine — 0.1%  

Ukraine Government International Bond:

      

7.75%, 09/01/22

       118       126,850  

7.75%, 09/01/25

       166       180,857  

9.75%, 11/01/28

       236       287,035  
     

 

 

  
        594,742  
   

 

 

  

Total Foreign Agency Obligations — 2.9%
(Cost — $17,213,004)

 

     17,536,662  
   

 

 

  
 

 

 

SCHEDULES OF INVESTMENTS      63  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security              
Shares		     Value  

Investment Companies — 2.8%

 

Equity Fund — 2.8%  

Invesco Senior Loan ETF

       755,757     $ 17,246,375  
     

 

 

  

Total Investment Companies — 2.8%
(Cost — $17,223,384)

 

     17,246,375  
   

 

 

  
       Par
(000)		         

Non-Agency Mortgage-Backed Securities — 1.4%

 

Collateralized Mortgage Obligations — 0.6%  

Countrywide Alternative Loan Trust,
Series 2005-54CB, Class 3A4,
5.50%, 11/25/35

     USD       1,742       1,454,190  

Countrywide Home Loan Mortgage Pass-Through Trust:

      

Series 2005-17, Class 1A6,
5.50%, 09/25/35

       289       289,072  

Series 2006-17, Class A2, 6.00%, 12/25/36

       986       739,534  

Series 2007-HY5, Class 3A1, 3.75%, 09/25/37(e)

       661       625,588  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3,
4.26%, 10/25/35(e)

       514       414,453  
     

 

 

  
        3,522,837  
Commercial Mortgage-Backed Securities — 0.8%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(c)(e)

       4,830       5,010,736  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.62%, 07/10/38(e)

       249       250,573  
     

 

 

  
        5,261,309  
     

 

 

  

Total Non-Agency Mortgage-Backed Securities — 1.4%
(Cost — $8,671,602)

 

     8,784,146  
     

 

 

  
           

Beneficial

Interest
(000)

         

Other Interests(a)(b)(o) — 0.0%

 

Auto Components — 0.0%  

Lear Corp. Escrow(i)

     USD       1,000       10  
     

 

 

  
IT Services — 0.0%  

Millennium Corp.

       918       —  

Millennium Lender Claims

       861       —  
     

 

 

  
        —  
     

 

 

  

Total Other Interests — 0.0%
(Cost — $—)

 

     10  
     

 

 

  
       Par
(000)		         

Preferred Securities – 9.3%

 

Capital Trusts — 7.0%  
Banks — 1.1%  

Banco Mercantil del Norte SA,
6.75%(c)(h)(j)

     USD       396       411,345  

Bankia SA, 6.38%(h)(j)

     EUR       200       243,128  

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

     USD       3,000       3,044,610  

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

       235       241,463  
Security     Par
(000)		     Value  
Banks (continued)  

Wells Fargo & Co.,(f)(h)(j):

      

Series S, 5.90%

     USD       1,500     $ 1,633,230  

Series U, 5.88%

       968       1,076,900  
     

 

 

  
        6,650,676  
Building Materials — 0.0%  

Holcim Finance Luxembourg SA, 3.00%(h)(j)

     EUR       100       118,339  
   

 

 

  
Capital Markets — 1.0%  

Goldman Sachs Group, Inc.,(h)(j):

      

Series M, 5.38%(f)

     USD       1,730       1,751,400  

Series P, 5.00%

       123       123,922  

Morgan Stanley, Series H, 5.61%(f)(h)(j)

       2,546       2,568,405  

State Street Corp., Series F, 5.25%(f)(h)(j)

       1,625       1,666,405  
     

 

 

  
        6,110,132  
Chemicals — 0.0%  

Solvay Finance SA, 5.43%(h)(j)

     EUR       100       129,276  
   

 

 

  
Diversified Financial Services — 3.8%  

Bank of America Corp.,(h)(j):

      

Series AA, 6.10%(f)

     USD       1,038       1,156,124  

Series DD, 6.30%

       215       248,325  

Series U, 5.20%(f)

       1,250       1,306,250  

Series X, 6.25%(f)

       1,929       2,143,601  

Series Z, 6.50%

       143       162,305  

Credit Agricole SA, 6.50%(h)(j)

     EUR       100       121,121  

Credit Suisse Group AG(h)(j):

      

6.25%

     USD       200       217,550  

6.38%(c)

       495       533,610  

HBOS Capital Funding LP, 6.85%(j)

       100       102,100  

HSBC Holdings PLC(h)(j):

      

6.00%

       415       441,975  

6.25%

       695       737,569  

JPMorgan Chase & Co.,(h)(j):

      

Series 1, 5.41%

       146       147,314  

Series FF, 5.00%

       1,345       1,398,800  

Series R, 6.00%

       120       128,850  

Series S, 6.75%

       160       180,680  

Series U, 6.13%(f)

       6,690       7,308,825  

Series V, 5.23%(f)

       4,060       4,090,450  

Royal Bank of Scotland Group PLC, 8.63%(h)(j)

       200       214,500  

Societe Generale SA, 6.00%(c)(f)(h)(j)

       2,000       2,003,352  

UniCredit SpA, 6.75%(h)(j)

     EUR       200       239,719  
     

 

 

  
        22,883,020  
Diversified Telecommunication Services — 0.1%  

Koninklijke KPN NV, 2.00%(h)(j)

       100       114,223  

Telefonica Europe BV(h)(j):

      

3.75%

       100       118,061  

4.38%

       100       125,069  

5.88%

       100       130,826  
     

 

 

  
        488,179  
Electric Utilities — 0.3%  

NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(f)(h)

     USD       1,750       1,939,908  
   

 

 

  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

     EUR       100       120,000  
   

 

 

  
Insurance — 0.6%  

Voya Financial, Inc., 5.65%, 05/15/53(h)

     USD       3,500       3,721,235  
   

 

 

  
Oil, Gas & Consumable Fuels — 0.1%  

Naturgy Finance BV, 3.38%(h)(j)

     EUR       100       120,291  

Repsol International Finance BV, 4.50%, 03/25/75(h)

       100       129,265  
     

 

 

  
        249,556  
 

 

 

64    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Utilities — 0.0%  

Electricite de France SA, 3.00%(h)(j)

     EUR       200     $ 231,070  
   

 

 

  

Total Capital Trusts — 7.0%
(Cost — $40,434,132)

 

     42,641,391  
   

 

 

  
            Shares         

Preferred Stocks — 1.8%

 

Banks — 0.0%  

CF-B L2 (D) LLC, (Aquired 04/08/15, cost $131,171), 0.00%(p)

       134,077       42,060  
   

 

 

  
Capital Markets — 1.8%  

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

       202,526       5,431,747  

Morgan Stanley,(h)(j):

      

Series F, 6.88%

       120       3,396,000  

Series K, 5.85%

       53       1,510,255  

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

       21,200       517,068  
     

 

 

  
        10,855,070  
   

 

 

  

Total Preferred Stocks — 1.8%
(Cost — $10,174,955)

 

     10,897,130  
   

 

 

  

Trust Preferred — 0.5%

 

Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2, 7.69%(h)

       105,753       2,754,866  
   

 

 

  

Total Trust Preferreds — 0.5%
(Cost — $2,686,547)

 

     2,754,866  
   

 

 

  

Total Preferred Securities— 9.3%
(Cost — $53,295,634)

 

     56,293,387  
   

 

 

  
            Par
(000)		         

U.S. Government Sponsored Agency
Securities — 5.3%

 

Collateralized Mortgage Obligations — 1.1%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 4.79%, 10/25/29(d)

     USD       1,600       1,671,358  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

       4,787       5,293,466  
     

 

 

  
        6,964,824  
Interest Only Collateralized Mortgage Obligations — 0.3%  

Freddie Mac Mortgage-Backed Securities, Series K042, Class X1,
1.05%, 12/25/24(e)

       33,903       1,495,410  
   

 

 

  
Mortgage-Backed Securities — 3.9%  

Fannie Mae Mortgage-Backed Securities(f):

      

2.50%, 10/01/28 - 06/01/32

       2,352       2,381,124  

3.00%, 05/01/30

       13,227       13,686,929  

3.50%, 08/01/49

       2,958       3,087,547  

5.00%, 07/01/20 - 08/01/23

       53       54,777  

Freddie Mac Mortgage-Backed Securities, 3.50%, 07/01/49(f)

       4,316       4,502,441  
     

 

 

  
        23,712,818  
   

 

 

  

Total U.S. Government Sponsored Agency
Securities — 5.3%
(Cost — $31,681,883)

 

     32,173,052  
   

 

 

  
Security          Par
(000)		     Value  

U.S. Treasury Obligations — 2.9%

 

U.S. Treasury Bonds,
2.88%, 05/15/49(f)

       1,350     $ 1,492,014  

U.S. Treasury Notes(f):

      

2.75%, 09/30/20

       1,600       1,612,875  

2.75%, 04/30/23

       8,000       8,289,688  

2.75%, 08/31/25

       6,150       6,483,445  
   

 

 

  

Total U.S. Treasury Obligations — 2.9%
(Cost — $17,029,393)

 

     17,878,022  
   

 

 

  
            Shares         

Warrants — 0.1%

 

Media — 0.1%  

iHeartMedia, Inc. (Expires 05/01/39)

       14,604       246,793  
   

 

 

  
Metals & Mining — 0.0%  

AFGlobal Corp. (Expires 12/20/20)(a)

       2,542       —  
   

 

 

  

Total Warrants — 0.1%
(Cost — $262,857)

 

     246,793  
   

 

 

  

Total Long-Term Investments — 133.7%
(Cost — $802,873,117)

 

     816,892,516  
   

 

 

  
       Par
(000)		         

Short-Term Securities — 0.3%

 

Nigeria — 0.1%  
Foreign Agency Obligations — 0.1%  

Nigeria Treasury Bill, 0.00%, 02/27/20(l)

       131,600       355,531  
   

 

 

  

Total Foreign Agency Obligations — 0.1%
(Cost — $356,925)

 

     355,531  
   

 

 

  
       Shares         

Money Market Fund — 0.2%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.51%(q)(r)

       1,358,645       1,358,645  
   

 

 

  

Total Money Market Fund — 0.2%
(Cost — $1,358,645)

 

     1,358,645  
   

 

 

  

Total Short-Term Securities — 0.3%
(Cost — $1,715,570)

 

     1,714,176  
   

 

 

  

Options Purchased — 0.0%
(Cost — $234,870)

 

     99,208  
   

 

 

  

Total Investments Before Options Written — 134.0%
(Cost — $804,823,557)

 

     818,705,900  
   

 

 

  

Options Written — (0.0)%
(Premiums Received — $88,853)

 

     (31,530 ) 
   

 

 

  

Total Investments, Net of Options Written — 134.0%
(Cost — $804,734,704)

 

     818,674,370  

Liabilities in Excess of Other Assets — (34.0)%

 

     (207,606,778 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 611,067,592  
     

 

 

  

 

(a) 

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

(b) 

Non-income producing security.

(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.

 

 

 

SCHEDULES OF INVESTMENTS      65  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

(d) 

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

(e) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(f) 

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

(g) 

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) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

Perpetual security with no stated maturity date.

(k) 

When-issued security.

(l) 

Zero-coupon bond.

(m) 

Convertible security.

(n) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(o) 

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

(p) 

Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $42,060 and an original cost of $131,171, which was less than 0.05% of its net assets.

(q) 

Annualized 7-day yield as of period end.

 

 

(r) 

During the period ended December 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/19		      Net
Activity		      Shares
Held at
12/31/19		      Value at
12/31/19		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      3,688,908        (2,330,263 )       1,358,645      $ 1,358,645      $ 29,844      $ 4      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Reverse Repurchase Agreements

 

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

UBS Ltd.

     2.05 %      09/20/18       Open     $ 3,026,213     $ 3,127,208     Foreign Agency Obligations   Open/Demand

UBS Ltd.

     2.20       09/20/18       Open       1,730,000       1,792,145     Capital Trusts   Open/Demand

UBS Ltd.

     2.20       09/20/18       Open       746,250       773,057     Corporate Bonds   Open/Demand

UBS Ltd.

     2.20       09/20/18       Open       250,200       259,188     Corporate Bonds   Open/Demand

UBS Ltd.

     2.20       09/20/18       Open       362,780       375,812     Corporate Bonds   Open/Demand

UBS Ltd.

     2.20       12/12/18       Open       250,583       258,007     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     1.75       02/12/19       Open       382,826       390,887     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     2.05       02/12/19       Open       527,217       538,590     Capital Trusts   Open/Demand

Credit Suisse Securities (USA) LLC

     1.90       02/26/19       Open       207,680       211,983     Foreign Agency Obligations   Open/Demand

Goldman Sachs & Co LLC

     1.75       03/04/19       Open       273,257       278,813     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     1.75       03/04/19       Open       477,720       487,434     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     1.75       03/04/19       Open       242,685       247,296     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     1.75       03/04/19       Open       158,392       161,613     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     1.85       03/04/19       Open       659,311       672,830     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     2.10       03/04/19       Open       1,207,335       1,232,612     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     2.10       03/04/19       Open       383,152       391,174     Corporate Bonds   Open/Demand

Goldman Sachs & Co LLC

     2.00       03/11/19       Open       190,858       194,574     Foreign Agency Obligations   Open/Demand

Goldman Sachs & Co LLC

     2.10       04/12/19       Open       1,354,175       1,378,211     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       05/07/19       Open       176,500       179,302     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

     1.70       06/11/19       Open       210,250       212,744     Foreign Agency Obligations   Open/Demand

BNP Paribas S.A.

     1.95       06/21/19       Open       2,902,500       2,941,321     Capital Trusts   Open/Demand

BNP Paribas S.A.

     1.95       06/21/19       Open       1,483,125       1,502,962     Capital Trusts   Open/Demand

BNP Paribas S.A.

     1.95       06/21/19       Open       581,788       589,340     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       94,510       95,746     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       226,188       229,418     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       5,264,190       5,337,533     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       369,923       375,114     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       993,200       1,007,387     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       944,843       958,100     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       157,885       160,100     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       590,008       598,435     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       130,975       132,781     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       06/21/19       Open       2,421,969       2,454,963     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,776,250       1,799,459     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       98,375       99,660     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       993,431       1,006,412     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       535,575       542,573     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       392,531       397,660     Corporate Bonds   Open/Demand

 

 

66    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

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

RBC Capital Markets, LLC

     2.04 %       06/21/19       Open     $ 1,455,000     $ 1,474,012     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,434,125       1,452,864     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,493,888       1,513,407     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       654,063       662,609     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,528,788       1,548,763     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       407,531       412,856     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       154,635       156,656     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       256,275       259,624     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       386,250       391,297     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       288,563       292,333     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       680,231       689,119     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       229,125       232,119     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,110,819       1,125,333     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       275,224       279,109     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       465,000       471,076     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       2,364,675       2,395,573     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       263,313       266,753     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       285,938       289,674     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,218,544       1,234,466     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       430,650       436,277     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       1,452,506       1,471,485     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       370,781       375,626     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       843,750       854,775     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       162,350       164,471     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       134,925       136,688     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       06/21/19       Open       343,350       347,836     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       07/16/19       Open       457,464       462,479     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       07/16/19       Open       569,250       575,550     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       07/16/19       Open       795,150       803,951     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       07/16/19       Open       334,051       337,749     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

     1.85       07/17/19       Open       6,512,000       6,574,307     U.S. Treasury Obligations   Open/Demand

HSBC Securities (USA), Inc.

     1.85       07/17/19       Open       8,316,000       8,395,568     U.S. Treasury Obligations   Open/Demand

BNP Paribas S.A.

     2.15       08/19/19       Open       297,040       299,592     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/26/19       Open       1,682,738       1,698,018     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

     1.85       08/27/19       Open       1,636,000       1,648,450     U.S. Treasury Obligations   Open/Demand

RBC Capital Markets, LLC

     1.10       08/29/19       Open       264,128       265,352     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.04       08/29/19       Open       754,298       760,237     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.15       08/29/19       Open       643,125       648,433     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       419,543       423,222     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       567,484       572,460     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       821,950       829,158     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       447,368       451,291     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       535,301       539,996     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       1,561,573       1,575,267     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       1,075,718       1,085,151     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       1,218,870       1,229,559     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       08/29/19       Open       1,073,600       1,083,015     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       1,437,188       1,447,807     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       2,349,187       2,366,545     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       1,068,750       1,076,647     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       2,307,900       2,324,953     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       1,622,771       1,634,762     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       1,081,267       1,089,257     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/03/19       Open       1,271,563       1,280,958     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/03/19       Open       1,327,775       1,338,683     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/03/19       Open       1,081,978       1,090,866     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/03/19       Open       509,469       513,654     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/03/19       Open       2,310,000       2,328,977     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/03/19       Open       1,226,569       1,236,645     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/04/19       Open       392,201       395,393     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       908,438       914,906     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       3,172,500       3,195,091     Corporate Bonds   Open/Demand

 

 

SCHEDULES OF INVESTMENTS      67  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

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

BNP Paribas S.A.

     1.95 %       09/04/19       Open     $ 6,781,988     $ 6,830,516     Capital Trusts   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       1,504,500       1,515,213     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       3,555,000       3,580,315     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       838,785       844,758     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       1,002,394       1,009,532     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       526,025       529,778     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       3,812,057       3,839,202     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       849,225       855,272     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       288,400       290,458     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.95       09/04/19       Open       169,744       170,952     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       09/04/19       Open       2,289,375       2,307,258     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       09/04/19       Open       508,183       512,134     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       09/09/19       Open       446,500       449,836     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/11/19       Open       986,798       994,301     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/16/19       Open       919,050       925,761     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/16/19       Open       1,105,561       1,113,630     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/16/19       Open       778,500       784,123     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     0.42       09/17/19       Open       10,260       10,279     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     0.75       09/17/19       Open       122,045       121,615     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.25       09/17/19       Open       456,305       458,235     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.45       09/17/19       Open       400,000       401,925     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.55       09/17/19       Open       103,853       104,383     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/17/19       Open       1,357,860       1,366,573     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       09/17/19       Open       806,925       812,103     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.05       09/17/19       Open       181,750       182,943     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.05       09/17/19       Open       292,370       294,289     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       230,340       231,986     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       188,663       190,011     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       514,639       518,316     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       494,250       497,782     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       105,495       106,249     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       1,078,761       1,086,470     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       728,850       734,058     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       597,690       601,961     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       670,605       675,397     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       454,436       457,684     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       855,400       861,513     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       412,539       415,487     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       642,715       647,308     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       920,835       927,415     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       416,800       419,778     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       489,590       493,089     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       667,550       672,320     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       143,696       144,723     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       788,880       794,517     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       580,051       584,196     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       43,416       43,726     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/17/19       Open       430,320       433,395     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/18/19       Open       1,076,190       1,083,798     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       09/20/19       Open       575,920       579,787     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       09/20/19       Open       512,513       515,812     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.30       09/30/19       Open       1,128,050       1,135,223     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       10/01/19       Open       264,600       266,352     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       10/01/19       Open       86,875       87,450     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       10/01/19       Open       308,355       310,396     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       10/01/19       Open       844,828       850,420     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       10/03/19       Open       207,671       208,917     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       10/08/19       Open       1,011,085       1,016,751     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

     1.75       10/11/19       Open       200,430       201,253     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

     2.10       10/11/19       Open       249,233       250,367     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

     2.10       10/11/19       Open       446,400       448,232     Corporate Bonds   Open/Demand

J.P. Morgan Securities LLC

     2.10       10/11/19       Open       862,875       866,873     Corporate Bonds   Open/Demand

 

 

68    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

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

J.P. Morgan Securities LLC

     1.75 %       10/16/19       Open     $ 408,135     $ 409,765     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     1.60       10/29/19       Open       1,528,875       1,533,164     U.S. Treasury Obligations   Open/Demand

Barclays Capital, Inc.

     2.25       10/31/19       Open       532,675       534,706     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/04/19       Open       798,968       801,877     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/05/19       Open       102,603       102,970     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/05/19       Open       1,062,765       1,066,567     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/08/19       Open       778,050       780,481     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/12/19       Open       450,640       452,051     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.00       11/15/19       Open       390,181       391,200     Capital Trusts   Open/Demand

Barclays Capital, Inc.

     2.10       11/15/19       Open       202,120       202,674     Foreign Agency Obligations   Open/Demand

Barclays Capital, Inc.

     2.10       11/15/19       Open       111,260       111,565     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/15/19       Open       109,385       109,706     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/15/19       Open       218,738       219,380     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/15/19       Open       314,038       314,960     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/15/19       Open       447,440       448,754     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       781,375       783,572     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       1,370,880       1,374,734     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       1,247,063       1,250,568     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       380,190       381,332     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       375,038       376,164     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       684,203       686,257     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       11/15/19       Open       143,303       143,733     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       11/21/19       Open       310,030       310,805     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     (0.50 )      12/05/19       Open       41,513       41,498     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       12/05/19       Open       134,850       135,069     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       12/05/19       Open       553,465       554,364     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/05/19       Open       291,280       291,764     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/06/19       Open       402,480       403,033     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/09/19       Open       687,660       688,627     Corporate Bonds   Open/Demand

Citigroup Global Markets, Inc.

     2.15       12/10/19       1/16/20       321,001       321,289     U.S. Government Sponsored Agency Securities   Up to 30 Days

Citigroup Global Markets, Inc.

     2.15       12/10/19       1/16/20       51,710       51,756     U.S. Government Sponsored Agency Securities   Up to 30 Days

Citigroup Global Markets, Inc.

     2.15       12/10/19       1/16/20       13,264,911       13,276,794     U.S. Government Sponsored Agency Securities   Up to 30 Days

Cantor Fitzgerald & Co.

     2.02       12/11/19       1/14/20       3,006,903       3,010,278     U.S. Government Sponsored Agency Securities   Up to 30 Days

Cantor Fitzgerald & Co.

     2.02       12/11/19       1/14/20       4,369,313       4,374,234     U.S. Government Sponsored Agency Securities   Up to 30 Days

Barclays Capital, Inc.

     2.00       12/12/19       Open       445,445       445,915     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       1,048,005       1,048,881     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       2,048,770       2,050,483     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       1,704,063       1,705,487     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       991,238       992,066     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       1,357,563       1,358,698     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/17/19       Open       1,256,445       1,257,496     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     1.50       12/18/19       Open       743,040       743,442     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

     2.25       12/18/19       Open       1,497,105       1,498,321     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/18/19       Open       1,143,000       1,143,887     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/18/19       Open       917,975       918,688     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/18/19       Open       321,722       321,990     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/18/19       Open       1,041,074       1,041,938     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/18/19       Open       1,105,403       1,106,321     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.35       12/19/19       Open       903,858       904,566     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.35       12/19/19       Open       952,680       953,426     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.38       12/19/19       Open       779,700       780,319     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.50       12/19/19       Open       527,438       527,877     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       285,600       285,819     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       124,880       124,984     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       149,425       149,549     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       165,205       165,342     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       283,999       284,235     Corporate Bonds   Open/Demand

 

 

SCHEDULES OF INVESTMENTS      69  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

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

RBC Capital Markets, LLC

     2.30 %       12/19/19       Open     $ 238,740     $ 238,938     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/19/19       Open       334,670       334,948     Corporate Bonds   Open/Demand

BNP Paribas S.A.

     2.15       12/20/19       Open       866,860       867,326     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

     2.30       12/20/19       Open       1,726,231       1,727,223     Corporate Bonds   Open/Demand
       

 

 

    

 

 

      
        $ 211,672,330     $ 213,399,446      
       

 

 

    

 

 

      

 

  (a) 

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

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

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

Long Contracts

                  

10-Year U.S. Ultra Long Treasury Note

      229          03/20/20        $ 32,221        $ (413,202 ) 

Euro Stoxx 600 Index

      1          03/20/20          8          (35 ) 

2-Year U.S. Treasury Note

      1,726          03/31/20          371,953          (169,584 ) 
                 

 

 

  
                    (582,821 ) 
                 

 

 

  

Short Contracts

                  

10-Year U.S. Treasury Note

      471          03/20/20          60,487          329,700  

Long U.S. Treasury Bond

      17          03/20/20          2,650          57,390  

U.S. Treasury Ultra Bond

      2          03/20/20          363          11,919  

5-Year U.S. Treasury Note

      980          03/31/20          116,237          343,646  
                 

 

 

  
                    742,655  
                 

 

 

  
                  $ 159,834  
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		        Currency
Sold		      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD     6,680        GBP     5,000      Barclays Bank PLC        02/05/20        $ 51  
CAD     6,080,000        NOK     40,976,768      Morgan Stanley & Co. International PLC        03/18/20          14,916  
NOK     41,836,480        CAD     6,080,000      Bank of America N.A.        03/18/20          83,031  
NOK     41,532,543        CAD     6,060,000      JPMorgan Chase Bank N.A.        03/18/20          63,809  
NOK     41,291,864        CAD     6,080,000      Morgan Stanley & Co. International PLC        03/18/20          20,983  

NZD

     7,077,831        AUD     6,750,000      JPMorgan Chase Bank N.A.        03/18/20          24,170  
                     

 

 

  
                        206,960  
                     

 

 

  

USD

     4,661,725        EUR     4,219,000      Citibank N.A.        02/05/20          (80,433 ) 

USD

     936,305        EUR     847,000      State Street Bank and Trust Co.        02/05/20          (15,723 ) 

USD

     8,933,036        EUR     8,081,000      State Street Bank and Trust Co.        02/05/20          (150,012 ) 

USD

     1,270,648        GBP     983,000      BNP Paribas S.A.        02/05/20          (32,663 ) 

USD

     8,338,706        GBP     6,451,000      BNP Paribas S.A.        02/05/20          (214,353 ) 

USD

     1,173,422        GBP     908,000      Citibank N.A.        02/05/20          (30,450 ) 

USD

     519,225        MXN     10,254,000      Toronto-Dominion Bank        02/05/20          (20,449 ) 

USD

     55,395        NZD     86,000      Westpac Banking Corp.        02/05/20          (2,525 ) 

AUD

     6,670,000        NZD     6,968,082      Bank of America N.A.        03/18/20          (6,454 ) 

AUD

     6,750,000        NZD     7,052,535      Bank of America N.A.        03/18/20          (7,123 ) 

CAD

     6,060,000        NOK     41,315,177      JPMorgan Chase Bank N.A.        03/18/20          (39,045 ) 

CAD

     6,080,000        NOK     41,609,799      JPMorgan Chase Bank N.A.        03/18/20          (57,205 ) 
                     

 

 

  
                        (656,435 ) 
                     

 

 

  
    Net Unrealized Depreciation        $ (449,475 ) 
                     

 

 

  

 

 

70    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

OTC Interest Rate Swaptions Purchased

 

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

Call

                    

1-Year Interest Rate Swap, 11/25/21

     1.25%     Semi-Annual     3-Month LIBOR, 1.91%     Quarterly   Morgan Stanley & Co. International PLC     11/23/20       1.25 %      USD       124,270     $ 99,208  
                   

 

 

  

OTC Interest Rate Swaptions Written

 

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

Call

                    

1-Year Interest Rate Swap, 11/25/21

     3-Month LIBOR, 1.91%     Quarterly     0.75%     Semi-Annual   Morgan Stanley & Co. International PLC     11/23/20       0.75 %      USD       124,270     $ (31,530 ) 
                   

 

 

  

Centrally Cleared Credit Default Swaps — Buy Protection

 

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

CDX.NA.IG.33.V1

      1.00 %       Quarterly        12/20/24        USD        66,100      $ (1,737,578 )     $ (1,175,776 )     $ (561,802 ) 

CDX.NA.HY.33.V1

      5.00        Quarterly        12/20/24        USD        2,574        (281,571 )       (157,677 )       (123,894 ) 
                 

 

 

     

 

 

     

 

 

  
                  $ (2,019,149 )     $ (1,333,453 )     $ (685,696 ) 
                 

 

 

     

 

 

     

 

 

  

OTC Credit Default Swaps — Buy Protection

 

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

UPC Holding BV

      5.00 %      Quarterly     JPMorgan Chase Bank N.A.      06/20/24     EUR     30     $ (5,736 )    $ (6,387 )    $ 651  

UPC Holding BV

      5.00       Quarterly     BNP Paribas S.A.      06/20/24     EUR     4       (789 )      (929 )      140  

UPC Holding BV

      5.00       Quarterly     Bank of America N.A.      06/20/24     EUR     10       (1,912 )      (2,220 )      308  
               

 

 

    

 

 

    

 

 

  
  $ (8,437 )    $ (9,536 )    $ 1,099  
               

 

 

    

 

 

    

 

 

  

OTC Credit Default Swaps — Sell Protection

 

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

Casino Guichard Perrachon SA

      1.00 %      Quarterly     Citibank N.A.     06/20/23     B     EUR       11     $ (1,730 )    $ (1,136 )    $ (594 ) 

Casino Guichard Perrachon SA

      1.00       Quarterly     Barclays Bank PLC     12/20/23     B     EUR       40       (7,703 )      (5,164 )      (2,539 ) 

Chesapeake Energy Corp.

      5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       79       (30,353 )      122       (30,475 ) 

Chesapeake Energy Corp.

      5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       62       (23,822 )      482       (24,304 ) 

Broadcom, Inc.

      1.00       Quarterly     Citibank N.A.     06/20/24     B-     USD       1,185       3,094       (81,240 )      84,334  

Casino Guichard Perrachon SA

      5.00       Quarterly     Credit Suisse International     06/20/24     B     EUR       11       (717 )      (712 )      (5 ) 

Casino Guichard Perrachon SA

      5.00       Quarterly     Credit Suisse International     06/20/24     B     EUR       9       (634 )      (726 )      92  

Telecom Italia SpA

      1.00       Quarterly     Citibank N.A.     06/20/24     BB+     EUR       5       (32 )      (160 )      128  

Telecom Italia SpA

      1.00       Quarterly     Bank of America N.A.     06/20/24     BB+     EUR       5       (31 )      (157 )      126  

Telecom Italia SpA

      1.00       Quarterly     Citibank N.A.     06/20/24     BB+     EUR       5       (31 )      (164 )      133  

Telecom Italia SpA

      1.00       Quarterly     Morgan Stanley & Co.
International PLC		     06/20/24     BB+     EUR       5       (30 )      (162 )      132  

Garfunkelux Holdco 2 SA

      5.00       Quarterly     Credit Suisse International     12/20/24     B-     EUR       10       285       (133 )      418  

Garfunkelux Holdco 2 SA

      5.00       Quarterly     Credit Suisse International     12/20/24     B-     EUR       30       852       —       852  

Telecom Italia SpA

      1.00       Quarterly     Citibank N.A.     06/20/26     BB+     EUR       10       (561 )      (1,416 )      855  

Virgin Media Finance PLC

      5.00       Quarterly     Credit Suisse International     12/20/26     B     EUR       20       4,485       4,879       (394 ) 

Tesco PLC

      1.00       Quarterly     Morgan Stanley & Co.
International PLC		     12/20/28     BB+     EUR       60       (2,775 )      (5,529 )      2,754  

CMBX.NA.8

      3.00       Monthly     Barclays Bank PLC     10/17/57     NR     USD       5,000       (104,603 )      (503,599 )      398,996  

 

 

SCHEDULES OF INVESTMENTS      71  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

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

CMBX.NA.8

      3.00 %       Monthly       Credit Suisse International       10/17/57     NR     USD       2,500     $ (52,302 )    $ (249,068 )    $ 196,766  

CMBX.NA.8

      3.00       Monthly      
 Morgan Stanley & Co.
International PLC		  
 		     10/17/57     NR     USD       4,450       (93,097 )      (588,771 )      495,674  

CMBX.NA.9

      3.00 %      Monthly      
 Morgan Stanley & Co.
International PLC		  
 		     09/17/58     NR     USD       7,550       (39,645 )      (924,229 )      884,584  

CMBX.NA.9

      3.00       Monthly       Credit Suisse International       09/17/58     NR     USD       5,000       (26,255 )      (539,090 )      512,835  

CMBX.NA.9

      3.00       Monthly       Credit Suisse International       09/17/58     NR     USD       5,000       (26,255 )      (539,090 )      512,835  

CMBX.NA.9

      3.00       Monthly       Credit Suisse International       09/17/58     NR     USD       5,000       (26,254 )      (533,201 )      506,947  
                

 

 

    

 

 

    

 

 

  
                 $ (428,114 )    $ (3,968,264 )    $ 3,540,150  
                

 

 

    

 

 

    

 

 

  

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

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

 

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

 

      Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		      Value  

Centrally Cleared Swaps (a)

    $ —      $ (1,333,453 )     $ —      $ (685,696 )     $ —  

OTC Swaps

      5,483        (3,983,283 )       3,599,560        (58,311 )       —  

Options Written

      N/A        N/A        57,323        —        (31,530 ) 

 

  (a) 

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

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

              

Futures contracts

              

Unrealized appreciation on futures contracts (a)

   $ —     $ —     $ —     $ —     $ 742,655     $ —     $ 742,655  

Forward foreign currency exchange contracts

              

Unrealized appreciation on forward foreign currency exchange contracts

     —       —       —       206,960       —       —       206,960  

Options Purchased

              

Options Purchased at value

     —       —       —       —       99,208       —       99,208  

Swaps — OTC

              

Unrealized appreciation on OTC swaps; Swap premiums paid

     —       3,605,043       —       —       —       —       3,605,043  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ —     $ 3,605,043     $ —     $ 206,960     $ 841,863     $ —     $ 4,653,866  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
Liabilities — Derivative Financial Instruments                                          

Futures contracts

              

Unrealized depreciation on futures contracts (a)

   $ —     $ —     $ 35     $ —     $ 582,786     $ —     $ 582,821  

Forward foreign currency exchange contracts

              

Unrealized depreciation on forward foreign currency exchange contracts

     —       —       —       656,435       —       —       656,435  

Options written

              

Options written at value

     —       —       —       —       31,530       —       31,530  

Swaps — centrally cleared

              

Unrealized depreciation on centrally cleared swaps (a)

     —       685,696       —       —       —       —       685,696  

Swaps — OTC

              

Unrealized depreciation on OTC swaps; Swap premiums received

     —       4,041,593       —       —       —       —       4,041,593  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ —     $ 4,727,289     $ 35     $ 656,435     $ 614,316     $ —     $ 5,998,075  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

 

 

72    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Derivative Financial Instruments Categorized by Risk Exposure (continued)

 

For the period ended December 31, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ 841      $ —      $ (1,131,190 )     $ —      $ (1,130,349 ) 

Forward foreign currency exchange contracts

      —        —        —        (363,250 )       —        —        (363,250 ) 

Swaps

      —        60,265        —        —        —        —        60,265  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 60,265      $ 841      $ (363,250 )     $ (1,131,190 )     $ —      $ (1,433,334 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

    $ —      $ —      $ 472      $ —      $ 119,167      $ —      $ 119,639  

Forward foreign currency exchange contracts

      —        —        —        (785,566 )       —        —        (785,566 ) 

Options purchased(a)

      —        —        —        —        (135,662 )       —        (135,662 ) 

Options written

      —        —        —        —        57,323        —        57,323  

Swaps

      —        668,499        —        —        —        —        668,499  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 668,499      $ 472      $ (785,566 )     $ 40,828      $ —      $ (75,767 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

    $ 359,695,432  

Average notional value of contracts — short

    $ 169,107,922  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

    $ 79,544,317  

Average amounts sold – in USD

    $ 53,256,502  

Options:

   

Average notional amount of swaption contracts purchased

    $ 124,270,000  

Average notional amount of swaption contracts written

    $ 124,270,000  

Credit default swaps:

 

Average notional value — buy protection

    $ 68,736,060  

Average notional value — sell protection

    $ 36,142,301  

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

Derivative Financial Instruments — Offsetting as of Period End

 

      Assets      Liabilities  

Derivative Financial Instruments:

      

Futures contracts

    $ 163,546      $ 40,535  

Forward foreign currency exchange contracts

      206,960        656,435  

Options

      99,208 (a)       31,530  

Swaps — Centrally cleared

      7,859        —  

Swaps — OTC(b)

      3,605,043        4,041,593  
  

 

 

     

 

 

  

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

    $ 4,082,616      $ 4,770,093  
  

 

 

     

 

 

  

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

      (171,405 )       (40,535 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 3,911,211      $ 4,729,558  
  

 

 

     

 

 

  

 

  (a) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 
  (b) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

 

 

SCHEDULES OF INVESTMENTS      73  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Derivative Financial Instruments — Offsetting as of Period End (continued)

 

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

 

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

Bank of America N.A.

    $ 83,465        $ (15,954 )       $ —        $ —        $ 67,511  

Barclays Bank PLC

      399,651          (399,651 )         —          —          —  

BNP Paribas S.A.

      140          (140 )         —          —          —  

Citibank N.A.

      85,450          (85,450 )         —          —          —  

Credit Suisse International

      1,735,624          (1,735,624 )         —          —          —  

JPMorgan Chase Bank N.A.

      88,630          (88,630 )         —          —          —  

Morgan Stanley & Co. International PLC

      1,518,251          (1,518,251 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 3,911,211        $ (3,843,700 )       $ —        $ —        $ 67,511  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

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

Bank of America N.A.

    $ 15,954        $ (15,954 )       $ —        $ —        $ —  

Barclays Bank PLC

      566,081          (399,651 )         —          (166,430 )         —  

BNP Paribas S.A.

      247,946          (140 )         —          —          247,806  

Citibank N.A.

      195,593          (85,450 )         —          —          110,143  

Credit Suisse International

      1,862,418          (1,735,624 )         —          (126,794 )         —  

JPMorgan Chase Bank N.A.

      102,636          (88,630 )         —          (10,000 )         4,006  

Morgan Stanley & Co. International PLC

      1,550,221          (1,518,251 )         —          (31,970 )         —  

State Street Bank and Trust Co.

      165,735          —          —          —          165,735  

Toronto-Dominion Bank

      20,449          —          —          —          20,449  

Westpac Banking Corp.

      2,525          —          —          —          2,525  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 4,729,558        $ (3,843,700 )       $ —        $ (335,194 )       $ 550,664  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

 

 

74    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

                  

Common Stocks(a)

   $ 156,323        $ 41,302        $ 522,907        $ 720,532  

Asset-Backed Securities

     —          25,491,801          1,015,603          26,507,404  

Corporate Bonds(a)

      —          387,289,938          1,561,152          388,851,090  

Floating Rate Loan Interests(a)

      —          241,680,564          8,974,479          250,655,043  

Foreign Agency Obligations(a)

      —          17,536,662          —          17,536,662  

Investment Companies

     17,246,375          —          —          17,246,375  

Non-Agency Mortgage-Backed Securities

     —          8,784,146          —          8,784,146  

Other Interests

     —          —          10          10  

Preferred Securities(a)

      13,609,936          42,641,391          —          56,251,327  

U.S. Government Sponsored Agency Securities

     —          32,173,052          —          32,173,052  

U.S. Treasury Obligations

     —          17,878,022          —          17,878,022  

Warrants

     —          246,793          —          246,793  

Options Purchased:

                  

Interest rate contracts

      —          99,208          —          99,208  

Short-Term Securities:

                  

Foreign Agency Obligations

     —          355,531          —          355,531  

Money Market Fund

      1,358,645          —          —          1,358,645  

Unfunded floating rate loan interests

      —          55,285          —          55,285  
  

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

    $ 32,371,279        $ 774,273,695        $ 12,074,151        $ 818,719,125  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(b)

                     42,060  
                 

 

 

  

Total Investments

                   $ 818,761,185  
                 

 

 

  

Derivative Financial Instruments(c)

                  

Assets:

                  

Credit contracts

   $ —        $ 3,515,226        $ 84,334        $ 3,599,560  

Forward foreign currency contracts

     —          206,960          —          206,960  

Interest rate contracts

     742,655          —          —          742,655  

Liabilities:

                 

Credit contracts

     —          (744,007 )         —          (744,007 ) 

Equity contracts

     (35 )         —          —          (35 ) 

Forward foreign currency contracts

     —          (656,435 )         —          (656,435 ) 

Interest rate contracts

     (582,786 )         (31,530 )         —          (614,316 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 159,834        $ 2,290,214        $ 84,334        $ 2,534,382  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Certain investments of the Fund were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (c) 

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

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $213,399,446 are categorized within as Level 2 the disclosure hierarchy.

 

 

SCHEDULES OF INVESTMENTS      75  

Schedule of Investments  (continued)

December 31, 2019

   

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End (continued)

 

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

 

      Asset-Backed
Securities		      Common
Stocks		      Corporate
Bonds		      Floating Rate
Loan Interests		      Other
Interests		      Grand Total  

Assets:

                  

Opening balance, as of August 31, 2019

    $ 4,155,566      $ 534,756      $ 1,577,528      $ 7,282,908      $ 10      $ 13,550,768  

Transfers into Level 3(a)

      —        —        —        3,638,737        —        3,638,737  

Transfers out of Level 3(b)

      —        —        —        (3,251,322 )       —        (3,251,322 ) 

Accrued discounts/premiums

      (37,631 )       —        —        2,677        —        (34,954 ) 

Net realized gain (loss)

      —        —        —        (26,942 )       —        (26,942 ) 

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

      (10,467 )       (11,849 )       (16,376 )       128,717        —        90,025  

Purchases

      —        —        —        2,459,072        —        2,459,072  

Sales

      (3,091,865 )       —        —        (1,259,368 )       —        (4,351,233 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing balance, as of December 31, 2019

    $ 1,015,603      $ 522,907      $ 1,561,152      $ 8,974,479      $ 10      $ 12,074,151  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019(d)

    $ 4,533      $ (11,849 )     $ (16,376 )     $ 113,069      $ —      $ 89,377  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

As of August 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (b) 

As August 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (d) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

      Credit
Contracts		      Grand
Total		  

Assets:

      

Opening balance, as of August 31, 2019

    $ —      $ —  

Transfers into Level 3

      —        —  

Transfers out of Level 3

      —        —  

Accrued discounts/premiums

      5,033        5,033  

Net realized gain (loss)

      —        —  

Net change in unrealized

appreciation (depreciation)(a)(b)

      79,301        79,301  

Purchases

      —        —  

Sales

      —        —  
  

 

 

     

 

 

  

Closing balance, as of December 31, 2019

    $ 84,334      $ 84,334  
  

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on derivative financial instruments still held at December 31, 2019(a)

    $ 79,301      $ 79,301  
  

 

 

     

 

 

  

 

  (a) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at December 31, 2019 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

 
  (b) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

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

See notes to financial statements.

 

 

76    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Assets and Liabilities

December 31, 2019

 

     DSU     FRA     BLW  

ASSETS

 

Investments at value — unaffiliated(a)

   $ 879,404,808     $ 742,499,771     $ 817,347,255  

Investments at value — affiliated(b)

     —       —       1,358,645  

Cash

     2,941,945       2,708,544       1,806,397  

Cash pledged:

 

Collateral — reverse repurchase agreements

     —       —       2,088,865  

Collateral — OTC derivatives

     —       —       1,510,000  

Futures contracts

     4,000       —       822,592  

Centrally cleared swaps

     —       —       662,000  

Foreign currency at value(c)

     163,338       1,112,382       1,746,248  

Receivables:

 

Investments sold

     6,974,648       7,853,283       2,303,790  

Dividends — affiliated

     2,038       1,454       5,254  

Dividends — unaffiliated

     —       —       71,038  

Interest — unaffiliated

     3,629,433       1,656,329       7,600,837  

Principal paydowns

     —       —       1,138  

Variation margin on futures contracts

     —       —       163,546  

Variation margin on centrally cleared swaps

     —       —       7,859  

Swap premiums paid

     6,417       —       5,483  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

     —       —       206,960  

OTC swaps

     27,279       —       3,599,560  

Unfunded floating rate loan interests

     167,290       149,328       55,285  

Prepaid expenses

     4,761       3,950       4,625  

Other assets

     8,627       —       —  
 

 

 

    

 

 

    

 

 

  

Total assets

     893,334,584       755,985,041       841,367,377  
 

 

 

    

 

 

    

 

 

  

LIABILITIES

 

Collateral — reverse repurchase agreements

     —       —       59,288  

Options written at value(d)

     —       —       31,530  

Reverse repurchase agreements at value

     —       —       213,399,446  

Payables:

 

Investments purchased

     19,437,842       14,182,317       6,732,113  

Bank borrowings

     262,000,000       214,000,000       —  

Income dividend distributions

     3,513,465       2,829,318       3,515,184  

Interest expense

     539,565       443,528       —  

Investment advisory fees

     778,295       903,911       746,439  

Directors’ and Officer’s fees

     362,698       567       454,404  

Other accrued expenses

     377,462       365,232       417,490  

Principal payups

     981       —       —  

Variation margin on futures contracts

     —       —       40,535  

Swap premiums received

     53,597       —       3,983,283  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

     199,687       146,787       656,435  

OTC swaps

     255,767       —       58,311  

Other Liabilities

     575,071       568,672       205,327  
 

 

 

    

 

 

    

 

 

  

Total liabilities

     288,094,430       233,440,332       230,299,785  
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 605,240,154     $ 522,544,709     $ 611,067,592  
 

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF

 

Paid-in capital(e)(f)(g)

   $ 696,863,455     $ 559,292,295     $ 636,378,755  

Accumulated loss

     (91,623,301 )      (36,747,586 )      (25,311,163 ) 
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 605,240,154     $ 522,544,709     $ 611,067,592  
 

 

 

    

 

 

    

 

 

  

Net asset value

   $ 12.25     $ 14.55     $ 17.05  
 

 

 

    

 

 

    

 

 

  

(a) Investments at cost — unaffiliated

   $ 894,686,263     $ 747,197,205     $ 803,464,912  

(b) Investments at cost — affiliated

   $ —     $ —     $ 1,358,645  

(c) Foreign currency at cost

   $ 161,547     $ 1,099,899     $ 1,714,080  

(d) Premiums received

   $ —     $ —     $ 88,853  

(e) Par value

   $ 0.100     $ 0.100     $ 0.001  

(f)  Shares outstanding

     49,415,828       35,905,051       35,832,657  

(g) Shares authorized

     400 million       200 million       unlimited  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      77  

 

Statements of Operations

 

    DSU            FRA  
     Period from
03/01/19 to
12/31/19		    

Year Ended

February 28, 2019

             Period from
09/01/19 to
12/31/19		    

Year Ended

August 31, 2019

  

INVESTMENT INCOME

           

Dividends — affiliated

   $ 26,680     $ 69,401        $ 8,933     $ 38,562  

Dividends — unaffiliated

     1,021,457       179,730          596,550       1,151,000  

Interest — unaffiliated

     41,995,062       56,515,763          12,292,382       42,149,744  

Other income

     425,226       458,588          177,999       584,116  
 

 

 

    

 

 

       

 

 

    

 

 

  

Total investment income

     43,468,425       57,223,482          13,075,864       43,923,422  
 

 

 

    

 

 

       

 

 

    

 

 

  

EXPENSES

 

Investment advisory

     4,024,649       5,261,589          1,812,237       5,651,988  

Transfer agent

     180,025       203,796          34,994       57,141  

Professional

     136,957       526,206          152,163       193,421  

Accounting services

     108,895       119,191          36,831       111,942  

Directors and Officer

     66,251       68,104          11,187       43,190  

Custodian

     58,062       68,646          12,573       37,942  

Printing

     40,561       48,145          11,512       29,541  

Registration

     15,938       26,680          4,581       14,061  

Offering

     —       —          —       30,883  

Miscellaneous

     89,111       37,989          11,313       28,298  
 

 

 

    

 

 

       

 

 

    

 

 

  

Total expenses excluding interest expense

     4,720,449       6,360,346          2,087,391       6,198,407  

Interest expense

     6,720,598       8,407,818          1,805,975       6,951,555  
 

 

 

    

 

 

       

 

 

    

 

 

  

Total expenses

     11,441,047       14,768,164          3,893,366       13,149,962  

Less fees waived and/or reimbursed by the Manager

     (1,164 )      (2,535 )         (300 )      (1,728 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     11,439,883       14,765,629          3,893,066       13,148,234  
 

 

 

    

 

 

       

 

 

    

 

 

  

Net investment income

     32,028,542       42,457,853          9,182,798       30,775,188  
 

 

 

    

 

 

       

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

     (11,972,717 )      (8,924,179 )         (1,936,801 )      (9,904,223 ) 

Investments — affiliated

     —       —          2,169       27,274  

Capital gain distributions from investment companies — affiliated

     6       (476 )         5       —  

Futures contracts

     (18,675 )      13,627          —       —  

Forward foreign currency exchange contracts

     935,994       1,858,657          (69,658 )      587,067  

Foreign currency transactions

     67,379       264,048          43,804       117,500  

Swaps

     613,541       (575,153 )         —       (610,309 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  
    (10,374,472 )      (7,363,476 )         (1,960,481 )      (9,782,691 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

           

Investments — unaffiliated

     20,685,137       (17,140,243 )         8,142,352       (6,292,224 ) 

Futures contracts

     (1,071 )      (24 )         —       —  

Forward foreign currency exchange contracts

     (352,702 )      (289,954 )         (237,245 )      36,256  

Foreign currency translations

     1,526       32,067          38,939       (130,922 ) 

Swaps

     (763,523 )      421,600          —       —  

Unfunded floating rate loan interests

     167,889       (3,093 )         154,125       (1,585 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  
    19,737,256       (16,979,647 )         8,098,171       (6,388,475 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     9,362,784       (24,343,123 )         6,137,690       (16,171,166 ) 
 

 

 

    

 

 

       

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 41,391,326     $ 18,114,730        $ 15,320,488     $ 14,604,022  
 

 

 

    

 

 

       

 

 

    

 

 

  

See notes to financial statements.

 

 

78    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations  (continued)

 

    BLW  
     Period from
09/01/19 to
12/31/19		     Year Ended
August 31, 2019		  

INVESTMENT INCOME

 

Dividends — affiliated

   $ 29,844     $ 171,752  

Dividends — unaffiliated

     576,101       1,323,406  

Interest — unaffiliated

     13,530,096       43,277,038  

Other income

     66,202       224,044  

Foreign taxes withheld

     —       (12,750 ) 
 

 

 

    

 

 

  

Total investment income

     14,202,243       44,983,490  
 

 

 

    

 

 

  

EXPENSES

 

Investment advisory

     1,490,181       4,443,460  

Professional

     132,651       170,541  

Transfer agent

     44,983       71,995  

Directors and Officer

     39,877       54,293  

Accounting services

     39,561       115,798  

Custodian

     24,132       75,575  

Printing

     12,720       23,989  

Registration

     4,482       13,877  

Miscellaneous

     25,963       95,711  
 

 

 

    

 

 

  

Total expenses excluding interest expense

     1,814,550       5,065,239  

Interest expense

     1,564,054       5,810,660  
 

 

 

    

 

 

  

Total expenses

     3,378,604       10,875,899  

Less fees waived and/or reimbursed by the Manager

     (1,339 )      (5,603 ) 
 

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     3,377,265       10,870,296  
 

 

 

    

 

 

  

Net investment income

     10,824,978       34,113,194  
 

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

     (367,501 )      (9,484,091 ) 

Capital gain distributions from investment companies — affiliated

     4       —  

Futures contracts

     (1,130,349 )      767,291  

Forward foreign currency exchange contracts

     (363,250 )      2,682,747  

Foreign currency transactions

     90,235       (399,761 ) 

Swaps

     60,265       2,360,524  
 

 

 

    

 

 

  
    (1,710,596 )      (4,073,290 ) 
 

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

    

Investments — unaffiliated

     8,355,284       14,278,431  

Futures contracts

     119,639       36,999  

Forward foreign currency exchange contracts

     (785,566 )      (108,409 ) 

Foreign currency translations

     139,182       (54,655 ) 

Options written

     57,323       —  

Swaps

     668,499       235,180  

Unfunded floating rate loan interests

     56,973       (906 ) 
 

 

 

    

 

 

  
    8,611,334       14,386,640  
 

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     6,900,738       10,313,350  
 

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 17,725,716     $ 44,426,544  
 

 

 

    

 

 

  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      79  

 

Statements of Changes in Net Assets

 

    DSU            FRA  
    Period from
03/01/19 to
12/31/19		     Year Ended February 28,             Period from
09/01/19 to
12/31/19		     Year Ended August 31,  
     2019     2018 (a)     2019     2018 (a)  

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

 

           

Net investment income

   $ 32,028,542     $ 42,457,853     $ 46,719,970        $ 9,182,798     $ 30,775,188     $ 29,305,147  

Net realized gain (loss)

     (10,374,472 )      (7,363,476 )      9,864,675          (1,960,481 )      (9,782,691 )      638,332  

Net change in unrealized appreciation (depreciation)

     19,737,256       (16,979,647 )      (14,273,107 )         8,098,171       (6,388,475 )      (3,031,229 ) 
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     41,391,326       18,114,730       42,311,538          15,320,488       14,604,022       26,912,250  
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

           

From net investment income

     (37,103,506 )      (44,243,908 )      (49,464,126 )         (13,875,793 )      (32,025,983 )      (27,514,809 ) 

From return of capital

     (1,264,429 )      —       —          —       —       —  
 

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Decrease in net assets resulting from distributions to shareholders

     (38,367,935 )      (44,243,908 )      (49,464,126 )         (13,875,793 )      (32,025,983 )      (27,514,809 ) 
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

 

           

Redemption of shares resulting from share repurchase program (including transaction costs)

     (39,003,259 )      (74,855,117 )      (31,452,392 )         (5,346,886 )      (11,500,788 )      —  
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

NET ASSETS

 

           

Total increase (decrease) in net assets

     (35,979,868 )      (100,984,295 )      (38,604,980 )         (3,902,191 )      (28,922,749 )      (602,559 ) 

Beginning of period

     641,220,022       742,204,317       780,809,297          526,446,900       555,369,649       555,972,208  
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

End of period

   $ 605,240,154     $ 641,220,022     $ 742,204,317        $ 522,544,709     $ 526,446,900     $ 555,369,649  
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

  

 

(a) 

Consolidated Statements of Changes in Net Assets through November 30, 2017.

(b) 

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

See notes to financial statements.

 

 

80    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets  (continued)

 

    BLW  
    Period from
09/01/19 to
12/31/19		      Year Ended August 31,  
      2019     2018  

INCREASE (DECREASE) IN NET ASSETS

 

  

OPERATIONS

 

  

Net investment income

   $ 10,824,978      $ 34,113,194     $ 34,941,919  

Net realized gain (loss)

     (1,710,596 )       (4,073,290 )      7,252,073  

Net change in unrealized appreciation (depreciation)

     8,611,334        14,386,640       (19,132,912 ) 
 

 

 

     

 

 

    

 

 

  

Net increase in net assets resulting from operations

     17,725,716        44,426,544       23,061,080  
 

 

 

     

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

 

  

Decrease in net assets resulting from distributions to shareholders

     (16,909,431 )       (34,575,364 )      (35,259,837 ) 
 

 

 

     

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

 

  

Redemption of shares resulting from share repurchase program (including transaction costs)

     —        (11,648,172 )      (5,481,140 ) 
 

 

 

     

 

 

    

 

 

  

NET ASSETS

 

  

Total increase (decrease) in net assets

     816,285        (1,796,992 )      (17,679,897 ) 

Beginning of period

     610,251,307        612,048,299       629,728,196  
 

 

 

     

 

 

    

 

 

  

End of period

   $ 611,067,592      $ 610,251,307     $ 612,048,299  
 

 

 

     

 

 

    

 

 

  

 

(a) 

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

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      81  

 

Statements of Cash Flows

 

    DSU           FRA           BLW  
     Period from
03/01/19 to
12/31/19		     Year Ended
February 28, 2019		            Period from
09/01/19 to
12/31/19		     Year Ended
August 31, 2019		            Period from
09/01/19 to
12/31/19		     Year Ended
August 31, 2019		  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

                

Net increase in net assets resulting from operations

   $ 41,391,326     $ 18,114,730       $ 15,320,488     $ 14,604,022       $ 17,725,716     $ 44,426,544  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

                

Proceeds from sales of long-term investments and principal paydowns

     555,950,087       739,881,239         137,412,091       449,031,617         110,732,501       449,365,731  

Purchases of long-term investments

     (505,765,810 )      (602,427,845 )        (139,081,950 )      (406,462,634 )        (126,298,068 )      (399,504,230 ) 

Net proceeds from sales (purchases) of short-term securities

     3,637,675       (3,616,393 )        (19,117 )      155,382         2,233,480       (3,770,137 ) 

Amortization of premium and accretion of discount on investments and other fees

     (390,681 )      (217,775 )        (295,175 )      (386,564 )        340,048       372,746  

Paid-in-kind income

     587,513       (2,235,184 )        —       —         —       —  

Premiums received from options written

     —       —         —       —         88,853       —  

Premiums paid on closing options written

     (4,274 )      4,274         —       —         —       —  

Net realized loss on investments

     11,972,717       9,045,430         1,960,664       9,882,763         376,621       9,484,002  

Net unrealized (appreciation) depreciation on investments, options written, swaps, forward foreign currency exchange contracts, foreign currency translations and unfunded floating rate loan interests

     (19,738,327 )      16,836,939         (8,059,232 )      6,257,553         (8,880,828 )      (15,551,799 ) 

(Increase) Decrease in Assets:

                

Receivables:

                

Dividends — affiliated

     9,352       (10,383 )        1,044       (1,011 )        13,306       (9,055 ) 

Dividends — unaffiliated

     —       —         —       —         (71,038 )      —  

Interest — unaffiliated

     2,597,804       2,880,764         816,712       299,782         527,214       101,721  

Variation margin on futures contracts

     1,112       (1,112 )        —       —         (120,098 )      (16,354 ) 

Variation margin on centrally cleared swaps

     —       —         —       —         (6,887 )      (972 ) 

Swap premiums paid

     17,474       283,004         —       —         (4,424 )      19,832  

Prepaid expenses

     13,958       (3,050 )        2,584       2,463         2,044       3,082  

Deferred offering costs

     —       —         —       30,883         —       —  

Other assets

     4,741       21,586         —       —         —       —  

Increase (Decrease) in Liabilities:

                

Cash received:

                

Collateral — reverse repurchase agreements

     —       —         —       —         —       59,288  

Collateral — OTC derivatives

     —       (440,000 )        —       —         —       (150,000 ) 

Payables:

                

Interest expense

     (149,243 )      85,727         (86,993 )      (35,153 )        20,084       982,760  

Investment advisory fees

     398,859       (77,860 )        438,792       (38,541 )        369,650       (23,117 ) 

Directors’ and Officer’s fees

     34,126       8,879         (6,756 )      (1,216 )        25,702       (618 ) 

Variation margin on futures contracts

     —       (1,359 )        —       —         (2,711 )      (17,893 ) 

Variation margin on centrally cleared swaps

     —       (47,143 )        —       —         —       (114,007 ) 

Other accrued expenses

     (49,783 )      52,803         56,086       (72,636 )        21,427       (44,422 ) 

Swap premiums received

     (9,813 )      60,726         —       —         61,631       (52,099 ) 

Other Liabilities

     575,071       —         568,672       —         205,327       —  
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

Net cash provided by (used for) operating activities

     91,083,884       178,197,997         9,027,910       73,266,710         (2,640,450 )      85,561,003  
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

                

Cash dividends paid to Common Shareholders

     (34,989,396 )      (44,252,264 )        (11,127,442 )      (32,025,792 )        (13,500,091 )      (34,562,280 ) 

Payments on offering costs

     —       —         (4,000 )      —         —       —  

Payments for bank borrowings

     (340,000,000 )      (433,000,000 )        (86,000,000 )      (306,000,000 )        —       —  

Payments on Common Shares redeemed

     (39,003,259 )      (74,855,117 )        (5,346,886 )      (11,500,788 )        —       (11,769,182 ) 

Proceeds from bank borrowings

     324,000,000       373,000,000         96,000,000       277,000,000         —       —  

Net borrowing of reverse repurchase agreements

     —       —         —       —         11,147,609       (33,373,160 ) 
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

Net cash used for financing activities

     (89,992,655 )      (179,107,381 )        (6,478,328 )      (72,526,580 )        (2,352,482 )      (79,704,622 ) 
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

              

Cash impact from foreign exchange fluctuations

   $ (417 )    $ 4,343         $12,666     $ (169 )      $ 130,785     $ (57,073 ) 
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

CASH AND FOREIGN CURRENCY

                

Net increase (decrease) in restricted and unrestricted cash and foreign currency

     1,090,812       (905,041 )        2,562,248       739,961         (4,862,147 )      5,799,308  

Restricted and unrestricted cash and foreign currency at beginning of period

     2,018,471       2,923,512         1,258,678       518,717         13,498,249       7,698,941  
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

Restricted and unrestricted cash and foreign currency at end of period

   $ 3,109,283     $ 2,018,471       $ 3,820,926     $ 1,258,678       $ 8,636,102     $ 13,498,249  
 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

See notes to financial statements.

 

 

82    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows  (continued)

 

    DSU           FRA            BLW  
     Period from
03/01/19 to
12/31/19		      Year Ended
February 28, 2019		            Period from
09/01/19 to
12/31/19		      Year Ended
August 31, 2019		             Period from
09/01/19 to
12/31/19		      Year Ended
August 31, 2019		  

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

                    

Cash paid during the period for interest expense

   $ 6,869,841      $ 8,322,091       $ 1,892,968      $ 6,986,708        $ 1,543,970      $ 4,827,900  
 

 

 

     

 

 

      

 

 

     

 

 

       

 

 

     

 

 

  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

                    

Cash

   $ 2,941,945      $ 1,855,920       $ 2,708,544      $ 1,243,343        $ 1,806,397      $ 988,391  

Cash pledged:

                    

Collateral — reverse repurchase agreements

     —        —         —        —          2,088,865        —  

Collateral — OTC derivatives

     —        —         —        —          1,510,000        1,930,000  

Futures contracts

     4,000        11,000         —        —          822,592        342,300  

Centrally cleared swaps

     —        —         —        —          662,000        689,000  

Foreign currency at value

     163,338        151,551         1,112,382        15,335          1,746,248        9,548,558  
 

 

 

     

 

 

      

 

 

     

 

 

       

 

 

     

 

 

  
  $ 3,109,283      $ 2,018,471       $ 3,820,926      $ 1,258,678        $ 8,636,102      $ 13,498,249  
 

 

 

     

 

 

      

 

 

     

 

 

       

 

 

     

 

 

  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

                    

Cash

   $ 1,855,920      $ 1,208,459       $ 1,243,343      $ 508,498        $ 988,391      $ 172,706  

Cash pledged:

                    

Collateral — reverse repurchase agreements

     —        —         —        —          —        908,000  

Collateral — OTC derivatives

     —        —         —        —          1,930,000        3,540,000  

Futures contracts

     11,000        10,000         —        —          342,300        497,859  

Centrally cleared swaps

     —        1,602,000         —        —          689,000        1,017,170  

Foreign currency at value

     151,551        103,053         15,335        10,219          9,548,558        1,563,206  
 

 

 

     

 

 

      

 

 

     

 

 

       

 

 

     

 

 

  
  $ 2,018,471      $ 2,923,512       $ 1,258,678      $ 518,717        $ 13,498,249      $ 7,698,941  
 

 

 

     

 

 

      

 

 

     

 

 

       

 

 

     

 

 

  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      83  

Financial Highlights

(For a share outstanding throughout each period)

 

    DSU  
    Period from
03/01/19 to
12/31/19		           Year Ended February 28,     

Year Ended

February 29, 2016 (a)(b)

     

Year Ended

February 28, 2015 (a)(b)

  
    2019      2018 (a)     2017 (a)  
               

Net asset value, beginning of period

   $ 12.16       $ 12.62      $ 12.70     $ 11.38      $ 12.87      $ 13.32  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income(c)

     0.64         0.79        0.78       0.73        0.77        0.87  

Net realized and unrealized gain (loss)

     0.21         (0.43 )       (0.04 )      1.34        (1.46 )       (0.43 ) 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net increase (decrease) from investment operations

     0.85         0.36        0.74       2.07        (0.69 )       0.44  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Distributions to Shareholders(d)

                 

From net investment income

     (0.73 )        (0.82 )       (0.82 )      (0.75 )       (0.80 )       (0.89 ) 

From return of capital

     (0.03 )        —        —       —        —        —  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions

     (0.76 )        (0.82 )       (0.82 )      (0.75 )       (0.80 )       (0.89 ) 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 12.25       $ 12.16      $ 12.62     $ 12.70      $ 11.38      $ 12.87  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Market price, end of period

   $ 11.20       $ 10.78      $ 11.47     $ 11.68      $ 9.96      $ 11.43  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total Return(e)

 

Based on net asset value

     8.03 %(f)        3.86 %       6.60 %(g)      19.57 %       (4.73 )%       4.15 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Based on market price

     11.42 %(f)        1.30 %       5.35 %      25.53 %       (6.03 )%       0.66 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(h)

 

Total expenses

     2.21 %(i)(j)        2.23 %       1.86 %      1.36 %       1.18 %       1.24 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     2.21 %(i)(j)        2.23 %       1.85 %      1.35 %       1.18 %       1.24 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.92 %(i)        0.96 %       0.94 %      0.87 %       0.84 %       0.89 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Net investment income

     6.25 %(i)        6.40 %       6.12 %      6.04 %       6.29 %       6.68 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Supplemental Data

 

Net assets, end of period (000)

   $ 605,240       $ 641,220      $ 742,204     $ 780,810      $ 709,236      $ 801,887  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Borrowings outstanding, end of period (000)

   $ 262,000       $ 278,000      $ 338,000     $ 318,000      $ 190,000      $ 295,000  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Asset coverage, end of period per $1,000 of bank borrowings

   $ 3,310       $ 3,308      $ 3,196     $ 3,455      $ 4,733      $ 3,719  
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     53 %        62 %       59 %      55 %       41 %       54 % 
 

 

 

      

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

(a) 

Consolidated Financial Highlights through November 30, 2017.

(b) 

Per share operating performance amounts have been adjusted to reflect a one-for-three reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016.

(c) 

Based on average shares outstanding.

(d) 

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

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes payment received from an affiliate, which had no impact on the Fund’s total return.

(h) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Period from
03/01/19 to
12/31/19		           Year Ended August 31,     

Year Ended

February 29, 2016

      Year Ended
February 28,
2015		  
    2019      2018      2017  

Investments in underlying funds

     0.03 %              — %       — %       0.02 %       0.01 %       — % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(i) 

Annualized.

(j) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

 

 

84    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    FRA  
    Period from
09/01/19 to
12/31/19		           Year Ended August 31,  
    2019      2018 (a)      2017 (a)      2016 (a)      2015 (a)  
               

Net asset value, beginning of period

   $ 14.49       $ 14.92      $ 14.93      $ 14.78      $ 14.91      $ 15.38  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income(b)

     0.25         0.84        0.79        0.76        0.76        0.81  

Net realized and unrealized gain (loss)

     0.19         (0.40 )       (0.06 )       0.20        (0.14 )       (0.47 ) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net increase from investment operations

     0.44         0.44        0.73        0.96        0.62        0.34  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

     (0.38 )        (0.87 )       (0.74 )       (0.81 )       (0.75 )       (0.81 ) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 14.55       $ 14.49      $ 14.92      $ 14.93      $ 14.78      $ 14.91 (d) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Market price, end of period

   $ 13.44       $ 12.46      $ 13.80      $ 14.10      $ 13.70      $ 12.94  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return(e)

                  

Based on net asset value

     3.41 %(f)        3.94 %       5.28 %       6.93 %       5.00 %       2.88 %(d) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Based on market price

     11.08 %(f)        (3.37 )%       3.11 %       8.95 %       12.14 %       (3.71 )% 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(g)

                  

Total expenses

     2.20 %(h)(i)        2.45 %       2.23 %       1.88 %       1.54 %       1.56 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     2.20 %(h)(i)        2.45 %       2.22 %       1.88 %       1.54 %       1.56 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     1.19 %(h)        1.16 %       1.20 %       1.21 %       1.14 %       1.19 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

     5.26 %(h)        5.74 %       5.27 %       5.08 %       5.27 %       5.39 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Supplemental Data

                  

Net assets, end of period (000)

   $ 522,545       $ 526,447      $ 555,370      $ 555,972      $ 550,271      $ 555,104  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Borrowings outstanding, end of period (000)

   $ 214,000       $ 204,000      $ 233,000      $ 237,000      $ 225,000      $ 196,000  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Asset coverage, end of period per $1,000 of bank borrowings

   $ 3,442       $ 3,582      $ 3,385      $ 3,346      $ 3,446      $ 3,832  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     16 %        53 %       57 %       64 %       48 %       43 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Consolidated Financial Highlights through November 30, 2017.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

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

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Period from
09/01/19 to
12/31/19		           Year Ended August 31,  
    2019      2018      2017      2016      2015  

Investments in underlying funds 0.04%

     0.04 %              0.03 %       0.01 %       — %       — %       — % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(h) 

Annualized.

(i) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      85  

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BLW  
    Period from
09/01/19 to
12/31/19		           Year Ended August 31,  
          2019      2018      2017      2016      2015 (a)  
               

Net asset value, beginning of period

   $ 17.03       $ 16.71      $ 17.02      $ 16.84      $ 17.04      $ 18.09  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income(b)

     0.31         0.94        0.95        1.01        1.32        1.16  

Net realized and unrealized gain (loss)

     0.18         0.33        (0.31 )       0.44        (0.22 )       (0.92 ) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net increase from investment operations

     0.49         1.27        0.64        1.45        1.10        0.24  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions from net investment income(c)

     (0.47 )        (0.95 )       (0.95 )       (1.27 )       (1.30 )       (1.29 ) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net asset value, end of period

   $ 17.05       $ 17.03      $ 16.71      $ 17.02      $ 16.84      $ 17.04 (d) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Market price, end of period

   $ 16.39       $ 15.44      $ 15.06      $ 15.99      $ 15.74      $ 14.60  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return(e)

                  

Based on net asset value

     3.11 %(f)        8.77 %       4.42 %       9.62 %       7.78 %       2.23 %(d) 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Based on market price

     9.32 %(f)        9.41 %       0.18 %       10.18 %       17.59 %       (5.74 )% 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Ratios to Average Net Assets(g)

                  

Total expenses

     1.64 %(h)(i)        1.81 %       1.73 %       1.45 %       1.21 %       1.15 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed

     1.64 %(h)(i)        1.81 %       1.73 %       1.45 %       1.21 %       1.15 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.89 %(h)        0.84 %       0.89 %       0.89 %       0.89 %       0.92 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income

     5.32 %(h)        5.69 %       5.60 %       6.00 %       8.04 %       6.65 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Supplemental Data

                  

Net assets, end of period (000)

   $ 611,068       $ 610,251      $ 612,048      $ 629,728      $ 623,219      $ 630,388  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Borrowings outstanding, end of period (000)

   $ 213,399       $ 202,539      $ 234,622      $ 252,280      $ 263,445      $ 264,036  
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Portfolio turnover rate

     14 %        50 %       50 %       55 %       54 %       47 % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) 

Consolidated Financial Highlights.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

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

(e) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Period from
09/01/19 to
12/31/19		           Year Ended August 31,  
    2019      2018      2017      2016      2015  

Investments in underlying funds

     0.02 %              0.02 %       — %       — %       — %       — % 
 

 

 

      

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(h) 

Annualized.

(i) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.

See notes to financial statements.

 

 

86    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Debt Strategies Fund, Inc.

   DSU    Maryland    Diversified

BlackRock Floating Rate Income Strategies Fund, Inc.

   FRA    Maryland    Diversified

BlackRock Limited Duration Income Trust

   BLW    Delaware    Diversified

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

On September 5, 2019, the Board approved a change in the fiscal year-end of DSU, FRA and BLW, effective as of December 31 from February 28 for DSU and from August 31 for FRA and BLW to December 31.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

Basis of Consolidation: The accompanying consolidated financial statements of DSU and FRA include the account of DSU Subsidiary, LLC (the “Taxable Subsidiary”) and FRA Subsidiary, LLC (the “Taxable Subsidiary”). As of period end, the Taxable Subsidiary, which was wholly-owned by DSU and FRA, was dissolved. The Taxable Subsidiary enabled DSU and FRA to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary were taxable to such subsidiary. There was no tax provision required for income or realized gains during the period.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

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

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Funds are recorded on the ex-dividend date. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. See Note 8, Income Tax Information, for the tax character of each Fund’s distributions paid during the period.

 

 

NOTES TO FINANCIAL STATEMENTS      87  

Notes to Financial Statements  (continued)

 

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board, the Directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

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

Recent Accounting Standards: The Funds have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended December 31, 2019. The adjusted cost basis of securities at February 28, 2019 for DSU and August 31, 2019 for FRA and BLW are as follows:

 

DSU

   $ 981,862,236  

FRA

     766,424,756  

BLW

     798,906,816  

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of the Funds.

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

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

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

  •  

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

  •  

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

  •  

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

  •  

Futures contracts traded on exchanges are valued at their last sale price.

 

  •  

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

88    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

  •  

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

  •  

Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

  

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii) recapitalizations and other transactions across the capital structure; and

(iii)   market multiples of comparable issuers.

Income approach

  

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii) quoted prices for similar investments or assets in active markets; and

(iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

  

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)   relevant news and other public sources; and

(iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

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

 

  •  

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

 

  •  

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

 

  •  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and

 

 

NOTES TO FINANCIAL STATEMENTS      89  

Notes to Financial Statements  (continued)

 

derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2019, certain investments of BLW were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

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

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

 

 

90    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, certain funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the funds had the following unfunded floating rate loan interests:

 

Fund Name   Borrower    Par     

Commitment

Amount

      Value      Unrealized
Appreciation/
(Depreciation)		  

DSU

   BCPE Empire Holdings, Inc.    $ 209,732      $ 209,732      $ 210,126      $ 394  
  Bleriot US Bidco Inc.      204,156        202,114        205,942        3,828  
  Connect Finco Sarl      6,589,665        6,466,292        6,616,419        150,127  
  McDermott Technology Americas Inc      478,224        476,887        487,310        10,423  
  MED ParentCo LP      298,335        295,351        297,869        2,518  

FRA

   BCPE Empire Holdings, Inc.      183,126        183,126        183,470        344  
  Bleriot US Bidco Inc.      177,286        175,514        178,838        3,324  
  Connect Finco Sarl      5,732,045        5,620,958        5,755,317        134,359  
  McDermott Technology Americas Inc      418,903        417,755        426,862        9,107  
    MED ParentCo LP      259,962        257,362        259,556        2,194  

 

 

NOTES TO FINANCIAL STATEMENTS      91  

Notes to Financial Statements  (continued)

 

Fund Name   Borrower    Par     

Commitment

Amount

      Value      Unrealized
Appreciation/
(Depreciation)		  

BLW

   BCPE Empire Holdings, Inc.    $ 64,320      $ 64,320      $ 64,441      $ 121  
  Bleriot US Bidco Inc.      61,926        61,307        62,468        1,161  
  Connect Finco Sarl      2,137,252        2,096,279        2,145,929        49,650  
  McDermott Technology Americas Inc      161,692        161,169        164,764        3,595  
    MED ParentCo LP      89,717        88,819        89,577        758  

Forward Commitments, When-Issued and Delayed Delivery Securities: Certain funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the period ended December 31, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $204,014,862 and 2.29%, respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

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

 

Counterparty   Reverse Repurchase
Agreements		      Fair Value of
Non-cash Collateral
Pledged Including
Accrued Interest (a)		     Cash Collateral
Pledged/Received		      Net
Amount (b)		  

Barclays Capital, Inc.

   $ 46,755,864      $ (46,755,864 )    $  —      $ —  

BNP Paribas S.A.

     64,013,091        (64,013,091 )      —        —  

Cantor Fitzgerald & Co.

     7,384,512        (7,384,512 )      —        —  

Citigroup Global Markets, Inc.

     13,649,839        (13,649,839 )      —        —  

Credit Suisse Securities (USA) LLC

     604,029        (604,029 )      —        —  

Goldman Sachs & Co LLC

     5,974,034        (5,974,034 )      —        —  

HSBC Securities (USA), Inc.

     16,618,325        (16,492,721 )      —        125,604  

J.P. Morgan Securities LLC

     2,176,490        (2,176,490 )      —        —  

RBC Capital Markets, LLC

     49,637,845        (49,637,845 )      —        —  

UBS Ltd.

     6,585,417        (6,585,417 )      —        —  
 

 

 

     

 

 

    

 

 

     

 

 

  
  $ 213,399,446      $ (213,273,842 )    $ —      $ 125,604  
 

 

 

     

 

 

    

 

 

     

 

 

  

 

  (a) 

Net collateral, including accrued interest, with a value of $241,943,885 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

 

 

92    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

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

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

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

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

  •  

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

  •  

Foreign currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

 

 

NOTES TO FINANCIAL STATEMENTS      93  

Notes to Financial Statements  (continued)

 

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

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

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

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

  •  

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

  •  

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

 

  •  

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

  •  

Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The

 

 

94    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

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

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:

 

     DSU      FRA  

Investment advisory fees

     0.55 %       0.75 % 

For purposes of calculating these fees, “net assets” means the total assets of each Fund minus the sum of its accrued liabilities.

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

With respect to DSU and BLW, effective November 21, 2019, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) an affiliate of the Manager. With respect to BLW, effective November 21, 2019, the Manager also entered into a separate sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”) an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BRS for services they provide for that portion of each Fund for which BIL and, with respect to BLW, BRS acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

Distribution Fees: FRA had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of December 31, 2019, FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the Distribution Agreement, FRA compensated BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission was re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2019 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2021. Prior to December 1, 2019, this waiver and/or reimbursement was voluntary. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the period ended December 31, 2019, the amounts waived were as follows:

 

     DSU      FRA      BLW  
     Period from
03/01/19
to 12/31/19		      Year Ended
02/28/19		      Period from
09/01/19
to 12/31/19		      Year Ended
08/31/19		      Period from
09/01/19
to 12/31/19		      Year Ended
08/31/19		  

Amounts waived

   $ 965      $ 2,535      $ 300      $ 1,255      $ 1,339      $ 5,603  

 

 

NOTES TO FINANCIAL STATEMENTS      95  

Notes to Financial Statements  (continued)

 

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2021. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The amounts waived were as follows:

 

     DSU      FRA  
     Period from
03/01/19
to 12/31/19		      Year Ended
02/28/19		      Period from
09/01/19
to 12/31/19		      Year Ended
08/31/19		  

Amounts waived

   $ 199      $ —      $ —      $ 473  

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

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the period ended December 31, 2019, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain  

DSU

   $ 1,559,119      $ —      $ —  

 

7.

PURCHASES AND SALES

For the periods ended December 31, 2019, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

     DSU      FRA      BLW  

Purchases

   $ 474,695,498      $ 117,287,363      $ 119,582,282  

Sales

     546,322,006        134,968,500        110,811,608  

 

8.

INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on FRA, BLW and DSU’s U.S. federal tax returns generally remains open, for FRA and BLW, each of the four years ended August 31, 2019 and period ended December 31, 2019 and for DSU, each of the four years ended February 28, 2019 and period ended December 31, 2019. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

The tax character of distributions paid was as follows:

 

             DSU      FRA      BLW  

Ordinary income

     12/31/2019      $ 37,103,506      $ 13,875,793      $ 16,909,431  
    8/31/2019        —        32,025,983        34,575,364  
    2/28/2019        44,243,908        —        —  
    8/31/2018        —        27,514,809        35,259,837  
    2/28/2018        49,464,126        —        —  

Return of Capital

     12/31/2019        1,264,429        —        —  
    8/31/2019        —        —        —  
    2/28/2019        —        —        —  
    8/31/2018        —        —        —  
    2/28/2018        —        —        —  
    

 

 

     

 

 

     

 

 

  
    12/31/2019      $ 38,367,935      $ 13,875,793      $ 16,909,431  
    

 

 

     

 

 

     

 

 

  
    8/31/2019      $ —      $ 32,025,983      $ 34,575,364  
    

 

 

     

 

 

     

 

 

  
    2/28/2019      $ 44,243,908      $ —      $ —  
    

 

 

     

 

 

     

 

 

  
    8/31/2018      $ —      $ 27,514,809      $ 35,259,837  
    

 

 

     

 

 

     

 

 

  
    2/28/2018      $ 49,464,126      $ —      $ —  
    

 

 

     

 

 

     

 

 

  

 

 

96    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

As of period end the tax components of accumulated loss were as follows:

 

     DSU     FRA     BLW  

Non-expiring Capital loss carryforwards(a)

   $ (71,050,350 )    $ (29,632,724 )    $ (38,457,929 ) 

Net unrealized gains (losses)(b)

     (19,831,822 )      (6,996,788 )      13,146,766  

Qualified late-year losses(c)

     (741,129 )      (118,076 )      —  
 

 

 

    

 

 

    

 

 

  
  $ (91,623,301 )    $ (36,747,588 )    $ (25,311,163 ) 
 

 

 

    

 

 

    

 

 

  
  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the classification of investments, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the timing of distributions, amortization methods for premiums on fixed income securities, the accounting for swap agreements and the deferral of compensation to directors.

 
  (c) 

The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

 

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     DSU     FRA     BLW  

Tax cost

   $ 895,095,317     $ 747,470,163     $ 805,517,520  
 

 

 

    

 

 

    

 

 

  

Gross unrealized appreciation

   $ 13,807,907     $ 5,590,122     $ 31,399,414  

Gross unrealized depreciation

     (29,671,478 )      (10,560,514 )      (15,276,491 ) 
 

 

 

    

 

 

    

 

 

  

Net unrealized appreciation (depreciation)

   $ (15,863,571 )    $ (4,970,392 )    $ 16,122,923  
 

 

 

    

 

 

    

 

 

  

 

9.

BANK BORROWINGS

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

The SSB Agreement allows for the following maximum commitment amounts:

 

    

Commitment

Amounts

  

DSU

   $ 340,000,000  

FRA

     274,000,000  

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the period ended December 31, 2019, the average amount of bank borrowings and the daily weighted average interest rates for DSU and FRA for loans under the revolving credit agreements were as follows:

 

    

Average

Amount
Outstanding

     

Daily

Weighted

Average

Interest Rate

  

DSU

   $ 264,316,994        3.03 % 

FRA

     202,762,295        2.66  

 

10.

PRINCIPAL RISKS

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

 

 

NOTES TO FINANCIAL STATEMENTS      97  

Notes to Financial Statements  (continued)

 

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

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

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid than, and have more volatile prices than, higher quality securities.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

 

 

98    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

11.

CAPITAL SHARE TRANSACTIONS

DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s and BLW’s shares is $0.10, $0.10 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Open Market Share Repurchase Program: Each Fund participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2018 through November 30, 2019, each Fund was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in the Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     DSU      FRA      BLW  
     Shares      Amount      Shares      Amount      Shares      Amount  

Period Ended December 31, 2019

     686,397      $ 7,398,251        420,202      $ 5,346,886        —      $ —  

Year Ended August 31, 2019

     —        —        907,235        11,500,788        803,959        11,648,172  

Year Ended August 31, 2018

     —        —        —        —        367,238        5,481,140  

Year Ended February 28, 2019

     173,552        1,913,158        —        —        —        —  

Year Ended February 28, 2018

     2,707,359        31,452,392        —        —        —        —  

Discount Management Program: DSU’s three-year discount management program (the “Program”) is expected to end in 2020. Under the Program, the Fund intends to offer to repurchase its common shares based on three 3-month measurement periods if the Fund’s common shares trade at an average daily discount to net asset value (“NAV”) of more than 7.5% during a measurement period (the “discount trigger”). There is no guarantee that shareholders will be able to sell all of the shares that they desire to sell in any particular repurchase that is executed.

The discount trigger was met for the first measurement period, which began on December 1, 2017 and ended on February 28, 2018. As a result, the Fund conducted a tender offer for 10% of its outstanding shares of common stock. The tender offer expired on April 17, 2018 and the number of shares tendered was 26,225,806 (45% of the Fund’s then outstanding shares). The Fund purchased 5,879,192 common shares (10% of the Fund’s then outstanding shares) on a pro rata basis at a purchase price of $12.4068 per share, for a total amount of $72,941,959.

The discount trigger was met for the second measurement period, which began on December 1, 2018 and ended on February 28, 2019. As a result, the Fund conducted a tender offer for 5% of its outstanding shares of common stock. The tender offer expired on April 15, 2019 and the number of shares tendered was 21,792,955 (41% of the Fund’s then outstanding shares). The Fund purchased 2,636,959 common shares (5% of the Fund’s then outstanding shares) on a pro rata basis at a purchase price of $11.9854 per share, for a total amount of $31,605,008.

The results of the third measurement period, and any action approved by the Board as a result, will be announced promptly after the end of the measurement period. There is no guarantee that shareholders will be able to sell all of the shares that they desire to sell in any particular repurchase that is executed.

 

12.

SUBSEQUENT EVENTS

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

 

     Common Dividend Per Share  
     Paid (a)        Declared (b)  

DSU

   $ 0.0711          $0.0711  

FRA

     0.0788          0.0788  

BLW

     0.0981          0.0981  

 

  (a) 

Net investment income dividend paid on January 9, 2020 to shareholders of record on December 31, 2019.

 
  (b) 

Net investment income dividend declared on February 3, 2020, payable to shareholders of record on February 14, 2020.

 

 

 

NOTES TO FINANCIAL STATEMENTS      99  

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees/Directors of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2019, and the related statements of operations, cash flows, changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, and the results of their operations, their cash flows, changes in their net assets and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

 

Fund   Statements of Operations and Statements
of Cash Flows		   Statements of Changes in Net Assets   Financial Highlights

BlackRock Debt Strategies Fund, Inc.

   For the period from March 1, 2019 through December 31, 2019 and for the year ended February 28, 2019   For the period from March 1, 2019 through December 31, 2019 and for each of the two years in the period ended February 28, 2019. The presented statements of changes in net assets were consolidated through November 30, 2017.   For the period from March 1, 2019 through December 31, 2019 and for each of the five years in the period ended February 28, 2019. The presented financial highlights were consolidated through November 30, 2017.

BlackRock Floating Rate Income Strategies Fund, Inc.

  

For the period from September 1, 2019 through December 31, 2019 and for the year ended August 31, 2019

  

For the period from September 1, 2019 through December 31, 2019 and for each of the two years in the period ended August 31, 2019. The presented statements of changes in net assets were consolidated through November 30, 2017.

  

For the period from September 1, 2019 through December 31, 2019 and for each of the five years in the period ended August 31, 2019. The presented financial highlights were consolidated through November 30, 2017.

BlackRock Limited Duration Income Trust

  

For the period from September 1, 2019 through December 31, 2019 and for the year ended August 31, 2019

  

For the period from September 1, 2019 through December 31, 2019 and for each of the two years in the period ended August 31, 2019

  

For the period from September 1, 2019 through December 31, 2019 and for each of the five years in the period ended August 31, 2019

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 25, 2020

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

100    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Important Tax Information  (unaudited)

 

During the period ended December 31, 2019, the following information is provided with respect to the ordinary income distributions paid:

 

     Payable Dates    DSU      FRA      BLW  

Qualified Dividend Income for Individuals(a)

   March 2019      1.13 %       — %       — % 
  April — December 2019      1.12        —        —  
  September 2019      —        —        8.88  
  October 2019      —        —        10.18  
  November 2019 — January 2020      —        —        10.93  

Dividends Qualifying for the Dividends Received Deduction for Corporations(a)

   March — December 2019      0.66        —        —  
  September 2019 — January 2020      —        —        7.15  

Interest-Related Dividends for Non-U.S. Residents(b)

   March 2019      82.10        —        —  
  April — December 2019      74.01        —        —  
  September 2019      —        74.13        57.22  
  October 2019      —        74.65        64.88  
  November 2019 — January 2020      —        74.72        69.33  

Federal Obligation Interest(c)

   September 2019 — January 2020      —        —        1.02  

 

  (a) 

The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

 
  (b) 

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 
  (c) 

The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

 

 

 

TAX INFORMATION      101  

Disclosure of Sub-Advisory Agreement    BlackRock Debt Strategies Fund, Inc.

 

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Debt Strategies Fund, Inc. (the “Fund”), met in person on November 14-15, 2019 (the “November Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Fund, BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.

On the date of the November Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.

At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s semi-annual shareholder report for the fiscal period ended August 31, 2019. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.

Following discussion, all the Board Members present at the November Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement among the Fund, the Manager and BlackRock International Limited for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

 

102    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Sub-Advisory Agreements    BlackRock Limited Duration Income Trust

 

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Limited Duration Income Trust (the “Fund”), met in person on November 14-15, 2019 (the “November Meeting”) to consider the initial approval of the sub-advisory agreements (the “Sub-Advisory Agreements”) among the Fund, BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, (a) BlackRock International Limited and (b) BlackRock (Singapore) Limited. The Sub-Advisory Agreements were substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.

On the date of the November Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreements.

At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreements. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s annual shareholder report for the fiscal year ended August 31, 2019. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreements were substantially the same as the factors considered at the May and June Meetings.

Following discussion, all the Board Members present at the November Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreements among the Fund, the Manager, (a) BlackRock International Limited and (b) BlackRock (Singapore) Limited for a two-year term beginning on the effective date of the Sub-Advisory Agreements. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

 

DISCLOSURE OF SUB-ADVISORY AGREEMENTS      103  

Automatic Dividend Reinvestment Plan

 

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at computershare.com/blackrock, or in writing to Computershare, P. O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

104    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Director and Officer Information

 

Independent Directors (a)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

Richard E. Cavanagh

1946

    Co-Chair of the Board and Director
(Since 2007)		    Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    86 RICs consisting of 110 Portfolios    None

Karen P. Robards

1950

    Co-Chair of the Board and Director
(Since 2007)		    Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.    86 RICs consisting of 110 Portfolios    Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

    Director
(Since 2011)		    Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.    86 RICs consisting of 110 Portfolios    None

Cynthia L. Egan

1955

    Director
(Since 2016)		    Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    86 RICs consisting of 110 Portfolios    Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi (d)

1948

   

Director
(Since 2007)

    Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011.    87 RICs consisting of 111 Portfolios    None

Henry Gabbay

1947

    Director
(Since 2019)		    Board Member, BlackRock Equity-Bond Board from 2007 to 2018; Board Member, BlackRock Equity-Liquidity and BlackRock Closed-End Fund Boards from 2007 through 2014; Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.    86 RICs consisting of 110 Portfolios    None

 

 

DIRECTOR AND OFFICER INFORMATION      105  

Director and Officer Information  (continued)

 

Independent Directors (a) (continued)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

R. Glenn Hubbard

1958

    Director
(Since 2007)		    Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.    86 RICs consisting of 110 Portfolios    ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014

W. Carl Kester (d)

1951

    Director
(Since 2007)		    George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    87 RICs consisting of 111 Portfolios    None

Catherine A. Lynch (d)

1961

    Director
(Since 2016)		    Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    87 RICs consisting of 111 Portfolios    None
Interested Directors (e)
         
Name
Year of Birth (b)		    Position(s) Held
(Length of Service) (c)		    Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen (d)		    Public Company and Other
Investment Company
Directorships Held During
Past Five Years

Robert Fairbairn

1965

    Director
(Since 2018)		    Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.    123 RICs consisting of 287 Portfolios    None

John M. Perlowski (d)

1964

    Director
(Since 2015);
President and Chief Executive Officer
(Since 2010)		    Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    124 RICs consisting of 288 Portfolios    None

(a) The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

(c) Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Mr. Gabbay became a member of the boards of the open-end funds in the BlackRock Fixed-Income Complex in 2007.

(d) Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund.

(e) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

 

 

106    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Director and Officer Information  (continued)

 

Officers Who Are Not Directors (a)
     
Name
Year of Birth (b)		    Position(s) Held
(Length of Service)		    Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

    Vice President
(Since 2015)		    Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.

Neal J. Andrews

1966

    Chief Financial Officer
(Since 2007)		    Chief Financial Officer of the iShares® exchange traded funds since 2019; Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife

1970

    Treasurer
(Since 2007)		    Managing Director of BlackRock, Inc. since 2007.

Charles Park

1967

    Chief Compliance Officer (Since 2014)    Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

    Secretary
(Since 2012)		    Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) Officers of the Fund serve at the pleasure of the Board.

 

Effective February 19, 2020, Henry Gabbay resigned as a Director of the Fund.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisers

BlackRock International Limited(a)

Edinburgh EH3 8BL

United Kingdom

BlackRock (Singapore) Limited(b)

079912 Singapore

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

 

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For DSU and BLW only.

(b) 

For BLW only.

 

 

 

DIRECTOR AND OFFICER INFORMATION      107  

Additional Information

 

Fund Certification

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

Dividend Policy

Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.

The distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of the Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fud’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.

General Information

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

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

In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

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

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

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

Householding

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

 

 

108    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Additional Information  (continued)

 

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at sec.gov. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at sec.gov.

Availability of Fund Updates

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

BlackRock Privacy Principles

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

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

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

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

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

 

 

ADDITIONAL INFORMATION      109  

Glossary of Terms Used in this Report

 

Currency
AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
EGP    Egyptian Pound
EUR    Euro
GBP    British Pound
MXN    Mexican Peso
NGN    Nigerian Naira
NOK    Norwegian Krono
NZD    New Zealand Dollar
USD    U.S. Dollar

 

Portfolio Abbreviations
ABS    Asset-Backed Security
CLO    Collateralized Loan Obligation
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FNMA    Federal National Mortgage Association
LIBOR    London Interbank Offered Rate
PIK    Payment-In-Kind

PRIME

   

U.S. Prime Rate

S&P    Standard & Poor’s
 

 

 

110    2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Want to know more?

blackrock.com    |    877-275-1255 (1-877-ASK-1BLK)

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

CEFT-BK3-12/19-AR

 

 

LOGO    LOGO

Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

Henry Gabbay

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

         
      (a) Audit Fees    (b) Audit-Related  Fees1    (c) Tax Fees2, 4    (d) All Other Fees
Entity Name   

Current  
Fiscal Year   
End

12/31/193

   

Previous  
Fiscal Year   
End

2/28/19

   

Current  
Fiscal Year   
End

12/31/193

   

Previous  
Fiscal Year   
End

2/28/19

   

Current  
Fiscal Year   
End

12/31/193

   

Previous  
Fiscal Year   
End

2/28/19

   

Current  
Fiscal Year   
End

12/31/193

   

Previous  
Fiscal Year   
End

2/28/19

BlackRock Debt Strategies Fund, Inc.    $83,752    $98,532    $0    $0    $7,700    $15,400    $0    $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

           Current Fiscal Year End 12/31/19               Previous Fiscal Year End  2/28/19      

(b) Audit-Related Fees1

   $0   $0

(c) Tax Fees2, 5

   $0   $0

(d) All Other Fees4

   $2,050,500   $2,050,500

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

4 Non-audit fees of $2,050,500 and $2,050,500 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

5 Includes fees for the Fund and the Fund’s subsidiary.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

        The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

3

        Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

                              

    Entity Name     Current Fiscal     
Year End
12/31/191		  

  Previous Fiscal     

Year End

2/28/19

                                                                         
  

BlackRock Debt Strategies Fund, Inc.

   $7,700   $15,400

1 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal

Year End1

        Previous Fiscal    
Year End

$2,050,500

    $2,050,500

1 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

4

Item 5 – Audit Committee of Listed Registrants

 

  (a)

The following individuals are members of the registrant’s separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

Henry Gabbay

Catherine A. Lynch

Karen P. Robards

 

  (b)

Not Applicable

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

5

Item 8 – Portfolio Managers of Closed-End Management Investment Companies –

(a)(1) As of the date of filing this Report:

The Fund is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock and David Delbos, Managing Director at BlackRock. Messrs. Keenan, Garfin, and Delbos are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Keenan, Garfin and Delbos have been a members of the Fund’s portfolio management team since 2009, 2016 and 2018, respectively.

 

  Portfolio Manager    Biography
  James E. Keenan    Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.
  Mitchell Garfin    Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008.
  David Delbos    Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006.

(a)(2) As of December 31, 2019:

 

    

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

      Investment      

Companies

  

      Other Pooled      

Investment

Vehicles

  

Other

      Accounts      

  

Other

Registered

      Investment      

Companies

  

      Other Pooled      

Investment

Vehicles

  

Other

      Accounts      

James E. Keenan

   19    31    15    0    10    13 
    $31.52 Billion    $15.26 Billion    $7.21 Billion    $0    $8.78 Billion    $7.16 Billion 

Mitchell Garfin

   20    19    30    0    3    30 
    $33.61 Billion    $12.57 Billion    $12.37 Billion    $0    $6.31    $12.37 Billion 

David Delbos

   20   12   30   0    3    29 
    $30.58 Billion    $12.25 Billion    $12.29 Billion    $0    $6.31    $12.27 Billion 

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities

 

6

whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Keenan, Garfin, and Delbos may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, Garfin, and Delbos may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3)   As of December 31, 2019:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2019.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s

 

7

performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Fund and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: a combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company

 

8

retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($280,000 for 2019). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2019.

 

Portfolio Manager    Dollar Range of Equity Securities of the Fund Beneficially Owned
James Keenan    $500,001 - $1,000,000  
Mitchell Garfin    $100,001 - $500,000  
David Delbos    $500,001 - $1,000,000  

(b) Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period    (a) Total
Number of    
Shares
Purchased1		    (b) Average
Price Paid per  
Share		    (c) Total Number of
Shares Purchased as Part    
of Publicly Announced
Plans or Programs1		    (d) Maximum Number of
Shares that May Yet Be
Purchased Under the Plans    
or Programs1

September 1-30, 2019

    101,906    $10.8003    101,906    2,130,409

October 1-31, 2019

    179,847    $10.7175    179,847    1,950,562

November 1-30, 2019

    0    $0    0    1,950,562

December 1-31, 2019

    0    $0    0    2,470,791

Total:

    281,753    $10.7475    281,753    2,470,791

1 On September 7, 2018, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2018, the Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. On September 5, 2019, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2019, the Fund may repurchase through November 30, 2020, up to 5% of its common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions.

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

Item 11 – Controls and Procedures

 

9

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

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

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the fiscal year ended December 31, 2019. The Fund did not engage in any securities lending activity during the fiscal year ended December 31, 2019.

 

                                        BlackRock Debt Strategies Fund, Inc.

 

(1)    Gross income from securities lending activities      $0  
(2)    Fees and/or compensation for securities lending activities and related services   
   (a)    Securities lending income paid to BIM for services as securities lending agent      $0  
   (b)    Collateral management expenses (including fees deducted from a polled cash collateral vehicle) not included in (a)      $0  
   (c)    Administrative fees not included in (a)      $0  
   (d)    Indemnification fees not included in (a)      $0  
   (e)    Rebate (paid to borrowers)      $0  
   (f)    Other fees not included in (a)      $0  
(3)    Aggregate fees/compensation for securities lending activities      $0  
(4)    Net income from securities lending activities      $0  

(b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

Item 13 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

10

(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

                                                     

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

11

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

Date: March 6, 2020

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 Debt Strategies Fund, Inc.
Date: March 6, 2020
By:   /s/ Neal J. Andrews                                    
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Debt Strategies Fund, Inc.
Date: March 6, 2020

 

12