BlackRock Limited Duration Income Trust

N-CSR 1 d76998dncsr.htm BLACKROCK LIMITED DURATION INCOME TRUST BlackRock Limited Duration Income Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21349

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

Duration Income Trust, 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2019

Date of reporting period: 08/31/2019

Item 1 – Report to Stockholders

AUGUST 31, 2019


ANNUAL REPORT

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(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 (the “Board”), each 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, FRA will distribute a fixed amount of $0.0788 per share on a monthly basis and BLW will distribute 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.

The amounts and sources of distributions reported will be estimates and will be provided to you pursuant to regulatory requirements and will not be provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during 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.


2		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

The Markets in Review

Dear Shareholder,

Investment performance in the 12 months ended August 31, 2019 was a tale of two markets. The first half of the reporting period was characterized by restrictive monetary policy, deteriorating economic growth, equity market volatility, and rising fear of an imminent recession. During the second half of the reporting period, stocks and bonds rebounded sharply, as restrained inflation and weak economic growth led the U.S. Federal Reserve (the “Fed”) to stop raising interest rates, which led to broad-based optimism that stimulative monetary policy could help forestall a recession.

After the dust settled, the U.S. equity and bond markets posted mixed returns while weathering significant volatility. Less volatile U.S. large cap equities and U.S. bonds advanced, while equities at the high end of the risk spectrum — emerging markets, international developed, and U.S. small cap — posted negative returns.

Fixed-income securities delivered strong returns with relatively low volatility, as interest rates declined (and bond prices rose). Longer-term U.S. Treasury yields declined further than short-term Treasury yields. This led to positive returns for U.S. Treasuries across the maturity spectrum and a substantial flattening of the yield curve. Investment grade and high yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

In the U.S. equity market, volatility spiked in late 2018, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil. These risks manifested in a broad-based sell-off in December, leading to the worst December performance on record since 1931.

Volatility also rose in emerging markets, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, particularly in mainland China, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe and ongoing uncertainty about Brexit led to modest performance for European equities.

As equity performance faltered and global economic growth slowed, the Fed shifted to a more patient perspective on the economy in January 2019. The Fed left interest rates unchanged for six months, then lowered interest rates for the first time in 11 years in July 2019. Similarly, the European Central Bank and 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. Hopes continued to remain high thereafter, as the current economic expansion became the longest in U.S. history. Looking ahead, markets are pricing in additional rate cuts by the Fed over the next year, as investors anticipate a steady shift toward more stimulative monetary policy.

We expect a slowing expansion with additional room to run, as opposed to an economic recession. However, escalating trade tensions and the resulting disruptions in global supply chains have become the greatest risk to the global expansion.

We believe U.S. and emerging market equities remain relatively attractive. Within U.S. equities, companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off. For bonds, U.S. Treasuries are likely to help buffer against volatility in risk assets, while income from other types of bonds can continue to offer steady returns.

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 August 31, 2019
	6-month	12-month
U.S. large cap equities (S&P 500^® Index)	6.15%	2.92%
U.S. small cap equities (Russell 2000^® Index)	(4.43)	(12.89)
International equities (MSCI Europe, Australasia, Far East Index)	0.34	(3.26)
Emerging market equities (MSCI Emerging Markets Index)	(4.68)	(4.36)
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index)	1.25	2.36
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index)	12.18	15.06
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	8.02	10.17
Tax-exempt municipal bonds (S&P Municipal Bond Index)	5.92	8.26
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	4.46	6.56
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(b) Disclosure		2
The Markets in Review		3
Annual Report:
Fund Summaries		5
The Benefits and Risks of Leveraging		11
Derivative Financial Instruments		11
Financial Statements
Schedules of Investments		12
Statements of Assets and Liabilities		56
Statements of Operations		57
Statements of Changes in Net Assets		58
Statements of Cash Flows		59
Financial Highlights		61
Notes to Financial Statements		63
Report of Independent Registered Public Accounting Firm		76
Important Tax Information		76
Disclosure of Investment Advisory Agreements		77
Automatic Dividend Reinvestment Plans		81
Director and Officer Information		82
Additional Information		85
Glossary of Terms Used in this Report		87


4


Fund Summary as of August 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.

Fund Information


Symbol on New York Stock Exchange (“NYSE”)		FRA
Initial Offering Date		October 31, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2019 ($12.46)^(a)		6.69%
Current Monthly Distribution per Common Share^(b)		$0.0695
Current Annualized Distribution per Common Share^(b)		$0.8340
Leverage as of August 31, 2019^(c)		28%

^(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 monthly distribution per Common Share, declared on October 1, 2019, was increased to $0.0788 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

^(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 and Derivative Financial Instruments on page 10.

Market Price and Net Asset Value Per Share Summary


	08/31/19		08/31/18		Change			High		Low
Market Price	$	12.46	$	13.80		(9.71	)%	$	13.85	$	11.63
Net Asset Value		14.49		14.92		(2.88	)		14.98		13.75

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

LOGO


FUND SUMMARY			5


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

Performance and Portfolio Management Commentary

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


	Average Annual Total Returns
	1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		3.94	%		5.38	%		4.80	%
Fund at Market Price^(a)(b)		(3.37	)		2.77			3.23
S&P/LSTA Leveraged Loan Index^(c)		3.33			4.66			3.76

^(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 widened 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?

The largest absolute sector contributors to Fund performance included floating rate loan interests (“bank loans”) held within technology, consumer cyclical services and health care. The Fund’s B-rated positions were the largest contributors, followed by BB-rated positions. Importantly, returns for all ratings segments CCC and above were positive over the period. From an asset allocation perspective, indexed loan positions were additive as well.

The oil field services, banking and independent energy sectors were the largest detractors. In terms of rating categories, nonrated/other positions were the only detractors.

Describe recent portfolio activity.

Sector allocations were largely unchanged over the 12 months, although single-name relative positioning was arguably more important to portfolio performance. The investment adviser has been an active user of liquid products within the loan market, recently adding total return swaps to the portfolio.

From a credit quality standpoint, the portfolio remained concentrated on the B- and BB-rated segments of the bank loan market, while maintaining a much smaller allocation to CCC-rated risk. The investment adviser reduced the Fund’s CCC-rated exposure throughout the period.

Describe portfolio positioning at period end

The Fund’s largest allocation at period end was to B-rated loans, with a focus on higher quality segments within that rating category. The Fund had very little exposure to the CCC-rated component of the loan market. 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 InterBank Offered Rate reference rate as opposed to positions with spreads of 400 or more basis points. The largest sector positions included technology, health care and consumer cyclical services. The Fund had a preference for larger loan tranches of $1 billion or more. From a vintage perspective, the Fund had a cautious stance on transactions initiated since 2017, given the arguably more aggressive lending standards and weaker protections for loan holders seen in recent years.

The Fund’s top five issuer-level positions comprised approximately 8% of the portfolio. The largest overweights included Clear Channel Outdoor Holdings, Inc. (media & entertainment), Sedgwick Claims Management Services, Inc. (financial other) and Infor US, Inc. (technology).

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


6		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	08/31/19			08/31/18
Floating Rate Loan Interests		95	%		94	%
Investment Companies		4			—	^(a)
Corporate Bonds		1			3
Short-Term Securities		—			—	^(a)
Asset-Backed Securities		—			3
Other		—	^(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, Options Purchased, Other Interests and Warrants.

^(c)

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

CREDIT QUALITY ALLOCATION^(d)(e)


	08/31/19			08/31/18
A^(a)		—			—
BBB/Baa		8	%		8	%
BB/Ba		34			41
B		52			45
CCC/Caa		2			4
N/R		4			2

^(d)

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.

^(e)

Excludes Short-Term Securities.


FUND SUMMARY			7


Fund Summary as of August 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.

Fund Information


Symbol on NYSE		BLW
Initial Offering Date		July 30, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2019 ($15.44)^(a)		6.18%
Current Monthly Distribution per Common Share^(b)		$0.0795
Current Annualized Distribution per Common Share^(b)		$0.9540
Leverage as of August 31, 2019^(c)		25%

^(a)

^(b)

The monthly distribution per Common Share, declared on October 1, 2019, was increased to $0.0981 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

^(c)

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). 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 10.

Market Price and Net Asset Value Per Share Summary


	08/31/19		08/31/18		Change			High		Low
Market Price	$	15.44	$	15.06		2.52	%	$	15.53	$	13.00
Net Asset Value		17.03		16.71		1.92			17.03		15.57

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

LOGO


8		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


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

Performance and Portfolio Management Commentary

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


	Average Annual Total Returns
	1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		8.77	%		7.58	%		6.50	%
Fund at Market Price^(a)(b)		9.41			6.49			6.01
Reference Benchmark^(c)		5.25			4.44			3.63
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index^(d)		6.56			6.17			4.86
S&P/LSTA Leveraged Loan Index^(e)		3.33			4.66			3.76
BATS S Benchmark^(f)		5.75			2.44			2.21

^(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 performance over the period came from allocations to credit sensitive areas of the market including high yield corporate bonds, investment grade corporate bonds and floating rate loan interests (“bank loans”). Exposure to sovereign bonds and commercial mortgage-backed securities (“CMBS”) also added to the Fund’s return, as did the Fund’s currency exposures.

The largest detractors from the Fund’s performance came from its positioning within municipal bonds, equities and cash.

The Fund held derivatives during the period, including Treasury futures, currency forwards, currency options, interest rate swaps and credit default swaps. Derivative securities were employed primarily to adjust duration (sensitivity to interest rate changes) and yield curve exposure, as well as to manage credit and currency risk. Currency forwards were used to provide the portfolio with active currency exposure. The Fund’s use of derivatives contributed positively to Fund performance during the period.

Describe recent portfolio activity.

During the reporting period, the Fund’s defensive posture was maintained. The Fund had a slight increase in foreign currency exposure from 0.4% to 0.9%, and an increase in its U.S. Treasury position from 0% to 3%. Over the period, the Fund trimmed its asset-backed securities (“ABS”) position from 11.4% to 5%, and reduced its CMBS position from 6.5% to 1%.

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, investment grade corporate bonds, CMBS, ABS, agency and non-agency residential mortgage-backed securities, emerging market debt and foreign sovereign debt.


FUND SUMMARY			9


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

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	08/31/19			08/31/18
Corporate Bonds		47	%		45	%
Floating Rate Loan Interests		31			29
Capital Trusts		5			—	^(a)
U.S. Government Sponsored Agency Securities		4			3
Asset-Backed Securities		4			8
U.S. Treasury Obligations		2			—	^(a)
Foreign Agency Obligations		2			3
Investment Companies		2			—	^(a)
Preferred Stocks		1			7
Non-Agency Mortgage-Backed Securities		1			5
Short-Term Securities		1			—	^(a)
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, Trust Preferred and Warrants.

^(c)

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

CREDIT QUALITY ALLOCATION^(d)(e)


	08/31/19			08/31/18
AAA/Aaa		6	%		4	%
AA/Aa		—			1
A		5			5
BBB/Baa		17			21
BB/Ba		35			31
B		31			27
CCC/Caa		5			6
N/R		1			5	^(f)

^(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.

^(f)

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.


10		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

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 the reverse repurchase agreements (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.


THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS			11

Schedule of Investments

August 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	$	216,879


Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(a)			14,906		224


Media — 0.1%
Clear Channel Outdoor Holdings, Inc.^(a)			114,650		298,090
iHeartMedia, Inc., Class A^(a)			5,727		79,033

					377,123

Metals & Mining — 0.0%
Preferred Proppants LLC^(b)			6,099		27,446


Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.^(a)			1,860		23,287


Software — 0.0%
Avaya Holdings Corp.^(a)			62		875


Utilities — 0.1%
Texgen LLC^(a)(b)			8,431		320,378


Total Common Stocks — 0.2% (Cost — $4,775,645)					966,212


		Par (000)

Corporate Bonds — 1.6%

Diversified Consumer Services — 0.0%
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23^(c)	USD		170		178,772


Electrical Equipment — 0.2%
Vertiv Group Corp., (Acquired 05/09/19, cost $846,417), 10.00%, 06/30/24^(b)(e)			871		875,355


Electric Utilities — 0.0%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20^(b)			1,061		—


Health Care Services — 0.0%
Avaya, Inc. Escrow, 7.00%^(a)(b)(d)			1,347		—


Machinery — 0.0%
Colfax Corp., 6.00%, 02/15/24^(c)			203		216,449


Media — 0.2%
Clear Channel Worldwide Holdings, Inc., Series B, 6.50%, 11/15/22			968		988,977
CSC Holdings LLC, 10.88%, 10/15/25^(c)			79		89,665

					1,078,642

Metals & Mining — 0.3%
Freeport-McMoRan, Inc.:
3.55%, 03/01/22			1,059		1,061,647
3.88%, 03/15/23			625		631,500

					1,693,147

Oil, Gas & Consumable Fuels — 0.5%
CNX Resources Corp., 5.88%, 04/15/22			1,468		1,420,290
CONSOL Energy, Inc., 11.00%, 11/15/25^(c)			985		1,014,550

					2,434,840

Software — 0.4%
Infor US, Inc., 6.50%, 05/15/22			1,176		1,195,110
Informatica LLC, 7.13%, 07/15/23^(c)			658		669,515

					1,864,625


Total Corporate Bonds — 1.6% (Cost — $8,364,108)					8,341,830


Security		Par (000)		Value

Floating Rate Loan Interests^(f) — 135.5%

Aerospace & Defense — 2.8%
1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, (3 mo. LIBOR + 4.00%), 6.33%, 04/06/26	USD		1,836	$	1,834,065
Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 12/06/25^(b)			1,166		1,171,971
Dynasty Acquisition Co., Inc., 2019 Term Loan B1, (3 mo. LIBOR + 4.00%), 6.33%, 04/06/26			3,415		3,411,362
MRO Holdings, Inc., 2019 Term Loan B, (3 mo. LIBOR + 5.00%), 7.48%, 06/04/26			1,090		1,079,787
Nordam Group Inc., Term Loan B, (6 mo. LIBOR + 5.50%), 7.88%, 04/09/26^(b)			790		788,045
TransDigm, Inc., 2018 Term Loan F, (3 mo. LIBOR + 2.50%), 4.83%, 06/09/23			6,284		6,234,871

					14,520,101

Air Freight & Logistics — 0.9%
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 1.75%), 3.92%, 01/15/25			1,757		1,759,543
WestJet Airlines Ltd., Term Loan B, 08/06/26^(g)			3,195		3,201,997

					4,961,540

Airlines — 0.8%
Allegiant Travel Co., Term Loan B, (3 mo. LIBOR + 4.50%), 6.71%, 02/05/24			1,490		1,490,453
American Airlines, Inc.:
2017 Incremental Term Loan, 12/14/23^(g)			1,852		1,843,992
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 4.12%, 04/28/23			1,079		1,074,396

					4,408,841

Auto Components — 1.3%
Adient US LLC, Term Loan B, (3 mo. LIBOR + 4.25%), 6.46%, 05/06/24			390		378,428
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 04/30/26			2,233		2,199,505
USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.33%, 05/16/24			2,948		2,875,215
Wand NewCo 3, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.71%, 02/05/26			1,423		1,426,558

					6,879,706

Banks — 0.4%
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.51%, 11/01/24			2,045		2,000,527


Building Materials — 1.0%
Allied Universal Holdco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.25%), 6.51%, 07/10/26			5,057		5,046,141


Building Products — 1.0%
CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24			1,420		1,403,727
Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 12/14/24			1,199		1,194,599
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 12/19/23			2,679		2,607,271

					5,205,597

Capital Markets — 2.4%
Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 02/13/25			2,081		2,018,548
EIG Management Co. LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 02/22/25			1,682		1,680,642
Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 12/27/22			1,217		1,218,875


12		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Capital Markets (continued)
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.45%, 04/12/24	USD		1,174	$	1,161,767
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 6.00%, 06/03/26			1,360		1,356,178
RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 4.11%, 03/27/23			2,363		2,366,010
Travelport Finance (Luxembourg) Sarl:
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 11.54%, 05/28/27^(b)			1,145		996,150
2019 Term Loan, (3 mo. LIBOR + 5.00%), 7.54%, 05/29/26			2,138		1,964,134

					12,762,304

Chemicals — 6.0%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24			4,557		4,417,223
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.08%, 06/01/24			3,533		3,510,068
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/16/24			2,700		2,651,369
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 05/16/24			1,074		1,071,992
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.87%, 04/03/25			1,014		978,197
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.15%, 06/28/24			611		610,321
Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 11/07/24			1,265		1,263,861
Invictus US LLC:
1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.15%, 03/28/25			1,628		1,608,573
2nd Lien Term Loan, (2 mo. LIBOR + 6.75%), 8.90%, 03/30/26			430		426,237
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.83%, 03/01/26			4,360		4,328,942
Momentive Performance Materials, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 05/15/24			1,065		1,042,369
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 5.75%, 10/14/24			3,626		3,599,051
Plaskolite LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.43%, 12/15/25			1,024		984,315
PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.76%, 02/08/25			2,484		2,481,456
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.46%, 10/01/25			1,230		1,186,354
Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.13%, 08/07/20			422		420,935
Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 03/08/25			937		899,643

					31,480,906

Commercial Services & Supplies — 6.7%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.39%, 11/10/23			3,123		3,125,366
Aramark Services, Inc., 2018 Term Loan B3, (3 mo. LIBOR + 1.75%), 4.08%, 03/11/25			274		273,542
Asurion LLC:
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.61%, 08/04/25			1,882		1,907,990
2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.11%, 08/04/22			1,718		1,718,534


Security		Par (000)		Value

Commercial Services & Supplies (continued)
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.11%, 11/03/23	USD		2,967	$	2,967,734
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.11%, 11/03/24			1,168		1,168,200
Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 10/03/23			3,077		3,084,559
Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 02/15/24			3,461		3,458,369
Diamond (BC) BV, Term Loan, 09/06/24^(g)			1,175		1,072,188
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.08%, 05/09/25			578		543,470
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/30/25			2,288		2,265,480
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.08%, 11/03/23			485		375,524
KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 4.88%, 03/09/23			659		657,924
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 05/02/22			2,682		2,677,861
US Ecology, Inc., Term Loan B, 08/14/26^(g)			408		409,530
Verisure Holding AB, EUR Term Loan B1E, (EURIBOR + 3.00%), 3.00%, 10/20/22	EUR		1,000		1,096,302
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 08/27/25	USD		5,350		5,358,614
West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.11%, 10/10/24			3,254		2,900,795

					35,061,982

Communications Equipment — 0.6%
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 11/21/24			1,565		1,577,513
Avaya, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.25%), 6.43%, 12/15/24			266		261,103
Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.17%, 09/26/25			1,323		1,326,285

					3,164,901

Construction & Engineering — 1.2%
AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 03/13/25			703		703,287
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.51%, 06/21/24			2,951		2,795,868
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 5.95%, 04/12/25			452		437,892
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/23/25			1,380		1,337,983
USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 12/08/23			908		895,251

					6,170,281

Construction Materials — 2.1%
Core & Main LP, 2017 Term Loan B, (2 mo. LIBOR + 2.75%, 1.00% Floor), 5.27%, 08/01/24			4,017		4,005,312
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 03/29/25			4,685		4,682,062
Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 08/13/25			808		805,447
Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.37%, 06/01/26^(b)			578		578,000
Xella International GmbH, 2017 EUR Term Loan B, (EURIBOR + 3.75%), 3.75%, 04/11/24	EUR		1,000		1,083,938

					11,154,759


SCHEDULES OF INVESTMENTS			13

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Containers & Packaging — 2.6%
Berry Global, Inc.:
Term Loan Q, (1 mo. LIBOR + 2.25%), 4.45%, 10/01/22	USD		4,783	$	4,783,358
USD Term Loan U, (1 mo. LIBOR + 2.50%), 4.70%, 07/01/26			2,640		2,638,548
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 04/03/24			2,715		2,636,738
Flex Acquisition Co., Inc., 1st Lien Term Loan, 12/29/23^(g)			2,925		2,781,261
Pregis Corp., Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 07/31/26			836		831,469

					13,671,374

Distributors — 1.3%
American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 10/31/23			4,604		4,559,311
TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.70%, 08/28/24			2,774		2,333,000

					6,892,311

Diversified Consumer Services — 3.9%
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 07/12/24			1,354		1,340,014
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (3 mo. LIBOR + 1.75%), 3.86%, 11/07/23			2,888		2,886,587
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 07/12/25			1,392		1,350,896
J.D. Power and Associates, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 09/07/23			1,382		1,383,008
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.45%, 05/15/24			1,154		1,145,709
Serta Simmons Bedding LLC:
1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.70%, 11/08/23			948		629,253
2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.18%, 11/08/24			126		54,806
ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 11/08/23			256		255,625
ServPro Borrower LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 03/26/26			428		426,592
Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.57%, 11/14/22			4,067		3,973,452
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 03/19/26			2,253		2,260,007
Uber Technologies, Inc.:
2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.65%, 07/13/23			3,714		3,699,775
2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.20%, 04/04/25			1,287		1,287,000

					20,692,724

Diversified Financial Services — 2.5%
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 7.11%, 07/31/26			1,651		1,626,235
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/04/24			4,280		4,281,948
CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.71%, 08/08/25^(b)			727		707,496
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25			2,010		1,978,265


Security		Par (000)		Value

Diversified Financial Services (continued)
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 07/03/24	USD		1,925	$	1,919,992
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 09/06/25			837		788,660
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.51%, 07/30/25			1,117		1,106,350
Starwood Property Trust, Inc., 2019 Term Loan B, (2 mo. LIBOR + 2.50%), 4.78%, 07/27/26^(b)			608		609,520
Tank Holding Corp., 2019 Term Loan B, (1 Week LIBOR + 4.00%), 6.12%, 03/26/26			152		151,354

					13,169,820

Diversified Telecommunication Services — 3.1%
CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/25			1,876		1,847,564
Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.12%, 10/04/23			174		166,098
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/16/24			1,168		1,159,407
Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 02/22/24			2,862		2,863,175
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 11/15/24			2,225		2,183,331
Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.63%, 02/02/24			1,346		1,336,169
TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25	EUR		819		900,915
Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.45%, 08/15/26	USD		1,367		1,362,334
Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 4.83%, 11/17/23			808		806,667
Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR - GBP + 3.25%), 3.96%, 01/15/27	GBP		1,000		1,210,582
Zayo Group LLC:
2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 01/19/24	USD		290		290,000
2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.11%, 01/19/21			2,347		2,347,276

					16,473,518

Electric Utilities — 0.6%
TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 08/04/23			1,372		1,372,768
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/19^(b)(d)			1,710		—
Vistra Energy Corp., 1st Lien Term Loan B3, (3 mo. LIBOR + 2.00%), 4.18%, 12/31/25			1,836		1,837,251

					3,210,019

Electrical Equipment — 0.7%
Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/01/24			3,723		3,626,634


Energy Equipment & Services — 0.5%
Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.11%, 03/01/24			771		327,676
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 02/12/25	USD		1,613		1,567,004
Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.90%, 11/08/22^(b)			845		802,750

					2,697,430


14		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) — 2.8%
Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.62%, 03/24/24	USD		540	$	538,778
Claros Mortgage Trust, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.46%, 08/10/26^(b)			1,614		1,611,983
Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 01/02/26^(b)			1,911		1,887,199
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 03/21/25			4,021		4,020,155
RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/11/24			1,339		1,340,019
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.17%, 12/20/24			5,382		5,389,181

					14,787,315

Food & Staples Retailing — 2.5%
Albertsons LLC:
2019 Term Loan B7, (1 mo. LIBOR + 2.75%), 4.86%, 11/17/25			880		882,755
2019 Term Loan B8, (1 mo. LIBOR + 2.75%), 4.86%, 08/17/26			11		11,597
BCPE Empire Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.11%, 06/11/26			1,065		1,046,237
Hearthside Food Solutions LLC:
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 6.11%, 05/23/25			1,882		1,826,064
2018 Term Loan B, (1 mo. LIBOR + 3.69%), 5.80%, 05/23/25			580		562,544
Hostess Brands LLC, 2017 Repriced Term Loan, (2 mo. LIBOR + 2.25%), 4.36%, 08/03/22			2,899		2,891,981
US Foods, Inc.:
2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 06/27/23			2,667		2,668,456
2019 Term Loan B, 08/14/26^(g)			3,018		3,023,040

					12,912,674

Food Products — 2.8%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.96%, 10/01/25			571		571,490
Chobani LLC, 2017 Term Loan B, 10/10/23^(g)			3,477		3,415,914
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 05/01/26			2,300		2,303,110
Post Holdings, Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.00%), 4.15%, 05/24/24			1,579		1,578,996
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.86%, 02/05/23			6,930		6,922,104

					14,791,614

Gas Utilities — 0.3%
AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.83%, 07/31/25			1,487		1,453,496


Health Care Equipment & Supplies — 1.9%
Agiliti Health, Inc., Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 01/04/26^(b)			735		736,076
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.33%, 06/15/21			4,465		4,442,283
Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.08%, 09/24/24			803		621,875
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.56%, 06/30/25			4,211		3,963,309

					9,763,543


Security		Par (000)		Value

Health Care Providers & Services — 7.4%
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.61%, 06/30/25	USD		820	$	819,572
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 06/07/23			4,251		4,212,305
Concentra, Inc.:
2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 5.21%, 06/01/22			1,840		1,838,875
2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 8.96%, 06/01/23			1,870		1,877,790
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 06/06/25			1,076		1,049,845
Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 12/20/24			852		788,155
DuPage Medical Group Ltd.:
2018 Term Loan, (1 mo. LIBOR + 2.75%), 4.86%, 08/15/24			851		824,382
2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.11%, 08/15/25			395		385,125
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/10/25			2,207		1,703,594
Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.08%, 05/02/23			1,058		1,055,208
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.98%, 03/05/26^(b)			611		611,000
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.88%, 07/02/25			2,351		2,349,683
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 05/21/26			1,161		1,156,159
HCA, Inc.:
2018 Term Loan B10, (3 mo. LIBOR + 2.00%), 4.33%, 03/13/25			1,353		1,356,474
Term Loan B11, (3 mo. LIBOR + 1.75%), 4.08%, 03/17/23			1,787		1,789,163
LGC Science Holdings Ltd., USD Term Loan B3, (1 mo. LIBOR + 3.50%), 5.61%, 03/08/23			1,000		984,170
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 06/07/23			3,700		3,436,608
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.61%, 10/20/22			3,078		2,862,286
NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 02/02/25			2,036		2,033,464
Radiology Partners, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.75%), 7.39%, 07/09/25			802		768,698
Sotera Health Holdings LLC:
2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/15/22			2,676		2,622,325
2019 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.74%, 05/15/22			1,200		1,185,000
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 02/06/24			1,548		1,242,344
Vizient, Inc., 2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 4.61%, 05/06/26			871		873,984
Zotec Partners LLC, 2018 Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.12%, 02/14/24^(b)			1,201		1,201,250

					39,027,459

Health Care Services — 0.6%
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.61%, 07/24/26			1,723		1,712,955
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.71%, 08/07/26			1,691		1,670,573

					3,383,528


SCHEDULES OF INVESTMENTS			15

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Health Care Technology — 1.9%
Athenahealth, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.50%), 6.83%, 02/11/26	USD		4,458	$	4,432,775
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.61%, 03/01/24			3,823		3,778,446
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.93%, 10/10/25			1,065		1,054,564
Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 03/07/24			499		499,959

					9,765,744

Hotels, Restaurants & Leisure — 10.9%
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.03%, 10/19/24			1,510		1,509,640
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.39%, 09/15/23			3,719		3,717,061
Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 02/16/24			5,249		5,239,171
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 12/22/24			4,896		4,819,451
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 08/08/21			1,392		1,391,765
ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 08/30/23			2,823		2,823,374
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.11%, 11/30/23			3,113		3,115,551
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.33%, 03/13/25			148		146,458
Golden Nugget LLC, 2017 Incremental Term Loan B, (1 mo. LIBOR + 2.75%), 4.93%, 10/04/23			1,916		1,914,998
Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 3.90%, 06/22/26			3,280		3,286,441
IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.56%, 02/05/25			3,763		3,733,534
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.93%, 04/03/25			1,415		1,411,497
Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.40%, 12/15/24			1,045		1,047,092
NASCAR Holdings, Inc., Term Loan B, 07/26/26^(g)			1,193		1,198,714
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 10/15/25			602		603,329
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/29/24			1,259		1,202,446
Sabre GLBL, Inc., 2018 Term Loan B, 02/22/24^(g)			2,829		2,830,377
Scientific Games International, Inc., 2018 Term Loan B5, (2 mo. LIBOR + 2.75%), 4.90%, 08/14/24			2,995		2,956,849
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25			5,503		5,516,551
Station Casinos LLC, 2016 Term Loan B, 06/08/23^(g)			2,958		2,960,543
Tackle Sarl, 2017 EUR Term Loan, (EURIBOR + 3.50%), 3.50%, 08/08/22	EUR		1,000		1,096,027
Whatabrands LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 5.52%, 08/02/26	USD		2,633		2,642,057
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 05/30/25			1,573		1,577,045
Wynn Resorts Ltd., Term Loan B, (1 mo. LIBOR + 2.25%), 4.37%, 10/30/24			889		888,348

					57,628,319


Security		Par (000)		Value

Household Products — 0.3%
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 07/16/26^(g)	USD		1,339	$	1,337,996


Independent Power and Renewable Electricity Producers — 1.7%
AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.87%, 05/31/22			741		740,159
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 01/15/25			1,241		1,236,710
Calpine Corp.:
2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.61%, 08/12/26			1,314		1,309,890
Term Loan B9, (3 mo. LIBOR + 2.75%), 5.08%, 04/05/26			2,692		2,687,504
EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.37%, 05/03/25			427		429,352
Granite Acquisition, Inc.:
Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.82%, 12/19/21			2,035		2,039,498
Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/19/21			273		273,490

					8,716,603

Industrial Conglomerates — 1.5%
Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/30/23			4,056		3,808,853
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21			1,863		1,839,155
Sundyne US Purchaser, Inc., Term Loan, (1 mo. LIBOR + 4.00%), 6.11%, 05/15/26^(b)			2,061		2,019,858

					7,667,866

Insurance — 5.0%
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.15%, 05/09/25			3,626		3,519,819
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 5.45%, 05/09/25			1,812		1,785,962
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 01/25/24			3,873		3,864,849
AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 10/22/24			2,891		2,873,048
Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 12/02/24			1,823		1,771,966
Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.27%, 04/25/25			3,159		3,093,258
Sedgwick Claims Management Services, Inc.:
2019 Incremental Term Loan B, 08/07/26^(g)			2,630		2,619,033
Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/31/25			6,269		6,073,237
Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 06/22/23			819		810,629

					26,411,801

Interactive Media & Services — 1.0%
Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.00%), 4.11%, 02/15/24			2,234		2,236,976
Inmar Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 05/01/24			445		420,236
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 5.29%, 11/03/23			1,592		1,473,404


16		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interactive Media & Services (continued)
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 05/06/24	USD		1,233	$	1,145,829

					5,276,445

IT Services — 3.3%
Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.50%), 4.89%, 03/20/25			672		670,869
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.37%, 06/01/22			2,144		2,140,648
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 11/27/24			918		920,111
Global Payments, Inc.:
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.86%, 04/21/23			819		817,490
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.86%, 10/17/25			274		273,283
Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/01/23			1,613		1,593,584
Optiv Security, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 02/01/24			639		524,248
Outfront Media Capital LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.21%, 03/18/24			195		195,554
Peak 10 Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 9.48%, 08/01/25			1,295		1,042,475
Trans Union LLC:
2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.11%, 06/19/25			18		17,830
Term Loan B3, (1 mo. LIBOR + 2.00%), 4.11%, 04/10/23			4,331		4,333,003
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 4.36%, 05/15/26			4,642		4,651,175

					17,180,270

Leisure Products — 0.2%
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 06/19/24^(b)			1,016		987,650


Life Sciences Tools & Services — 0.2%
Albany Molecular Research, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 08/30/24			553		531,405
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.11%, 08/30/25^(b)			395		390,063

					921,468

Machinery — 1.7%
Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/18/24			648		647,638
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.83%, 01/31/24			155		154,539
Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 07/30/24			2,278		2,282,658
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/24			324		324,593
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 03/28/25			5,019		4,807,731
Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 10/23/25			993		982,405

					9,199,564

Media — 11.8%
Altice Financing SA:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.95%, 01/31/26			710		684,378
2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.95%, 07/15/25			242		234,098


Security		Par (000)		Value

Media (continued)
Altice France SA:
2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.20%, 08/14/26	USD		3,582	$	3,547,711
USD Term Loan B12, (1 mo. LIBOR + 3.69%), 5.88%, 01/31/26			535		525,423
Charter Communications Operating LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 04/30/25			4,418		4,427,325
Clear Channel Outdoor Holdings, Inc., Term Loan B, 08/21/26^(g)			7,677		7,667,404
CSC Holdings LLC:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.45%, 07/17/25			1,348		1,340,860
2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.70%, 01/25/26			1,674		1,671,017
Cumulus Media New Holdings, Inc., Exit Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 05/15/22			698		699,234
Diamond Sports Group LLC, Term Loan, 08/24/26^(g)			3,087		3,087,000
Gray Television, Inc.:
2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.58%, 02/07/24			607		606,494
2018 Term Loan C, (3 mo. LIBOR + 2.50%), 4.83%, 01/02/26			961		960,741
iHeartCommunications, Inc., Exit Term Loan, 05/01/26^(g)			3,316		3,323,926
Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.65%, 01/02/24			1,921		1,929,851
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.37%, 12/01/23			2,489		2,493,065
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 03/24/25			1,436		1,430,372
Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 3.88%, 10/31/23^(b)			472		473,486
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 3.89%, 02/15/24			1,068		1,065,853
Meredith Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/25			778		778,416
MH Sub I LLC, 2017 1st Lien Term Loan, 09/13/24^(g)			1,087		1,077,113
Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 2.25%), 4.45%, 07/16/26			740		742,596
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 06/19/26^(g)			1,558		1,558,000
PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 05/29/26			1,647		1,654,461
PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.48%, 03/01/25			1,021		989,107
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 02/01/24			2,316		2,292,795
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.37%, 01/03/24			191		190,596
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.15%, 09/28/23^(b)			3,656		3,610,127
Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.11%, 01/27/24			3,696		3,688,788
Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 03/15/24			1,151		1,098,618
Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.70%, 01/15/26			1,853		1,851,573


SCHEDULES OF INVESTMENTS			17

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.87%, 05/18/25	USD		4,406	$	4,273,971
Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.70%, 04/15/25			2,392		2,374,236

					62,348,635

Metals & Mining — 0.6%
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 6.62%, 07/24/25			800		774,356
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 03/08/24			2,657		2,639,560

					3,413,916

Multiline Retail — 0.8%
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.15%, 08/04/24			968		961,714
Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 08/18/23			1,304		1,253,564
Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.49%, 09/30/22			1,435		1,433,346
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 8.23%, 10/25/23			967		787,526

					4,436,150

Oil & Gas Equipment & Services — 0.2%
McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.11%, 05/09/25			1,356		1,241,327


Oil, Gas & Consumable Fuels — 1.0%
BCP Raptor II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.86%, 11/03/25			837		739,347
California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor), 12.49%, 12/31/21			1,160		1,026,349
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 09/27/24			1,235		1,231,818
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 12/13/25			1,307		1,289,029
EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25			795		782,521

					5,069,064

Pharmaceuticals — 4.8%
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.63%, 05/04/25			1,066		966,455
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 05/18/26			2,081		2,087,362
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24			2,792		2,543,979
Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.39%, 01/31/25			3,608		3,609,601
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.61%, 08/18/22			7,207		7,161,347
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.20%, 06/02/25			8,721		8,731,036

					25,099,780

Professional Services — 1.6%
Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 6.12%, 02/09/26			2,076		2,081,630


Security		Par (000)		Value

Professional Services (continued)
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 7.15%, 02/06/26	USD		3,994	$	4,002,308
ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 04/02/25			1,173		1,174,611
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.83%, 08/04/25^(b)			1,126		1,089,163

					8,347,712

Real Estate Management & Development — 2.3%
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 04/18/24			4,673		4,669,438
DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 08/21/25			3,127		3,123,357
Forest City Enterprises LP, Term Loan B, (1 mo. LIBOR + 4.00%), 6.11%, 12/07/25			2,101		2,114,574
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.42%, 02/08/25			784		755,147
SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.51%, 01/23/25			1,198		1,188,720

					11,851,236

Road & Rail — 0.2%
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 09/29/25			737		734,995
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 06/13/23			384		350,439

					1,085,434

Semiconductors & Semiconductor Equipment — 0.3%
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 05/29/25			857		855,984
Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 09/29/23			929		927,576

					1,783,560

Software — 16.7%
Applied Systems, Inc.:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 09/19/24			2,684		2,673,662
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.33%, 09/19/25			491		494,458
BMC Software Finance, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%), 6.58%, 10/02/25			2,977		2,807,583
Cypress Intermediate Holdings III, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.87%, 04/26/24			902		894,113
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.86%, 04/27/25			814		819,600
Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.12%, 09/07/23			2,663		2,667,823
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 5.34%, 05/28/24			1,466		1,241,298
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.01%, 09/30/23			1,424		1,302,424
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/01/25			6,202		6,229,657
Help/Systems Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.08%, 03/28/25			1,178		1,167,061
Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 02/01/22			7,178		7,170,016
Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 08/05/22			4,195		4,195,882
Kronos, Inc.:
2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor) 5.25%, 11/01/23			5,136		5,129,686


18		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Software (continued)
2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.50%, 11/01/24	USD		2,135	$	2,181,970
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 09/30/24			4,259		4,260,215
Mitchell International, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 11/29/24			3,864		3,615,135
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.36%, 12/01/25			850		792,625
Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/30/25			698		682,421
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 10/12/23			2,332		2,325,040
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.46%, 08/01/25			1,004		984,709
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 02/05/24			4,664		4,657,064
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 03/03/23			5,363		5,332,637
SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.64%, 05/16/25^(b)			566		526,124
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 09/30/22			5,739		5,730,658
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			1,655		1,657,017
SS&C Technologies, Inc.:
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.36%, 07/08/22			1,355		1,356,293
2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			2,449		2,451,698
2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			1,776		1,776,154
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 05/01/24			4,246		4,242,208
Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.25%, 06/30/26			4,378		4,374,034
Ultimate Software Group, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.08%, 05/04/26			2,402		2,406,300
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 07/02/25			1,772		1,709,814

					87,855,379

Specialty Retail — 2.1%
Belron Finance US LLC^(b):
Term Loan B, (3 mo. LIBOR + 2.25%), 4.71%, 11/07/24			2,944		2,947,208
Term Loan B, (3 mo. LIBOR + 2.25%), 4.68%, 11/13/25			451		451,298
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 5.02%, 06/23/25	GBP		1,000		1,197,027
IAA, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.63%, 06/28/26	USD		851		854,455
Leslie’s Poolmart, Inc., 2018 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 5.76%, 08/16/23			1,041		972,826
MED ParentCo LP^(g):
1st Lien Delayed Draw Term Loan, 07/31/26			330		326,577
1st Lien Term Loan, 07/31/26			1,323		1,307,857
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 08/18/21			973		937,536
PetSmart, Inc., Term Loan B2, 03/11/22^(g)			1,090		1,057,300
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.75%, 12/20/24			1,246		1,244,156

					11,296,240


Security		Par (000)		Value

Technology Hardware, Storage & Peripherals — 0.8%
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.86%, 04/29/23	USD		4,133	$	4,117,603


Textiles, Apparel & Luxury Goods — 0.5%
Ascend Performance Materials Operations LLC, 2019 Term Loan B, 08/15/26^(g)			2,484		2,480,895


Thrifts & Mortgage Finance — 0.6%
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 05/23/25			3,448		3,414,001


Trading Companies & Distributors — 1.0%
Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 01/02/25			1,082		1,073,356
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 3.86%, 10/17/23			3,839		3,851,599
United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 10/31/25			225		225,685

					5,150,640

Transportation — 0.1%
Safe Fleet Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.21%, 02/01/25^(b)			821		786,160


Utilities — 0.3%
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.13%, 11/28/24			1,908		1,836,839


Wireless Telecommunication Services — 1.4%
Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 03/22/24			1,986		1,848,144
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20^(h)			1,456		1,258,072
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 04/11/25			4,326		4,298,558

					7,404,774


Total Floating Rate Loan Interests — 135.5% (Cost — $722,288,528)					713,484,116


		Shares

Investment Companies — 5.7%

United States — 5.7%
Invesco Senior Loan ETF			1,335,000		30,184,350


Total Investment Companies — 5.7% (Cost — $30,213,594)					30,184,350


		Beneficial Interest (000)

Other Interests⁽ⁱ⁾ — 0.0%

IT Services — 0.0%
Millennium Corp.^(a)(b)	USD		1,607		—
Millennium Lender Claims^(a)(b)			1,508		—


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


SCHEDULES OF INVESTMENTS			19

Schedule of Investments (continued)

August 31, 2019

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

(Percentages shown are based on Net Assets)



Security	Shares		Value

Warrants — 0.1%

Media — 0.1%
iHeartMedia, Inc. (Expires 05/01/39)		43,029	$	593,757


Total Warrants — 0.1% (Cost — $774,479)				593,757


Total Long-Term Investments — 143.1% (Cost — $766,416,354)				753,570,265


Options Purchased — 0.0% (Cost — $41,633)				14,705


Total Investments — 143.1% (Cost — $766,457,987)				753,584,970

Liabilities in Excess of Other Assets — (43.1)%				(227,138,070	)


Net Assets Applicable to Common Shares — 100.0%			$	526,446,900

^(a)	Non-income producing security.

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

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

^(d)	Issuer filed for bankruptcy and/or is in default.

^(e)	Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $875,355, representing 0.2% of its net assets as of period end, and an original cost of $846,417.

^(f)	Variable rate security. Rate shown is the rate in effect as of period end.

^(g)	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.

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

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

During the year ended August 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:


Affiliate	Shares Held at 08/31/18		Shares Purchased		Shares Sold			Shares Held at 08/31/19		Value at 08/31/19		Income		Net Realized Gain (Loss) ^(a)		Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class^(b)		155,382		—		(155,382	)^(c)		—	$	—	$	38,562	$	—	$	—
iShares iBoxx USD High Yield Corporate Bond ETF^(b)		—		46,500		(46,500	)		—		—		—		27,274		—

										$	—	$	38,562	$	27,274	$	—

^(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 sold.

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	5,112,331	EUR	4,575,000	Goldman Sachs International		09/05/19	$	83,800
USD	2,289,368	GBP	1,876,000	BNP Paribas S.A.		09/05/19		6,555
USD	5,029,406	EUR	4,563,000	State Street Bank and Trust Co.		10/03/19		2,937
USD	2,287,362	GBP	1,873,000	Standard Chartered Bank		10/03/19		5,329

								98,621

EUR	4,563,000	USD	5,018,173	State Street Bank and Trust Co.		09/05/19		(2,832	)
GBP	1,873,000	USD	2,284,493	Standard Chartered Bank		09/05/19		(5,331	)

								(8,163	)

	Net Unrealized Appreciation						$	90,458

Exchange-Traded Options Purchased


Description	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
Call
SPDR S&P 500 ETF Trust		170		09/20/19	USD	315.00	USD	4,972	$	255
Put
SPDR S&P 500 ETF Trust		170		09/20/19	USD	270.00	USD	4,972		14,450

									$	14,705


20		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

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

Derivative Financial Instruments Categorized by Risk Exposure

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


	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	98,621	$	—	$	—	$	98,621
Options purchased
Investments at value — unaffiliated^(a)		—		—		14,705		—		—		—		14,705

	$	—	$	—	$	14,705	$	98,621	$	—	$	—	$	113,326

Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	8,163	$	—	$	—	$	8,163

^(a)

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

For the year ended August 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	$	—	$	—	$	—	$	587,067	$	—		$	—	$	587,067
Swaps		—		—		—		—		(610,309	)		—		(610,309	)
Options purchased^(a)		—		—		124,969		—		—			—		124,969

	$	—	$	—	$	124,969	$	587,067	$	(610,309	)	$	—	$	101,727


Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	$	—	$	—	$	—	$	36,256	$	—		$	—	$	36,256
Options purchased^(b)		—		—		16,094		—		—			—		16,094

	$	—	$	—	$	16,094	$	36,256	$	—		$	—	$	52,350

^(a)

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

^(b)

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	14,824,361
Average amounts sold — in USD	$	7,390,708
Options:
Average value of option contracts purchased	$	14,234
Total return swaps:
Average notional value	$	5,043,500

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


SCHEDULES OF INVESTMENTS			21

Schedule of Investments (continued)

August 31, 2019

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

Derivative Financial Instruments — Offsetting as of Period End

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


	Assets			Liabilities
Forward foreign currency exchange contracts	$	98,621		$	8,163
Options		14,705	^(a)		—

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	113,326		$	8,163
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(14,705	)		—

Total derivative assets and liabilities subject to an MNA	$	98,621		$	8,163

^(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 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)
BNP Paribas S.A.	$	6,555	$	—		$	—	$	—	$	6,555
Goldman Sachs International		83,800		—			—		—		83,800
Standard Chartered Bank		5,329		(5,329	)		—		—		—
State Street Bank and Trust Co.		2,937		(2,832	)		—		—		105

	$	98,621	$	(8,161	)	$	—	$	—	$	90,460


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)
Standard Chartered Bank	$	5,331	$	(5,329	)	$	—	$	—	$	2
State Street Bank and Trust Co.		2,832		(2,832	)		—		—		—

	$	8,163	$	(8,161	)	$	—	$	—	$	2

^(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.


22		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 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 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 categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks^(a)	$	401,285	$	224		$	564,703	$	966,212
Corporate Bonds		—		7,466,475			875,355		8,341,830
Floating Rate Loan Interests		—		688,501,539			24,982,577		713,484,116
Investment Companies		30,184,350		—			—		30,184,350
Warrants		—		593,757			—		593,757
Options Purchased		14,705		—			—		14,705
Liabilities:
Investments:
Unfunded Floating Rate Loan Interest^(b)		—		(4,797	)		—		(4,797	)

	$	30,600,340	$	696,557,198		$	26,422,635	$	753,580,173

Derivative Financial Instruments^(c)
Assets:
Forward foreign currency contracts	$	—	$	98,621		$	—	$	98,621
Liabilities:
Forward foreign currency contracts		—		(8,163	)		—		(8,163	)

	$	—	$	90,458		$	—	$	90,458

^(a)

See above Schedule of Investments for values in each industry.

^(b)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

^(c)

Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $204,000,000 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 year 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			Warrants			Options Purchased			Total
Assets:
Opening balance, as of August 31, 2018	$	2,698,550		$	2,048,238		$	2,892,436		$	36,749,545		$	—		$	—		$	44,388,769
Transfers into Level 3^(a)		—			—			—			10,346,533			—			—			10,346,533
Transfers out of Level 3^(b)		—			—			—			(13,160,490	)		—			—			(13,160,490	)
Accrued discounts/premiums		—			—			1,547			10,362			—			—			11,909
Net realized gain (loss)		(39,405	)		26,946			(405,297	)		(1,312,262	)		(24	)		(43,022	)		(1,773,064	)
Net change in unrealized appreciation (depreciation)^(c)(d)		—			(1,291,122	)		(84,433	)		702,387			24			43,022			(630,122	)
Purchases		—			2,940,312			977,128			12,857,976			—			—			16,775,416
Sales		(2,659,145	)		(3,159,671	)		(2,506,026	)		(21,211,474	)		—			—			(29,536,316	)

Closing balance, as of August 31, 2019	$	—		$	564,703		$	875,355		$	24,982,577		$	—		$	—		$	26,422,635

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019^(d)	$	—		$	(1,164,821	)	$	28,938		$	(343,249	)	$	—		$	—		$	(1,479,132	)

^(a)

As of August 31, 2018 the Fund used observable inputs in determining the value of certain investments. As of August 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 of August 31, 2018, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 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 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 August 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			23

Schedule of Investments

August 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%
Kcad Holdings I Ltd.^(a)(b)			546,753,936	$	382,728


Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(b)			8,511		128


Household Durables — 0.0%
Berkline Benchcraft Equity LLC^(a)			3,155		—


Media — 0.0%
Clear Channel Outdoor Holdings, Inc.^(b)			38,911		101,169
iHeartMedia, Inc., Class A^(b)			1,943		26,813

					127,982

Metals & Mining — 0.0%
Ameriforge Group, Inc.			801		44,055
Preferred Proppants LLC^(a)			5,738		12,910

					56,965

Software — 0.0%
Avaya Holdings Corp.^(b)			18		254


Utilities — 0.0%
Texgen LLC^(a)			3,661		139,118


Total Common Stocks — 0.1% (Cost — $6,581,039)					707,175


		Par (000)

Asset-Backed Securities — 5.0%
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 5.28%, 10/21/28^(c)(d)	USD		1,000		966,588
ALM VI Ltd., Series 2012-6A, Class BR3, (3 mo. LIBOR US + 1.75%), 4.05%, 07/15/26^(c)(d)			1,000		988,169
ALM XII Ltd., Series 2015-12A, Class C1R2, 4.97%, 04/16/27^(c)			1,000		996,224
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 5.00%, 07/15/27^(c)(d)			270		266,463
Anchorage Capital CLO Ltd.^(c)(d):
Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 7.76%, 01/28/31			850		771,738
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 4.86%, 01/28/31			250		238,341
Series 2015-7A, Class DR, (3 mo. LIBOR US + 2.70%), 5.00%, 10/15/27			1,000		987,067
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 8.01%, 07/28/28			1,000		982,068
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, (3 mo. LIBOR US + 6.41%), 8.71%, 10/15/30^(c)(d)			500		471,066
Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 5.91%, 07/23/30^(c)(d)			500		494,627
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30^(c)			434		423,962
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44^(a)(c)			3,000		3,014,862
Dryden CLO Ltd., Series 2018-64A, Class D, 4.95%, 04/18/31^(c)			250		231,373
Highbridge Loan Management Ltd., Series 5A-2015, Class ERR, (3 mo. LIBOR US + 6.00%), 8.30%, 10/15/30^(c)(d)			450		405,717


Security		Par (000)		Value

Asset-Backed Securities (continued)
Litigation Fee Residual Funding, 4.00%, 10/30/27^(a)(c)	USD		950	$	946,764
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 8.68%, 01/20/29^(c)(d)			500		489,182
Madison Park Funding XIII Ltd., Series 2014-13A, Class ER, (3 mo. LIBOR US + 5.75%), 8.05%, 04/19/30^(c)(d)			1,250		1,171,516
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.46%, 01/27/26^(c)(d)			1,500		1,503,383
Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 5.98%, 04/20/26^(c)(d)			300		299,057
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 7.30%, 01/15/28^(c)(d)			790		737,792
Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 7.48%, 10/20/27^(c)(d)			500		488,666
Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 8.58%, 07/20/30^(c)(d)			500		477,780
OZLM Funding Ltd., Series 2012-1A, Class CR2, (3 mo. LIBOR US + 3.60%), 5.88%, 07/22/29^(c)(d)			250		247,520
OZLM VIII Ltd., Series 2014-8A^(c)(d):
Class BRR, (3 mo. LIBOR US + 2.20%), 4.50%, 10/17/29			2,500		2,441,895
Class CRR, (3 mo. LIBOR US + 3.15%), 5.45%, 10/17/29			500		475,419
OZLM XIX Ltd., Series 2017-19A, Class D, (3 mo. LIBOR US + 6.60%), 8.90%, 11/22/30^(c)(d)			500		476,129
OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.00%), 6.28%, 01/20/29^(c)(d)			1,000		993,062
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 7.82%, 01/20/31^(c)(d)			250		223,359
Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.22%), 8.40%, 11/14/29^(c)(d)			1,750		1,673,535
Rockford Tower CLO Ltd.^(c)(d):
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.55%, 04/15/29			250		248,210
Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 5.75%, 10/15/29			500		496,302
Shackleton CLO Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.02%), 5.32%, 07/15/30^(c)(d)			500		470,970
Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 6.26%, 01/23/28^(c)(d)			1,000		992,661
Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.10%), 8.38%, 04/20/29^(c)(d)			500		463,731
TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%), 8.81%, 07/15/29^(c)(d)			500		485,612
Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.25%), 6.53%, 01/20/29^(c)(d)			1,000		994,204
Wellfleet CLO Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%), 4.25%, 01/17/31^(c)(d)			500		467,797
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 5.53%, 07/20/28^(c)(d)			500		490,116


24		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
York CLO Ltd.^(c)(d):
Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.88%, 10/20/29	USD		250	$	247,864
Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%), 9.22%, 01/20/30			1,000		973,350

					30,214,141

Interest Only Asset-Backed Securities — 0.0%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30^(a)(c)			2,665		119,921
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 04/15/29^(a)(c)			1,790		74,019

					193,940


Total Asset-Backed Securities — 5.0% (Cost — $31,301,187)					30,408,081


Corporate Bonds — 61.9%

Aerospace — 0.0%
TDC A/S, 6.88%, 02/23/23	GBP		100		138,950
Telecom Argentina SA, 8.00%, 07/18/26^(c)	USD		3		2,385

					141,335

Aerospace & Defense — 2.3%
Amsted Industries, Inc., 5.63%, 07/01/27^(c)			156		166,530
Arconic, Inc.:
5.40%, 04/15/21			10		10,305
5.87%, 02/23/22			730		779,611
5.13%, 10/01/24			808		861,041
BBA US Holdings, Inc., 5.38%, 05/01/26^(c)			271		283,195
Bombardier, Inc.^(c):
8.75%, 12/01/21			635		688,975
5.75%, 03/15/22			108		108,945
6.00%, 10/15/22			8		7,940
6.13%, 01/15/23			338		336,310
7.50%, 12/01/24			642		639,657
7.50%, 03/15/25			679		661,176
7.88%, 04/15/27			1,929		1,868,719
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25^(c)			378		405,405
Moog, Inc., 5.25%, 12/01/22^(c)			270		275,062
TransDigm UK Holdings PLC, 6.88%, 05/15/26			264		276,540
TransDigm, Inc.:
6.00%, 07/15/22			304		308,940
6.50%, 05/15/25			54		56,295
6.25%, 03/15/26^(c)			5,564		6,002,054

					13,736,700

Air Freight & Logistics — 0.0%
XPO Logistics, Inc., 6.75%, 08/15/24^(c)			18		19,395


Airlines — 1.5%
Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24^(c)(e)			1,109		1,125,598
American Airlines Pass-Through Trust:
Series 2013-2, Class A, 4.95%, 07/15/24^(e)			1,918		2,019,885
Series 2013-2, Class B, 5.60%, 01/15/22^(c)			218		221,340
Series 2017-1, Class B, 4.95%, 08/15/26			1,212		1,289,374
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20			239		185,524
Latam Finance Ltd., 6.88%, 04/11/24^(c)			203		210,232
United Airlines Pass-Through Trust^(e):
Series 2014-2, Class B, 4.63%, 03/03/24			1,547		1,599,582
Series 2015-1, Class A, 3.70%, 06/01/24			2,430		2,509,218

					9,160,753


Security		Par (000)		Value

Auto Components — 0.9%
Allison Transmission, Inc.^(c):
5.00%, 10/01/24	USD		28	$	28,808
5.88%, 06/01/29			319		342,127
Aptiv PLC, 4.40%, 10/01/46			240		240,891
GKN Holdings Ltd., 4.63%, 05/12/32	GBP		100		124,787
Goodyear Tire & Rubber Co., 5.00%, 05/31/26	USD		67		66,330
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
6.25%, 02/01/22			299		307,970
6.75%, 02/01/24			246		257,377
6.38%, 12/15/25			149		157,754
6.25%, 05/15/26^(c)			371		387,231
IHO Verwaltungs GmbH, (4.38% PIK), 3.63%, 05/15/25^(f)	EUR		100		112,378
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.:
4.38%, 05/15/26			100		112,103
6.25%, 05/15/26^(c)	USD		1,604		1,664,150
8.50%, 05/15/27^(c)			1,306		1,273,350
Tesla, Inc., 5.30%, 08/15/25^(c)			271		241,868

					5,317,124

Banks — 2.1%
Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25^(g)	EUR		100		114,439
Banco BPM SpA, 2.50%, 06/21/24			100		113,385
Banco Espirito Santo SA^(b)(h):
4.75%, 01/15/20⁽ⁱ⁾			100		23,080
4.00%, 01/21/19			100		23,080
Barclays PLC:
4.38%, 09/11/24	USD		580		595,894
3.65%, 03/16/25^(e)			3,600		3,667,176
5.20%, 05/12/26			200		212,330
BBVA Bancomer SA, 6.75%, 09/30/22^(c)			192		207,360
CIT Group, Inc.:
5.00%, 08/01/23			582		630,742
5.25%, 03/07/25			599		670,880
6.13%, 03/09/28			98		117,233
HSBC Holdings PLC, 4.38%, 11/23/26^(e)			395		424,550
Nordea Bank AB, 4.50%, 03/26/20	EUR		1,020		1,150,121
Promerica Financial Corp., 9.70%, 05/14/24^(c)	USD		200		213,375
Santander Holdings USA, Inc., 4.50%, 07/17/25^(e)			1,750		1,883,902
Santander UK Group Holdings PLC, 2.88%, 08/05/21^(e)			950		953,342
Standard Chartered PLC(3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24^(c)(e)(g)			1,500		1,548,220

					12,549,109

Beverages — 0.1%
Central American Bottling Corp., 5.75%, 01/31/27^(c)			176		185,955
Crown European Holdings SA, 2.25%, 02/01/23^(c)	EUR		100		116,741

					302,696

Building Materials — 0.0%
CEMEX Finance LLC, 4.63%, 06/15/24			100		115,403
Jeld-Wen, Inc., 4.63%, 12/15/25^(c)	USD		138		135,240

					250,643

Building Products — 0.3%
American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23^(c)			184		190,670
Beacon Roofing Supply, Inc., 4.88%, 11/01/25^(c)			18		17,753
CPG Merger Sub LLC, 8.00%, 10/01/21^(c)			324		324,405


SCHEDULES OF INVESTMENTS			25

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Building Products (continued)
Jeld-Wen, Inc., 4.88%, 12/15/27^(c)	USD		19	$	18,383
Masonite International Corp.^(c):
5.75%, 09/15/26			86		91,052
5.38%, 02/01/28			120		126,600
PGT Escrow Issuer, Inc., 6.75%, 08/01/26^(c)			107		115,292
Standard Industries, Inc.^(c):
5.50%, 02/15/23			66		67,650
5.38%, 11/15/24			404		415,615
6.00%, 10/15/25			600		630,750
5.00%, 02/15/27			36		36,900
4.75%, 01/15/28			46		46,230

					2,081,300

Cable Television Services — 0.0%
Cincinnati Bell, Inc., 8.00%, 10/15/25^(c)			146		128,156


Capital Markets — 0.3%
Intertrust Group BV, 3.38%, 11/15/25	EUR		100		116,717
LABL Escrow Issuer LLC, 6.75%, 07/15/26^(c)	USD		201		206,528
Morgan Stanley, 4.00%, 07/23/25^(e)			965		1,045,191
Owl Rock Capital Corp., 5.25%, 04/15/24			192		201,751
Stevens Holding Co., Inc., 6.13%, 10/01/26^(c)			167		173,680

					1,743,867

Chemicals — 1.4%
Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23^(c)(f)			256		247,360
Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25^(c)			1,830		1,816,275
Axalta Coating Systems LLC, 4.88%, 08/15/24^(c)			608		629,341
Blue Cube Spinco LLC:
9.75%, 10/15/23			596		654,110
10.00%, 10/15/25			380		426,550
Chemours Co.:
6.63%, 05/15/23			211		214,692
7.00%, 05/15/25			112		110,600
4.00%, 05/15/26	EUR		186		189,421
Cydsa SAB de CV, 6.25%, 10/04/27^(c)	USD		252		252,945
Element Solutions, Inc., 5.88%, 12/01/25^(c)			1,491		1,556,231
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(c)			165		168,713
NOVA Chemicals Corp., 4.88%, 06/01/24^(c)			67		68,759
Orbia Advance Corp SAB de CV, 5.50%, 01/15/48^(c)			200		205,062
PQ Corp.^(c):
6.75%, 11/15/22			444		460,739
5.75%, 12/15/25			543		556,575
Versum Materials, Inc., 5.50%, 09/30/24^(c)			158		170,245
WR Grace & Co-Conn^(c):
5.13%, 10/01/21			741		768,787
5.63%, 10/01/24			200		216,000

					8,712,405

Commercial Services & Supplies — 1.0%
ADT Security Corp.:
6.25%, 10/15/21			139		147,688
3.50%, 07/15/22			55		55,138
4.13%, 06/15/23			164		166,614
4.88%, 07/15/32^(c)			575		500,969
Advanced Disposal Services, Inc., 5.63%, 11/15/24^(c)			147		153,983
Booz Allen Hamilton, Inc., 5.13%, 05/01/25^(c)			383		393,532
Clean Harbors, Inc.^(c):
4.88%, 07/15/27			276		291,870
5.13%, 07/15/29			145		154,425


Security		Par (000)		Value

Commercial Services & Supplies (continued)
Core & Main LP, 6.13%, 08/15/25^(c)	USD		882	$	895,230
Fortress Transportation & Infrastructure Investors LLC^(c):
6.75%, 03/15/22			71		73,840
6.50%, 10/01/25			78		80,340
GFL Environmental, Inc., 8.50%, 05/01/27^(c)			352		385,440
Harland Clarke Holdings Corp., 8.38%, 08/15/22^(c)			398		315,415
KAR Auction Services, Inc., 5.13%, 06/01/25^(c)			380		391,400
Mobile Mini, Inc., 5.88%, 07/01/24			499		517,712
Pitney Bowes, Inc., 3.88%, 10/01/21^(e)			500		498,750
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25^(c)			472		491,470
United Rentals North America, Inc.:
4.63%, 10/15/25			383		393,896
5.50%, 05/15/27			339		363,750

					6,271,462

Communications Equipment — 0.9%
CommScope, Inc.^(c):
5.50%, 03/01/24			880		892,100
6.00%, 03/01/26			413		420,641
Motorola Solutions, Inc., 3.75%, 05/15/22^(e)			843		871,939
Nokia OYJ:
3.38%, 06/12/22			106		107,325
4.38%, 06/12/27			149		154,588
6.63%, 05/15/39			200		231,000
ViaSat, Inc., 5.63%, 04/15/27^(c)			571		606,687
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 04/01/23			531		547,663
6.38%, 05/15/25			535		550,381
5.75%, 01/15/27^(c)			1,200		1,224,000

					5,606,324

Construction & Engineering — 0.1%
Brand Industrial Services, Inc., 8.50%, 07/15/25^(c)			271		238,819
Frontdoor, Inc., 6.75%, 08/15/26^(c)			368		399,280
SRS Distribution, Inc., 8.25%, 07/01/26^(c)			204		199,920

					838,019

Construction Materials — 0.5%
American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26^(c)			256		271,360
HD Supply, Inc., 5.38%, 10/15/26^(c)			1,806		1,923,751
Navistar International Corp., 6.63%, 11/01/25^(c)			318		321,975
New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22^(c)			136		139,060
Williams Scotsman International, Inc.^(c):
7.88%, 12/15/22			109		114,791
6.88%, 08/15/23			391		409,572

					3,180,509

Consumer Discretionary — 0.4%
Dun & Bradstreet Corp., 6.88%, 08/15/26^(c)			1,114		1,207,297
Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25^(c)			135		133,313
Silversea Cruise Finance Ltd., 7.25%, 02/01/25^(c)			56		59,990
Viking Cruises Ltd.^(c):
6.25%, 05/15/25			315		326,025
5.88%, 09/15/27			893		926,488

					2,653,113

Consumer Finance — 1.8%
Ally Financial, Inc., 8.00%, 11/01/31			1,889		2,639,877
Credit Acceptance Corp., 6.63%, 03/15/26^(c)			158		170,937
Credivalores-Crediservicios SAS, 9.75%, 07/27/22^(c)			200		197,938
Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23^(f)	EUR		119		104,874


26		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Consumer Finance (continued)
Navient Corp.:
5.00%, 10/26/20	USD		310	$	317,362
6.63%, 07/26/21			113		120,910
6.50%, 06/15/22			85		92,013
5.50%, 01/25/23			241		253,122
7.25%, 09/25/23			257		285,270
6.13%, 03/25/24			86		91,268
5.88%, 10/25/24			145		152,539
6.75%, 06/25/25			105		112,875
6.75%, 06/15/26			108		115,560
Refinitiv US Holdings, Inc.:
4.50%, 05/15/26	EUR		100		118,968
4.50%, 05/15/26^(c)			400		475,871
6.25%, 05/15/26^(c)	USD		1,610		1,752,887
8.25%, 11/15/26^(c)			1,402		1,577,250
Springleaf Finance Corp.:
6.13%, 05/15/22			70		75,425
5.63%, 03/15/23			8		8,600
6.88%, 03/15/25			281		318,584
7.13%, 03/15/26			374		426,547
6.63%, 01/15/28			221		242,547
Verscend Escrow Corp., 9.75%, 08/15/26^(c)			1,310		1,402,460

					11,053,684

Containers & Packaging — 1.5%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
4.63%, 05/15/23^(c)			990		1,013,225
4.13%, 08/15/26^(c)			262		264,942
4.75%, 07/15/27^(c)	GBP		100		122,948
4.75%, 07/15/27			100		122,948
Berry Global, Inc., 4.88%, 07/15/26^(c)	USD		442		464,100
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26			196		203,350
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26			523		549,150
Greif, Inc., 6.50%, 03/01/27^(c)			61		64,050
Intertape Polymer Group, Inc., 7.00%, 10/15/26^(c)			201		208,537
Mauser Packaging Solutions Holding Co.:
4.75%, 04/15/24	EUR		100		113,532
5.50%, 04/15/24^(c)	USD		1,450		1,489,875
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^(c):
(3 mo. LIBOR US + 3.50%), 5.80%, 07/15/21^(d)			433		432,459
5.13%, 07/15/23			146		150,095
7.00%, 07/15/24			764		789,785
Sealed Air Corp.^(c):
5.13%, 12/01/24			46		49,277
6.88%, 07/15/33			44		51,260
Suzano Austria GmbH, 6.00%, 01/15/29			517		572,552
Trivium Packaging Finance BV:
3.75%, 08/15/26	EUR		100		117,324
5.50%, 08/15/26^(c)	USD		804		850,230
8.50%, 08/15/27^(c)			1,167		1,254,525

					8,884,164

Diversified Consumer Services — 0.7%
APX Group, Inc.:
8.75%, 12/01/20			243		230,850
7.88%, 12/01/22			336		319,620
Ascend Learning LLC, 6.88%, 08/01/25^(c)			994		1,030,032
Graham Holdings Co., 5.75%, 06/01/26^(c)			211		225,770
Laureate Education, Inc., 8.25%, 05/01/25^(c)			114		124,118


Security		Par (000)		Value

Diversified Consumer Services (continued)
Matthews International Corp., 5.25%, 12/01/25^(c)	USD		108	$	102,870
Pinnacle Bidco PLC, 6.38%, 02/15/25	GBP		100		128,679
Prime Security Services Borrower LLC/Prime Finance, Inc.^(c):
9.25%, 05/15/23	USD		251		263,952
5.25%, 04/15/24			353		364,617
5.75%, 04/15/26			316		329,430
Service Corp. International, 5.13%, 06/01/29			288		308,160
ServiceMaster Co. LLC, 5.13%, 11/15/24^(c)			797		836,555
Verisure Holding AB, 3.50%, 05/15/23	EUR		100		114,689

					4,379,342

Diversified Financial Services — 1.1%
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26^(c)	USD		1,080		1,147,500
Cabot Financial Luxembourg II SA (3 mo. EURIBOR + 6.38%), 6.38%, 06/14/24^(d)	EUR		100		113,321
Controladora Mabe SA de CV, 5.60%, 10/23/28^(c)	USD		200		212,500
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26^(c)			223		226,345
FS Energy & Power Fund, 7.50%, 08/15/23^(c)			45		44,662
Garfunkelux Holdco 3 SA, 7.50%, 08/01/22	EUR		100		104,566
General Motors Financial Co., Inc., 4.38%, 09/25/21^(e)	USD		530		548,886
Gilex Holding Sarl, 8.50%, 05/02/23^(c)			182		194,285
Intesa Sanpaolo SpA, 5.02%, 06/26/24^(c)(e)			2,442		2,503,071
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24^(f)	EUR		100		113,477
Lloyds Banking Group PLC (5 year CMT + 4.82%), 6.75%^(g)(j)	USD		450		455,625
MSCI, Inc., 5.25%, 11/15/24^(c)			105		109,011
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25^(c)			710		729,383
WMG Acquisition Corp., 5.50%, 04/15/26^(c)			166		173,885

					6,676,517

Diversified Telecommunication Services — 1.4%
CenturyLink, Inc.:
5.63%, 04/01/25			566		578,735
Series P, 7.60%, 09/15/39			142		136,320
Series U, 7.65%, 03/15/42			142		135,610
Series W, 6.75%, 12/01/23			732		793,305
Series Y, 7.50%, 04/01/24			644		714,827
Cincinnati Bell, Inc., 7.00%, 07/15/24^(c)			382		348,575
Embarq Corp., 8.00%, 06/01/36			428		419,594
Frontier Communications Corp.^(c):
8.50%, 04/01/26			164		159,490
8.00%, 04/01/27			1,478		1,540,815
GCI LLC, 6.63%, 06/15/24^(c)			153		163,327
Level 3 Financing, Inc.:
5.38%, 08/15/22			184		184,690
5.63%, 02/01/23			61		62,050
5.13%, 05/01/23			295		299,806
5.38%, 05/01/25			90		93,600
5.25%, 03/15/26			909		947,632
SoftBank Group Corp., 4.75%, 07/30/25	EUR		100		125,282
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		137		144,878
6.00%, 09/30/34			244		250,100
7.20%, 07/18/36			19		21,185
7.72%, 06/04/38			58		66,990
Telecom Italia SpA:
4.00%, 04/11/24	EUR		150		182,647


SCHEDULES OF INVESTMENTS			27

Schedule of Investments (continued)

August 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 SpA (continued):
5.30%, 05/30/24^(c)	USD		600	$	642,000
2.75%, 04/15/25	EUR		100		115,267
Verizon Communications, Inc., 3.38%, 02/15/25^(e)	USD		156		165,546

					8,292,271

Electric Utilities — 0.5%
AES Corp., 5.50%, 04/15/25			152		158,654
Black Hills Corp., 3.15%, 01/15/27^(e)			305		312,508
DPL, Inc., 7.25%, 10/15/21			15		16,087
Enel Finance International NV, 3.63%, 05/25/27^(c)(e)			900		924,958
Energuate Trust, 5.88%, 05/03/27^(c)			200		201,000
Exelon Corp., 3.40%, 04/15/26^(e)			140		148,339
Inkia Energy Ltd., 5.88%, 11/09/27^(c)			377		392,905
NextEra Energy Operating Partners LP^(c):
4.25%, 07/15/24			528		542,520
4.25%, 09/15/24			101		104,737
4.50%, 09/15/27			128		131,520
Talen Energy Supply LLC:
6.50%, 06/01/25			50		38,000
10.50%, 01/15/26^(c)			50		45,450
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.:
10.25%, 11/01/15^(a)			47		—
10.50%, 11/01/19^(h)			31		146
11.50%, 10/01/20^(a)			300		—

					3,016,824

Electronic Equipment, Instruments & Components — 0.1%
CDW LLC/CDW Finance Corp.:
5.00%, 09/01/23			72		73,440
5.50%, 12/01/24			521		567,239
5.00%, 09/01/25			107		111,815
Itron, Inc., 5.00%, 01/15/26^(c)			25		25,562

					778,056

Energy Equipment & Services — 0.5%
Apergy Corp., 6.38%, 05/01/26			239		240,195
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27^(c)			147		153,982
Gates Global LLC/Gates Global Co., 6.00%, 07/15/22^(c)			442		439,790
Halliburton Co., 3.80%, 11/15/25^(e)			100		106,000
McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.63%, 05/01/24^(c)			192		135,600
Odebrecht Oil & Gas Finance Ltd., 0.00%^(c)(j)(k)			43		320
Pattern Energy Group, Inc., 5.88%, 02/01/24^(c)			299		309,465
Transocean, Inc.:
8.38%, 12/15/21			51		52,721
9.00%, 07/15/23^(c)			657		679,161
7.50%, 01/15/26^(c)			129		117,712
USA Compression Partners LP/USA Compression Finance Corp.:
6.88%, 04/01/26			245		251,125
6.88%, 09/01/27^(c)			503		517,376

					3,003,447

Environmental, Maintenance, & Security Service — 0.2%
GFL Environmental, Inc., 7.00%, 06/01/26^(c)			494		512,525
Tervita Corp., 7.63%, 12/01/21^(c)			343		348,145
Waste Pro USA, Inc., 5.50%, 02/15/26^(c)			148		153,920

					1,014,590

Equity Real Estate Investment Trusts (REITs) — 1.9%
AvalonBay Communities, Inc., 3.45%, 06/01/25^(e)			1,245		1,327,167


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26^(c)	USD		167	$	175,767
ERP Operating LP, 3.38%, 06/01/25^(e)			1,015		1,083,714
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25^(c)			224		224,700
GLP Capital LP/GLP Financing II, Inc.:
5.25%, 06/01/25			108		118,744
5.38%, 04/15/26			174		190,993
Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24			337		343,740
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25			30		30,975
Iron Mountain, Inc., 4.88%, 09/15/27^(c)			397		407,671
iStar, Inc.:
4.63%, 09/15/20			33		33,413
6.00%, 04/01/22			62		63,627
5.25%, 09/15/22			67		68,675
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26			40		43,168
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:
5.63%, 05/01/24			1,334		1,457,395
4.50%, 09/01/26			678		710,205
5.75%, 02/01/27^(c)			27		29,807
4.50%, 01/15/28			254		259,715
MPT Operating Partnership LP/MPT Finance Corp.:
5.50%, 05/01/24			73		75,099
5.00%, 10/15/27			991		1,057,892
4.63%, 08/01/29			456		474,240
SBA Communications Corp., 4.88%, 09/01/24			1,195		1,236,825
Starwood Property Trust, Inc., 5.00%, 12/15/21			234		242,775
Trust F/1401, 6.95%, 01/30/44			706		818,298
Ventas Realty LP, 4.13%, 01/15/26^(e)			650		704,349
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23			224		244,243

					11,423,197

Food & Staples Retailing — 0.3%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:
6.63%, 06/15/24			186		194,835
5.75%, 03/15/25			70		71,750
Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC^(c):
7.50%, 03/15/26			107		119,038
5.88%, 02/15/28			291		306,673
B&M European Value Retail SA, 4.13%, 02/01/22	GBP		100		123,314
BRF GmbH, 4.35%, 09/29/26	USD		200		195,500
Post Holdings, Inc.^(c):
5.63%, 01/15/28			73		77,745
5.50%, 12/15/29			310		327,735
Tesco Corporate Treasury Services PLC, 2.50%, 05/02/25	GBP		100		124,722

					1,541,312

Food Products — 0.9%
Aramark Services, Inc.^(c):
5.00%, 04/01/25	USD		79		81,619
5.00%, 02/01/28			382		396,802
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25^(c)			416		383,760
Darling Ingredients, Inc., 5.25%, 04/15/27^(c)			124		132,060


28		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Food Products (continued)
Graphic Packaging International LLC, 4.75%, 07/15/27^(c)	USD		135	$	141,750
JBS USA LUX SA/JBS USA Finance, Inc.^(c):
5.88%, 07/15/24			412		424,162
5.75%, 06/15/25			1,006		1,046,869
6.75%, 02/15/28			217		239,921
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.^(c):
6.50%, 04/15/29			735		814,012
5.50%, 01/15/30			606		642,360
MARB BondCo PLC:
7.00%, 03/15/24			200		204,000
6.88%, 01/19/25^(c)			200		204,063
Post Holdings, Inc.^(c):
5.50%, 03/01/25			246		257,378
5.75%, 03/01/27			253		268,812
Simmons Foods, Inc., 7.75%, 01/15/24^(c)			270		291,600

					5,529,168

Health Care Equipment & Supplies — 0.9%
Avantor, Inc.^(c):
6.00%, 10/01/24			1,750		1,876,875
9.00%, 10/01/25			1,182		1,329,750
Hologic, Inc.^(c):
4.38%, 10/15/25			45		46,013
4.63%, 02/01/28			174		179,872
Immucor, Inc., 11.13%, 02/15/22^(c)			100		101,250
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22^(c)			1,656		1,598,040
Teleflex, Inc.:
5.25%, 06/15/24			250		257,500
4.88%, 06/01/26			87		91,651
4.63%, 11/15/27			58		61,328

					5,542,279

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)			205		220,196
Centene Corp.:
6.13%, 02/15/24			37		38,776
5.38%, 06/01/26^(c)			2,014		2,153,067
CHS/Community Health Systems, Inc.^(c):
8.63%, 01/15/24			663		663,000
8.00%, 03/15/26			575		552,000
Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22^(c)(f)			97		97,970
Encompass Health Corp., 5.75%, 11/01/24			73		73,913
Envision Healthcare Crop., 8.75%, 10/15/26^(c)			321		174,945
HCA, Inc.:
5.38%, 02/01/25			490		543,900
5.88%, 02/15/26			46		52,475
5.38%, 09/01/26			337		375,755
5.63%, 09/01/28			1,000		1,137,812
5.88%, 02/01/29			882		1,015,402
MEDNAX, Inc., 5.25%, 12/01/23^(c)			168		168,840
Molina Healthcare, Inc.:
5.38%, 11/15/22			172		183,832
4.88%, 06/15/25^(c)			238		242,760
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(c)			505		451,374
NVA Holdings, Inc., 6.88%, 04/01/26^(c)			175		186,865
Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22^(c)(f)			667		560,000
Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23^(c)			599		640,361


Security		Par (000)		Value

Health Care Providers & Services (continued)
Sotera Health Holdings LLC, 6.50%, 05/15/23^(c)	USD		366	$	372,405
Surgery Center Holdings, Inc.^(c):
6.75%, 07/01/25			432		369,628
10.00%, 04/15/27			267		255,652
Team Health Holdings, Inc., 6.38%, 02/01/25^(c)			265		177,550
Tenet Healthcare Corp.:
6.00%, 10/01/20			580		602,620
8.13%, 04/01/22			502		540,855
4.63%, 07/15/24			530		545,237
4.63%, 09/01/24^(c)			377		388,310
4.88%, 01/01/26^(c)			1,466		1,506,462
6.25%, 02/01/27^(c)			537		557,137
5.13%, 11/01/27^(c)			1,004		1,037,885
UnitedHealth Group, Inc., 3.75%, 07/15/25^(e)			1,470		1,599,011
Vizient, Inc., 6.25%, 05/15/27^(c)			407		437,525
WellCare Health Plans, Inc.:
5.25%, 04/01/25			310		324,585
5.38%, 08/15/26^(c)			343		365,724

					18,760,924

Health Care Services — 0.0%
Avaya, Inc. Escrow, 7.00%^(a)(b)(h)			183		—


Health Care Technology — 0.4%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25^(c)			751		755,852
IQVIA, Inc.:
3.25%, 03/15/25	EUR		148		167,339
3.25%, 03/15/25^(c)			100		113,067
5.00%, 10/15/26^(c)	USD		463		488,465
5.00%, 05/15/27^(c)			637		672,831

					2,197,554

Hotels, Restaurants & Leisure — 3.9%
1011778 BC ULC/New Red Finance, Inc.^(c):
4.25%, 05/15/24			273		281,807
5.00%, 10/15/25			1,890		1,951,425
Boyd Gaming Corp., 6.00%, 08/15/26			112		118,300
Boyne USA, Inc., 7.25%, 05/01/25^(c)			220		240,075
Cedar Fair LP, 5.25%, 07/15/29^(c)			279		302,715
Churchill Downs, Inc.^(c):
5.50%, 04/01/27			808		858,500
4.75%, 01/15/28			214		220,420
Cirsa Finance International Sarl, 7.88%, 12/20/23^(c)			200		211,300
CPUK Finance Ltd., 4.25%, 02/28/47	GBP		100		122,821
Eldorado Resorts, Inc.:
6.00%, 04/01/25	USD		91		96,460
6.00%, 09/15/26			117		127,969
ESH Hospitality, Inc., 5.25%, 05/01/25^(c)			285		294,619
Golden Nugget, Inc., 6.75%, 10/15/24^(c)			1,271		1,299,597
Hilton Domestic Operating Co., Inc.:
5.13%, 05/01/26			697		735,683
4.88%, 01/15/30^(c)			917		981,190
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27			49		51,573
IRB Holding Corp., 6.75%, 02/15/26^(c)			117		117,585
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC^(c):
5.00%, 06/01/24			35		36,181
5.25%, 06/01/26			368		389,160
4.75%, 06/01/27			5		5,238
Lions Gate Capital Holdings LLC^(c):
6.38%, 02/01/24			25		26,405
5.88%, 11/01/24			171		177,840


SCHEDULES OF INVESTMENTS			29

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
McDonald’s Corp., 3.70%, 01/30/26^(e)	USD		405	$	439,454
MGM Resorts International:
6.63%, 12/15/21			992		1,078,800
7.75%, 03/15/22			453		508,597
4.63%, 09/01/26			11		11,385
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 04/15/21			494		494,617
Sabre GLBL, Inc.^(c):
5.38%, 04/15/23			147		150,675
5.25%, 11/15/23			210		215,775
Scientific Games International, Inc.:
5.00%, 10/15/25^(c)			1,026		1,060,104
3.38%, 02/15/26	EUR		100		112,048
8.25%, 03/15/26^(c)	USD		850		901,000
Six Flags Entertainment Corp.^(c):
4.88%, 07/31/24			849		878,715
5.50%, 04/15/27			329		352,030
Spirit Issuer PLC:
Series A2, (3 mo. LIBOR GBP + 2.70%), 3.47%, 12/28/31^(d)	GBP		1,800		2,135,483
Series A5, 5.47%, 12/28/34			4,500		5,694,400
Station Casinos LLC, 5.00%, 10/01/25^(c)	USD		279		284,608
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27	GBP		52		70,456
Wyndham Destinations, Inc.:
5.40%, 04/01/24	USD		13		13,646
5.75%, 04/01/27			64		68,320
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26^(c)			121		126,747
Wynn Macau Ltd., 5.50%, 10/01/27^(c)			600		591,750
Yum! Brands, Inc.:
3.88%, 11/01/23			98		100,695
5.35%, 11/01/43			71		67,450

					24,003,618

Household Durables — 0.6%
Algeco Global Finance PLC, 8.00%, 02/15/23^(c)			400		400,300
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22^(c)			207		209,846
Lennar Corp.:
8.38%, 01/15/21			134		144,050
6.25%, 12/15/21			380		402,325
4.88%, 12/15/23			122		130,845
4.75%, 05/30/25			260		278,200
5.25%, 06/01/26			28		30,485
4.75%, 11/29/27			360		391,500
Mattamy Group Corp.^(c):
6.88%, 12/15/23			113		117,661
6.50%, 10/01/25			172		182,320
MDC Holdings, Inc., 6.00%, 01/15/43			122		125,050
Meritage Homes Corp., 5.13%, 06/06/27			77		81,043
PulteGroup, Inc., 6.38%, 05/15/33			469		510,038
Taylor Morrison Communities, Inc., 5.88%, 06/15/27^(c)			264		283,140
Tempur Sealy International, Inc., 5.50%, 06/15/26			180		188,100
TRI Pointe Group, Inc.:
4.88%, 07/01/21			112		115,500
5.25%, 06/01/27			15		15,225
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24			11		11,825

					3,617,453

Household Products — 0.2%
ACCO Brands Corp., 5.25%, 12/15/24^(c)			85		87,231
Berkline Benchcraft LLC, 4.50%, 06/01/20^(a)(b)(h)			200		—


Security		Par (000)		Value

Household Products (continued)
Energizer Holdings, Inc.^(c):
6.38%, 07/15/26	USD		46	$	48,473
7.75%, 01/15/27			441		482,344
Spectrum Brands, Inc., 6.63%, 11/15/22			407		414,122

					1,032,170

Independent Power and Renewable Electricity Producers — 1.1%
AES Corp.:
4.50%, 03/15/23			187		192,217
4.88%, 05/15/23			166		168,282
6.00%, 05/15/26			230		246,615
5.13%, 09/01/27			45		48,241
Calpine Corp.:
5.38%, 01/15/23			1,158		1,173,830
5.88%, 01/15/24^(c)			480		490,253
5.75%, 01/15/25			520		527,800
5.25%, 06/01/26^(c)			638		645,975
Clearway Energy Operating LLC:
5.38%, 08/15/24			443		454,075
5.75%, 10/15/25^(c)			271		282,523
NRG Energy, Inc.:
6.63%, 01/15/27			1,008		1,088,640
5.75%, 01/15/28			596		642,190
5.25%, 06/15/29^(c)			570		608,230
TerraForm Power Operating LLC^(c):
4.25%, 01/31/23			181		185,462
6.63%, 06/15/25^(l)			30		31,650
5.00%, 01/31/28			181		188,470

					6,974,453

Industrial Conglomerates — 0.1%
Algeco Global Finance PLC, 6.50%, 02/15/23	EUR		100		113,899
BWX Technologies, Inc., 5.38%, 07/15/26^(c)	USD		209		221,018
Vertiv Group Corp., 9.25%, 10/15/24^(c)			541		511,245

					846,162

Insurance — 1.5%
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24^(c)			130		140,075
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23^(c)			1,247		1,273,499
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25^(e)			360		374,268
AmWINS Group, Inc., 7.75%, 07/01/26^(c)			221		232,050
Aon PLC, 3.88%, 12/15/25^(e)			1,115		1,209,005
Assicurazioni Generali SpA(3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47^(g)	EUR		100		132,161
CNO Financial Group, Inc., 5.25%, 05/30/29	USD		352		388,960
Global Atlantic Fin Co., 8.63%, 04/15/21^(c)			750		813,840
GTCR AP Finance, Inc., 8.00%, 05/15/27^(c)			281		285,917
HUB International Ltd., 7.00%, 05/01/26^(c)			1,254		1,272,810
Lincoln National Corp., 3.35%, 03/09/25^(e)			845		877,415
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41^(g)	EUR		400		486,593
Nationstar Mortgage Holdings, Inc.^(c):
8.13%, 07/15/23	USD		712		737,333
9.13%, 07/15/26			144		152,280
Nationwide Building Society (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32^(c)(e)(g)			595		591,198

					8,967,404

Interactive Media & Services — 0.5%
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27^(c)			303		319,665


30		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interactive Media & Services (continued)
Match Group, Inc., 5.63%, 02/15/29^(c)	USD		177	$	191,824
Netflix, Inc.:
4.88%, 04/15/28			109		114,041
5.88%, 11/15/28			601		672,369
3.88%, 11/15/29	EUR		100		118,753
5.38%, 11/15/29^(c)	USD		579		629,662
Rackspace Hosting, Inc., 8.63%, 11/15/24^(c)			154		141,295
Symantec Corp., 5.00%, 04/15/25^(c)			197		198,298
Uber Technologies, Inc.^(c):
7.50%, 11/01/23			342		357,390
8.00%, 11/01/26			184		193,545
United Group BV, 4.38%, 07/01/22	EUR		126		141,591

					3,078,433

IT Services — 0.5%
Banff Merger Sub, Inc.:
8.38%, 09/01/26			110		108,806
9.75%, 09/01/26^(c)	USD		1,408		1,281,280
Gartner, Inc., 5.13%, 04/01/25^(c)			174		182,481
InterXion Holding NV, 4.75%, 06/15/25	EUR		100		119,687
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27^(c)	USD		835		863,181
WEX, Inc., 4.75%, 02/01/23^(c)			177		178,327
Xerox Corp.:
4.80%, 03/01/35			336		291,480
6.75%, 12/15/39			50		50,475

					3,075,717

Leisure Products — 0.1%
Mattel, Inc., 6.75%, 12/31/25^(c)			712		731,580


Machinery — 0.6%
Colfax Corp.^(c):
6.00%, 02/15/24			575		613,094
6.38%, 02/15/26			270		293,625
Manitowoc Co., Inc., 9.00%, 04/01/26^(c)			242		240,790
Mueller Water Products, Inc., 5.50%, 06/15/26^(c)			233		245,232
Platin 1426 GmbH, 5.38%, 06/15/23	EUR		109		118,613
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25^(c)	USD		353		363,590
SPX FLOW, Inc.^(c):
5.63%, 08/15/24			206		215,012
5.88%, 08/15/26			89		93,895
Terex Corp., 5.63%, 02/01/25^(c)			758		771,318
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26^(c)			797		721,285
Wabash National Corp., 5.50%, 10/01/25^(c)			241		237,665

					3,914,119

Media — 7.8%
Altice Financing SA^(c):
6.63%, 02/15/23			440		453,750
7.50%, 05/15/26			743		791,295
Altice France SA:
6.25%, 05/15/24^(c)			200		206,184
7.38%, 05/01/26^(c)			2,104		2,246,020
5.88%, 02/01/27	EUR		100		121,582
8.13%, 02/01/27^(c)	USD		707		779,467
Altice Luxembourg SA^(c):
7.75%, 05/15/22			1,065		1,092,184
7.63%, 02/15/25			868		897,295
10.50%, 05/15/27			873		949,387
AMC Networks, Inc., 4.75%, 08/01/25			542		553,517
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 02/15/23			270		274,388
4.00%, 03/01/23^(c)			670		676,700


Security		Par (000)		Value

Media (continued)
5.13%, 05/01/27^(c)	USD		1,447	$	1,530,188
5.88%, 05/01/27^(c)			349		371,685
5.00%, 02/01/28^(c)			106		111,300
5.38%, 06/01/29^(c)			1,401		1,497,319
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25^(e)			2,425		2,679,635
Clear Channel International BV, 8.75%, 12/15/20^(c)			560		572,247
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			1,197		1,222,939
9.25%, 02/15/24^(c)			1,889		2,070,816
5.13%, 08/15/27^(c)			1,638		1,713,757
Series B, 6.50%, 11/15/22			1,570		1,604,022
Comcast Corp., 3.95%, 10/15/25^(e)			3,000		3,288,285
CSC Holdings LLC:
6.75%, 11/15/21			187		201,960
5.38%, 07/15/23^(c)			1,109		1,139,786
5.25%, 06/01/24			123		131,610
7.75%, 07/15/25^(c)			202		216,898
6.63%, 10/15/25^(c)			235		251,586
10.88%, 10/15/25^(c)			1,614		1,831,890
5.50%, 05/15/26^(c)			200		211,500
5.38%, 02/01/28^(c)			200		213,552
6.50%, 02/01/29^(c)			822		921,154
5.75%, 01/15/30^(c)			503		526,264
Series 144S, 5.13%, 12/15/21^(c)			493		493,616
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26^(c)			845		887,250
Discovery Communications LLC^(e):
3.25%, 04/01/23			1,490		1,536,437
3.45%, 03/15/25			170		175,432
DISH DBS Corp.:
6.75%, 06/01/21			461		485,571
5.88%, 07/15/22			945		978,075
5.00%, 03/15/23			358		351,288
5.88%, 11/15/24			217		206,432
eircom Finance DAC, 3.50%, 05/15/26	EUR		100		117,324
Entercom Media Corp., 6.50%, 05/01/27^(c)	USD		286		296,010
Gray Television, Inc., 7.00%, 05/15/27^(c)			227		248,213
Hughes Satellite Systems Corp., 5.25%, 08/01/26			177		187,620
iHeartCommunications, Inc.:
6.38%, 05/01/26			161		174,065
5.25%, 08/15/27^(c)			327		343,818
Intelsat Jackson Holdings SA:
5.50%, 08/01/23			1,009		918,190
8.50%, 10/15/24^(c)			851		844,617
9.75%, 07/15/25^(c)			631		647,564
Lamar Media Corp., 5.75%, 02/01/26			124		131,440
Level 3 Parent LLC, 5.75%, 12/01/22			405		408,038
Live Nation Entertainment, Inc., 4.88%, 11/01/24^(c)			29		30,051
MDC Partners, Inc., 6.50%, 05/01/24^(c)			190		172,900
Meredith Corp., 6.88%, 02/01/26			154		162,470
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27^(c)			177		183,731
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, 03/15/25			54		55,823
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25^(c)			146		149,103
Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23^(c)			60		61,200
Sable International Finance Ltd., 5.75%, 09/07/27^(c)			200		209,000


SCHEDULES OF INVESTMENTS			31

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
Sirius XM Radio, Inc.^(c):
4.63%, 07/15/24	USD		152	$	158,650
5.00%, 08/01/27			332		350,260
5.50%, 07/01/29			489		532,868
TEGNA, Inc.:
5.13%, 10/15/19			105		105,116
5.50%, 09/15/24^(c)			66		67,650
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28^(c)			200		203,400
Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27	EUR		70		84,434
Telesat Canada/Telesat LLC, 8.88%, 11/15/24^(c)	USD		129		139,561
Tribune Media Co., 5.88%, 07/15/22			302		306,436
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 3.50%, 01/15/27	EUR		100		116,775
Univision Communications, Inc.^(c):
5.13%, 05/15/23	USD		366		361,425
5.13%, 02/15/25			133		128,330
Videotron Ltd., 5.13%, 04/15/27^(c)			439		462,048
Virgin Media Finance PLC, 5.75%, 01/15/25^(c)			855		888,952
Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24	GBP		100		124,903
Virgin Media Secured Finance PLC:
5.13%, 01/15/25			100		125,920
5.50%, 08/15/26^(c)	USD		200		209,250
5.50%, 05/15/29^(c)			200		209,000
Ziggo Bond Co. BV^(c):
5.88%, 01/15/25			470		485,863
6.00%, 01/15/27			199		207,458
Ziggo BV:
4.25%, 01/15/27	EUR		100		119,490
5.50%, 01/15/27^(c)	USD		516		544,354

					47,737,583

Metals & Mining — 1.9%
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25^(c)			221		233,708
Constellium SE^(c):
5.75%, 05/15/24			756		778,680
6.63%, 03/01/25			1,269		1,328,484
5.88%, 02/15/26			838		873,615
Freeport-McMoRan, Inc.:
3.55%, 03/01/22			686		687,715
3.88%, 03/15/23			1,394		1,408,498
5.00%, 09/01/27			226		225,435
5.25%, 09/01/29			245		242,920
5.40%, 11/14/34			161		154,560
5.45%, 03/15/43			1,747		1,594,137
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24^(c)			200		213,000
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23^(c)			271		257,111
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22^(c)			135		141,750
Kaiser Aluminum Corp., 5.88%, 05/15/24			112		116,200
Nexa Resources SA, 5.38%, 05/04/27^(c)			237		248,169
Novelis Corp.^(c):
6.25%, 08/15/24			1,373		1,438,217
5.88%, 09/30/26			502		530,238
Steel Dynamics, Inc.:
5.25%, 04/15/23			200		203,200
5.50%, 10/01/24			56		57,708
4.13%, 09/15/25			206		207,545
5.00%, 12/15/26			15		15,675
thyssenkrupp AG, 2.88%, 02/22/24	EUR		84		95,634


Security		Par (000)		Value

Metals & Mining (continued)
Usiminas International Sarl, 5.88%, 07/18/26^(c)	USD		200	$	201,200
Vale Overseas Ltd., 6.25%, 08/10/26^(e)			188		216,529

					11,469,928

Multi-Utilities — 0.3%
Brooklyn Union Gas Co., 3.41%, 03/10/26^(c)(e)			1,475		1,553,022
Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26^(c)			314		328,915

					1,881,937

Offshore Drilling & Other Services — 0.0%
Entegris, Inc., 4.63%, 02/10/26^(c)			190		195,700


Oil, Gas & Consumable Fuels — 5.6%
Aker BP ASA, 4.75%, 06/15/24^(c)			508		519,430
Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27			185		195,728
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24			55		51,838
Antero Resources Corp., 5.38%, 11/01/21			47		45,649
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22^(c)			239		239,597
Berry Petroleum Co. LLC, 7.00%, 02/15/26^(c)			149		136,708
Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25			160		142,400
California Resources Corp., 8.00%, 12/15/22^(c)			126		72,450
Callon Petroleum Co.:
6.13%, 10/01/24			180		174,600
Series WI, 6.38%, 07/01/26			292		283,240
Carrizo Oil & Gas, Inc.:
6.25%, 04/15/23			232		221,908
8.25%, 07/15/25			243		235,710
Centennial Resource Production LLC, 6.88%, 04/01/27^(c)			219		219,000
Cheniere Corpus Christi Holdings LLC:
7.00%, 06/30/24			623		718,786
5.88%, 03/31/25			382		425,930
5.13%, 06/30/27			991		1,093,816
Cheniere Energy Partners LP:
5.63%, 10/01/26			258		272,190
Series WI, 5.25%, 10/01/25			48		49,620
Chesapeake Energy Corp.:
6.63%, 08/15/20			349		348,145
4.88%, 04/15/22			300		248,625
5.75%, 03/15/23			75		60,000
7.00%, 10/01/24			136		103,700
8.00%, 03/15/26^(c)			163		116,545
8.00%, 06/15/27			628		453,736
CNX Resources Corp., 5.88%, 04/15/22			1,823		1,763,752
Comstock Resources, Inc., 9.75%, 08/15/26			155		116,638
CONSOL Energy, Inc., 11.00%, 11/15/25^(c)			632		650,960
Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25^(c)			210		149,100
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
6.25%, 04/01/23			21		21,368
5.63%, 05/01/27^(c)			389		388,876
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25^(c)			1,170		1,158,300
DCP Midstream Operating LP:
5.38%, 07/15/25			188		198,810
5.13%, 05/15/29			153		156,833
6.45%, 11/03/36^(c)			226		236,735
6.75%, 09/15/37^(c)			392		411,600


32		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Denbury Resources, Inc.^(c):
9.00%, 05/15/21	USD		80	$	72,800
9.25%, 03/31/22			326		273,840
eG Global Finance PLC:
4.38%, 02/07/25	EUR		100		106,745
6.75%, 02/07/25^(c)	USD		396		382,140
Enbridge, Inc. (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78^(e)(g)			1,565		1,631,512
Endeavor Energy Resources LP/EER Finance, Inc.^(c):
5.50%, 01/30/26			650		675,187
5.75%, 01/30/28			277		290,157
EnLink Midstream LLC, 5.38%, 06/01/29			82		80,237
EnLink Midstream Partners LP:
4.40%, 04/01/24			240		237,600
4.15%, 06/01/25			24		22,920
4.85%, 07/15/26			108		105,840
5.60%, 04/01/44			176		148,720
5.05%, 04/01/45			220		181,500
5.45%, 06/01/47			31		26,195
Extraction Oil & Gas, Inc.^(c):
7.38%, 05/15/24			182		136,500
5.63%, 02/01/26			439		289,740
Genesis Energy LP/Genesis Energy Finance Corp.:
6.00%, 05/15/23			78		77,415
5.63%, 06/15/24			41		39,155
6.50%, 10/01/25			95		92,506
6.25%, 05/15/26			111		106,048
Geopark Ltd., 6.50%, 09/21/24^(c)			200		204,062
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21^(c)			495		434,362
Hess Corp., 4.30%, 04/01/27			50		52,341
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26^(c)			210		217,350
Impulsora Pipeline LLC, 6.05%, 12/31/42^(a)			1,469		1,577,528
Indigo Natural Resources LLC, 6.88%, 02/15/26^(c)			355		292,875
Matador Resources Co., 5.88%, 09/15/26			321		310,969
MEG Energy Corp.^(c):
6.38%, 01/30/23			173		163,485
7.00%, 03/31/24			61		58,026
6.50%, 01/15/25			813		817,065
Murphy Oil Corp.:
5.75%, 08/15/25			105		106,281
5.63%, 12/01/42			105		91,350
Nabors Industries, Inc.:
5.00%, 09/15/20			46		45,770
4.63%, 09/15/21			186		177,165
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26^(c)			74		75,887
NGPL PipeCo LLC, 7.77%, 12/15/37^(c)			417		543,676
Noble Holding International Ltd.:
7.75%, 01/15/24			18		11,970
7.88%, 02/01/26^(c)			646		521,645
Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 8.50%, 05/15/23^(f)			54		55,201
NuStar Logistics LP, 6.00%, 06/01/26			163		174,818
Odebrecht Offshore Drilling Finance Ltd.^(c):
6.72%, 12/01/22			72		70,071
(7.72% PIK), 7.72%, 12/01/26^(f)			8		2,149
Pacific Drilling SA, 8.38%, 10/01/23^(c)			761		694,412
Parsley Energy LLC/Parsley Finance Corp.^(c):
6.25%, 06/01/24			139		144,213
5.38%, 01/15/25			296		301,920
5.25%, 08/15/25			59		59,885
5.63%, 10/15/27			316		325,480


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25	USD		212	$	219,613
PDC Energy, Inc.:
1.13%, 09/15/21^(m)			888		822,788
6.13%, 09/15/24			103		102,743
5.75%, 05/15/26			108		105,559
Petrobras Global Finance BV:
6.13%, 01/17/22			114		122,229
5.30%, 01/27/25			152		164,532
8.75%, 05/23/26			176		219,912
6.00%, 01/27/28			189		207,002
7.25%, 03/17/44			160		189,250
Petroleos Mexicanos:
5.38%, 03/13/22			39		39,878
6.50%, 03/13/27			117		119,497
QEP Resources, Inc.:
6.88%, 03/01/21			456		452,580
5.38%, 10/01/22			122		109,800
5.25%, 05/01/23			96		84,000
5.63%, 03/01/26			165		133,650
Range Resources Corp.:
5.75%, 06/01/21			166		164,340
5.88%, 07/01/22			52		49,790
5.00%, 08/15/22			60		55,950
4.88%, 05/15/25			191		156,620
Rowan Cos., Inc., 4.88%, 06/01/22			527		429,505
SM Energy Co.:
6.13%, 11/15/22			42		39,060
5.00%, 01/15/24			142		124,250
5.63%, 06/01/25			125		106,250
6.75%, 09/15/26			27		22,950
Southwestern Energy Co.:
6.20%, 01/23/25			120		105,000
7.75%, 10/01/27			120		104,400
SRC Energy, Inc., 6.25%, 12/01/25			122		120,933
Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26^(e)			235		243,102
Sunoco LP/Sunoco Finance Corp.:
6.00%, 04/15/27			141		148,403
Series WI, 4.88%, 01/15/23			213		217,792
Series WI, 5.50%, 02/15/26			33		34,238
Series WI, 5.88%, 03/15/28			124		128,960
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.^(c):
4.75%, 10/01/23			26		25,773
5.50%, 09/15/24			462		450,450
5.50%, 01/15/28			628		591,105
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
5.13%, 02/01/25			118		120,950
5.88%, 04/15/26			314		328,915
5.38%, 02/01/27			2		2,064
6.50%, 07/15/27^(c)			324		351,540
5.00%, 01/15/28			279		280,395
6.88%, 01/15/29^(c)			980		1,082,900
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28^(e)			280		299,692
Transocean Pontus Ltd., 6.13%, 08/01/25^(c)			80		81,213
Transocean Poseidon Ltd., 6.88%, 02/01/27^(c)			293		305,819
Transocean Sentry Ltd., 5.38%, 05/15/23^(c)			130		128,700
Transocean, Inc., 7.25%, 11/01/25^(c)			196		178,360
WPX Energy, Inc.:
6.00%, 01/15/22			44		45,210


SCHEDULES OF INVESTMENTS			33

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc. (continued):
8.25%, 08/01/23	USD		174	$	193,575
5.25%, 09/15/24			84		85,260
5.75%, 06/01/26			45		46,688
YPF SA, 8.50%, 07/28/25			250		166,250

					34,298,471

Paper & Forest Products — 0.0%
Norbord, Inc., 6.25%, 04/15/23^(c)			152		161,120


Personal Products — 0.0%
Coty, Inc., 6.50%, 04/15/26^(c)			122		115,290


Pharmaceuticals — 2.9%
AbbVie, Inc., 3.60%, 05/14/25^(e)			695		724,599
Allergan Funding SCS, 3.45%, 03/15/22^(e)			2,460		2,526,820
Bausch Health Americas, Inc.^(c):
8.50%, 01/31/27			1,163		1,290,907
9.25%, 04/01/26			241		272,932
Bausch Health Cos., Inc.:
5.50%, 03/01/23^(c)			199		200,990
4.50%, 05/15/23	EUR		346		385,025
5.88%, 05/15/23^(c)	USD		356		360,450
7.00%, 03/15/24^(c)			476		502,732
6.13%, 04/15/25^(c)			984		1,013,520
5.50%, 11/01/25^(c)			1,148		1,203,942
9.00%, 12/15/25^(c)			551		617,809
5.75%, 08/15/27^(c)			145		155,513
7.00%, 01/15/28^(c)			435		455,850
7.25%, 05/30/29^(c)			525		555,187
Catalent Pharma Solutions, Inc., 5.00%, 07/15/27^(c)			275		288,093
Charles River Laboratories International, Inc., 5.50%, 04/01/26^(c)			365		390,513
CVS Health Corp.:
4.75%, 12/01/22			165		176,323
4.10%, 03/25/25^(e)			2,355		2,520,914
Eagle Holding Co. II LLC, (7.75% Cash), 7.75%, 05/15/22^(c)(f)			342		345,847
Elanco Animal Health, Inc., 4.90%, 08/28/28			187		203,778
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23^(c)			1,567		1,617,927
MEDNAX, Inc., 6.25%, 01/15/27^(c)			617		604,660
Nidda BondCo GmbH, 7.25%, 09/30/25	EUR		100		117,153
Par Pharmaceutical, Inc., 7.50%, 04/01/27^(c)	USD		767		715,227
Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24^(c)			208		216,320

					17,463,031

Professional Services — 0.0%
Dun & Bradstreet Corp., 10.25%, 02/15/27^(c)			211		230,518


Real Estate — 0.0%
Prologis LP, 3.75%, 11/01/25^(e)			255		279,951


Real Estate Management & Development — 0.1%
ADLER Real Estate AG, 3.00%, 04/27/26	EUR		100		118,148
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(c)	USD		174		178,411
Howard Hughes Corp., 5.38%, 03/15/25^(c)			186		191,580
Newmark Group, Inc., 6.13%, 11/15/23			106		115,105
Residomo SRO, 3.38%, 10/15/24	EUR		100		114,404

					717,648

Road & Rail — 0.9%
Avis Budget Finance PLC, 4.75%, 01/30/26			100		117,873
Europcar Mobility Group, 4.00%, 04/30/26			100		113,993


Security		Par (000)		Value

Road & Rail (continued)
Flexi-Van Leasing, Inc., 10.00%, 02/15/23^(c)	USD		169	$	165,198
Herc Holdings, Inc., 5.50%, 07/15/27^(c)			430		445,050
Hertz Corp., 7.63%, 06/01/22^(c)			506		526,898
Hertz Holdings Netherlands BV, 5.50%, 03/30/23	EUR		100		115,568
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34^(c)(e)	USD		3,000		3,274,687
United Rentals North America, Inc.:
4.63%, 07/15/23			160		163,500
5.88%, 09/15/26			52		55,770
5.25%, 01/15/30			235		251,156

					5,229,693

Semiconductors & Semiconductor Equipment — 0.9%
Advanced Micro Devices, Inc., 7.50%, 08/15/22			73		82,401
Analog Devices, Inc.^(e):
3.90%, 12/15/25			375		403,868
3.50%, 12/05/26			275		289,806
Applied Materials, Inc., 3.90%, 10/01/25^(e)			285		312,632
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 01/15/24^(e)			1,515		1,545,950
Qorvo, Inc., 5.50%, 07/15/26			422		450,493
QUALCOMM, Inc., 3.45%, 05/20/25^(e)			1,570		1,668,264
Sensata Technologies BV^(c):
5.63%, 11/01/24			179		194,215
5.00%, 10/01/25			324		343,440

					5,291,069

Software — 2.3%
ACI Worldwide, Inc., 5.75%, 08/15/26^(c)			696		730,800
CA, Inc., 3.60%, 08/15/22^(e)			555		565,810
CDK Global, Inc.:
4.88%, 06/01/27			655		676,772
5.25%, 05/15/29^(c)			138		142,485
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24^(c)			1,209		1,305,720
Infor US, Inc., 6.50%, 05/15/22			2,649		2,692,046
Informatica LLC, 7.13%, 07/15/23^(c)			1,695		1,724,663
Nuance Communications, Inc.:
6.00%, 07/01/24			144		149,760
5.63%, 12/15/26			143		150,686
PTC, Inc., 6.00%, 05/15/24			227		237,783
RP Crown Parent LLC, 7.38%, 10/15/24^(c)			758		789,995
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24^(c)			1,829		1,938,740
Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23^(c)			292		300,030
SS&C Technologies, Inc., 5.50%, 09/30/27^(c)			1,484		1,558,200
TIBCO Software, Inc., 11.38%, 12/01/21^(c)			784		823,200
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23^(c)			400		396,000

					14,182,690

Specialty Retail — 0.6%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			334		345,272
Catalent Pharma Solutions, Inc., 4.88%, 01/15/26^(c)			324		328,860
Group 1 Automotive, Inc.:
5.00%, 06/01/22			155		156,550
5.25%, 12/15/23^(c)			18		18,450
IAA, Inc., 5.50%, 06/15/27^(c)			372		396,180
L Brands, Inc.:
6.88%, 11/01/35			401		338,845
6.75%, 07/01/36			71		59,640


34		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Specialty Retail (continued)
Penske Automotive Group, Inc., 5.50%, 05/15/26	USD		32	$	33,520
PetSmart, Inc.^(c):
7.13%, 03/15/23			163		151,590
5.88%, 06/01/25			663		649,740
Staples, Inc.^(c):
7.50%, 04/15/26			1,058		1,068,580
10.75%, 04/15/27			174		175,740
Tendam Brands SAU, 5.00%, 09/15/24	EUR		100		111,944

					3,834,911

Technology Hardware, Storage & Peripherals — 0.4%
Dell International LLC/EMC Corp.^(c):
4.42%, 06/15/21	USD		40		41,253
7.13%, 06/15/24			931		981,479
Hewlett Packard Enterprise Co., 4.90%, 10/15/25^(e)			375		415,227
NCR Corp.^(c):
5.75%, 09/01/27			220		232,333
6.13%, 09/01/29			220		233,501
Western Digital Corp., 4.75%, 02/15/26			589		602,812

					2,506,605

Textiles, Apparel & Luxury Goods — 0.0%
William Carter Co., 5.63%, 03/15/27^(c)			160		170,397


Thrifts & Mortgage Finance — 0.1%
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.^(c):
5.25%, 03/15/22			23		23,920
5.25%, 10/01/25			284		289,680

					313,600

Transportation Infrastructure — 0.2%
Rumo Luxembourg Sarl, 7.38%, 02/09/24^(c)			293		315,341
Swissport Financing Sarl, 5.25%, 08/15/24	EUR		100		113,061
Transurban Finance Co. Property Ltd., 4.13%, 02/02/26^(c)(e)	USD		435		466,536

					894,938

Utilities — 0.2%
ContourGlobal Power Holdings SA, 3.38%, 08/01/23	EUR		100		114,139
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23^(c)	USD		293		146,500
Orano SA, 3.38%, 04/23/26	EUR		100		119,863
Vistra Operations Co. LLC^(c):
5.50%, 09/01/26	USD		8		8,400
5.63%, 02/15/27			422		446,793
5.00%, 07/31/27			158		163,135

					998,830

Wireless Telecommunication Services — 1.5%
C&W Senior Financing DAC, 6.88%, 09/15/27^(c)			329		350,349
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24^(c)			1,273		1,314,770
CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27			112		118,860
Equinix, Inc., 2.88%, 10/01/25	EUR		100		114,300
Iron Mountain, Inc., 3.00%, 01/15/25			100		113,114
Matterhorn Telecom SA, 3.88%, 05/01/22			100		111,004
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25^(c)	USD		137		135,973
Rogers Communications, Inc., 5.00%, 03/15/44^(e)			545		680,433
SBA Communications Corp., 4.00%, 10/01/22			401		408,017
Sprint Capital Corp.:
6.88%, 11/15/28			240		266,100
8.75%, 03/15/32			125		156,560


Security		Par (000)		Value

Wireless Telecommunication Services (continued)
Sprint Corp.:
7.88%, 09/15/23	USD		601	$	676,125
7.13%, 06/15/24			1,131		1,250,275
7.63%, 02/15/25			159		177,881
7.63%, 03/01/26			788		885,515
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23^(c)(e)			293		293,611
T-Mobile USA, Inc.:
4.00%, 04/15/22			197		202,788
6.38%, 03/01/25			282		292,011
6.50%, 01/15/26			227		244,025
4.50%, 02/01/26			498		516,675
4.75%, 02/01/28			479		504,138
Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22^(c)(f)	USD		141		144,322

					8,956,846


Total Corporate Bonds — 61.9% (Cost — $367,550,357)					377,958,104


Floating Rate Loan Interests^(d) — 39.9%

Aerospace & Defense — 0.7%
1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, (3 mo. LIBOR + 4.00%), 6.33%, 04/06/26			659		658,466
Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 12/06/25^(a)			395		396,991
Dynasty Acquisition Co., Inc., 2019 Term Loan B1, (3 mo. LIBOR + 4.00%), 6.33%, 04/06/26			1,226		1,224,750
TransDigm, Inc., 2018 Term Loan F, (3 mo. LIBOR + 2.50%), 4.83%, 06/09/23			2,206		2,188,940

					4,469,147

Air Freight & Logistics — 0.3%
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 1.75%), 3.92%, 01/15/25			714		714,882
WestJet Airlines Ltd., Term Loan B, 08/06/26⁽ⁿ⁾			1,143		1,145,503

					1,860,385

Airlines — 0.2%
American Airlines, Inc.:
2017 Incremental Term Loan, 12/14/23⁽ⁿ⁾			890		886,570
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 4.12%, 04/28/23			393		391,124

					1,277,694

Auto Components — 0.4%
Adient US LLC, Term Loan B, (3 mo. LIBOR + 4.25%), 6.46%, 05/06/24			146		141,433
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 04/30/26			823		810,655
USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.33%, 05/16/24			1,018		992,757
Wand NewCo 3, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.71%, 02/05/26			489		490,222

					2,435,067

Banks — 0.1%
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.51%, 11/01/24			814		796,561


Building Materials — 0.3%
Allied Universal Holdco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.25%), 6.51%, 07/10/26			1,789		1,784,970


SCHEDULES OF INVESTMENTS			35

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Building Products — 0.3%
CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24	USD		473	$	467,411
Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 12/14/24			403		401,719
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 12/19/23			769		748,865

					1,617,995

Capital Markets — 0.7%
Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 02/13/25			845		819,669
Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 12/27/22			486		486,745
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.45%, 04/12/24			403		398,801
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 6.00%, 06/03/26			468		466,685
RPI Finance Trust, Term Loan B6, (1 mo. LIBOR + 2.00%), 4.11%, 03/27/23			817		817,739
Travelport Finance (Luxembourg) Sarl:
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 11.54%, 05/28/27^(a)			410		356,700
2019 Term Loan, (3 mo. LIBOR + 5.00%), 7.54%, 05/29/26			765		702,827

					4,049,166

Chemicals — 1.8%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24			1,772		1,717,174
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.08%, 06/01/24			1,152		1,144,369
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/16/24			969		951,712
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 05/16/24			266		265,503
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.87%, 04/03/25			346		333,552
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.15%, 06/28/24			261		261,235
Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 11/07/24			422		421,363
Invictus US LLC:
1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.15%, 03/28/25			611		603,865
2nd Lien Term Loan, (2 mo. LIBOR + 6.75%), 8.90%, 03/30/26			135		133,819
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.83%, 03/01/26			1,352		1,341,962
Momentive Performance Materials, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 05/15/24			272		266,220
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 5.75%, 10/14/24			1,006		998,708
Plaskolite LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.43%, 12/15/25			375		360,560
PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.76%, 02/08/25			985		984,248
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.46%, 10/01/25			404		389,678
Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.13%, 08/07/20			476		474,444


Security		Par (000)		Value

Chemicals (continued)
Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 03/08/25	USD		315	$	302,571

					10,950,983

Commercial Services & Supplies — 2.0%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.39%, 11/10/23			1,063		1,064,074
Aramark Services, Inc., 2018 Term Loan B3, (3 mo. LIBOR + 1.75%), 4.08%, 03/11/25			663		662,118
Asurion LLC:
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.61%, 08/04/25			671		680,267
2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.11%, 08/04/22			193		193,511
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.11%, 11/03/23			1,364		1,364,498
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.11%, 11/03/24			388		388,080
Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 10/03/23			1,075		1,078,006
Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 02/15/24			1,051		1,049,893
Diamond (BC) BV, Term Loan, 09/06/24⁽ⁿ⁾			455		415,188
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.08%, 05/09/25			191		179,606
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 05/30/25			834		825,524
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.08%, 11/03/23			177		137,043
KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 4.88%, 03/09/23			130		129,668
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 05/02/22			1,280		1,277,890
US Ecology, Inc., Term Loan B, 08/14/26⁽ⁿ⁾			158		158,593
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 08/27/25			1,796		1,799,221
West Corp.:
2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.11%, 10/10/24			1,067		950,835
2018 Term Loan B1, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 10/10/24			99		87,491

					12,441,506

Communications Equipment — 0.2%
Avantor, Inc., 2017 1st Lien Term Loan, 11/21/24⁽ⁿ⁾			529		533,297
Avaya, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.25%), 6.43%, 12/15/24			94		92,251
Ciena Corp., 2018 Term Loan B, (PRIME + 2.00%), 4.17%, 09/26/25			582		583,322

					1,208,870

Construction & Engineering — 0.3%
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.51%, 06/21/24			1,034		980,138
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 5.95%, 04/12/25			129		125,112
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/23/25			470		455,072


36		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Construction & Engineering (continued)
USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 12/08/23	USD		403	$	397,186

					1,957,508

Construction Materials — 0.5%
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.27%, 08/01/24			1,384		1,380,201
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 03/29/25			1,353		1,352,380
Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 08/13/25			272		270,605
Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.37%, 06/01/26^(a)			202		202,000

					3,205,186

Containers & Packaging — 0.8%
Berry Global, Inc.:
Term Loan Q, (1 mo. LIBOR + 2.25%), 4.45%, 10/01/22			1,595		1,595,013
USD Term Loan U, (1 mo. LIBOR + 2.50%), 4.70%, 07/01/26			945		944,480
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.59%, 04/03/24			1,014		984,523
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.32%, 12/29/23			1,219		1,159,059
Pregis Corp., Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 07/31/26			301		299,369

					4,982,444

Distributors — 0.4%
American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 10/31/23			1,374		1,360,972
TriMark USA LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%), 5.70%, 08/28/24			1,113		936,069

					2,297,041

Diversified Consumer Services — 1.0%
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 07/12/24			463		458,265
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 1.75%), 3.86%, 11/07/23			596		595,819
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 07/12/25			475		461,540
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.45%, 05/15/24			415		411,514
Serta Simmons Bedding LLC:
1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.70%, 11/08/23			326		216,723
2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor) 10.18%, 11/08/24			40		17,217
ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 11/08/23			106		105,911
Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.57%, 11/14/22			1,374		1,342,523
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 03/19/26			753		755,300
Uber Technologies, Inc.:
2018 Incremental Term Loan, 07/13/23⁽ⁿ⁾			1,321		1,316,138
2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.20%, 04/04/25			431		430,650

					6,111,600


Security		Par (000)		Value

Diversified Financial Services — 0.7%
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 7.11%, 07/31/26	USD		568	$	559,480
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/04/24			1,603		1,603,601
CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.71%, 08/08/25^(a)			247		240,336
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25			546		537,526
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 07/03/24			670		668,113
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 09/06/25			272		256,542
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.51%, 07/30/25			430		426,364
Starwood Property Trust, Inc., 2019 Term Loan B, (2 mo. LIBOR + 2.50%), 4.78%, 07/27/26^(a)			216		216,540
Tank Holding Corp., 2019 Term Loan B, (1 Week LIBOR + 4.00%), 6.12%, 03/26/26			52		51,344

					4,559,846

Diversified Telecommunication Services — 0.9%
CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/25			690		680,022
Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.12%, 10/04/23			58		55,192
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.11%, 05/16/24			442		438,202
Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 02/22/24			839		839,622
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 11/15/24			860		843,404
Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.63%, 02/02/24			551		547,104
TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25	EUR		819		900,914
Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.45%, 08/15/26	USD		466		464,167
Zayo Group LLC:
2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 01/19/24			95		95,000
2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.11%, 01/19/21			761		761,453

					5,625,080

Electric Utilities — 0.2%
TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 08/04/23			438		438,670
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/19^(a)(h)			780		—
Vistra Energy Corp., 1st Lien Term Loan B3, (3 mo. LIBOR + 2.00%), 4.18%, 12/31/25			606		606,151

					1,044,821

Electrical Equipment — 0.2%
Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/01/24			1,370		1,334,659


SCHEDULES OF INVESTMENTS			37

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Energy Equipment & Services — 0.2%
Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.11%, 03/01/24	USD		255	$	108,613
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 02/12/25			612		594,307
Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.90%, 11/08/22^(a)			260		247,000

					949,920

Equity Real Estate Investment Trusts (REITs) — 0.8%
Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.62%, 03/24/24			174		173,799
Claros Mortgage Trust, Inc., Term Loan B, (3 mo. LIBOR + 3.25%), 5.46%, 08/10/26^(a)			578		577,278
Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 01/02/26^(a)			685		676,264
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 03/21/25			1,353		1,352,764
RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/11/24			450		450,804
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.17%, 12/20/24			1,873		1,875,401

					5,106,310

Food & Staples Retailing — 0.8%
Albertsons LLC:
2019 Term Loan B7, (1 mo. LIBOR + 2.75%), 4.86%, 11/17/25			306		306,575
2019 Term Loan B8, (1 mo. LIBOR + 2.75%), 4.86%, 08/17/26			4		4,281
BCPE Empire Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.11%, 06/11/26			374		367,474
Hearthside Food Solutions LLC:
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 6.11%, 05/23/25			546		529,867
2018 Term Loan B, (1 mo. LIBOR + 3.69%), 5.80%, 05/23/25			272		263,514
Hostess Brands LLC, 2017 Repriced Term Loan, (2 mo. LIBOR + 2.25%), 4.36%, 08/03/22			1,088		1,085,642
US Foods, Inc.:
2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 06/27/23			1,091		1,092,243
2019 Term Loan B, 08/14/26⁽ⁿ⁾			1,075		1,076,795

					4,726,391

Food Products — 0.9%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.96%, 10/01/25			237		236,959
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 10/10/23			1,388		1,364,078
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 05/01/26			766		767,038
Post Holdings, Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.00%), 4.15%, 05/24/24			532		532,077
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.86%, 02/05/23			2,590		2,587,052

					5,487,204

Gas Utilities — 0.1%
AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.83%, 07/31/25			513		501,902


Security		Par (000)		Value

Health Care Equipment & Supplies — 0.5%
Agiliti Health, Inc., Term Loan, (1 mo. LIBOR + 3.00%), 5.25%, 01/04/26^(a)	USD		262	$	262,671
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.33%, 06/15/21			1,592		1,584,222
Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.08%, 09/24/24			267		206,474
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.56%, 06/30/25			1,101		1,036,265

					3,089,632

Health Care Providers & Services — 2.0%
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.61%, 06/30/25			257		257,354
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 06/07/23			1,546		1,532,039
Concentra, Inc.:
2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 5.21%, 06/01/22			540		539,505
2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 1.00% Floor), 8.96%, 06/01/23			624		626,599
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 06/06/25			361		352,384
Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 12/20/24			371		342,887
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/10/25			818		631,687
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.98%, 03/05/26^(a)			218		218,000
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.88%, 07/02/25			824		822,945
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 6.61%, 05/21/26			409		407,294
HCA, Inc., Term Loan B11, (3 mo. LIBOR + 1.75%), 4.08%, 03/17/23			771		771,777
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 06/07/23			1,275		1,184,158
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.61%, 10/20/22			1,095		1,018,769
NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 02/02/25			806		804,688
Radiology Partners, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.75%), 7.39%, 07/09/25			272		260,463
Sotera Health Holdings LLC:
2017 Term Loan, 05/15/22⁽ⁿ⁾			1,103		1,081,200
2019 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.74%, 05/15/22			353		348,588
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 02/06/24			538		431,865
Vizient, Inc., 2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 4.61%, 05/06/26			301		301,461

					11,933,663

Health Care Services — 0.2%
Emerald TopCo., Inc., Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 07/24/26			607		603,461
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.71%, 08/07/26			661		653,015

					1,256,476


38		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Health Care Technology — 0.5%
Athenahealth, Inc., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 6.83%, 02/11/26	USD		1,612	$	1,602,901
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.61%, 03/01/24			1,352		1,336,723
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.93%, 10/10/25			396		391,807

					3,331,431

Hotels, Restaurants & Leisure — 3.2%
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.03%, 10/19/24			397		396,934
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.39%, 09/15/23			1,232		1,231,723
Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 02/16/24			1,779		1,775,350
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 12/22/24			1,797		1,769,587
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 08/08/21			460		459,599
ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 08/30/23			861		861,699
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.11%, 11/30/23			1,027		1,028,082
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.33%, 03/13/25			49		48,819
Golden Nugget LLC, 2017 Incremental Term Loan B, (PRIME + 1.75%), 4.93%, 10/04/23			536		535,353
Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 3.90%, 06/22/26			1,130		1,132,408
IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.56%, 02/05/25			1,411		1,399,612
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.93%, 04/03/25			506		504,452
Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.40%, 12/15/24			363		363,330
NASCAR Holdings, Inc., Term Loan B, 07/26/26⁽ⁿ⁾			420		422,012
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 10/15/25			197		197,453
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 04/29/24			382		365,353
Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 02/22/24			990		990,355
Scientific Games International, Inc., 2018 Term Loan B5, (2 mo. LIBOR + 2.75%), 4.90%, 08/14/24			946		933,698
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25			1,866		1,870,823
Station Casinos LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.62%, 06/08/23			1,228		1,228,832
Whatabrands LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 5.52%, 08/02/26			942		945,241
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 05/30/25			586		587,238
Wynn Resorts Ltd., Term Loan B, (1 mo. LIBOR + 2.25%), 4.37%, 10/30/24			261		260,635

					19,308,588


Security		Par (000)		Value

Household Products — 0.1%
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 07/16/26⁽ⁿ⁾	USD		491	$	490,632


Independent Power and Renewable Electricity Producers — 0.5%
AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 3.87%, 05/31/22			402		401,520
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 01/15/25			804		801,335
Calpine Corp.:
2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.61%, 08/12/26			800		797,022
Term Loan B9, (3 mo. LIBOR + 2.75%), 5.08%, 04/05/26			276		275,539
EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.37%, 05/03/25			136		137,027
Granite Acquisition, Inc., 1.00% Floor):
Term Loan B, (3 mo. LIBOR + 3.50%, 5.82%, 12/19/21			665		666,188
Term Loan C, (3 mo. LIBOR + 3.50%, 5.83%, 12/19/21			85		85,489

					3,164,120

Industrial Conglomerates — 0.4%
Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/30/23			1,302		1,222,972
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21			684		675,089
Sundyne US Purchaser, Inc., Term Loan, (1 mo. LIBOR + 4.00%), 6.11%, 05/15/26^(a)			654		641,225

					2,539,286

Insurance — 1.5%
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.15%, 05/09/25			1,277		1,239,884
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 5.45%, 05/09/25			315		310,473
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 01/25/24			1,359		1,355,826
AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.50%), 5.61%, 10/22/24			956		950,216
Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 12/02/24			596		579,168
Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.27%, 04/25/25			1,099		1,076,165
Sedgwick Claims Management Services, Inc.:
2019 Incremental Term Loan B, 08/07/26⁽ⁿ⁾			1,154		1,149,188
Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/31/25			1,944		1,882,766
Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 06/22/23			378		374,258

					8,917,944

Interactive Media & Services — 0.3%
Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.00%), 4.11%, 02/15/24			709		710,607
Inmar Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 05/01/24			127		119,501
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.29%, 11/03/23			569		526,547


SCHEDULES OF INVESTMENTS			39

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interactive Media & Services (continued)
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.86%, 05/06/24	USD		445	$	413,087

					1,769,742

IT Services — 1.0%
Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.50%), 4.89%, 03/20/25			212		212,113
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.37%, 06/01/22			693		691,916
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.61%, 11/27/24			393		393,764
Global Payments, Inc.:
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.86%, 04/21/23			298		297,269
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.86%, 10/17/25			99		99,376
Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 12/01/23			676		667,867
Optiv Security, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 02/01/24			215		175,965
Outfront Media Capital LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.21%, 03/18/24			71		71,110
Peak 10 Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 9.48%, 08/01/25			408		328,440
Trans Union LLC:
2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.11%, 06/19/25			166		166,410
Term Loan B3, (1 mo. LIBOR + 2.00%), 4.11%, 04/10/23			1,179		1,179,187
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 4.36%, 05/15/26			1,615		1,618,262

					5,901,679

Life Sciences Tools & Services — 0.1%
Albany Molecular Research, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.36%, 08/30/24			178		170,720
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.11%, 08/30/25^(a)			130		128,375

					299,095

Machinery — 0.5%
Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/18/24			205		205,293
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.83%, 01/31/24			69		68,559
Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 07/30/24			781		782,888
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/24			117		116,853
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.11%, 03/28/25			1,855		1,777,164
Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 10/23/25			330		326,215

					3,276,972

Media — 3.4%
Altice Financing SA, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.95%, 01/31/26			82		79,126
Altice France SA:
2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.20%, 08/14/26			1,156		1,144,680
USD Term Loan B12, (1 mo. LIBOR + 3.68%), 5.88%, 01/31/26			253		248,732


Security		Par (000)			Value

Media (continued)
Cable One, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.87%, 05/01/24^(a)	USD		255		$	255,118
Charter Communications Operating LLC:
2017 Term Loan A2, (3 mo. LIBOR + 1.50%), 3.83%, 03/31/23			—	(o)		3
2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 04/30/25			1,489			1,491,695
Clear Channel Outdoor Holdings, Inc., Term Loan B, 08/21/26⁽ⁿ⁾			2,763			2,759,546
CSC Holdings LLC:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.45%, 07/17/25			458			455,951
2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.70%, 01/25/26			454			453,491
Cumulus Media New Holdings, Inc., Exit Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 05/15/22			246			246,789
Diamond Sports Group LLC, Term Loan, 08/24/26⁽ⁿ⁾			1,095			1,095,000
Gray Television, Inc.:
2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.58%, 02/07/24			469			468,101
2018 Term Loan C, (3 mo. LIBOR + 2.50%), 4.83%, 01/02/26			82			82,391
iHeartCommunications, Inc., Exit Term Loan, 05/01/26⁽ⁿ⁾			788			789,759
Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.65%, 01/02/24			627			629,470
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.37%, 12/01/23			785			786,095
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 03/24/25			409			407,977
Meredith Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 01/31/25			250			250,093
MH Sub I LLC, 2017 1st Lien Term Loan, 09/13/24⁽ⁿ⁾			214			211,651
Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 2.25%), 4.45%, 07/16/26			263			264,384
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 06/19/26⁽ⁿ⁾			532			532,000
PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 05/29/26			635			638,211
PSAV Holdings LLC, 2018 1st Lien Term Loan, (1 Week LIBOR + 3.25%, 1.00% Floor), 5.48%, 03/01/25			548			530,732
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 02/01/24			788			779,970
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.15%, 09/28/23^(a)			1,292			1,275,382
Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.11%, 01/27/24			1,222			1,219,470
Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 03/15/24			371			353,917
Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.70%, 01/15/26			685			684,473
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.87%, 05/18/25			1,553			1,506,415
Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.70%, 04/15/25			824			817,980

						20,458,602


40		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Metals & Mining — 0.2%
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 6.62%, 07/24/25	USD		288	$	278,968
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.11%, 03/08/24			943		936,321

					1,215,289

Multiline Retail — 0.2%
Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.61%, 08/18/23			460		441,982
Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.49%, 09/30/22			628		626,840
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 8.23%, 10/25/23			355		289,665

					1,358,487

Oil & Gas Equipment & Services — 0.1%
McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.11%, 05/09/25			501		458,816


Oil, Gas & Consumable Fuels — 0.3%
BCP Raptor II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.86%, 11/03/25			279		246,449
California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor), 12.49%, 12/31/21			483		427,190
CITGO Holding, Inc., 2019 Term Loan B, 07/24/23⁽ⁿ⁾			2		2,025
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.62%, 09/27/24			392		391,038
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 12/13/25			453		447,412
EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25			252		247,879

					1,761,993

Pharmaceuticals — 1.5%
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.63%, 05/04/25			410		371,650
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.36%, 05/18/26			729		731,487
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24			992		904,490
Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.39%, 01/31/25			1,159		1,159,431
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.61%, 08/18/22			2,959		2,939,725
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.20%, 06/02/25			3,278		3,281,892

					9,388,675

Professional Services — 0.5%
Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 6.12%, 02/09/26			659		661,200
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 7.15%, 02/06/26			1,356		1,358,821
ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.11%, 04/02/25			402		402,050


Security		Par (000)		Value

Professional Services (continued)
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.83%, 08/04/25^(a)	USD		407	$	393,627

					2,815,698

Real Estate Management & Development — 0.7%
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 04/18/24			1,609		1,607,133
DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.36%, 08/21/25			1,054		1,052,992
Forest City Enterprises LP, Term Loan B, (1 mo. LIBOR + 4.00%), 6.11%, 12/07/25			784		788,960
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.42%, 02/08/25			267		257,462
SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.51%, 01/23/25			385		382,206

					4,088,753

Road & Rail — 0.0%
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.61%, 06/13/23			137		125,287


Semiconductors & Semiconductor Equipment — 0.1%
Cabot Microelectronics Corporation, Term Loan B, (1 mo. LIBOR + 2.25%), 4.38%, 11/14/25			477		477,885
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 05/29/25			350		349,316

					827,201

Software — 5.3%
Applied Systems, Inc.:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 09/19/24			940		936,413
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.33%, 09/19/25			160		160,815
BMC Software Finance, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%), 6.58%, 10/02/25			1,145		1,079,480
Cypress Intermediate Holdings III, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.87%, 04/26/24			566		560,922
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.86%, 04/27/25			248		249,706
Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.12%, 09/07/23			1,192		1,194,362
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 5.34%, 05/28/24			501		424,407
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.01%, 09/30/23			497		454,959
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.86%, 10/01/25			2,254		2,264,031
Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 02/01/22			2,988		2,985,027
Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 08/05/22			1,543		1,543,397
Kronos, Inc.:
2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 11/01/23			1,772		1,770,410
2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.50%, 11/01/24			615		628,530
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.87%, 09/30/24			1,490		1,490,438
Mitchell International, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 11/29/24			1,365		1,276,919
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.36%, 12/01/25			267		248,667


SCHEDULES OF INVESTMENTS			41

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Software (continued)
Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 05/30/25	USD		238	$	232,313
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.86%, 10/12/23			817		815,097
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.46%, 08/01/25			409		401,106
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 02/05/24			1,712		1,709,665
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.86%, 03/03/23			1,869		1,858,633
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 09/30/22			2,177		2,173,378
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			530		530,206
SS&C Technologies, Inc.:
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.36%, 07/08/22			414		414,138
2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			784		785,192
2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.36%, 04/16/25			1,149		1,148,427
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.11%, 05/01/24			1,777		1,775,545
Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 6.25%, 06/30/26			1,456		1,454,591
Ultimate Software Group, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.08%, 05/04/26			865		866,548
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.36%, 07/02/25			627		605,179

					32,038,501

Specialty Retail — 0.7%
Belron Finance US LLC^(a):
4.71%, 11/07/24			751		751,508
4.68%, 11/13/25			185		185,301
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 5.02%, 06/23/25	GBP		1,000		1,197,027
IAA, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.63%, 06/28/26	USD		296		297,276
Leslie’s Poolmart, Inc., 2018 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 5.76%, 08/16/23			370		346,016
MED ParentCo LP⁽ⁿ⁾:
1st Lien Delayed Draw Term Loan, 07/31/26			114		112,706
1st Lien Term Loan, 07/31/26			457		451,360
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 08/18/21			364		351,017
PetSmart, Inc., Term Loan B2, 03/11/22⁽ⁿ⁾			420		407,400
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.75%, 12/20/24			389		388,491

					4,488,102

Technology Hardware, Storage & Peripherals — 0.3%
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.86%, 04/29/23			1,557		1,551,444


Textiles, Apparel & Luxury Goods — 0.1%
Ascend Performance Materials Operations LLC, 2019 Term Loan B, 08/15/26⁽ⁿ⁾			906		904,868


Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 05/23/25			1,261		1,248,392


Security		Par (000)		Value

Trading Companies & Distributors — 0.3%
Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.36%, 01/02/25	USD		433	$	429,889
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 3.86%, 10/17/23			1,071		1,074,977
United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.86%, 10/31/25			105		104,790

					1,609,656

Transportation — 0.0%
Safe Fleet Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.21%, 02/01/25^(a)			270		258,592


Utilities — 0.1%
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.13%, 11/28/24			688		662,231


Wireless Telecommunication Services — 0.3%
Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 03/22/24			637		592,486
Ligado Networks LLC:
2015 2nd Lien Term Loan, 0.00%, 12/07/20			43		17,310
PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20^(f)			516		445,664
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.12%, 04/11/25			932		926,019

					1,981,479


Total Floating Rate Loan Interests — 39.9% (Cost — $246,277,590)					243,303,582


Foreign Agency Obligations — 2.7%
Argentine Republic Government International Bond:
6.88%, 04/22/21			236		98,530
4.63%, 01/11/23			118		45,135
Colombia Government International Bond:
8.13%, 05/21/24			238		298,095
4.50%, 01/28/26^(e)			236		261,149
3.88%, 04/25/27			200		216,563
Cyprus Government International Bond, 4.63%, 02/03/20^(c)	EUR		2,600		2,913,937
Egypt Government International Bond, 5.75%, 04/29/20	USD		882		890,820
Iceland Government International Bond, 5.88%, 05/11/22			3,030		3,351,574
Indonesia Government International Bond:
4.75%, 01/08/26			395		440,795
5.35%, 02/11/49^(e)			200		261,625
Indonesia Treasury Bond, 6.13%, 05/15/28	IDR		6,090,000		393,049
Mexico Government International Bond, 4.15%, 03/28/27	USD		210		224,700
Nigeria Government International Bond, 7.63%, 11/21/25			484		530,282
Portugal Government International Bond, 5.13%, 10/15/24^(c)			3,190		3,652,410
Qatar Government International Bond:
4.50%, 04/23/28			490		574,525
4.00%, 03/14/29^(c)(e)			200		228,437
Republic of South Africa Government International Bond, 5.88%, 05/30/22			199		212,930
Russian Foreign Bond — Eurobond:
4.75%, 05/27/26			400		438,000
4.25%, 06/23/27			400		426,000
Saudi Government International Bond, 4.50%, 04/17/30			385		449,872


42		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Foreign Agency Obligations (continued)
Turkey Government International Bond, 6.25%, 09/26/22	USD		200	$	202,000
Ukraine Government International Bond:
7.75%, 09/01/22			118		124,903
9.75%, 11/01/28			236		278,185


Total Foreign Agency Obligations — 2.7% (Cost — $16,132,999)					16,513,516


		Shares

Investment Companies — 2.5%

Diversified Financial Services — 2.5%
Invesco Senior Loan ETF			665,757		15,052,766


Total Investment Companies — 2.5% (Cost — $15,176,334)					15,052,766


		Par (000)

Non-Agency Mortgage-Backed Securities — 1.5%

Collateralized Mortgage Obligations — 0.6%
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35	USD		1,833		1,566,533
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2005-17, Class 1A6, 5.50%, 09/25/35			320		322,242
Series 2006-17, Class A2, 6.00%, 12/25/36			1,029		793,741
Series 2007-HY5, Class 3A1, 3.75%, 09/25/37⁽ⁱ⁾			669		630,911
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.31%, 10/25/35⁽ⁱ⁾			558		458,942

					3,772,369

Commercial Mortgage-Backed Securities — 0.9%
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33^(c)(i)			4,830		5,129,683
Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.82%, 07/10/38⁽ⁱ⁾			292		293,368

					5,423,051


Total Non-Agency Mortgage-Backed Securities — 1.5% (Cost — $8,889,879)					9,195,420


		Beneficial Interest (000)

Other Interests^(a)(p) — 0.0%

Auto Components — 0.0%
Lear Corp. Escrow^(h)	USD		1,000		10


IT Services — 0.0%
Millennium Corp.^(b)			918		—
Millennium Lender Claims^(b)			861		—

					—


Total Other Interests — 0.0% (Cost — $—)					10


Security		Par (000)		Value

Preferred Securities — 9.0%

Capital Trusts — 6.8%

Banks — 1.1%
Banco Mercantil del Norte SA, 6.75%^(c)(g)(j)	USD		396	$	391,198
Bankia SA, 6.38%^(g)(j)			200		227,839
Capital One Financial Corp., Series E, 5.55%^(e)(g)(j)			3,000		3,033,750
CIT Group, Inc., Series A, 5.80%^(g)(j)			235		238,927
Wells Fargo & Co.^(g)(j):
Series S, 5.90%^(e)			1,500		1,601,250
Series U, 5.88%			968		1,067,501

					6,560,465

Building Materials — 0.0%
Holcim Finance Luxembourg SA, 3.00% ^(g)(j)			100		115,618


Capital Markets — 1.0%
Goldman Sachs Group, Inc.^(g)(j):
Series M, 5.38%^(e)			1,730		1,747,300
Series P, 5.00%			123		121,693
Morgan Stanley, Series H, 5.91%^(e)(g)(j)			2,546		2,552,365
State Street Corp., Series F, 5.25%^(e)(g)(j)			1,625		1,655,469

					6,076,827

Chemicals — 0.0%
Solvay Finance SA, 5.43%^(g)(j)			100		126,802


Diversified Financial Services — 3.7%
Bank of America Corp.^(g)(j):
Series AA, 6.10%			1,038		1,131,420
Series DD, 6.30%			215		242,681
Series U, 5.20%^(e)			1,250		1,287,500
Series V, 5.80%			70		70,155
Series X, 6.25%^(e)			1,929		2,102,610
Series Z, 6.50%			143		160,160
Credit Agricole SA, 6.50%^(g)(j)			100		118,697
Credit Suisse Group AG^(g)(j):
6.25%			200		211,054
6.38%^(c)			495		511,335
HBOS Capital Funding LP, 6.85%^(j)			100		101,682
HSBC Holdings PLC^(g)(j):
6.00%			415		416,038
6.25%			695		710,512
JPMorgan Chase & Co.^(g)(j):
Series 1, 5.74%			214		215,113
Series FF, 5.00%			1,345		1,395,437
Series R, 6.00%			120		127,800
Series S, 6.75%			160		178,200
Series U, 6.13%^(e)			6,690		7,200,112
Series V, 5.64%^(e)			4,060		4,051,880
Royal Bank of Scotland Group PLC, 8.63%^(g)(j)			200		211,750
Societe Generale SA, 6.00%^(c)(e)(g)(j)			2,000		2,004,452
Telefonica Europe BV, 4.38%^(g)(j)			100		121,397
UniCredit SpA, 6.75%^(g)(j)			200		231,350

					22,801,335

Diversified Telecommunication Services — 0.1%
Telefonica Europe BV^(g)(j):
3.75%			100		116,499
5.88%			100		128,177

					244,676

Electric Utilities — 0.3%
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79^(e)(g)			1,750		1,866,954


Electronic Equipment, Instruments & Components — 0.0%
Belden, Inc., 4.13%, 10/15/26			100		116,216


SCHEDULES OF INVESTMENTS			43

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Insurance — 0.6%
Voya Financial, Inc., 5.65%, 05/15/53^(e)(g)	USD		3,500	$	3,674,545


Oil, Gas & Consumable Fuels — 0.0%
Naturgy Finance BV, 3.38%^(g)(j)			100		117,161
Repsol International Finance BV, 4.50%, 03/25/75^(g)			100		126,015

					243,176


Wireless Telecommunication Services — 0.0%
Vodaphone Group PLC, 3.10%, 01/03/79			100		115,525


Total Capital Trusts — 6.8% (Cost — $40,356,034)					41,942,139


		Shares

Preferred Stocks — 1.8%

Capital Markets — 1.8%
Goldman Sachs Group, Inc., Series J, 5.50%^(g)(j)			202,526		5,300,105
Morgan Stanley^(g)(j):
Series F, 6.88%			120		3,362,400
Series K, 5.85%			53		1,437,831
SCE Trust III, Series H, 5.75%^(g)(j)			21,200		531,908

					10,632,244

Wireless Telecommunication Services — 0.0%
CF-B L2 (D) LLC, (Acquired 04/08/15, cost $131,171), 0.00%^(q)			134,077		83,182


Total Preferred Stocks — 1.8% (Cost — $10,174,955)					10,715,426


Trust Preferred — 0.4%

Diversified Financial Services — 0.4%
GMAC Capital Trust I, Series 2, 7.94%^(g)			105,753		2,770,729


Total Trust Preferred — 0.4% (Cost — $2,686,547)					2,770,729


Total Preferred Securities — 9.0% (Cost — $53,217,536)					55,428,294


		Par (000)

U.S. Government Sponsored Agency Securities — 5.5%

Collateralized Mortgage Obligations — 1.2%
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 5.15%, 10/25/29^(d)	USD		1,600		1,660,632
Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44			4,724		5,411,183

					7,071,815

Interest Only Collateralized Mortgage Obligations — 0.3%
Freddie Mac Mortgage-Backed Securities, Series K042, Class X1, 1.18%, 12/25/24⁽ⁱ⁾			34,044		1,621,317


Mortgage-Backed Securities — 4.0%
Fannie Mae Mortgage-Backed Securities^(e):
2.50%, 10/01/28 - 06/01/32			2,508		2,545,109
3.00%, 05/01/30			13,875		14,289,438
3.50%, 08/01/49			3,015		3,139,540
5.00%, 07/01/20 - 08/01/23			95		97,948
Freddie Mac Mortgage-Backed Securities, 3.50%, 07/01/49^(e)			4,448		4,645,055

					24,717,090


Total U.S. Government Sponsored Agency Securities — 5.5% (Cost — $32,795,781)					33,410,222


Security		Par (000)

U.S. Treasury Obligations — 3.0%
U.S. Treasury Bonds, 2.88%, 05/15/49	USD		1,350	$	1,625,854
U.S. Treasury Notes^(e):
2.75%, 09/30/20			1,600		1,616,750
2.75%, 04/30/23			8,000		8,375,312
2.75%, 08/31/25			6,150		6,608,367


Total U.S. Treasury Obligations — 3.0% (Cost — $17,021,838)					18,226,283


		Shares

Warrants — 0.0%

Media — 0.0%
iHeartMedia, Inc. (Expires 05/01/39)			14,604		201,521


Metals & Mining — 0.0%
AFGlobal Corp. (Expires 12/20/20)^(a)			2,542		—


Total Warrants — 0.0% (Cost — $262,857)					201,521


Total Long-Term Investments — 131.1% (Cost — $795,207,397)					800,404,974


		Par (000)

Short-Term Securities — 0.7%

Foreign Agency Obligations — 0.1%
Nigeria Treasury Bill, 0.00%, 02/27/20^(k)	NGN		131,600		339,993


Total Foreign Agency Obligations — 0.1% (Cost — $343,806)					339,993


		Shares

Money Market Funds — 0.6%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.99%^(s)(t)			3,688,908		3,688,908


Total Money Market Funds — 0.6% (Cost — $3,688,908)					3,688,908


Total Short-Term Securities — 0.7% (Cost — $4,032,714)					4,028,901


Total Investments — 131.8% (Cost — $799,240,111)					804,433,875

Liabilities in Excess of Other Assets — (31.8)%					(194,182,568	)


Net Assets — 100.0%				$	610,251,307

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

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

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

^(h)	Issuer filed for bankruptcy and/or is in default.


44		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

⁽ⁱ⁾	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.

^(j)	Perpetual security with no stated maturity date.

^(k)	Zero-coupon bond.

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

^(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)	Amount is less than $500.

^(p)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

^(q)	Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $83,182 and an original cost of $131,171, which was less than 0.05% of its net assets.

^(r)	All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

^(s)	Annualized 7-day yield as of period end.

^(t)	During the year ended August 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 08/31/18		Net Activity		Shares Held at 08/31/19		Value at 08/31/19		Income		Net Realized Gain (Loss)^(a)		Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		180,494		3,508,414		3,688,908	$	3,688,908	$	171,752	$	—	$	—

^(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)

Deutsche Bank Securities, Inc.

0.70

09/13/18

Open

77,400

78,032

Corporate Bonds

Open/Demand

UBS Ltd.

2.50

09/20/18

Open

3,026,213

3,104,121

Foreign Agency Obligations

Open/Demand

UBS Ltd.

2.70

09/20/18

Open

746,250

766,892

Corporate Bonds

Open/Demand

UBS Ltd.

2.70

09/20/18

Open

250,200

257,121

Corporate Bonds

Open/Demand

UBS Ltd.

2.70

09/20/18

Open

362,780

372,815

Corporate Bonds

Open/Demand

UBS Ltd.

2.70

09/20/18

Open

1,730,000

1,777,854

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

2.40

10/09/18

Open

2,808,000

2,874,296

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

10/09/18

Open

256,000

262,044

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.65

10/09/18

Open

417,000

427,792

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.65

10/09/18

Open

496,000

508,837

Corporate Bonds

Open/Demand

Deutsche Bank Securities, Inc.

2.75

11/15/18

Open

2,730,000

2,795,065

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.65

11/27/18

Open

839,000

857,630

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/11/18

Open

740,835

756,993

Corporate Bonds

Open/Demand

UBS Ltd.

2.70

12/12/18

Open

250,582

255,937

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.50

12/14/18

Open

403,705

405,372

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

(1.75

)

12/14/18

Open

101,640

100,453

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.25

12/14/18

Open

2,119,500

2,161,107

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

551,700

563,519

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

399,757

408,321

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

403,124

411,760

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

636,334

649,965

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

640,888

654,617

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

624,025

637,393

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

436,500

445,851

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

483,862

494,228

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

589,235

601,858

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

449,970

459,609

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/14/18

Open

442,531

452,011

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

160,000

163,026

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

3,148,000

3,207,541

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

771,000

785,583

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

908,000

925,174

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

866,000

882,379

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

2,522,000

2,569,701

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

1,357,000

1,382,666

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

6,371,000

6,491,500

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

503,000

512,514

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

12/14/18

Open

908,000

931,500

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.65

12/14/18

Open

381,000

388,889

Corporate Bonds

Open/Demand


SCHEDULES OF INVESTMENTS			45

Schedule of Investments (continued)

August 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)

HSBC Securities (USA), Inc.

2.65

12/14/18

Open

2,927,000

2,987,605

Capital Trusts

Open/Demand

UBS Securities LLC

2.70

12/18/18

Open

1,944,443

1,985,251

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

12/21/18

Open

245,265

247,217

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.70

12/24/18

Open

361,600

367,102

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

12/24/18

Open

38,070

38,860

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.25

01/08/19

Open

989,063

998,678

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.80

01/16/19

Open

98,972

100,113

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

1.00

01/18/19

Open

192,965

194,155

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.40

01/18/19

Open

824,440

836,173

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.50

02/12/19

Open

527,217

534,539

Capital Trusts

Open/Demand

Goldman Sachs & Co LLC

2.50

02/12/19

Open

382,826

388,143

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

2.15

02/26/19

Open

207,680

210,523

Foreign Agency Obligations

Open/Demand

Goldman Sachs & Co LLC

0.75

03/04/19

Open

258,126

259,094

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.40

03/04/19

Open

242,685

245,597

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

273,257

276,809

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

441,559

447,300

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

477,720

483,931

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

659,311

667,882

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

1,207,335

1,223,030

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

383,152

388,133

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.60

03/04/19

Open

158,392

160,451

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

03/05/19

Open

474,881

481,965

Corporate Bonds

Open/Demand

Goldman Sachs & Co LLC

2.50

03/11/19

Open

190,858

193,124

Foreign Agency Obligations

Open/Demand

RBC Capital Markets, LLC

2.80

03/26/19

Open

802,710

813,523

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

03/26/19

Open

691,437

700,693

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

03/29/19

Open

190,275

192,701

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

781,750

790,051

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

1,316,875

1,330,858

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

1,370,625

1,385,178

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

1,552,845

1,569,333

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

1,259,375

1,272,747

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.25

04/12/19

Open

2,272,050

2,296,175

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

04/12/19

Open

855,400

865,308

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.50

04/12/19

Open

1,181,575

1,195,262

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

04/12/19

Open

2,340,000

2,367,105

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.50

04/12/19

Open

1,345,075

1,360,655

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.50

04/12/19

Open

1,089,108

1,101,723

Capital Trusts

Open/Demand

Goldman Sachs & Co LLC

2.40

04/12/19

Open

1,354,175

1,366,994

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

04/18/19

Open

130,579

132,015

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

04/24/19

Open

307,440

310,800

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.65

04/29/19

Open

470,000

474,733

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.30

05/03/19

Open

286,877

289,510

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

2.25

05/07/19

Open

176,500

178,001

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

2.50

05/13/19

Open

1,004,981

1,014,277

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

05/13/19

Open

869,535

877,578

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

05/13/19

Open

784,988

792,249

Capital Trusts

Open/Demand

Barclays Capital, Inc.

2.50

05/15/19

Open

224,338

226,264

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.00

05/20/19

Open

106,080

106,839

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.40

05/24/19

Open

812,000

817,977

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

1.95

06/11/19

Open

210,250

211,409

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.67

06/20/19

Open

10,912

10,938

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.36

06/21/19

Open

94,510

95,003

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.50

06/21/19

Open

369,922

372,172

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.51

06/21/19

Open

581,788

584,999

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.52

06/21/19

Open

219,794

221,011

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.64

06/21/19

Open

252,450

253,985

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.64

06/21/19

Open

2,421,969

2,435,384

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.65

06/21/19

Open

703,099

707,177

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.65

06/21/19

Open

2,902,500

2,919,334

Capital Trusts

Open/Demand

BNP Paribas S.A.

2.65

06/21/19

Open

1,483,125

1,491,727

Capital Trusts

Open/Demand

BNP Paribas S.A.

2.70

06/21/19

Open

838,189

843,285

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.70

06/21/19

Open

618,008

621,654

Corporate Bonds

Open/Demand


46		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 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.

2.70

06/21/19

Open

944,843

950,417

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.70

06/21/19

Open

157,885

158,816

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.70

06/21/19

Open

130,975

131,716

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.72

06/21/19

Open

5,264,190

5,291,742

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.72

06/21/19

Open

531,644

534,802

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

457,209

459,989

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

1,351,565

1,359,674

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

802,240

806,973

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

226,187

227,563

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

993,200

999,239

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

292,777

294,558

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

590,008

593,595

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.79

06/21/19

Open

1,015,728

1,021,903

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,776,250

1,785,748

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

98,375

98,901

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

993,431

998,744

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

535,575

538,439

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

392,531

394,630

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,455,000

1,462,781

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

465,000

467,487

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

2,364,675

2,377,320

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

263,312

264,721

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

285,937

287,467

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,218,544

1,225,060

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

430,650

432,953

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,452,506

1,460,274

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

370,781

372,764

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

843,750

848,262

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

162,350

163,218

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

134,925

135,646

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

343,350

345,186

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,434,125

1,441,794

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,493,888

1,501,876

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

654,063

657,560

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,528,788

1,536,963

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

407,531

409,711

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

154,635

155,462

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

256,275

257,645

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

386,250

388,315

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

288,562

290,106

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

680,231

683,869

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

229,125

230,350

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

06/21/19

Open

1,110,819

1,116,759

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.79

06/21/19

Open

275,224

276,696

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

06/26/19

Open

842,310

846,943

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/10/19

Open

608,130

610,816

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/10/19

Open

707,350

710,474

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/10/19

Open

587,400

589,994

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

07/11/19

Open

255,780

256,885

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/12/19

Open

1,233,568

1,238,502

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/12/19

Open

1,066,051

1,070,582

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/16/19

Open

110,760

111,185

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.25

07/16/19

Open

457,464

458,925

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.30

07/16/19

Open

569,250

571,105

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.30

07/16/19

Open

795,150

797,741

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.30

07/16/19

Open

334,051

335,140

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.26

07/17/19

Open

6,512,000

6,532,538

U.S. Treasury Obligations

Open/Demand

HSBC Securities (USA), Inc.

2.26

07/17/19

Open

8,316,000

8,342,228

U.S. Treasury Obligations

Open/Demand

Citigroup Global Markets, Inc.

1.75

07/19/19

Open

117,972

118,241

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.30

07/25/19

Open

179,000

179,515

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/26/19

Open

414,335

415,509

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

07/26/19

Open

331,380

332,319

Corporate Bonds

Open/Demand


SCHEDULES OF INVESTMENTS			47

Schedule of Investments (continued)

August 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

2.80

07/26/19

Open

88,125

88,379

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

08/01/19

Open

1,333,745

1,336,801

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.50

08/07/19

Open

455,809

456,568

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.00

08/08/19

Open

168,937

168,939

Corporate Bonds

Open/Demand

TD Securities (USA) LLC

2.33

08/12/19

9/12/19

4,492,000

4,497,524

U.S. Government Sponsored Agency Securities

Up to 30 Days

TD Securities (USA) LLC

2.33

08/12/19

9/12/19

3,056,000

3,059,758

U.S. Government Sponsored Agency Securities

Up to 30 Days

Barclays Capital, Inc.

2.75

08/14/19

Open

507,895

508,555

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.75

08/15/19

Open

852,319

853,360

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/15/19

Open

389,215

389,699

Corporate Bonds

Open/Demand

Bank of America Securities, Inc.

2.36

08/16/19

9/17/19

13,833,000

13,844,789

U.S. Government Sponsored Agency Securities

Up to 30 Days

Citigroup Global Markets, Inc.

2.36

08/16/19

9/17/19

2,124,647

2,126,458

U.S. Government Sponsored Agency Securities

Up to 30 Days

Citigroup Global Markets, Inc.

2.36

08/16/19

9/17/19

88,661

88,737

U.S. Government Sponsored Agency Securities

Up to 30 Days

Citigroup Global Markets, Inc.

2.36

08/16/19

9/17/19

346,830

347,125

U.S. Government Sponsored Agency Securities

Up to 30 Days

Barclays Capital, Inc.

2.75

08/16/19

Open

438,997

439,433

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.75

08/19/19

Open

996,694

997,607

Corporate Bonds

Open/Demand

BNP Paribas S.A.

2.30

08/19/19

Open

297,040

297,268

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/26/19

Open

1,543,200

1,543,920

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/26/19

Open

2,125,125

2,126,117

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/26/19

Open

1,737,075

1,737,886

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/26/19

Open

1,682,738

1,683,523

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

2.26

08/27/19

Open

1,636,000

1,636,511

U.S. Treasury Obligations

Open/Demand

RBC Capital Markets, LLC

1.60

08/29/19

Open

264,127

264,151

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

08/29/19

Open

39,000

39,005

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.54

08/29/19

Open

754,298

754,404

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.65

08/29/19

Open

643,125

643,220

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

796,320

796,444

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

419,542

419,608

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

453,050

453,120

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

567,484

567,572

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

620,613

620,709

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

527,467

527,550

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

821,950

822,078

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

405,520

405,583

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

447,367

447,437

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

535,301

535,385

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

1,561,573

1,561,815

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

487,491

487,567

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

532,406

532,489

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

1,075,718

1,075,885

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

952,455

952,603

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

1,218,870

1,219,060

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

1,060,275

1,060,440

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

2.80

08/29/19

Open

1,073,600

1,073,767

Corporate Bonds

Open/Demand

200,832,421

202,539,453

^(a)

Certain agreements have no stated maturity and can be terminated by either party at any time.


48		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

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 600 Index		1		09/20/19	$	7	$	(507	)
10-Year Canada Bond		34		12/18/19		3,705		(12,050	)
10-Year U.S. Ultra Long Treasury Note		249		12/19/19		35,965		(19,451	)
Ultra Long U.S. Treasury Bond		48		12/19/19		9,477		128,875
5-Year U.S. Treasury Note		12		12/31/19		1,440		(485	)

								96,382

Short Contracts
Euro Bund		1		09/06/19		197		(8,914	)
10-Year U.S. Treasury Note		290		12/19/19		38,198		(39,048	)
Long U.S. Treasury Bond		17		12/19/19		2,809		(9,113	)
Long Gilt		1		12/27/19		163		(1,035	)
2-Year U.S. Treasury Note		134		12/31/19		28,960		1,923

								(56,187	)

							$	40,195

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	10,596,204	EUR	9,480,000	BNP Paribas S.A.		09/05/19	$	176,428
USD	8,186,823	EUR	7,325,000	Citibank N.A.		09/05/19		135,677
USD	955,417	EUR	855,000	Deutsche Bank AG		09/05/19		15,659
USD	1,123,907	GBP	921,000	Bank of America N.A.		09/05/19		3,188
USD	1,361,607	GBP	1,116,000	Citibank N.A.		09/05/19		3,601
USD	6,481,899	GBP	5,309,000	Goldman Sachs International		09/05/19		21,637
USD	520,283	MXN	10,254,000	State Street Bank and Trust Co.		09/05/19		8,734
USD	56,786	NZD	86,000	HSBC Bank PLC		09/05/19		2,595
CAD	3,975,801	EUR	2,700,000	Deutsche Bank AG		09/18/19		16,242
JPY	325,802,220	USD	3,050,000	Bank of America N.A.		09/18/19		19,901
JPY	326,304,245	USD	3,030,000	State Street Bank and Trust Co.		09/18/19		44,631
USD	3,050,000	SEK	28,553,563	JPMorgan Chase Bank N.A.		09/18/19		137,960
USD	3,030,000	SEK	28,516,651	State Street Bank and Trust Co.		09/18/19		121,725
USD	8,128,025	EUR	7,325,000	Citibank N.A.		10/03/19		59,016
USD	940,189	EUR	853,000	State Street Bank and Trust Co.		10/03/19		549
USD	3,394,606	EUR	3,080,000	State Street Bank and Trust Co.		10/03/19		1,767
USD	1,365,232	GBP	1,116,000	Citibank N.A.		10/03/19		5,515
USD	1,124,706	GBP	921,000	Standard Chartered Bank		10/03/19		2,575
USD	6,481,927	GBP	5,309,000	State Street Bank and Trust Co.		10/03/19		13,527
USD	54,555	NZD	86,000	State Street Bank and Trust Co.		10/03/19		321

								791,248

EUR	7,325,000	USD	8,110,240	Citibank N.A.		09/05/19		(59,095	)
EUR	853,000	USD	938,089	State Street Bank and Trust Co.		09/05/19		(529	)
EUR	3,080,000	USD	3,387,024	State Street Bank and Trust Co.		09/05/19		(1,696	)
GBP	1,116,000	USD	1,363,529	Citibank N.A.		09/05/19		(5,523	)
GBP	921,000	USD	1,123,295	Standard Chartered Bank		09/05/19		(2,575	)
GBP	5,309,000	USD	6,473,799	State Street Bank and Trust Co.		09/05/19		(13,537	)
NZD	86,000	USD	54,512	State Street Bank and Trust Co.		09/05/19		(322	)
EUR	2,700,000	CAD	3,968,922	Morgan Stanley & Co. International PLC		09/18/19		(11,073	)
JPY	324,229,521	USD	3,060,000	Citibank N.A.		09/18/19		(4,918	)
SEK	28,123,227	USD	3,050,000	JPMorgan Chase Bank N.A.		09/18/19		(181,848	)
SEK	28,546,412	USD	3,030,000	JPMorgan Chase Bank N.A.		09/18/19		(118,690	)


SCHEDULES OF INVESTMENTS			49

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	3,050,000	JPY	325,247,425	Bank of America N.A.		09/18/19	$	(14,673	)
USD	3,030,000	JPY	325,884,681	Standard Chartered Bank		09/18/19		(40,678	)

								(455,157	)

	Net Unrealized Appreciation						$	336,091

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.HY.32.V1		5.00	%		Quarterly	06/20/24		USD	2,673	$	(207,084	)	$	(178,926	)	$	(28,158	)
CDX.NA.IG.32.V1		1.00			Quarterly	06/20/24		USD	64,700		(1,502,421	)		(1,234,333	)		(268,088	)

										$	(1,709,505	)	$	(1,413,259	)	$	(296,246	)

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index

Financing
Rate Received
by the Fund

Payment
Frequency

Termination
Date

Credit
Rating^(a)

Notional
Amount (000)^(b)

Value

Upfront
Premium
Paid
(Received)

Unrealized
Appreciation
(Depreciation)

iTraxx.XO.31.V1

5.00%

Quarterly

06/20/24

EUR

10,633

8,778

1,855

^(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.

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	$	(7,303	)	$	(6,826	)	$	(477	)
UPC Holding BV		5.00			Quarterly	BNP Paribas S.A.		06/20/24		EUR	4		(1,005	)		(993	)		(12	)
UPC Holding BV		5.00			Quarterly	Bank of America N.A.		06/20/24		EUR	10		(2,435	)		(2,374	)		(61	)

												$	(10,743	)	$	(10,193	)	$	(550	)

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	$	(2,377	)	$	(1,232	)	$	(1,145	)
Casino Guichard Perrachon SA		1.00			Quarterly	Barclays Bank PLC		12/20/23	B		EUR	40		(9,800	)		(5,544	)		(4,256	)
Chesapeake Energy Corp.		5.00			Quarterly	Barclays Bank PLC		12/20/23	B+		USD	79		(15,808	)		131			(15,939	)
Chesapeake Energy Corp.		5.00			Quarterly	Barclays Bank PLC		12/20/23	B+		USD	62		(12,406	)		520			(12,926	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/23	B-		EUR	13		(317	)		(80	)		(237	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		12/20/23	B-		EUR	24		(603	)		408			(1,011	)
Telecom Italia SpA		1.00			Quarterly	Citibank N.A.		06/20/24	BB+		EUR	5		(166	)		(171	)		5
Telecom Italia SpA		1.00			Quarterly	Bank of America N.A.		06/20/24	BB+		EUR	5		(164	)		(169	)		5
Telecom Italia SpA		1.00			Quarterly	Citibank N.A.		06/20/24	BB+		EUR	5		(166	)		(176	)		10
Telecom Italia SpA		1.00			Quarterly	Morgan Stanley & Co. International PLC		06/20/24	BB+		EUR	5		(159	)		(174	)		15
Telecom Italia SpA		1.00			Quarterly	Citibank N.A.		06/20/26	BB+		EUR	10		(916	)		(1,483	)		567
Tesco PLC		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/28	BB+		EUR	60		(4,241	)		(5,703	)		1,462
CMBX.NA.8		3.00			Monthly	Barclays Bank PLC		10/17/57	NR		USD	5,000		(254,802	)		(506,217	)		251,415


50		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)


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	$	(127,401	)	$	(250,179	)	$	122,778
CMBX.NA.8		3.00			Monthly	Morgan Stanley & Co. International PLC		10/17/57	NR		USD	4,450		(228,257	)		(592,032	)		363,775
CMBX.NA.9		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58	NR		USD	7,550		(258,080	)		(929,170	)		671,090
CMBX.NA.9		3.00			Monthly	Credit Suisse International		09/17/58	NR		USD	5,000		(170,914	)		(541,682	)		370,768
CMBX.NA.9		3.00			Monthly	Credit Suisse International		09/17/58	NR		USD	5,000		(170,914	)		(541,682	)		370,768
CMBX.NA.9		3.00			Monthly	Credit Suisse International		09/17/58	NR		USD	5,000		(170,914	)		(535,765	)		364,851

													$	(1,428,405	)	$	(3,910,400	)	$	2,481,995

^(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 and OTC Swaps


	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps^(a)	$	8,778	$	(1,413,259	)	$	1,855	$	(296,246	)	$	—
OTC Swaps		1,059		(3,921,652	)		2,517,509		(36,064	)		—

^(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)	$	—	$	—	$	—	$	—	$	130,798	$	—	$	130,798
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		791,248		—		—		791,248
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—		1,855		—		—		—		—		1,855
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		2,518,568		—		—		—		—		2,518,568

	$	—	$	2,520,423	$	—	$	791,248	$	130,798	$	—	$	3,442,469

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	507	$	—	$	90,096	$	—	$	90,603
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		455,157		—		—		455,157
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		296,246		—		—		—		—		296,246
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		3,957,716		—		—		—		—		3,957,716

	$	—	$	4,253,962	$	507	$	455,157	$	90,096	$	—	$	4,799,722

^(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).


SCHEDULES OF INVESTMENTS			51

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

For the year ended August 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	$	—	$	—	$	(2,953	)	$	—		$	770,244		$	—	$	767,291
Forward foreign currency exchange contracts		—		—		—			2,682,747			—			—		2,682,747
Options purchased^(a)		—		—		(44,978	)		—			—			—		(44,978	)
Swaps		—		877,528		—			—			1,481,567			1,429		2,360,524

	$	—	$	877,528	$	(47,931	)	$	2,682,747		$	2,251,811		$	1,429	$	5,765,584

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	304		$	—		$	36,695		$	—	$	36,999
Forward foreign currency exchange contracts		—		—		—			(108,409	)		—			—		(108,409	)
Options purchased^(b)		—		—		44,978			—			—			—		44,978
Swaps		—		1,082,174		—			—			(846,994	)		—		235,180

	$	—	$	1,082,174	$	45,282		$	(108,409	)	$	(810,299	)	$	—	$	208,748

^(a)

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

^(b)

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	91,479,563
Average notional value of contracts — short	$	72,603,069
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	61,310,270
Average amounts sold — in USD	$	32,932,221
Credit default swaps:
Average notional value — buy protection	$	38,813,875
Average notional value — sell protection	$	36,717,907
Interest rate swaps:
Average notional value — pays fixed rate	$	98,270,000
Average notional value — receives fixed rate	$	89,642,500
Inflation swaps:
Average notional value — receives fixed rate	$	—	^(a)
Total return swaps:
Average notional value	$	2,375,000

^(a)

Derivative not held at 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


	Assets			Liabilities
Futures contracts	$	43,448		$	43,246
Forward foreign currency exchange contracts		791,248			455,157
Swaps — Centrally cleared		972			—
Swaps — OTC^(a)		2,518,568			3,957,716

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	3,354,236		$	4,456,119
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(44,420	)		(43,246	)

Total derivative assets and liabilities subject to an MNA	$	3,309,816		$	4,412,873

^(a)

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


52		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)


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.	$	23,094	$	(17,277	)	$	—	$	—		$	5,817
Barclays Bank PLC		252,066		(252,066	)		—		—			—
BNP Paribas S.A.		176,428		(1,005	)		—		—			175,423
Citibank N.A.		204,391		(73,743	)		—		—			130,648
Credit Suisse International		1,229,573		(1,229,573	)		—		—			—
Deutsche Bank AG		31,901		—			—		—			31,901
Goldman Sachs International		21,637		—			—		—			21,637
HSBC Bank PLC		2,595		—			—		—			2,595
JPMorgan Chase Bank N.A.		137,960		(137,960	)		—		—			—
Morgan Stanley & Co. International PLC		1,036,342		(1,036,342	)		—		—			—
Standard Chartered Bank		2,575		(2,575	)		—		—			—
State Street Bank and Trust Co.		191,254		(16,084	)		—		—			175,170

	$	3,309,816	$	(2,766,625	)	$	—	$	—		$	543,191


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.	$	17,277	$	(17,277	)	$	—	$	—		$	—
Barclays Bank PLC		544,882		(252,066	)		—		(292,816	)		—
BNP Paribas S.A.		1,005		(1,005	)		—		—			—
Citibank N.A.		73,743		(73,743	)		—		—			—
Credit Suisse International		1,870,319		(1,229,573	)		—		(640,746	)		—
JPMorgan Chase Bank N.A.		308,158		(137,960	)		—		(10,000	)		160,198
Morgan Stanley & Co. International PLC		1,538,152		(1,036,342	)		—		(390,000	)		111,810
Standard Chartered Bank		43,253		(2,575	)		—		—			40,678
State Street Bank and Trust Co.		16,084		(16,084	)		—		—			—

	$	4,412,873	$	(2,766,625	)	$	—	$	(1,333,562	)	$	312,686

^(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)

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.


SCHEDULES OF INVESTMENTS			53

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End

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


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—		$	26,252,515		$	4,155,566	$	30,408,081
Common Stocks^(a)		128,236			44,183			534,756		707,175
Corporate Bonds		—			376,380,576			1,577,528		377,958,104
Floating Rate Loan Interests		—			236,020,674			7,282,908		243,303,582
Foreign Agency Obligations		—			16,513,516			—		16,513,516
Investment Companies		15,052,766			—			—		15,052,766
Non-Agency Mortgage-Backed Securities		—			9,195,420			—		9,195,420
Other Interests		—			—			10		10
Preferred Securities^(a)		13,402,973			41,942,139			—		55,345,112
U.S. Government Sponsored Agency Securities		—			33,410,222			—		33,410,222
U.S. Treasury Obligations		—			18,226,283			—		18,226,283
Warrants		—			201,521			—		201,521
Short-Term Securities:
Foreign Agency Obligations		—			339,993			—		339,993
Money Market Funds		3,688,908			—			—		3,688,908
Liabilities:
Investments:
Unfunded Floating Rate Loan Interests^(b)		—			(1,688	)		—		(1,688	)

Subtotal	$	32,272,883		$	758,525,354		$	13,550,768	$	804,349,005

Investments Valued at NAV^(c)										83,182

Total Investments									$	804,432,187

Derivative Financial Instruments^(d)
Assets:
Credit contracts	$	—		$	2,519,364		$	—	$	2,519,364
Forward foreign currency contracts		—			791,248			—		791,248
Interest rate contracts		130,798			—			—		130,798
Liabilities:
Credit contracts		—			(332,310	)		—		(332,310	)
Equity contracts		(507	)		—			—		(507	)
Forward foreign currency contracts		—			(455,157	)		—		(455,157	)
Interest rate contracts		(90,096	)		—			—		(90,096	)

	$	40,195		$	2,523,145		$	—	$	2,563,340

^(a)

See above Schedule of Investments for values in each industry.

^(b)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

^(c)

Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

^(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 or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $202,539,453 are categorized within as Level 2 the disclosure hierarchy.


54		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

August 31, 2019

BlackRock Limited Duration Income Trust (BLW)

A reconciliation of Level 3 Investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year 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			Options Purchased			Other Interests		Warrants			Grand Total
Assets:
Opening balance, as of August 31, 2018	$	1,581,044		$	2,336,114		$	1,507,493		$	9,733,052		$	—		$	10	$	—		$	15,157,713
Transfers into Level 3^(a)		3,052,756			—			—			3,230,188			—			—		—			6,282,944
Transfers out of Level 3		—			—			(13	)		(4,260,723	)		—			—		—			(4,260,736	)
Accrued discounts/premiums		(131,390	)		—			(50,411	)		2,026			—			—		—			(179,775	)
Net realized gain (loss)		(87,372	)		27,445			848			(86,089	)		(44,978	)		—		(31	)		(190,177	)
Net change in unrealized appreciation (depreciation)^(b)(c)		147,709			(1,786,361	)		151,761			(74,343	)		44,978			—		31			(1,516,225	)
Purchases		—			100,687			—			4,231,258			—			—		—			4,331,945
Sales		(407,181	)		(143,129	)		(32,150	)		(5,492,461	)		—			—		—			(6,074,921	)

Closing balance, as of August 31, 2019	$	4,155,566		$	534,756		$	1,577,528		$	7,282,908		$	—		$	10	$	—		$	13,550,768

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2019^(c)	$	147,709		$	(1,786,361	)	$	151,761		$	(98,502	)	$	—		$	—	$	—		$	(1,585,393	)

^(a)

As of August 31, 2018, the Fund used observable inputs in determining the value of certain investments. As of August 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)

Included in the related change in unrealized appreciation (depreciation) in the Statements of Operations.

^(c)

See notes to financial statements.


SCHEDULES OF INVESTMENTS			55

Statements of Assets and Liabilities

August 31, 2019


	FRA			BLW

ASSETS
Investments at value — unaffiliated^(a)	$	753,584,970		$	800,744,967
Investments at value — affiliated^(b)		—			3,688,908
Cash		1,243,343			988,391
Cash pledged:
Collateral — OTC derivatives		—			1,930,000
Futures contracts		—			342,300
Centrally cleared swaps		—			689,000
Foreign currency at value^(c)		15,335			9,548,558
Receivables:
Investments sold		10,114,109			2,315,812
Reverse repurchase agreements		—			307,700
Dividends — affiliated		2,498			18,560
Interest — unaffiliated		2,473,041			8,128,051
Variation margin on futures contracts		—			43,448
Variation margin on centrally cleared swaps		—			972
Swap premiums paid		—			1,059
Unrealized appreciation on:
Forward foreign currency exchange contracts		98,621			791,248
OTC swaps		—			2,517,509
Prepaid expenses		6,534			6,669

Total assets		767,538,451			832,063,152


LIABILITIES
Collateral — reverse repurchase agreements		—			59,288
Reverse repurchase agreements at value		—			202,539,453
Payables:
Investments purchased		35,681,515			13,447,899
Bank borrowings		204,000,000			—
Income dividend distributions		80,967			105,844
Interest expense		530,521			—
Investment advisory fees		465,119			376,789
Offering costs		4,000			—
Directors’ and Officer’s fees		7,323			428,702
Other accrued expenses		309,146			396,063
Variation margin on futures contracts		—			43,246
Swap premiums received		—			3,921,652
Unrealized depreciation on:
Forward foreign currency exchange contracts		8,163			455,157
OTC swaps		—			36,064
Unfunded floating rate loan interests		4,797			1,688

Total liabilities		241,091,551			221,811,845


NET ASSETS	$	526,446,900		$	610,251,307


NET ASSETS CONSIST OF
Paid-in capital^(d)(e)(f)	$	564,639,181		$	636,378,755
Accumulated loss		(38,192,281	)		(26,127,448	)

NET ASSETS	$	526,446,900		$	610,251,307


Net asset value, offering and redemption price per share	$	14.49		$	17.03


^(a) Investments at cost — unaffiliated	$	766,457,987		$	795,551,203
^(b) Investments at cost — affiliated	$	—		$	3,688,908
^(c) Foreign currency at cost	$	15,518		$	9,647,175
^(d) Par value	$	0.100		$	0.001
^(e) Shares outstanding		36,325,253			35,832,657
^(f) Shares authorized		200 million			unlimited

See notes to financial statements.


56		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations

Year Ended August 31, 2019


	FRA			BLW

INVESTMENT INCOME
Interest — unaffiliated	$	42,149,744		$	43,277,038
Dividends — unaffiliated		1,151,000			1,323,406
Other income		584,116			224,044
Dividends — affiliated		38,562			171,752
Foreign taxes withheld		—			(12,750	)

Total investment income		43,923,422			44,983,490


EXPENSES
Investment advisory		5,651,988			4,443,460
Professional		193,421			170,541
Accounting services		111,942			115,798
Transfer agent		57,141			71,995
Directors and Officer		43,190			54,293
Custodian		37,942			75,575
Offering		30,883			—
Printing		29,541			23,989
Registration		14,061			13,877
Miscellaneous		28,298			95,711

Total expenses excluding interest expense		6,198,407			5,065,239
Interest expense		6,951,555			5,810,660

Total expenses		13,149,962			10,875,899
Less fees waived and/or reimbursed by the Manager		(1,728	)		(5,603	)

Total expenses after fees waived and/or reimbursed		13,148,234			10,870,296

Net investment income		30,775,188			34,113,194


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(9,904,223	)		(9,484,091	)
Investments — affiliated		27,274			—
Futures contracts		—			767,291
Forward foreign currency exchange contracts		587,067			2,682,747
Foreign currency transactions		117,500			(399,761	)
Swaps		(610,309	)		2,360,524

		(9,782,691	)		(4,073,290	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(6,292,224	)		14,278,431
Futures contracts		—			36,999
Forward foreign currency exchange contracts		36,256			(108,409	)
Foreign currency translations		(130,922	)		(54,655	)
Swaps		—			235,180
Unfunded floating rate loan interests		(1,585	)		(906	)

		(6,388,475	)		14,386,640

Net realized and unrealized gain (loss)		(16,171,166	)		10,313,350

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	14,604,022		$	44,426,544

See notes to financial statements.


FINANCIAL STATEMENTS			57

Statements of Changes in Net Assets


	FRA						BLW
	Year Ended August 31,						Year Ended August 31,
	2019			2018 ^(a)			2019			2018

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	30,775,188		$	29,305,147		$	34,113,194		$	34,941,919
Net realized gain (loss)		(9,782,691	)		638,332			(4,073,290	)		7,252,073
Net change in unrealized appreciation (depreciation)		(6,388,475	)		(3,031,229	)		14,386,640			(19,132,912	)

Net increase in net assets resulting from operations		14,604,022			26,912,250			44,426,544			23,061,080


DISTRIBUTIONS TO SHAREHOLDERS^(b)(c)
Decrease in net assets resulting from distributions to shareholders		(32,025,983	)		(27,514,809	)		(34,575,364	)		(35,259,837	)


CAPITAL SHARE TRANSACTIONS
Redemption of shares resulting from share repurchase program (including transaction costs)		(11,500,788	)		—			(11,648,172	)		(5,481,140	)


NET ASSETS^(c)
Total decrease in net assets		(28,922,749	)		(602,559	)		(1,796,992	)		(17,679,897	)
Beginning of year		555,369,649			555,972,208			612,048,299			629,728,196

End of year	$	526,446,900		$	555,369,649		$	610,251,307		$	612,048,299

^(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.

^(c)	Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.


58		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows

Year Ended August 31, 2019


	FRA			BLW

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES
Net increase in net assets resulting from operations	$	14,604,022		$	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		449,031,617			449,365,731
Purchases of long-term investments		(406,462,634	)		(399,504,230	)
Net proceeds from sales (purchases) of short-term securities		155,382			(3,770,137	)
Amortization of premium and accretion of discount on investments and other fees		(386,564	)		372,746
Net unrealized (appreciation) depreciation on investments, swaps, forward foreign currency exchange contracts, foreign currency translations and unfunded floating rate loan interests		6,257,553			(15,551,799	)
Net realized loss on investments		9,882,763			9,484,002

(Increase) Decrease in Assets:
Receivables:
Dividends — affiliated		(1,011	)		(9,055	)
Interest — unaffiliated		299,782			101,721
Variation margin on futures contracts		—			(16,354	)
Variation margin on centrally cleared swaps		—			(972	)
Swap premiums paid		—			19,832
Prepaid expenses		2,463			3,082
Deferred offering costs		30,883			—

Increase (Decrease) in Liabilities:
Cash received:
Collateral — reverse repurchase agreements		—			59,288
Collateral — OTC derivatives		—			(150,000	)
Payables:
Interest expense and fees		(35,153	)		982,760
Investment advisory fees		(38,541	)		(23,117	)
Directors’ and Officer’s fees		(1,216	)		(618	)
Other accrued expenses		(72,636	)		(44,422	)
Variation margin on futures contracts		—			(17,893	)
Variation margin on centrally cleared swaps		—			(114,007	)
Swap premiums received		—			(52,099	)

Net cash provided by operating activities		73,266,710			85,561,003


CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES
Cash dividends paid to Common Shareholders		(32,025,792	)		(34,562,280	)
Payments for bank borrowings		(306,000,000	)		—
Payments on Common Shares redeemed		(11,500,788	)		(11,769,182	)
Proceeds from bank borrowings		277,000,000			—
Net borrowing of reverse repurchase agreements		—			(33,373,160	)

Net cash used for financing activities		(72,526,580	)		(79,704,622	)


CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
Cash impact from foreign exchange fluctuations	$	(169	)	$	(57,073	)


CASH AND FOREIGN CURRENCY
Net increase in restricted and unrestricted cash and foreign currency		739,961			5,799,308
Restricted and unrestricted cash and foreign currency at beginning of year		518,717			7,698,941

Restricted and unrestricted cash and foreign currency at end of year	$	1,258,678		$	13,498,249


SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid during the year for interest expense	$	6,986,708		$	4,827,900

See notes to financial statements.


FINANCIAL STATEMENTS			59

Statements of Cash Flows (continued)

Year Ended August 31, 2019


	FRA		BLW

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

Cash	$	1,243,343	$	988,391
Cash pledged:
Collateral — OTC derivatives		—		1,930,000
Futures contracts		—		342,300
Centrally cleared swaps		—		689,000
Foreign currency at value		15,335		9,548,558

	$	1,258,678	$	13,498,249


RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES
Cash	$	508,498	$	172,706
Cash pledged:
Collateral — reverse repurchase agreements		—		908,000
Collateral — OTC derivatives		—		3,540,000
Futures contracts		—		497,859
Centrally cleared swaps		—		1,017,170
Foreign currency at value		10,219		1,563,206

	$	518,717	$	7,698,941

See notes to financial statements.


60		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights

(For a share outstanding throughout each period)


	FRA

	Year Ended August 31,
	2019			2018^(a)			2017^(a)			2016^(a)			2015^(a)

Net asset value, beginning of year	$	14.92		$	14.93		$	14.78		$	14.91		$	15.38

Net investment income^(b)		0.84			0.79			0.76			0.76			0.81
Net realized and unrealized gain (loss)		(0.40	)		(0.06	)		0.20			(0.14	)		(0.47	)

Net increase from investment operations		0.44			0.73			0.96			0.62			0.34

Distributions from net investment income^(c)		(0.87	)		(0.74	)		(0.81	)		(0.75	)		(0.81	)


Net asset value, end of year	$	14.49		$	14.92		$	14.93		$	14.78		$	14.91	^(d)


Market price, end of year	$	12.46		$	13.80		$	14.10		$	13.70		$	12.94


Total Return^(e)
Based on net asset value		3.94	%		5.28	%		6.93	%		5.00	%		2.88	%^(d)

Based on market price		(3.37	)%		3.11	%		8.95	%		12.14	%		(3.71	)%


Ratios to Average Net Assets^(f)
Total expenses		2.45	%		2.23	%		1.88	%		1.54	%		1.56	%

Total expenses after fees waived and/or reimbursed		2.45	%		2.22	%		1.88	%		1.54	%		1.56	%

Total expenses after fees waived and/or reimbursed and excluding interest expense		1.16	%		1.20	%		1.21	%		1.14	%		1.19	%

Net investment income		5.74	%		5.27	%		5.08	%		5.27	%		5.39	%


Supplemental Data
Net assets, end of year (000)	$	526,447		$	555,370		$	555,972		$	550,271		$	555,104

Borrowings outstanding, end of year (000)	$	204,000		$	233,000		$	237,000		$	225,000		$	196,000

Asset coverage, end of year per $1,000 of bank borrowings	$	3,582		$	3,385		$	3,346		$	3,446		$	3,832

Portfolio turnover rate		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)	Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:


	Year Ended August 31,
	2019			2018			2017		2016		2015
Investments in underlying funds		0.03	%		0.01	%		—		—		—

See notes to financial statements.


FINANCIAL HIGHLIGHTS			61

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BLW

	Year Ended August 31,
	2019			2018			2017			2016			2015^(a)

Net asset value, beginning of year	$	16.71		$	17.02		$	16.84		$	17.04		$	18.09

Net investment income^(b)		0.94			0.95			1.01			1.32			1.16
Net realized and unrealized gain (loss)		0.33			(0.31	)		0.44			(0.22	)		(0.92	)

Net increase from investment operations		1.27			0.64			1.45			1.10			0.24

Distributions from net investment income^(c)		(0.95	)		(0.95	)		(1.27	)		(1.30	)		(1.29	)


Net asset value, end of year	$	17.03		$	16.71		$	17.02		$	16.84		$	17.04	^(d)


Market price, end of year	$	15.44		$	15.06		$	15.99		$	15.74		$	14.60


Total Return^(e)
Based on net asset value		8.77	%		4.42	%		9.62	%		7.78	%		2.23	%^(d)

Based on market price		9.41	%		0.18	%		10.18	%		17.59	%		(5.74	)%


Ratios to Average Net Assets
Total expenses		1.81	%^(f)		1.73	%		1.45	%		1.21	%		1.15	%

Total expenses after fees waived and/or reimbursed		1.81	%^(f)		1.73	%		1.45	%		1.21	%		1.15	%

Total expenses after fees waived and/or reimbursed and excluding interest expense		0.84	%^(f)		0.89	%		0.89	%		0.89	%		0.92	%

Net investment income		5.69	%^(f)		5.60	%		6.00	%		8.04	%		6.65	%


Supplemental Data
Net assets, end of year (000)	$	610,251		$	612,048		$	629,728		$	623,219		$	630,388

Borrowings outstanding, end of year (000)	$	202,539		$	234,622		$	252,280		$	263,445		$	264,036

Portfolio turnover rate		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)	Excludes 0.02% of expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.


62		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 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.

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 open-end 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 FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”). As of period end, the Taxable Subsidiary, which was wholly-owned by FRA, was dissolved. The Taxable Subsidiary enabled 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 from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the 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.


NOTES TO FINANCIAL STATEMENTS			63

Notes to Financial Statements (continued)

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: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance on 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) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). 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.

•

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.


64		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (continued)

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 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 August 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.


NOTES TO FINANCIAL STATEMENTS			65

Notes to Financial Statements (continued)

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 (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a 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.

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


66		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (continued)

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 (Depreciation)
FRA	Allied Universal Holdco LLC	$	500,745	$	500,745	$	499,619	$	(1,126	)
	BCPE Empire Holdings, Inc.		209,748		209,748		206,077		(3,671	)
BLW	Allied Universal Holdco LLC		177,128		177,128		176,729		(399	)
	BCPE Empire Holdings, Inc.		73,670		73,670		72,381		(1,289	)

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


NOTES TO FINANCIAL STATEMENTS			67

Notes to Financial Statements (continued)

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 year ended August 31, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $207,992,983 and 2.80%, respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

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


Counterparty	Reverse Repurchase Agreements		Fair Value of Non-cash Collateral Pledged Including Accrued Interest^(a)			Cash Collateral Pledged/Received		Net Amount
Bank of America Securities, Inc.	$	13,844,789	$	(13,844,789	)	$	—	$	—
Barclays Capital, Inc.		41,480,860		(41,480,860	)		—		—
BNP Paribas S.A.		25,836,897		(25,836,897	)		—		—
Citigroup Global Markets, Inc.		2,680,561		(2,680,561	)		—		—
Credit Suisse Securities (USA) LLC		599,933		(599,933	)		—		—
Deutsche Bank Securities, Inc.		2,873,097		(2,873,097	)		—		—
Goldman Sachs & Co LLC		7,665,355		(7,665,355	)		—		—
HSBC Securities (USA), Inc.		43,962,664		(43,962,664	)		—		—
RBC Capital Markets, LLC		47,518,024		(47,518,024	)		—		—
TD Securities (USA) LLC		7,557,282		(7,557,282	)		—		—
UBS Ltd.		6,534,740		(6,534,740	)		—		—
UBS Securities LLC		1,985,251		(1,985,251	)		—		—

	$	202,539,453	$	(202,539,453	)	$	—	$	—

^(a)

Net collateral, including accrued interest, with a value of $230,888,481 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.

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


68		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (continued)

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, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

•

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

•

Foreign currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when 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


NOTES TO FINANCIAL STATEMENTS			69

Notes to Financial Statements (continued)

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 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.


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Notes to Financial Statements (continued)

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

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, 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).

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 August 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 will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended August 31, 2019 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers: With respect to each Fund, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). The amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended August 31, 2019, the amounts waived were as follows:


	FRA		BLW
Amounts waived	$	1,255	$	5,603

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, 2020. 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. For the year ended August 31, 2019, FRA waived $473 in investment advisory fees pursuant to these arrangements.

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 year ended August 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
BLW	$	—	$	117,597	$	10,622

7.	*PURCHASES AND SALES*

For the year ended August 31, 2019, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:


Purchases
	FRA		BLW
Non-U.S. Government Securities	$	409,935,764	$	306,571,295
U.S. Government Securities		—		97,657,770

	$	409,935,764	$	404,229,065

Sales
	FRA		BLW
Non-U.S. Government Securities (includes paydowns)	$	452,854,550	$	418,860,053
U.S. Government Securities		—		29,975,760

	$	452,854,550	$	448,835,813

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.


NOTES TO FINANCIAL STATEMENTS			71

Notes to Financial Statements (continued)

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 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 August 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.

U.S. GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to the the expiration of capital loss carryforwards, and non-deductible expenses were reclassified to the following accounts:


	FRA			BLW
Paid-in capital	$	(2,243,773	)	$	—
Accumulated loss		2,243,773			—

The tax character of distributions paid was as follows:


	FRA		BLW
Ordinary income
8/31/2019	$	32,025,983	$	34,575,364
8/31/2018		27,514,809		35,259,837

Total
8/31/2019	$	32,025,983	$	34,575,364

8/31/2018	$	27,514,809	$	35,259,837

As of period end the tax components of accumulated losses were as follows:


	FRA			BLW
Undistributed ordinary income.	$	2,849,166		$	4,140,000
Non-expiring Capital loss carryforwards^(a)		(27,905,824	)		(36,950,737	)
Net unrealized gains (losses)^(b)		(13,135,623	)		6,683,289

Total	$	(38,192,281	)	$	(26,127,448	)

^(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 accounting for swap agreements and the deferral of compensation to directors.

As of August 31, 2019, gross unrealized appreciation and gross unrealized depreciation on investments and derivatives based on cost for federal income tax purposes were as follows:


	FRA			BLW
Tax cost	$	766,689,343		$	799,246,812

Gross unrealized appreciation	$	1,872,607		$	25,145,009
Gross unrealized depreciation		(14,976,980	)		(17,772,335	)

Net unrealized appreciation (depreciation)	$	(13,104,373	)	$	7,372,674

9. BANK BORROWINGS

FRA is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to FRA. As of period end, FRA has not received any notice to terminate. FRA has granted a security interest in substantially all of its assets to SSB. The SSB Agreement allows for a maximum commitment of $274,000,000.

Advances will be made by SSB to FRA, at 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, 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 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.

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%.


72		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (continued)

For the year ended August 31, 2019, the average amount of bank borrowings and the daily weighted average interest rates for FRA for loans under the revolving credit agreements were $217,657,534 and 3.19%, respectively.

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.

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 the Funds deposit 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.


NOTES TO FINANCIAL STATEMENTS			73

Notes to Financial Statements (continued)

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.

11.

CAPITAL SHARE TRANSACTIONS

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 each Fund’s shares is $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.

Each Fund participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2017 through November 30, 2018, 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, 2017, subject to certain conditions. From December 1, 2018 through November 30, 2019, 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, 2018, 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 Fund’s Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:


	FRA				BLW
	Shares		Amount		Shares		Amount
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

12.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Funds have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018 were classified as follows:


	Net Investment Income
FRA	$	27,514,809
BLW		35,259,837

Undistributed net investment income as of August 31, 2018 was as follows:


	Undistributed net investment income
FRA	$	3,993,685
BLW		634,190

13.

SUBSEQUENT EVENTS

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


	Common Dividend Per Share
	Paid^(a)		Declared^(b)
FRA	$	0.0695	$	0.0788
BLW		0.0795		0.0981

^(a)

Net investment income dividend paid on September 30, 2019 to Common Shareholders of record on September 16, 2019.

^(b)

Net investment income dividend declared on October 1, 2019, payable to Common Shareholders of record on October 15, 2019.


74		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (continued)

On September 5, 2019, each Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2019, each 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. There is no assurance that the Funds will purchase shares in any particular amounts.

On September 5, 2019, the Board approved a change in the fiscal year end (“FYE”) of FRA and BLW, effective as of December 31, 2019, as follows:


	Current FYE		Approved FYE
FRA		August 31		December 31
BLW		August 31		December 31


NOTES TO FINANCIAL STATEMENTS			75

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Directors/Trustees of 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 Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of August 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. For BlackRock Floating Rate Income Strategies Fund, Inc., the presented statements of changes in net assets and financial highlights were consolidated through November 30, 2017. For BlackRock Limited Duration Income Trust, the presented financial highlights were consolidated through December 19, 2014. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2019, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 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

October 22, 2019

We have served as the auditor of one or more BlackRock investment companies since 1992.

Important Tax Information (unaudited)

During the fiscal year ended August 31, 2019, the following information is provided with respect to the ordinary income distributions paid:


	Payable Dates	FRA			BLW
Qualified Dividend Income for Individuals^(a)	September 2018		—			8.81	%
	October 2018 — January 2019		—			8.02
	February 2019 — August 2019		—			8.88
Dividends Qualifying for the Dividends Received Deduction for Corporations^(a)	September 2018 — August 2019		—			6.45
Interest-Related Dividends for Non-U.S. Residents^(b)	September 2018 — January 2019		75.00	%		75.60
	February 2019 — August 2019		74.13			57.22
Federal Obligation Interest^(c)	February 2019 — August 2019		—			0.98

^(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.


76		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements

The Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and the Board of Trustees of BlackRock Limited Duration Income Trust (“BLW” and together with FRA, the “Funds” and each, a “Fund”) (collectively, the “Board,” the members of which are referred to as “Board Members”) met in person on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements” or the “Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.

Activities and Composition of the Board

On the date of the June Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of each Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; accounting, administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of management.

During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analyses of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the May Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) fund expenses and potential fee waivers; (c) differences in services provided and management fees between closed-end funds and other product channels; and (d) BlackRock’s option overwrite strategy.


DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS			77

Disclosure of Investment Advisory Agreements (continued)

At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance and each Fund’s investment objective, strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Fund’s performance as of December 31, 2018. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers, with respect to FRA, a custom peer group of funds as defined by BlackRock (“Customized Peer Group”), and the performance of BLW as compared with its custom benchmark. The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and the Performance Peer funds (for example, the investment objective(s) and investment strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to affect long-term performance disproportionately.

The Board noted that for the one-, three- and five-year periods reported, FRA ranked in the third, fourth and second quartiles, respectively, against its Customized Peer Group. The Board noted that BlackRock believes that the Customized Peer Group is an appropriate performance metric for FRA, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed FRA’s underperformance during the applicable periods.

The Board noted that for the one-, three- and five-year periods reported, BLW underperformed, outperformed, and outperformed, respectively, its customized benchmark. The Board noted that BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BLW’s underperformance during the applicable periods.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with


78		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements (continued)

those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2018 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Board considered the estimated cost of the services provided to each Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management of each Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Funds, to each Fund. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that FRA’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BLW’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.

The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.


DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS			79

Disclosure of Investment Advisory Agreements (continued)

Conclusion

The Board, including the Independent Board Members, approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2020. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the 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.


80		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

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 http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4^th Street, Suite 1600, Louisville, KY 40202.


AUTOMATIC DIVIDEND REINVESTMENT PLAN			81

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.	87 RICs consisting of 111 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.	87 RICs consisting of 111 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.	87 RICs consisting of 111 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.	87 RICs consisting of 111 Portfolios	Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi^(d) 1948	Director 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.	88 RICs consisting of 112 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.	87 RICs consisting of 111 Portfolios	None


82		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

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.	87 RICs consisting of 111 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.	88 RICs consisting of 112 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.	88 RICs consisting of 112 Portfolios	None

Interested Directors^(a)(e)

Name Year of Birth^(b)	Position(s) Held (Length of Service)^(c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen^(d)	Public Company and 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.	125 RICs consisting of 293 Portfolios	None
John M. Perlowski^(d) 1964	Director (Since 2015); President and Chief Executive Officer (Since 2011)	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.	126 RICs consisting of 294 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 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.


DIRECTOR AND OFFICER INFORMATION			83

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.

As of the date of this report, the portfolio managers of FRA are David Delbos, Carly Wilson, Abigail Apistolas and Mitchell Garfin.

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

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


84		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Additional Information

Proxy Results

The Annual Meeting of Shareholders was held on July 29, 2019 for shareholders of record on May 30, 2019, to elect trustee or director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class III Trustees as follows:

Richard E. Cavanagh

Cynthia L. Egan

Robert Fairbairn

Henry Gabbay

Votes For

Votes Withheld

Votes For

Votes Withheld

Votes For

Votes Withheld

Votes For

Votes Withheld

BLW

31,042,537

1,753,731

32,297,257

499,011

32,311,973

484,295

32,296,633

499,635

For the Fund listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, R. Glenn Hubbard, Catherine A. Lynch, John M. Perlowski, Karen P. Robards, Frank J. Fabozzi and W. Carl Kester.

Shareholders elected the Class III Directors as follows:

Richard E. Cavanagh

Frank J. Fabozzi

Robert Fairbairn

Henry Gabbay

Votes For

Votes Withheld

Votes For

Votes Withheld

Votes For

Votes Withheld

Votes For

Votes Withheld

FRA

28,060,956

4,757,344

28,063,766

4,754,534

29,028,668

3,789,632

29,017,195

3,801,105

For the Fund listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Cynthia L. Egan, R. Glenn Hubbard, Catherine A. Lynch, John M. Perlowski, Karen P. Robards, and W. Carl Kester.

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 each Fund for any particular month may be more or less than the amount of net investment income earned by each Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of the Trust 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 Fund’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 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 http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.


ADDITIONAL INFORMATION			85

Additional Information (continued)

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.

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 http://www.sec.gov. The Funds’ Forms N-PORT and N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

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

Availability of Fund Updates

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

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.


86		2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Glossary of Terms Used in this Report


Currency

BRL		Brazilian Real

EUR		Euro

GBP		British Pound

MXN		Mexican Peso

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


GLOSSARY OF TERMS USED IN THIS REPORT			87

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

LOGO


CEFT-BK3-8/19-AR

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.

Item 4 –

Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

(a) Audit Fees

(b) Audit-Related Fees¹

(c) Tax Fees²

(d) All Other Fees

Entity Name

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

BlackRock Limited

Duration Income

Trust

$72,420

$16,900

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 (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):


	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees¹	$0	$0
(c) Tax Fees²	$0	$0
(d) All Other Fees³	$2,050,500	$2,274,000

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

² The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

³ Non-audit fees of $2,050,500 and $2,274,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but

permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

Entity Name

Current Fiscal Year
End

Previous Fiscal Year
End

BlackRock Limited Duration

Income Trust

$16,900

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

Current Fiscal

Year End

Previous Fiscal
Year End

$2,050,500

$2,274,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5 –

Audit Committee of Listed Registrants

(a)

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

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.

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of James E. Keenan, Managing Director of BlackRock, Thomas Musmanno, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock, Scott MacLellan, Director at BlackRock and David Delbos, Managing Director at BlackRock. Mr. Keenan is responsible for setting the registrant’s overall investment strategy and overseeing the registrant’s investment process and performance. Messrs. Musmanno, Garfin, MacLellan, and Delbos are jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Keenan, Musmanno and Garfin have been members of the registrant’s portfolio management team since 2007, 2012, and 2016, respectively. Messrs. MacLellan and Delbos have been members of the registrant’s portfolio management ream since 2018.


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.
Thomas Musmanno		Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.
Mitchell Garfin		Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 to 2008.
Scott MacLellan		Director of BlackRock, Inc. since 2010; Vice President of BlackRock, Inc. from 2007 to 2009.
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 August 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	32	15	0	11	13
	$29.46 Billion	$15.90 Billion	$7.35 Billion	$0	$9.68 Billion	$7.29 Billion
Thomas Musmanno	12	12	134	0	0	127
	$17.64 Billion	$4.03 Billion	$40.29 Billion	$0	$0	$35.19 Million
Mitchell Garfin	20	20	22	0	4	22
	$31.67 Billion	$12.39 Billion	$11.49 Billion	$0	$6.40 Billion	$11.49 Billion
Scott MacLellan	12	12	139	0	0	129
	$17.64 Billion	$4.03 Billion	$46.92 Billion	$0	$0	$41.77 Million
David Delbos	20	13	22	0	4	21
	$28.69 Billion	$12.01 Billion	$11.48 Billion	$0	$6.40 Billion	$11.48 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 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, Musmanno, Garfin, MacLellan 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, Musmanno, Garfin, MacLellan 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 August 31, 2019:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 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 performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:


Portfolio Manager		Benchmark
James Keenan Mitchell Garfin David Delbos		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.
Thomas Musmanno Scott MacLellan		A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), 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 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 August 31, 2019.


Portfolio Manager		Dollar Range of Equity Securities of the Fund Beneficially Owned
James E. Keenan		None
Thomas Musmanno		$50,001-$100,000
Mitchell Garfin		$10,001-$50,000
Scott MacLellan		None
David Delbos		None

(b) Not Applicable

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Period	(a) Total Number of Shares Purchased	(b) Average Price Paid per Share	(c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	(d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs¹
March 1-31, 2019	63,530	$14.6974	63,530	1,599,269
April 1-31, 2019	67,193	$14.8554	67,193	1,532,076
May 1-31, 2019	87,700	$14.7985	87,700	1,444,376
June 1-30, 2019	78,659	$14.9973	78,659	1,365,717
July 1-31, 2019	61,648	$15.1484	61,648	1,304,069
August 1-31, 2019	0	$0	0	1,304,069
Total:	358,730	$14.8950	358,730	1,304,069


¹On 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

(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 – Not Applicable

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


		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 Limited Duration Income Trust

		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock Limited Duration Income Trust

		Date:		November 5, 2019
		Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock Limited Duration Income Trust

		Date:		November 5, 2019

		By:		/s/ Neal J. Andrews
				Neal J. Andrews
				Chief Financial Officer (principal financial officer) of
				BlackRock Limited Duration Income Trust

		Date:		November 5, 2019