BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

N-CSRS 1 d930217dncsrs.htm BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act file number 811-21413

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 12/31/2020

Date of reporting period: 06/30/2020

Item 1 –

Report to Stockholders


		JUNE 30, 2020

2020 Semi-Annual Report

(Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Limited Duration Income Trust (BLW)

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the 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 (800) 441-7762 to inform BlackRock that you wish to 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, BlackRock Fund Advisors or their 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: (i) accessing the BlackRock website at www.blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information

Section 19(a)

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

June 30, 2020


	Total Fiscal Year to Date Cumulative Distributions by Character										Percentage of Fiscal Year to Date Cumulative Distributions by Character
Ticker	Net Investment Income		Net Realized Capital Gains Short Term		Net Realized Capital Gains Long Term		Return of Capital^(a)		Total Per Common Share		Net Investment Income			Net Realized Capital Gains Short Term			Net Realized Capital Gains Long Term			Return of Capital			Total Per Common Share
DSU	$	0.325001	$	—	$	—	$	0.030499	$	0.355500		91	%		—	%		—	%		9	%		100	%
FRA		0.331737		—		—		0.062263		0.394000		84			—			—			16			100
BLW		0.458511		—		—		0.031989		0.490500		93			—			—			7			100

^(a)

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

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

Section 19(b) Disclosure

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


2		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

The Markets in Review

Dear Shareholder,

The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the course of the pandemic, and an uptick in U.S. infection rates caused concern late in the reporting period.

Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.

The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were flat due to credit concerns.

The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruption has clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the impact of the outbreak subsides. Several risks remain, however, including a potential resurgence of the virus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.

Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for a cyclical upside as re-openings continue.

In this environment, our view is that 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 June 30, 2020
	6-month	12-month
U.S. large cap equities (S&P 500^® Index)	(3.08)%	7.51%
U.S. small cap equities (Russell 2000^® Index)	(12.98)	(6.63)
International equities (MSCI Europe, Australasia, Far East Index)	(11.34)	(5.13)
Emerging market equities (MSCI Emerging Markets Index)	(9.78)	(3.39)
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.60	1.63
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	12.68	14.21
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	6.14	8.74
Tax-exempt municipal bonds (S&P Municipal Bond Index)	1.97	4.23
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	(3.83)	0.00
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.


THIS PAGE IS NOT PART OF YOUR FUND REPORT			3

Table of Contents


	Page
Section 19(a) Notice		2
Section 19(b) Disclosure		2
The Markets in Review		3
Semi-Annual Report:
Fund Summaries		5
The Benefits and Risks of Leveraging		14
Derivative Financial Instruments		14
Financial Statements
Schedules of Investments		15
Statements of Assets and Liabilities		84
Statements of Operations		85
Statements of Changes in Net Assets		86
Statements of Cash Flows		88
Financial Highlights		90
Notes to Financial Statements		93
Disclosure of Investment Advisory Agreements		106
Disclosure of Sub-Advisory Agreement		110
Director and Officer Information		111
Additional Information		112
Glossary of Terms Used in this Report		114


4


Fund Summary as of June 30, 2020		BlackRock Debt Strategies Fund, Inc.

Fund Overview

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

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

Fund Information


Symbol on New York Stock Exchange (“NYSE”)		DSU
Initial Offering Date		March 27, 1998
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($9.33)^(a)		9.14%
Current Monthly Distribution per Common Share^(b)		$0.0711
Current Annualized Distribution per Common Share^(b)		$0.8532
Leverage as of June 30, 2020^(c)		29%

^(a)

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

^(b)

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

^(c)

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

Market Price and Net Asset Value Per Share Summary


	06/30/20		12/31/19		Change			High		Low
Market Price	$	9.33	$	11.20		(16.70	)%	$	11.50	$	5.92
Net Asset Value		10.83		12.25		(11.59	)		12.35		8.46

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

LOGO


FUND SUMMARY			5


Fund Summary as of June 30, 2020 (continued)		BlackRock Debt Strategies Fund, Inc.

Performance and Portfolio Management Commentary

Returns for the period ended June 30, 2020 were as follows:


				Average Annual Total Returns
	6-Months			1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		(8.23	)%		(3.34	)%		2.49	%		4.43	%
Fund at Market Price^(a)(b)		(13.53	)		(5.98	)		0.55			4.47
Reference Benchmark^(c)		(4.22	)		(1.00	)		2.70			3.85
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index^(d)		(3.83	)		(0.00	)^(f)		3.32			4.79
S&P/LSTA Leveraged Loan Index^(e)		(4.61	)		(1.99	)		2.07			2.89

^(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)

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

^(d)

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

^(e)

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

^(f)

Amount is greater than (0.005)%.

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

The bank loan and high yield corporate bond markets dropped sharply in March as coronavirus concerns and an oil price war weighed heavily on each asset class. While these asset classes recovered a substantial portion of their losses in the second quarter of 2020 on the back of policy support for credit markets, they nonetheless finished the six months in notably negative territory.

By sector, the Fund’s allocations to the energy, technology and aerospace & defense were the largest detractors. By credit rating, BB, B and CCC-rated credits detracted from performance as the entire credit market was down during the period. From an asset allocation perspective, the strategy’s allocations to bank loans, high yield corporate bonds, equities and collateralized loan obligations all detracted from performance.

Given the severe market dislocation during the period, only the Fund’s allocation to investment grade corporate bonds contributed to performance on an absolute basis.

Describe recent portfolio activity.

From an asset allocation perspective, the Fund increased its allocation to investment grade corporate bonds during the period on the back of supportive technical factors including Fed bond purchases and robust new issuance, along with attractive relative value. The investment adviser’s credit rating view has remained relatively consistent over the past several quarters, with a focus on issuers rate BB and B while avoiding the higher beta, stressed CCC area of the market. The investment adviser has tactically managed sector-level exposures, though arguably the Fund’s single-name positioning remains more important to portfolio composition. The Fund slightly increased its allocation to sectors more sensitive to the coronavirus by participating in new issues within the gaming and airline sectors.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the balance invested mostly in high yield and investment grade corporate bonds. From a credit rating perspective, the Fund’s core positioning remained between issues rated BB and B, with a higher allocation to B-rated names at period end. The Fund also held a smaller CCC-rated allocation. The largest sector exposures included technology, where the Fund was largely focused on enterprise software companies, along with health care, pharmaceutical and cable & satellite companies. The investment adviser maintained a low exposure to the more consumer cyclical sectors (retailers and leisure in particular) and energy on the view that these market segments continue to face significant headwinds.

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		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary as of June 30, 2020 (continued)		BlackRock Debt Strategies Fund, Inc.

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	06/30/20			12/31/19
Floating Rate Loan Interests		82	%		81	%
Corporate Bonds		14			15
Investment Companies		3			3
Preferred Securities		1			1
Other		—	^(a)		—	^(b)

^(a)

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

^(b)

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

CREDIT QUALITY ALLOCATION^(c)(d)


	06/30/20			12/31/19
BBB/Baa		9	%		7	%
BB/Ba		21			27
B		63			59
CCC/Caa		5			3
N/R		2			4

^(c)

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.

^(d)

Excludes Options Purchased.


FUND SUMMARY			7


Fund Summary as of June 30, 2020		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 NYSE		FRA
Initial Offering Date		October 31, 2003
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($11.18)^(a)		8.46%
Current Monthly Distribution per Common Share^(b)		$0.0788
Current Annualized Distribution per Common Share^(b)		$0.9456
Leverage as of June 30, 2020^(c)		29%

^(a)

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

^(b)

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

^(c)

Market Price and Net Asset Value Per Share Summary


	06/30/20		12/31/19		Change			High		Low
Market Price	$	11.18	$	13.44		(16.82	)%	$	13.66	$	6.72
Net Asset Value		12.97		14.55		(10.86	)		14.66		10.16

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

LOGO


8		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary as of June 30, 2020 (continued)		BlackRock Floating Rate Income Strategies Fund, Inc.

Performance and Portfolio Management Commentary

Returns for the period ended June 30, 2020 were as follows:


				Average Annual Total Returns
	6-Months			1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		(7.67	)%		(3.48	)%		1.74	%		3.19	%
Fund at Market Price^(a)(b)		(13.84	)		(6.03	)		(1.24	)		2.41
S&P/LSTA Leveraged Loan Index^(c)		(4.61	)		(1.99	)		2.07			2.89

^(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 bank loan market dropped sharply in March as coronavirus concerns and an oil price war weighed heavily on the asset class. While loans recovered a substantial portion of their losses in the second quarter of 2020 on the back of policy support for credit markets, they nonetheless finished the six months in notably negative territory.

By sector, the Fund’s allocations to the technology, aerospace & defense and health care sectors were the largest detractors. By credit rating, BB, B, and CCC-rated loans detracted from performance as the entire credit market was down during the period. From an asset allocation perspective, the strategy’s allocations to bank loans, high yield corporate bonds, equities and collateralized loan obligations all detracted from performance.

Given the severe market dislocation during the period, only the Fund’s allocation to investment grade corporate bonds contributed to performance on an absolute basis.

Describe recent portfolio activity.

From an asset allocation perspective, the Trust increased its allocation to high yield and investment grade corporate bonds during the period on the back of supportive technical factors including Fed bond purchases and robust new issuance, along with attractive relative value. The investment adviser’s credit rating views have remained relatively consistent over the past several quarters, with a focus on B1 issues while avoiding the higher beta, stressed CCC area of the loan market. The investment adviser has tactically managed sector-level exposures, though arguably the Fund’s single-name positioning remains more important to portfolio composition. The Fund slightly increased its allocation to sectors more sensitive to the coronavirus by participating in new issues within the gaming and airline sectors. The investment adviser is an active user of liquid products within the loan market and tactically shifted these exposures throughout the period.

Describe portfolio positioning at period end

The Fund remained predominately invested in bank loans, with the balance invested mostly in high yield and investment grade corporate bonds. By credit rating, B-rated loans were the Fund’s largest position. The Fund had very little exposure to the stressed, higher beta B3 and CCC-rated cohort of the market. Within the single B rating, the Fund similarly was focused on the higher quality portion. Also reflecting a focus on relative quality, the Fund had a clear preference for loans with spreads in the 200-300 basis point range over the London Inter-bank Offered Rate reference rate as opposed to positions offering spreads in the 400 basis point or higher range.

The largest sector exposures included technology, where the investment adviser has largely focused on enterprise software companies, along with health care, pharmaceutical and cable & satellite companies. The Fund maintained low exposures to the more consumer cyclical sectors (retailers and leisure in particular) and energy as the investment adviser believes these market segments continue to face significant headwinds. Additionally, the Fund had a bias toward larger loan tranches and loan/bond capital structures relative to the loan-only segment. From a vintage year perspective, the investment adviser had a more cautious stance on transactions initiated since 2017, given the arguably more aggressive lending standards and weaker protections for loan holders seen in recent years.


FUND SUMMARY			9


Fund Summary as of June 30, 2020 (continued)		BlackRock Floating Rate Income Strategies Fund, Inc.

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	06/30/20			12/31/19
Floating Rate Loan Interests		91	%		94	%
Investment Companies		5			5
Corporate Bonds		4			1
Other		—	^(a)(b)		—	^(a)(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 and Other Interests.

^(c)

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

CREDIT QUALITY ALLOCATION^(d)(e)


	06/30/20			12/31/19
A		—	%^(a)		—	%
BBB/Baa		9			8
BB/Ba		20			27
B		64			58
CCC/Caa		4			2
N/R		3			5

^(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 and Options Purchased.


10		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary as of June 30, 2020		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 June 30, 2020 ($13.93)^(a)		8.45%
Current Monthly Distribution per Common Share^(b)		$0.0981
Current Annualized Distribution per Common Share^(b)		$1.1772
Leverage as of June 30, 2020^(c)		33%

^(a)

^(b)

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

^(c)

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

Market Price and Net Asset Value Per Share Summary


	06/30/20		12/31/19		Change			High		Low
Market Price	$	13.93	$	16.39		(15.01	)%	$	16.70	$	9.52
Net Asset Value		15.65		17.05		(8.21	)		17.22		12.19

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

LOGO


FUND SUMMARY			11


Fund Summary as of June 30, 2020 (continued)		BlackRock Limited Duration Income Trust

Performance and Portfolio Management Commentary

Returns for the period ended June 30, 2020 were as follows:


				Average Annual Total Returns
	6-Months			1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		(4.90	)%		(0.18	)%		4.16	%		5.56	%
Fund at Market Price^(a)(b)		(11.94	)		0.11			2.59			5.95
Reference Benchmark^(c)		(1.76	)		0.95			2.98			3.51
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index^(d)		(3.83	)		(0.00	)^(g)		3.32			4.79
S&P/LSTA Leveraged Loan Index^(e)		(4.61	)		(1.99	)		2.07			2.89
BATS S Benchmark^(f)		2.85			4.46			3.34			2.68

^(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)

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)

^(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.

^(g)

Amount is greater than (0.005)%.

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 U.S. Treasuries, corporate credit and 30-year pass-through mortgage-backed securities (“MBS”), as well as non-agency adjustable-rate MBS and collateralized mortgage obligations.

The largest detractors from the Fund’s performance were exposures to high yield corporate credit, bank loans, commercial mortgage-backed securities (“CMBS”), equities, municipal bonds and asset-backed securities (“ABS”).

Describe recent portfolio activity.

Over the period, the Fund increased its allocation to corporate credit and emerging markets. In addition, the Fund significantly trimmed exposure to U.S. Treasuries and increased its short position in municipal bonds.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield credit, investment grade corporate credit, emerging market debt, CMBS and ABS.


12		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Fund Summary as of June 30, 2020 (continued)		BlackRock Limited Duration Income Trust

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	06/30/20			12/31/19
Corporate Bonds		51	%		48	%
Floating Rate Loan Interests		29			31
Capital Trusts		5			6
U.S. Government Sponsored Agency Securities		4			4
Asset-Backed Securities		3			3
Foreign Agency Obligations		3			2
U.S. Treasury Obligations		2			2
Non-Agency Mortgage-Backed Securities		1			1
Preferred Stocks		1			1
Investment Companies		1			2
Short Term Securities		—	^(a)		—	^(a)
Other		—	^(a)(b)		—	^(a)(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 and Trust Preferred.

^(c)

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

CREDIT QUALITY ALLOCATION^(d)(e)


	06/30/20			12/31/19
AAA/Aaa		9	%		1	%
AA/Aa		—	^(a)		3
A		4			7
BBB/Baa		15			15
BB/Ba		31			35
B		32			34
CCC/Caa		6			4
N/R		3			1

^(d)

^(e)

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


FUND SUMMARY			13

The Benefits and Risks of Leveraging

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

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s 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 Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund 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 each Fund’s obligations under its respective leverage arrangement 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 a Fund’s 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 each Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.

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

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

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

Derivative Financial Instruments

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


14		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Shares		Value

Common Stocks — 0.1%

Diversified Financial Services — 0.0%
Kcad Holdings I Ltd.^(a)(b)			1,075,282,733	$	10,753


Energy Equipment & Services — 0.0%
McDermott International, Inc.^(b)			12,276		884
Pioneer Energy Services Corp.^(a)(b)			809		31,416

					32,300

Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(b)			10,718		11


Media — 0.0%
Adelphia Communications Corp., Class A^(a)(b)(c)			400,000		4
Adelphia Recovery Trust^(b)			396,568		198

					202

Metals & Mining — 0.1%
Ameriforge Group, Inc.			1,664		41,600
Preferred Proppants LLC^(a)			14,576		58,304

					99,904

Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.^(b)			1,707		13,076


Software — 0.0%
Avaya Holdings Corp.^(b)			40		494


Total Common Stocks — 0.1% (Cost — $12,508,362)					156,740


		Par (000)

Corporate Bonds — 21.2%

Aerospace & Defense — 0.6%
Bombardier, Inc.^(d):
8.75%, 12/01/21	USD		13		10,563
6.13%, 01/15/23			664		456,699
7.50%, 12/01/24			58		37,990
7.50%, 03/15/25			14		9,136
7.88%, 04/15/27			32		20,960
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24^(d)(e)			23		16,330
Howmet Aerospace, Inc., 5.13%, 10/01/24			22		22,789
Signature Aviation US Holdings, Inc.^(d):
5.38%, 05/01/26			42		42,029
4.00%, 03/01/28			196		177,135
TransDigm, Inc.^(d):
8.00%, 12/15/25			656		689,450
6.25%, 03/15/26			1,173		1,170,091
Wolverine Escrow LLC, 9.00%, 11/15/26^(d)			501		360,720

					3,013,892

Air Freight & Logistics — 0.0%
XPO Logistics, Inc., 6.25%, 05/01/25^(d)			35		36,663


Airlines — 0.8%
American Airlines, Inc., 11.75%, 07/15/25^(d)			2,133		2,020,356
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27^(d)(f)			2,158		2,163,395

					4,183,751

Auto Components — 0.4%
Allison Transmission, Inc.^(d):
5.00%, 10/01/24			23		22,942
5.88%, 06/01/29			145		150,800
Clarios Global LP, 6.75%, 05/15/25^(d)			621		645,840


Security		Par (000)		Value

Auto Components (continued)
Clarios Global LP/Clarios US Finance Co., 6.25%, 05/15/26^(d)	USD		122	$	125,812
FCE Bank PLC, 1.62%, 05/11/23	EUR		100		105,479
General Motors Co., 6.80%, 10/01/27	USD		296		344,917
Goodyear Tire & Rubber Co., 9.50%, 05/31/25			65		69,550
Harley-Davidson Financial Services, Inc., 3.35%, 06/08/25^(d)			15		15,339
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.75%, 09/15/24			153		143,851
6.38%, 12/15/25			3		2,970
5.25%, 05/15/27			138		133,170
NM Holdings Co. LLC, Series B, 9.50%, 07/01/05^(a)(b)(c)			5,125		1
Tesla, Inc., 5.30%, 08/15/25^(d)			130		130,000
Venture Holdings Co. LLC, 12.00%, 06/01/09^(a)(b)(c)(g)			5,150		1

					1,890,672

Automobiles — 0.4%
Ford Motor Co.:
8.50%, 04/21/23			169		178,717
4.35%, 12/08/26			9		8,395
4.75%, 01/15/43			176		138,653
5.29%, 12/08/46			78		64,139
Ford Motor Credit Co. LLC:
3.81%, 01/09/24			200		192,060
4.06%, 11/01/24			200		191,006
5.13%, 06/16/25			423		423,169
General Motors Co.:
6.13%, 10/01/25			623		700,055
5.00%, 10/01/28			19		20,211
Rolls-Royce PLC, 0.88%, 05/09/24	EUR		100		101,505
Winnebago Industries, Inc., 6.25%, 07/15/28^(d)(f)	USD		32		32,000

					2,049,910

Banks — 0.0%
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25	EUR		100		109,921
Banco Espirito Santo SA^(b)(c)(g):
2.63%, 05/08/17			100		17,976
4.75%, 01/15/21			200		35,952
4.00%, 01/21/21			100		17,976

					181,825

Banks: Diversified — 0.0%
Encompass Health Corp.:
4.50%, 02/01/28	USD		14		13,428
4.75%, 02/01/30			19		18,145

					31,573

Beverage: Soft Drinks — 0.0%
Energizer Holdings, Inc., 4.75%, 06/15/28^(d)(f)			65		63,763


Beverages — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.^(d):
5.25%, 04/30/25			244		250,098
5.25%, 08/15/27			208		204,335

					454,433

Building Products — 0.1%
Griffon Corp., 5.75%, 03/01/28^(d)			28		27,650
Jeld-Wen, Inc.^(d):
4.63%, 12/15/25			21		20,160
4.88%, 12/15/27			2		1,920


SCHEDULES OF INVESTMENTS		15

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Building Products (continued)
Masonite International Corp., 5.38%, 02/01/28^(d)	USD		198	$	202,455
Standard Industries, Inc.^(d):
6.00%, 10/15/25			238		244,966
5.00%, 02/15/27			44		44,550
4.38%, 07/15/30			154		153,615

					695,316

Cable Television Services — 0.0%
ViaSat, Inc., 6.50%, 07/15/28^(d)			102		102,021


Capital Markets — 0.0%
LABL Escrow Issuer LLC, 6.75%, 07/15/26^(d)			116		120,676
NFP Corp., 7.00%, 05/15/25^(d)			31		32,550

					153,226

Chemicals — 0.6%
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23^(d)(e)			400		399,000
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25^(d)			636		629,640
Blue Cube Spinco LLC:
9.75%, 10/15/23			133		136,990
10.00%, 10/15/25			283		295,028
Element Solutions, Inc., 5.88%, 12/01/25^(d)			49		49,475
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(d)			134		133,665
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28^(d)			140		145,950
Minerals Technologies, Inc., 5.00%, 07/01/28^(d)			55		55,825
PQ Corp., 5.75%, 12/15/25^(d)			307		309,302
Valvoline, Inc., 4.25%, 02/15/30^(d)			128		126,080
WESCO Distribution, Inc.^(d):
7.13%, 06/15/25			217		228,529
7.25%, 06/15/28			198		209,385
WR Grace & Co-Conn, 4.88%, 06/15/27^(d)			92		93,199

					2,812,068

Commercial Services & Supplies — 0.0%
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27^(d)			72		75,870
United Rentals North America, Inc., 5.88%, 09/15/26			46		48,208

					124,078

Communications Equipment — 0.1%
CommScope Technologies LLC, 6.00%, 06/15/25^(d)			110		106,227
CommScope, Inc.^(d):
5.50%, 06/15/24			13		13,238
6.00%, 03/01/26			32		32,800
ViaSat, Inc., 5.63%, 04/15/27^(d)			258		264,128

					416,393

Construction & Engineering — 0.1%
Brand Industrial Services, Inc., 8.50%, 07/15/25^(d)			314		282,600
SRS Distribution, Inc., 8.25%, 07/01/26^(d)			403		409,045

					691,645

Construction Materials — 0.5%
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28^(d)			1,209		1,174,870
Core & Main LP, 6.13%, 08/15/25^(d)			797		794,330
HD Supply, Inc., 5.38%, 10/15/26^(d)			219		223,654
Williams Scotsman International, Inc., 6.88%, 08/15/23^(d)			531		545,050

					2,737,904


Security		Par (000)		Value

Consumer Discretionary — 0.1%
Carnival Corp., 11.50%, 04/01/23^(d)	USD		25	$	27,125
RELX Capital, Inc., 3.00%, 05/22/30			25		26,945
Royal Caribbean Cruises Ltd.^(d):
10.88%, 06/01/23			45		46,240
9.13%, 06/15/23			54		53,527
11.50%, 06/01/25			95		99,128

					252,965

Consumer Finance — 0.6%
Global Payments, Inc., 2.90%, 05/15/30			64		67,159
Husky III Holding Ltd., (13.00% Cash or 13.00% PIK), 13.00%, 02/15/25^(d)(e)			434		417,725
Navient Corp.:
7.25%, 09/25/23			5		4,887
6.13%, 03/25/24			96		91,200
5.88%, 10/25/24			77		72,332
5.00%, 03/15/27			2		1,680
OneMain Finance Corp.:
8.88%, 06/01/25			27		28,864
6.63%, 01/15/28			8		7,920
5.38%, 11/15/29			14		13,090
PayPal Holdings, Inc., 1.65%, 06/01/25			257		265,673
Refinitiv US Holdings, Inc.^(d):
4.50%, 05/15/26	EUR		855		999,903
6.25%, 05/15/26	USD		15		15,900
Verscend Escrow Corp., 9.75%, 08/15/26^(d)			851		914,272

					2,900,605

Containers & Packaging — 0.4%
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27^(d)(e)			441		436,314
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.13%, 08/15/26^(d)			200		196,770
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 07/15/24^(d)			223		223,627
Trivium Packaging Finance BV:
3.75%, 08/15/26	EUR		100		110,264
8.50%, 08/15/27^(d)	USD		814		869,962

					1,836,937

County/City/Special District/School District — 0.0%
Hanesbrands, Inc., 5.38%, 05/15/25^(d)			71		71,798
William Carter Co., 5.50%, 05/15/25^(d)			23		23,719

					95,517

Diversified Consumer Services — 0.1%
APX Group, Inc., 7.88%, 12/01/22			163		162,185
Ascend Learning LLC, 6.88%, 08/01/25^(d)			340		341,959
Brink’s Co., 5.50%, 07/15/25^(d)			36		36,667

					540,811

Diversified Financial Services — 1.0%
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26^(d)			797		836,850
Ally Financial, Inc., 3.05%, 06/05/23			1,225		1,239,721
Altice France Holding SA:
8.00%, 05/15/27	EUR		100		118,402
10.50%, 05/15/27^(d)	USD		539		593,735
6.00%, 02/15/28^(d)			272		256,871
Arrow Global Finance PLC, 5.13%, 09/15/24	GBP		100		113,606
Citigroup, Inc., Series V, (Secured Overnight Financing Rate + 3.23%), 4.70%^(h)(i)	USD		410		364,387
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26^(d)			200		153,440


16		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Diversified Financial Services (continued)
General Motors Financial Co., Inc.:
2.75%, 06/20/25	USD		574	$	566,943
5.65%, 01/17/29			21		23,632
Level 3 Financing, Inc., 4.25%, 07/01/28^(d)			264		263,696
Murphy Oil USA, Inc., 4.75%, 09/15/29			119		121,678
Picasso Finance Sub, Inc., 6.13%, 06/15/25^(d)			159		162,578
Spectrum Brands, Inc., 5.50%, 07/15/30^(d)			50		50,063
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25^(d)			211		213,638
WMG Acquisition Corp., 3.88%, 07/15/30^(d)			65		65,653

					5,144,893

Diversified Telecommunication Services — 0.4%
CenturyLink, Inc.: 5.13%, 12/15/26^(d)			638		636,405
Series P, 7.60%, 09/15/39			177		190,496
Frontier Communications Corp., 8.00%, 04/01/27^(d)			39		39,552
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28^(d)			30		31,200
Oi SA, (10% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25^(e)			20		16,675
SoftBank Group Corp., 4.00%, 09/19/29	EUR		100		110,103
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		58		65,395
6.00%, 09/30/34			134		145,658
7.20%, 07/18/36			14		16,660
7.72%, 06/04/38			51		64,170
Telecom Italia SpA, 5.30%, 05/30/24^(d)			314		327,681
Telesat Canada/Telesat LLC, 4.88%, 06/01/27^(d)			131		128,380

					1,772,375

Electric Utilities — 0.0%
PG&E Corp., 5.25%, 07/01/30			118		118,673


Electronic Equipment, Instruments & Components — 0.0%
CDW LLC/CDW Finance Corp., 4.13%, 05/01/25			133		133,166
Energizer Holdings, Inc., 6.38%, 07/15/26^(d)			55		56,868

					190,034

Energy Equipment & Services — 0.3%
Archrock Partners LP/Archrock Partners Finance Corp.^(d):
6.88%, 04/01/27			107		100,794
6.25%, 04/01/28			29		26,390
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26^(d)			280		275,100
Pioneer Energy Services Corp.^(d)(e):
(11% Cash), 11.00%, 05/15/25			332		265,203
(5.00% PIK), 5.00%, 11/15/25^(j)			226		122,141
USA Compression Partners LP/USA Compression Finance Corp.:
6.88%, 04/01/26			331		319,829
6.88%, 09/01/27			254		243,840

					1,353,297

Environmental, Maintenance, & Security Service — 0.1%
Tervita Corp., 7.63%, 12/01/21^(d)			380		298,300
Waste Pro USA, Inc., 5.50%, 02/15/26^(d)			71		67,769

					366,069

Equity Real Estate Investment Trusts (REITs) — 0.6%
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26^(d)			128		108,160
Diversified Healthcare Trust, 9.75%, 06/15/25			70		75,162


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
GLP Capital LP/GLP Financing II, Inc.:
5.25%, 06/01/25	USD		162	$	176,159
5.38%, 04/15/26			80		87,407
Hilton Domestic Operating Co., Inc.^(d):
5.38%, 05/01/25			127		127,000
5.75%, 05/01/28			163		164,630
Iron Mountain, Inc.^(d):
5.25%, 07/15/30			134		131,990
5.63%, 07/15/32			163		162,658
Marriott International, Inc., Series EE, 5.75%, 05/01/25			393		426,938
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:
4.50%, 09/01/26			139		137,652
4.50%, 01/15/28			420		399,000
MPT Operating Partnership LP/MPT Finance Corp., 4.63%, 08/01/29			329		330,645
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27^(d)			500		445,000
Service Properties Trust:
4.50%, 06/15/23			15		14,361
4.35%, 10/01/24			12		10,816
7.50%, 09/15/25			108		113,782
VICI Properties LP/VICI Note Co., Inc., 4.63%, 12/01/29^(d)			356		347,100

					3,258,460

Food & Staples Retailing — 0.1%
Lamb Weston Holdings, Inc., 4.88%, 05/15/28^(d)			99		104,891
Post Holdings, Inc., 4.63%, 04/15/30^(d)			146		142,905

					247,796

Food Products — 0.6%
Aramark Services, Inc., 6.38%, 05/01/25^(d)			99		102,230
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25^(d)			261		251,865
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28^(d)			118		124,416
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.^(d):
6.50%, 04/15/29			311		330,049
5.50%, 01/15/30			37		37,925
Kraft Heinz Foods Co.:
3.88%, 05/15/27^(d)			16		16,720
4.25%, 03/01/31^(d)			411		435,781
5.00%, 07/15/35			100		110,028
6.88%, 01/26/39			164		202,742
4.63%, 10/01/39^(d)			88		88,366
6.50%, 02/09/40			125		150,457
5.20%, 07/15/45			101		109,531
4.38%, 06/01/46			217		213,331
4.88%, 10/01/49^(d)			208		211,810
5.50%, 06/01/50^(d)			406		432,779
Simmons Foods, Inc., 7.75%, 01/15/24^(d)			174		181,517

					2,999,547

Gas Utilities — 0.0%
Ferrellgas LP/Ferrellgas Finance Corp., 10.00%, 04/15/25^(d)			44		47,410


Health Care Equipment & Supplies — 0.2%
Avantor, Inc.^(d):
6.00%, 10/01/24			626		654,170
9.00%, 10/01/25			192		206,400
DENTSPLY SIRONA, Inc., 3.25%, 06/01/30			45		47,309


SCHEDULES OF INVESTMENTS			17

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Health Care Equipment & Supplies (continued)
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^(d):
7.38%, 06/01/25	USD		189	$	192,307
7.25%, 02/01/28			72		73,187

					1,173,373

Health Care Providers & Services — 1.0%
Acadia Healthcare Co., Inc., 5.50%, 07/01/28^(d)			66		66,165
AHP Health Partners, Inc., 9.75%, 07/15/26^(d)			200		205,500
Centene Corp.:
5.38%, 08/15/26^(d)			117		121,705
4.25%, 12/15/27			285		294,094
3.38%, 02/15/30			145		146,408
CHS/Community Health Systems, Inc.^(d):
8.63%, 01/15/24			354		346,170
6.63%, 02/15/25			205		192,700
8.00%, 03/15/26			441		416,833
Encompass Health Corp., 5.75%, 11/01/24			69		69,000
HCA, Inc., 3.50%, 09/01/30			528		508,555
LifePoint Health, Inc.^(d):
6.75%, 04/15/25			116		119,770
4.38%, 02/15/27			135		127,575
MEDNAX, Inc., 6.25%, 01/15/27^(d)			50		50,000
Molina Healthcare, Inc., 4.38%, 06/15/28^(d)			83		82,896
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(d)			388		360,840
Polaris Intermediate Corp., (8.50% Cash or 9.25% PIK), 8.50%, 12/01/22^(d)(e)			302		265,327
Surgery Center Holdings, Inc.^(d):
6.75%, 07/01/25			145		130,863
10.00%, 04/15/27			220		220,000
Team Health Holdings, Inc., 6.38%, 02/01/25^(d)			103		59,740
Teleflex, Inc., 4.25%, 06/01/28^(d)			130		133,250
Tenet Healthcare Corp.^(d):
7.50%, 04/01/25			110		117,013
4.88%, 01/01/26			582		566,722
5.13%, 11/01/27			385		379,879
4.63%, 06/15/28			46		44,813

					5,025,818

Health Care Technology — 0.1%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25^(d)			229		226,137


Hotels, Restaurants & Leisure — 1.1%
1011778 BC ULC/New Red Finance, Inc.^(d):
5.75%, 04/15/25			225		236,250
4.38%, 01/15/28			218		213,681
Boyd Gaming Corp.:
8.63%, 06/01/25^(d)			48		50,160
6.38%, 04/01/26			15		14,250
Boyne USA, Inc., 7.25%, 05/01/25^(d)			19		19,903
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25^(d)			292		293,460
Colt Merger Sub, Inc.^(d)(f):
5.75%, 07/01/25			617		620,517
6.25%, 07/01/25			530		526,687
8.13%, 07/01/27			282		272,483
GLP Capital LP/GLP Financing II, Inc., 5.30%, 01/15/29			25		27,052
Golden Nugget, Inc., 6.75%, 10/15/24^(d)			476		342,125
Hilton Domestic Operating Co., Inc., 4.88%, 01/15/30			484		476,740
IRB Holding Corp., 7.00%, 06/15/25^(d)			284		292,719


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Las Vegas Sands Corp.:
3.50%, 08/18/26	USD		31	$	30,912
3.90%, 08/08/29			28		27,622
Lions Gate Capital Holdings LLC^(d):
6.38%, 02/01/24			26		25,350
5.88%, 11/01/24			21		20,055
MGM Resorts International, 5.75%, 06/15/25			73		72,180
Sabre GLBL, Inc.^(d):
5.25%, 11/15/23			10		9,200
9.25%, 04/15/25			287		302,426
Scientific Games International, Inc.^(d):
8.63%, 07/01/25^(f)			65		60,756
8.25%, 03/15/26			483		433,191
Six Flags Theme Parks, Inc., 7.00%, 07/01/25^(d)			505		522,044
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32	GBP		100		128,843
Vail Resorts, Inc., 6.25%, 05/15/25^(d)	USD		89		93,116
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29^(d)			103		92,056
Yum! Brands, Inc.:
7.75%, 04/01/25^(d)			296		319,310
4.75%, 01/15/30^(d)			182		184,730
5.35%, 11/01/43			14		13,440

					5,721,258

Household Durables — 0.1%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 4.88%, 02/15/30^(d)			237		198,037
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25^(d)(f)			75		77,978
Lennar Corp.:
4.75%, 05/30/25			25		26,688
5.25%, 06/01/26			143		154,440
Mattamy Group Corp., 4.63%, 03/01/30^(d)			102		97,920
Newell Brands, Inc., 4.88%, 06/01/25			46		48,175
PulteGroup, Inc.:
5.00%, 01/15/27			44		47,080
7.88%, 06/15/32			23		29,389
Tempur Sealy International, Inc., 5.50%, 06/15/26			2		2,020
TRI Pointe Group, Inc., 5.70%, 06/15/28			18		18,270

					699,997

Independent Power and Renewable Electricity Producers — 0.2%
Calpine Corp.:
5.75%, 01/15/25			31		31,304
5.25%, 06/01/26^(d)			100		100,971
4.50%, 02/15/28^(d)			5		4,875
5.13%, 03/15/28^(d)			679		665,420
Clearway Energy Operating LLC, 4.75%, 03/15/28^(d)			46		46,917
TerraForm Power Operating LLC, 4.75%, 01/15/30^(d)			125		126,875

					976,362

Industrial Conglomerates — 0.1%
BWX Technologies, Inc., 4.13%, 06/30/28^(d)			81		80,797
Vertical US Newco, Inc., 5.25%, 07/15/27^(d)(f)			200		200,000

					280,797

Insurance — 0.2%
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27^(d)			657		654,779
HUB International Ltd., 7.00%, 05/01/26^(d)			467		466,019
Willis North America, Inc., 2.95%, 09/15/29			10		10,586

					1,131,384


18		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Interactive Media & Services — 0.3%
Match Group, Inc., 4.13%, 08/01/30^(d)	USD		160	$	156,650
Netflix, Inc.:
4.88%, 04/15/28			213		227,754
5.88%, 11/15/28			36		40,995
3.63%, 06/15/30	EUR		100		115,440
4.88%, 06/15/30^(d)	USD		248		265,980
Twitter, Inc., 3.88%, 12/15/27^(d)			88		88,009
Uber Technologies, Inc.^(d):
7.50%, 11/01/23			145		146,450
7.50%, 05/15/25			230		231,725
8.00%, 11/01/26			33		33,577
7.50%, 09/15/27			70		70,175

					1,376,755

Internet & Direct Marketing Retail — 0.1%
Booking Holdings, Inc., 4.10%, 04/13/25			271		304,165
Expedia Group, Inc., 6.25%, 05/01/25^(d)			275		292,950

					597,115

Internet Software & Services — 0.0%
Match Group Inc/old, 4.63%, 06/01/28^(d)			60		60,525


IT Services — 0.5%
Banff Merger Sub, Inc., 9.75%, 09/01/26^(d)			460		462,875
Camelot Finance SA, 4.50%, 11/01/26^(d)			287		287,000
Fiserv, Inc., 2.25%, 06/01/27			1,385		1,448,287
Gartner, Inc., 4.50%, 07/01/28^(d)			110		111,287
Leidos, Inc., 4.38%, 05/15/30^(d)			105		118,277
WEX, Inc., 4.75%, 02/01/23^(d)			8		7,943
Xerox Corp., 4.80%, 03/01/35			181		168,744

					2,604,413

Leisure Products — 0.0%
Mattel, Inc.:
5.88%, 12/15/27^(d)			34		35,020
6.20%, 10/01/40			23		19,895
5.45%, 11/01/41			97		80,479

					135,394

Machinery — 0.2%
Clark Equipment Co., 5.88%, 06/01/25^(d)			284		290,390
Colfax Corp., 6.38%, 02/15/26^(d)			161		168,245
Platin 1426 GmbH, 5.38%, 06/15/23	EUR		100		103,751
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25^(d)	USD		205		206,025
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26^(d)			126		119,227

					887,638

Media — 2.1%
Altice France SA^(d):
7.38%, 05/01/26			391		407,735
8.13%, 02/01/27			334		365,312
CCO Holdings LLC/CCO Holdings Capital Corp.^(d):
5.13%, 05/01/27			309		319,691
5.00%, 02/01/28			34		35,105
5.38%, 06/01/29			144		151,920
4.50%, 08/15/30			484		493,680
4.50%, 05/01/32			554		560,925
Clear Channel Worldwide Holdings, Inc.:
9.25%, 02/15/24			363		336,719
5.13%, 08/15/27^(d)			626		600,960
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26^(d)			1,488		1,409,880
CSC Holdings LLC:
5.25%, 06/01/24			344		362,060
4.13%, 12/01/30^(d)			200		198,250


Security		Par (000)		Value

Media (continued)
DISH DBS Corp.:
5.88%, 07/15/22	USD		689	$	700,575
7.75%, 07/01/26			181		191,860
Dolya Holdco 18 DAC, 5.00%, 07/15/28^(d)			242		238,902
Hughes Satellite Systems Corp., 5.25%, 08/01/26			20		20,684
Intelsat Jackson Holdings SA, 8.00%, 02/15/24^(d)			155		157,198
Lamar Media Corp.^(d):
4.88%, 01/15/29			24		24,120
4.00%, 02/15/30			90		86,148
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27^(d)			200		204,000
Live Nation Entertainment, Inc., 6.50%, 05/15/27^(d)			318		327,540
Radiate Holdco LLC/Radiate Finance, Inc.^(d):
6.88%, 02/15/23			95		96,188
6.63%, 02/15/25			148		147,291
SES SA, (5 year EUR Swap + 5.40%), 5.63%^(h)(i)	EUR		100		115,149
Sirius XM Radio, Inc.^(d):
5.50%, 07/01/29	USD		124		130,525
4.13%, 07/01/30			144		142,410
Univision Communications, Inc.^(d):
5.13%, 02/15/25			107		100,781
6.63%, 06/01/27			421		402,055
Virgin Media Secured Finance PLC, 4.50%, 08/15/30^(d)			200		200,250
Zayo Group Holdings Inc.^(d):
4.00%, 03/01/27			1,226		1,166,613
6.13%, 03/01/28			450		437,625
Ziggo Bond Co. BV, 5.13%, 02/28/30^(d)			200		198,440
Ziggo BV^(d):
5.50%, 01/15/27			169		171,123
4.88%, 01/15/30			200		201,084

					10,702,798

Metals & Mining — 0.7%
Arconic Corp.^(d):
6.00%, 05/15/25			212		219,155
6.13%, 02/15/28			106		105,974
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25^(d)			23		21,965
Constellium SE^(d):
6.63%, 03/01/25			300		303,381
5.88%, 02/15/26			321		321,857
Freeport-McMoRan, Inc.:
4.25%, 03/01/30			267		258,990
5.45%, 03/15/43			1,229		1,204,420
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23^(d)			96		95,520
Kaiser Aluminum Corp., 4.63%, 03/01/28^(d)			100		95,632
New Gold, Inc., 7.50%, 07/15/27^(d)			99		102,137
Novelis Corp.^(d):
5.88%, 09/30/26			51		50,936
4.75%, 01/30/30			589		562,495
thyssenkrupp AG, 2.88%, 02/22/24	EUR		64		69,173
United States Steel Corp., 12.00%, 06/01/25^(d)	USD		156		159,900

					3,571,535

Multiline Retail — 0.1%
Macy’s, Inc., 8.38%, 06/15/25^(d)			202		201,089
Nordstrom, Inc., 8.75%, 05/15/25^(d)			75		80,711

					281,800


SCHEDULES OF INVESTMENTS			19

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels — 2.6%
Apache Corp.:
5.25%, 02/01/42	USD		10	$	8,161
4.75%, 04/15/43			103		82,924
4.25%, 01/15/44			134		101,884
5.35%, 07/01/49			23		18,353
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22^(d)			391		333,327
Buckeye Partners LP:
4.13%, 03/01/25^(d)			5		4,796
3.95%, 12/01/26			34		32,038
4.50%, 03/01/28^(d)			61		57,035
Callon Petroleum Co.:
6.25%, 04/15/23			170		64,391
6.13%, 10/01/24			9		3,377
8.25%, 07/15/25			281		98,350
Series WI, 6.38%, 07/01/26			65		21,450
Cenovus Energy, Inc.:
3.00%, 08/15/22			26		25,284
3.80%, 09/15/23			15		14,105
5.40%, 06/15/47			10		8,585
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27			116		127,469
Cheniere Energy Partners LP:
5.63%, 10/01/26			151		150,245
Series WI, 5.25%, 10/01/25			12		11,960
Cheniere Energy, Inc., (4.88% PIK), 4.88%, 05/28/21^(d)(e)(f)(j)			123		124,193
CITGO Petroleum Corp., 7.00%, 06/15/25^(d)			90		90,112
Comstock Resources, Inc.:
7.50%, 05/15/25^(d)			278		251,937
9.75%, 08/15/26			82		76,470
Continental Resources, Inc., 4.90%, 06/01/44			124		98,735
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 05/01/27^(d)			356		296,794
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25^(d)			677		606,761
CVR Energy, Inc.^(d):
5.25%, 02/15/25			164		150,880
5.75%, 02/15/28			54		47,250
DCP Midstream Operating LP:
5.38%, 07/15/25			22		21,835
5.63%, 07/15/27			65		65,406
5.13%, 05/15/29			118		113,207
6.45%, 11/03/36^(d)			250		225,000
6.75%, 09/15/37^(d)			226		202,788
Diamondback Energy, Inc.:
4.75%, 05/31/25			60		64,202
3.50%, 12/01/29			497		481,379
eG Global Finance PLC, 6.25%, 10/30/25	EUR		142		154,751
Endeavor Energy Resources LP/EER Finance, Inc.^(d):
6.63%, 07/15/25	USD		66		66,516
5.50%, 01/30/26			410		392,575
5.75%, 01/30/28			338		324,480
EnLink Midstream Partners LP:
4.40%, 04/01/24			136		112,948
4.85%, 07/15/26			39		28,872
5.60%, 04/01/44			249		151,890
5.05%, 04/01/45			20		12,456
EQM Midstream Partners LP:
6.00%, 07/01/25^(d)			103		104,331
4.13%, 12/01/26			17		15,587
6.50%, 07/01/27^(d)			115		117,785


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
EQT Corp.:
3.90%, 10/01/27	USD		120	$	97,475
7.00%, 02/01/30			33		33,991
Extraction Oil & Gas, Inc.^(b)(c)(d):
7.38%, 05/15/24			383		73,727
5.63%, 02/01/26			133		25,603
Indigo Natural Resources LLC, 6.88%, 02/15/26^(d)			21		19,530
Matador Resources Co., 5.88%, 09/15/26			489		361,860
MEG Energy Corp.^(d):
7.00%, 03/31/24			166		142,345
6.50%, 01/15/25			316		294,866
7.13%, 02/01/27			107		88,944
Murphy Oil Corp., 5.75%, 08/15/25			55		49,225
Nabors Industries Ltd., 7.25%, 01/15/26^(d)			103		63,345
Neptune Energy Bondco PLC, 6.63%, 05/15/25^(d)			200		174,000
NGPL PipeCo LLC, 7.77%, 12/15/37^(d)			186		227,012
NuStar Logistics LP, 6.00%, 06/01/26			124		120,280
Occidental Petroleum Corp.:
4.85%, 03/15/21			8		7,940
2.60%, 08/13/21			37		36,160
2.70%, 08/15/22			138		128,471
2.90%, 08/15/24			60		51,269
3.20%, 08/15/26			10		8,125
3.00%, 02/15/27			7		5,426
3.50%, 08/15/29			15		10,974
4.30%, 08/15/39			174		120,010
6.20%, 03/15/40			274		229,475
4.50%, 07/15/44			72		49,680
4.63%, 06/15/45			190		133,000
6.60%, 03/15/46			7		6,093
4.40%, 04/15/46			120		83,702
4.10%, 02/15/47			17		11,454
4.20%, 03/15/48			75		50,790
4.40%, 08/15/49			35		24,150
Series 1, 4.10%, 02/01/21			25		25,100
Parsley Energy LLC/Parsley Finance Corp., 5.63%, 10/15/27^(d)			477		469,845
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25^(d)			212		226,310
PDC Energy, Inc.:
6.25%, 12/01/25			29		24,433
6.13%, 09/15/24			187		173,910
5.75%, 05/15/26			16		14,560
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29			23		22,408
QEP Resources, Inc.:
5.38%, 10/01/22			675		513,000
5.25%, 05/01/23			165		108,900
5.63%, 03/01/26			86		54,610
Range Resources Corp.:
5.88%, 07/01/22			69		63,480
5.00%, 08/15/22			199		181,090
5.00%, 03/15/23			363		312,180
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30^(d)			281		311,967
SM Energy Co., 10.00%, 01/15/25^(d)			475		450,955
Southwestern Energy Co.:
4.10%, 03/15/22			158		150,827
6.20%, 01/23/25			54		46,237
7.50%, 04/01/26			63		55,144
Sunoco Logistics Partners Operations LP:
4.00%, 10/01/27			35		35,855
5.30%, 04/01/44			115		110,141


20		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Sunoco LP/Sunoco Finance Corp., :
5.50%, 02/15/26	USD		8	$	7,760
5.88%, 03/15/28			151		149,892
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24^(d)			9		8,128
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
5.13%, 02/01/25			75		72,187
5.38%, 02/01/27			17		16,405
5.50%, 03/01/30^(d)			255		246,233
Transocean, Inc.:
8.38%, 12/15/21			99		69,300
8.00%, 02/01/27^(d)			218		120,309
Viper Energy Partners LP, 5.38%, 11/01/27^(d)			88		86,321
Western Midstream Operating LP:
4.00%, 07/01/22			36		35,885
4.65%, 07/01/26			176		168,573
4.75%, 08/15/28			95		90,962
5.30%, 03/01/48			54		43,808
5.50%, 08/15/48			6		4,860
5.25%, 02/01/50			99		85,665
WPX Energy, Inc.:
8.25%, 08/01/23			261		289,710
5.75%, 06/01/26			28		27,160
5.25%, 10/15/27			78		72,867
5.88%, 06/15/28			66		63,423
4.50%, 01/15/30			93		81,840

					13,384,036

Oil: Crude Producers — 0.1%
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25^(d)			287		280,651


Paper & Forest Products — 0.0%
International Paper Co., 7.30%, 11/15/39			5		7,022


Personal Products — 0.0%
Edgewell Personal Care Co., 5.50%, 06/01/28^(d)			57		58,568


Pharmaceuticals — 0.5%
Bausch Health Americas, Inc., 8.50%, 01/31/27^(d)			173		183,596
Bausch Health Cos., Inc.:
4.50%, 05/15/23	EUR		140		155,489
6.13%, 04/15/25^(d)	USD		3		3,043
9.00%, 12/15/25^(d)			382		411,494
7.00%, 01/15/28^(d)			185		190,550
6.25%, 02/15/29^(d)			168		168,840
Catalent Pharma Solutions, Inc., 5.00%, 07/15/27^(d)			134		139,110
Charles River Laboratories International, Inc., 4.25%, 05/01/28^(d)			110		109,944
Elanco Animal Health, Inc., 5.65%, 08/28/28			69		76,507
Endo Dac/Endo Finance LLC/Endo Finco, Inc.^(d):
9.50%, 07/31/27			102		107,885
6.00%, 06/30/28			91		58,695
Jaguar Holding Co. II/PPD Development LP^(d):
4.63%, 06/15/25			172		175,044
5.00%, 06/15/28			161		164,824
MEDNAX, Inc., 5.25%, 12/01/23^(d)			122		121,390
Par Pharmaceutical, Inc., 7.50%, 04/01/27^(d)			229		235,000
Synlab Unsecured Bondco PLC, 8.25%, 07/01/23	EUR		100		114,597
West Street Merger Sub, Inc., 6.38%, 09/01/25^(d)	USD		114		110,295

					2,526,303


Security		Par (000)		Value

Producer Durables: Miscellaneous — 0.1%
Boxer Parent Co., Inc.^(d):
7.13%, 10/02/25	USD		124	$	130,014
9.13%, 03/01/26			191		197,685
Open Text Corp., 3.88%, 02/15/28^(d)			287		276,326
Open Text Holdings, Inc., 4.13%, 02/15/30^(d)			87		85,478

					689,503

Professional Services — 0.2%
ASGN, Inc., 4.63%, 05/15/28^(d)			89		86,919
Dun & Bradstreet Corp.^(d):
6.88%, 08/15/26			192		202,380
10.25%, 02/15/27			386		428,460

					717,759

Real Estate Management & Development — 0.4%
Consus Real Estate AG, 9.63%, 05/15/24	EUR		100		121,900
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28^(d)	USD		1,609		1,677,382
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(d)			24		24,125
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25^(d)			171		171,034
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27	GBP		48		59,841

					2,054,282

Road & Rail — 0.1%
Herc Holdings, Inc., 5.50%, 07/15/27^(d)	USD		253		253,544
United Rentals North America, Inc.:
5.50%, 05/15/27			74		76,220
5.25%, 01/15/30			2		2,065
4.00%, 07/15/30			61		59,001

					390,830

Semiconductors & Semiconductor Equipment — 1.0%
Broadcom, Inc.^(d):
4.70%, 04/15/25			910		1,025,365
3.15%, 11/15/25			639		680,102
4.15%, 11/15/30			225		244,503
4.30%, 11/15/32			350		384,013
Microchip Technology, Inc.^(d):
2.67%, 09/01/23			1,638		1,685,964
4.25%, 09/01/25			680		684,327
Qorvo, Inc., 4.38%, 10/15/29^(d)			76		77,830
Seagate HDD Cayman, 4.13%, 01/15/31^(d)			30		31,523

					4,813,627

Software — 0.6%
CDK Global, Inc., 5.25%, 05/15/29^(d)			105		109,034
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24^(d)			287		298,480
MSCI, Inc.^(d):
4.00%, 11/15/29			58		59,160
3.88%, 02/15/31			229		233,580
PTC, Inc.^(d):
3.63%, 02/15/25			88		87,340
4.00%, 02/15/28			80		79,210
RP Crown Parent LLC, 7.38%, 10/15/24^(d)			602		600,495
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24^(d)			1,315		1,338,012
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25^(d)			190		194,750

					3,000,061


SCHEDULES OF INVESTMENTS			21

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Specialty Retail — 0.2%
Asbury Automotive Group, Inc.^(d):
4.50%, 03/01/28	USD		61	$	59,170
4.75%, 03/01/30			59		57,525
AutoNation, Inc., 4.75%, 06/01/30			153		165,786
Gap, Inc., 8.88%, 05/15/27^(d)			105		112,342
IAA, Inc., 5.50%, 06/15/27^(d)			159		164,027
L Brands, Inc.^(d):
6.88%, 07/01/25			120		123,900
9.38%, 07/01/25			3		3,004
PetSmart, Inc., 7.13%, 03/15/23^(d)			185		182,388

					868,142

Technology Hardware, Storage & Peripherals — 0.1%
Dell International LLC/EMC Corp., 5.85%, 07/15/25^(d)			134		153,993
NCR Corp.^(d):
5.75%, 09/01/27			92		92,000
6.13%, 09/01/29			88		87,780
Western Digital Corp., 4.75%, 02/15/26			236		243,894

					577,667

Textiles, Apparel & Luxury Goods — 0.0%
Levi Strauss & Co., 5.00%, 05/01/25			40		40,150
Wolverine World Wide, Inc., 6.38%, 05/15/25^(d)			24		25,140

					65,290

Thrifts & Mortgage Finance — 0.0%
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27^(d)			58		55,100


Utilities — 0.0%
Vistra Operations Co. LLC, 5.63%, 02/15/27^(d)			99		101,609


Wireless Telecommunication Services — 0.3%
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31			341		338,528
SBA Communications Corp., 3.88%, 02/15/27^(d)			650		647,563
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23			36		34,020
VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/26^(d)			693		663,547

					1,683,658


Total Corporate Bonds — 21.2% (Cost — $118,432,163)					107,491,729


Floating Rate Loan Interests^(k) — 117.9%

Aerospace & Defense — 2.6%
Bleriot US Bidco, Inc.:
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26			112		107,358
Term Loan B, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26			716		687,094
Dynasty Acquisition Co., Inc.:
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			2,967		2,525,993
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			5,519		4,698,347
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 5.89%, 04/09/26^(a)			782		594,396
TransDigm, Inc.:
2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.43%, 12/09/25			4,239		3,802,644
2020 Term Loan G, (1 mo. LIBOR + 2.25%), 2.43%, 08/22/24			823		742,414

					13,158,246


Security		Par (000)			Value

Air Freight & Logistics — 0.6%
WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26	USD		3,653		$	2,919,084


Airlines — 1.2%
American Airlines, Inc.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 01/29/27			455			341,930
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 12/14/23			2,278			1,812,657
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.18%, 04/28/23			1,588			1,250,203
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/12/24			687			671,543
Mileage Plus Holdings LLC, 2020 Term Loan B, 06/25/27^(l)			2,112			2,095,273

						6,171,606

Auto Components — 2.6%
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/12/25			2,721			2,594,321
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 04/30/26			5,636			5,354,477
USI, Inc.:
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.31%, 05/16/24			4,416			4,181,774
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.31%, 12/02/26			252			243,974
Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.07%, 02/05/26			1,082			1,025,287

						13,399,833

Banks — 0.7%
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 11/01/24			3,805			3,638,131


Building Materials — 0.4%
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 07/10/26			2,096			2,032,979


Building Products — 1.2%
CPG International, Inc., 2017 Term Loan, 05/05/24^(l)			1,327			1,312,086
LSF10 XL Bidco SCA, EUR Term Loan B3, (EURIBOR + 4.00%), 4.00%, 10/12/26	EUR		1,000			1,046,574
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23	USD		3,771			3,628,427

						5,987,087

Capital Markets — 1.4%
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 04/09/27^(l)			3,499			3,393,708
Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 12/27/22			—	^(m)		266
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 04/12/24^(a)			570			536,168
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26			1,317			1,242,044
Travelport Finance (Luxembourg) Sarl, :
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 9.31%, 05/28/27			1,370			389,080
2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.07%, 05/29/26			2,721			1,779,770

						7,341,036


22		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Chemicals — 4.3%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24	USD		2,752	$	2,643,624
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26			2,974		2,911,612
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 2.06%, 06/01/24			386		369,111
Charter NEX US, Inc.: 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 05/16/24			2,580		2,463,970
Incremental Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 05/16/24			713		680,097
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 04/03/25			747		703,202
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24			1,357		1,253,005
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24^(a)			1,276		1,218,607
Illuminate Buyer LLC, Term Loan, 06/16/27^(l)			2,003		1,970,208
Invictus US LLC.:
1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.78%, 03/28/25			682		628,611
2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.53%, 03/30/26			390		308,751
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.81%, 03/01/26			3,311		3,149,858
Minerals Technologies Inc., 2017 Term Loan B, 02/14/24^(a)(l)			454		440,729
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 05/15/24			921		859,704
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 3.69%, 10/14/24			2,418		2,218,521
Starfruit Finco BV, 2018 USD Term Loan B, 10/01/25^(l)			183		170,813

					21,990,423

Commercial Services & Supplies — 3.9%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.00%, 11/10/23			1,811		1,787,552
Asurion LLC,:
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.68%, 08/04/25			1,839		1,825,208
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/23			1,886		1,821,497
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/24			930		896,128
Creative Artists Agency LLC.:
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 11/27/26			746		703,976
2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/27/26			1,737		1,638,566
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 09/06/24			1,678		1,538,150
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25			479		440,082


Security		Par (000)		Value

Commercial Services & Supplies (continued)
GFL Environmental, Inc., 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25	USD		538	$	522,110
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23			524		379,710
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.50%, 09/19/26			723		684,023
Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26			1,672		1,604,398
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/27/25			2,926		2,821,449
West Corp.:
2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24			2,131		1,810,116
2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24			1,411		1,177,759

					19,650,724

Communications Equipment — 0.2%
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24			1,118		1,086,782


Construction & Engineering — 1.0%
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.45%, 06/21/24			2,499		2,280,224
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.94%, 04/12/25			526		498,676
SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.32%, 05/23/25			2,284		2,153,681

					4,932,581

Construction Materials — 2.1%
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/27			1,615		1,537,173
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24			4,830		4,589,767
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/29/25^(a)			2,503		2,377,424
Forterra Finance LLC, 2017 Term Loan B, 10/25/23^(l)			2,149		2,084,488

					10,588,852

Containers & Packaging — 2.3%
Berry Global, Inc.,:
2019 Term Loan Y, (1 mo. LIBOR + 2.00%), 2.18%, 07/01/26			1,800		1,716,522
Term Loan W, (1 mo. LIBOR + 2.00%), 2.18%, 10/01/22			5,590		5,434,647
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.56%, 04/03/24			2,265		2,028,463
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.43%, 12/29/23			2,040		1,945,214
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 07/31/26			554		533,194

					11,658,040


SCHEDULES OF INVESTMENTS			23

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Distributors — 0.5%
TriMark USA LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%), 4.58%, 08/28/24	USD		3,287	$	2,455,344


Diversified Consumer Services — 3.1%
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 02/01/27			642		628,890
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24			1,201		1,140,429
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27			3,088		2,876,899
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 1.75%), 2.50%, 11/07/23			1,776		1,718,966
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 07/12/25			3,027		2,702,856
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/24			1,121		1,077,734
Serta Simmons Bedding, LLC,:
2020 Super Priority First Out Term Loan, 08/10/23^(l)			422		413,886
2020 Super Priority Second Out Term Loan, (2 mo. LIBOR + 7.50%), 8.50%, 08/10/23			865		720,527
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 03/19/26			2,027		1,961,184
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 07/13/23			2,438		2,315,668

					15,557,039

Diversified Financial Services — 3.1%
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 5.18%, 07/31/26			1,617		1,492,782
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 04/04/24			5,028		4,849,878
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.43%, 11/18/24			875		841,127
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 5.07%, 02/07/25			1,411		1,321,967
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24			1,349		1,148,063
SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 3.27%, 01/23/25^(a)			1,743		1,534,022
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.56%, 07/30/25^(a)			560		518,246
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/28/27			2,465		2,372,392
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.68%, 04/30/28			1,876		1,766,179

					15,844,656

Diversified Telecommunication Services — 1.8%
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24			1,657		1,582,766
Iridium Satellite LLC, Term Loan, 11/04/26^(l)			1,554		1,522,120
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 03/01/27			1,676		1,582,366


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24	USD		1,791	$	1,711,879
Northwest Fiber LLC, Term Loan B, (3 mo. LIBOR + 5.50%), 5.67%, 05/21/27^(a)			846		837,540
Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR—GBP + 3.25%), 3.34%, 01/15/27	GBP		1,400		1,668,612

					8,905,283

Electric Utilities — 0.5%
Pacific Gas & Electric Co., 2020 Exit Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25	USD		2,645		2,595,406
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/20^(a)(b)(c)			2,375		—

					2,595,406

Energy Equipment & Services — 1.2%
Gates Global LLC, 2017 Repriced Term Loan B, 04/01/24^(l)			4,300		4,131,671
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25			1,776		1,726,046

					5,857,717

Equity Real Estate Investment Trusts (REITs) — 1.3%
Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 08/09/26^(a)			839		776,099
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 08/21/25			1,917		1,801,402
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 12/20/24			4,219		3,923,537

					6,501,038

Food & Staples Retailing — 1.2%
Hearthside Food Solutions LLC,:
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 05/23/25			1,036		987,007
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.87%, 05/23/25			1,409		1,336,483
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25			180		175,050
US Foods, Inc.,:
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 06/27/23			3,025		2,836,781
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.07%, 09/13/26			751		697,221

					6,032,542

Food Products — 3.6%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 10/01/25			1,116		1,080,082
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.68%, 10/10/26			203		199,782
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23			3,550		3,406,270
Froneri International Ltd.,:
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.93%, 01/31/28			259		245,402
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 01/29/27			5,513		5,171,911
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.01%, 08/03/25			1,221		1,175,902


24		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Food Products (continued)
JBS USA LUX SA, 2019 Term Loan B, (2 mo. LIBOR + 2.00%), 3.07%, 05/01/26	USD		601	$	572,453
Pathway Vet Alliance LLC,^(l):
2020 Delayed Draw Term Loan, 03/31/27			39		37,914
2020 Term Loan, 03/31/27			481		466,504
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/23			6,244		5,949,549

					18,305,769

Health Care Equipment & Supplies — 1.5%
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 06/15/21			3,144		3,018,366
Ortho-Clinical Diagnostics SA,:
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 06/30/25			3,872		3,612,998
EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25	EUR		998		1,047,846

					7,679,210

Health Care Providers & Services — 3.1%
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25	USD		830		797,063
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 06/07/23			2,189		2,105,725
Da Vinci Purchaser Corp., 2019 Term Loan, (6 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 01/08/27			1,120		1,087,800
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/06/25			519		461,489
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 10/10/25			2,046		1,334,953
EyeCare Partners LLC,:
2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 8.56%, 02/18/28			1,460		1,241,000
2020 Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 02/05/27			1,607		1,442,353
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25			2,698		2,607,376
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/06/26			2,660		2,579,846
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23			222		210,334
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22			1,177		964,950
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/06/24			930		708,343

					15,541,232

Health Care Services — 0.8%
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.26%, 07/24/26^(a)			2,424		2,345,223
WP CityMD Bidco LLC, 2019 Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.15%, 08/13/26			1,901		1,869,384

					4,214,607


Security		Par (000)		Value

Health Care Technology — 0.8%
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24	USD		3,444	$	3,301,219
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 10/10/25			540		514,196
Quintiles IMS, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 2.50%, 03/07/24			279		270,126

					4,085,541

Hotels, Restaurants & Leisure — 5.5%
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 11/19/26			3,282		3,104,483
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 02/02/26			498		431,012
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24			889		880,110
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 2.86%, 10/19/24			1,085		1,028,201
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.36%, 09/15/23			1,096		1,027,791
Caesars Resort Collection LLC.:
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 12/23/24			3,738		3,314,209
2020 Term Loan, 06/19/25^(l)			3,289		3,085,510
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 08/08/21			592		572,787
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 11/30/23			907		857,326
Golden Nugget LLC, 2017 Incremental Term Loan B, 10/04/23^(l)			1,628		1,286,210
Golden Nugget, Inc., 2020 Initial Term Loan, 10/04/23^(a)(l)			201		201,219
IRB Holding Corp, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25			2,227		2,051,001
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 04/03/25			876		837,892
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24			687		576,153
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.07%, 12/10/24			1,685		1,680,516
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 3.48%, 08/14/24			1,150		1,014,163
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.81%, 07/10/25			1,228		1,219,395
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 2.50%, 02/08/27			2,001		1,815,784
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 07/31/26			2,771		2,647,698

					27,631,460

Independent Power and Renewable Electricity Producers — 0.7%
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/25			672		646,207
Calpine Corp.:
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.18%, 08/12/26			1,067		1,024,148


SCHEDULES OF INVESTMENTS			25

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Independent Power and Renewable Electricity Producers (continued)
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.43%, 04/05/26	USD		1,932	$	1,860,553

					3,530,908

Industrial Conglomerates — 2.1%
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/28/21			1,454		1,323,008
Vertical US Newco Inc, USD Term Loan B, 07/01/27^(a)(l)			1,712		1,686,320
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 03/02/27			7,996		7,536,192

					10,545,520

Insurance — 3.7%
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 05/09/25			2,453		2,319,572
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 05/09/25			1,196		1,137,708
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24			3,259		3,160,469
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/12/27			605		593,373
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27			1,566		1,494,516
Hub International Ltd.:
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.02%, 04/25/25			2,291		2,174,269
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25			1,427		1,399,920
Sedgwick Claims Management Services, Inc.:
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 09/03/26			2,088		1,999,357
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26			1,169		1,131,978
Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/31/25			3,416		3,217,314

					18,628,476

Interactive Media & Services — 1.2%
Ancestry.com Operations, Inc.
2019 Extended Term Loan B, (1 mo. LIBOR + 4.25%), 5.25%, 08/27/26			920		870,875
Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/23^(a)			3,768		3,598,636
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23			335		318,371
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24			1,348		1,279,758

					6,067,640

IT Services — 4.2%
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 10/30/26			3,555		3,437,389
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 06/01/22			2,988		2,920,710
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 11/27/24			1,023		986,712
Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 7.59%, 08/01/25			1,121		478,757


Security		Par (000)		Value

IT Services (continued)
Greeneden US Holdings II LLC, 2018 Term Loan B, 12/01/23^(l)	USD		3,608	$	3,465,618
GreenSky Holdings LLC, 2020 Term Loan B2, (3 mo. LIBOR + 4.50%), 5.50%, 03/29/25^(a)			1,386		1,344,420
Presidio, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.27%, 01/22/27			789		759,162
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27			2,852		2,470,358
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 11/16/26			3,347		3,194,900
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/26			2,228		2,129,441

					21,187,467

Leisure Products — 0.1%
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24			786		585,346


Life Sciences Tools & Services — 1.9%
Albany Molecular Research, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/30/25			75		71,288
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 4.68%, 02/04/27			2,482		2,426,775
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26			7,093		6,913,760

					9,411,823

Machinery — 1.7%
Ingersoll-Rand Global Holding Co. Ltd., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 03/01/27			2,645		2,511,461
Terex Corp., 2019 Term Loan B1, (3 mo. LIBOR + 2.75%), 3.50%, 01/31/24^(a)			384		376,455
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.36%, 03/28/25			6,062		5,529,416

					8,417,332

Media — 14.1%
Altice Financing SA,^(l):
2017 Term Loan B, 07/15/25			663		625,931
USD 2017 1st Lien Term Loan, 01/31/26			1,768		1,664,890
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.18%, 08/14/26			2,846		2,730,326
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.93%, 04/30/25			3,608		3,470,436
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.26%, 08/21/26			5,641		5,099,833
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26			10,491		9,842,283
CSC Holdings LLC.:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 07/17/25			591		557,831
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.68%, 04/15/27			1,986		1,879,904
Diamond Sports Group LLC, Term Loan, (3 mo. LIBOR + 3.25%), 3.43%, 08/24/26			455		368,769
Gray Television, Inc., 2018 Term Loan C, (1 mo. LIBOR + 2.50%), 2.67%, 01/02/26			1,461		1,411,333


26		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
Intelsat Jackson Holdings SA:
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23	USD		455	$	451,874
2020 DIP Term Loan, 07/14/21^(l)			80		81,092
Learfield Communications LLC, 2016 1st Lien Term Loan, 12/01/23^(l)			3,879		2,887,574
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.19%, 10/15/26			1,488		1,473,120
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.43%, 03/24/25			1,569		1,479,654
Live Nation Entertainment, Inc., Term Loan B4, 10/17/26^(l)			2,012		1,843,136
MH Sub I LLC:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.57%, 09/13/24			3,623		3,479,780
2020 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.06%, 09/13/24			719		692,037
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 08/15/26^(a)			842		804,091
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 2.92%, 09/18/26			1,720		1,632,013
PSAV Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 03/03/25			4,429		3,166,833
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 02/01/24			2,270		2,162,345
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/17/26			2,618		2,491,077
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23^(a)			4,338		4,175,446
UFC Holdings LLC, 2019 Term Loan, 04/29/26^(l)			650		619,961
Virgin Media Bristol LLC, USD Term Loan N, 01/31/28^(l)			2,578		2,456,412
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/18/25			3,172		2,576,336
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/09/27			11,701		11,079,856

					71,204,173

Metals & Mining — 0.9%
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.86%, 07/31/25			2,061		1,885,454
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 03/08/24			3,672		2,816,472

					4,701,926

Multiline Retail — 0.2%
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24			909		825,178
Neiman Marcus Group Ltd LLC,:
2020 DIP Term Loan, (1 mo. LIBOR + 12.75%), 13.87%, 10/07/20			79		80,355
2020 Exit Term Loan, 05/08/25^(a)(l)			115		115,987
Cash Pay Extended Term Loan, (PRIME + 5.00%), 8.25%, 10/25/23			392		99,231

					1,120,751

Oil & Gas Equipment & Services — 0.3%
McDermott Technology Americas, Inc.,:
2018 1st Lien Term Loan, (PRIME + 4.00%), 7.25%, 05/09/25			1,961		672,760


Security		Par (000)		Value

Oil & Gas Equipment & Services (continued)
2020 SP DIP Roll Up Term Loan, 10/21/20^(l)	USD		853	$	845,160

					1,517,920

Oil, Gas & Consumable Fuels — 0.5%
California Resources Corp., Second Out Term Loan, (3 mo. LIBOR + 10.37%, 1.00% Floor), 11.38%, 12/31/21			2,002		90,087
Chesapeake Energy Corp., 2019 Last Out Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 06/24/24			465		266,971
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 12/13/25			1,756		1,674,440
EG Group Ltd., 2018 Term Loan B, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25			723		677,540

					2,709,038

Personal Products — 0.8%
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 10/01/26^(l)			4,287		4,095,676


Pharmaceuticals — 3.4%
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25			2,293		2,089,585
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26			2,341		2,309,686
Elanco Animal Health Incorporated, Term Loan B, 02/04/27^(l)			1,079		1,026,959
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.11%, 11/15/27			1,895		1,820,978
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22			3,799		3,747,747
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.19%, 06/02/25			6,605		6,409,436

					17,404,391

Professional Services — 1.5%
Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 02/09/26			1,011		919,326
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 02/06/26			4,546		4,420,603
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.81%, 08/04/25			1,418		1,025,894
STG-Fairway Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 4.57%, 01/31/27			1,454		1,351,609

					7,717,432

Real Estate Management & Development — 0.4%
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 04/18/24			2,247		2,038,195


Road & Rail — 1.3%
Lineage Logistics Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 02/27/25			4,424		4,276,476
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 09/29/25			874		847,047
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (PRIME + 2.50%), 4.50%, 06/13/23			1,553		1,356,021

					6,479,544


SCHEDULES OF INVESTMENTS			27

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)			Value

Semiconductors & Semiconductor Equipment — 0.0%
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 05/29/25	USD		27		$	26,454
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 09/19/26			—	^(m)		30

						26,484

Software — 19.2%
Applied Systems, Inc.:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/19/24			3,589			3,482,606
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25			764			760,426
BMC Software Finance, Inc., 2017 Term Loan, 10/02/25^(l)			2,326			2,194,781
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.06%, 01/29/27			3,168			2,883,231
Cornerstone OnDemand, Inc., Term Loan B, (2 mo. LIBOR + 4.25%), 5.35%, 04/22/27			1,061			1,043,101
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24			1,353			1,304,900
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 4.25%, 05/28/24			339			283,377
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/30/23			1,084			863,458
Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 04/17/26			3,050			2,947,922
Financial & Risk US Holdings, Inc.,:
2018 EUR Term Loan, (EURIBOR + 3.25%), 3.25%, 10/01/25	EUR		956			1,050,909
2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 10/01/25	USD		6,523			6,364,331
Informatica LLC:
2020 USD 2nd Lien Term Loan, 7.13%, 02/25/25			1,502			1,500,122
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/25/27			7,862			7,508,559
Kronos, Inc.,:
2017 Term Loan B, 11/01/23^(l)			6,746			6,731,414
2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 11/01/24			2,743			2,741,735
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 09/30/24			3,487			3,387,387
Mitchell International, Inc.,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 11/29/24			2,506			2,332,233
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 12/01/25			887			784,700
Renaissance Holding Corp., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 4.01%, 05/30/25			593			569,380
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 10/12/23			3,168			3,069,337
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 08/01/25			3,348			3,205,749
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/24			3,798			3,676,197
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 03/03/23			2,317			2,231,726
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/30/22			4,694			4,576,820


Security		Par (000)		Value

Software (continued)
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25	USD		406	$	387,515
SS&C Technologies, Inc.:
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			578		551,939
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			1,757		1,673,227
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/01/24			5,256		4,980,157
Tibco Software Inc.:
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 03/03/28			3,674		3,519,996
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 06/30/26^(a)			5,178		4,880,365
Ultimate Software Group, Inc.^(l):
2020 2nd Lien Incremental Term Loan, 05/03/27			1,767		1,793,505
2020 Incremental Term Loan B, 05/04/26			5,439		5,365,084
Term Loan B, 05/04/26^(l)			5,184		5,013,615
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 07/02/25			3,939		3,705,090

					97,364,894

Specialty Retail — 2.2%
Belron Finance US LLC,:
2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.26%, 10/30/26			1,157		1,113,790
Term Loan B, (3 mo. LIBOR + 2.50%), 2.93%, 11/13/25			2,018		1,945,103
USD Term Loan B, (3 mo. LIBOR + 2.50%), 2.97%, 11/07/24			1,450		1,397,383
Pathway Vet ParentCo LP:
1st Lien Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			264		238,670
1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			1,507		1,360,285
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/18/21			1,410		1,266,859
PetSmart, Inc., Term Loan B2, 03/11/22^(l)			2,934		2,891,455
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24			1,151		1,054,145

					11,267,690

Technology Hardware, Storage & Peripherals — 0.6%
Electronics for Imaging, Inc., Term Loan, 07/23/26^(a)(l)			1,620		1,263,750
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 1.92%, 04/29/23			2,085		2,024,020

					3,287,770

Thrifts & Mortgage Finance — 0.5%
IG Investment Holdings LLC, 2018 1st Lien Term Loan, 05/23/25^(l)			2,953		2,734,711


Trading Companies & Distributors — 0.7%
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 10/17/23			3,767		3,635,075


Utilities — 0.5%
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/28/24			2,474		2,393,514


28		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Wireless Telecommunication Services — 2.7%
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20^(e)	USD		197	$	173,473
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 04/11/25			3,387		3,253,011
T-Mobile USA, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 04/01/27			7,195		7,179,459
Xplornet Communications, Inc., 2020 Term Loan B, 05/29/27^(l)			3,372		3,211,830

					13,817,773


Total Floating Rate Loan Interests — 117.9% (Cost — $634,801,470)					597,653,717


		Shares

Investment Companies — 3.6%

Equity Fund — 0.1%
SPDR S&P Oil & Gas Exploration & Production ETF			4,875		254,378


Fixed Income Funds — 3.5%
Invesco Senior Loan ETF			60,000		1,281,000
iShares iBoxx $ High Yield Corporate Bond ETF^(p)			142,000		11,590,040
iShares iBoxx $ Investment Grade Corporate Bond ETF^(p)			39,000		5,245,500

					18,116,540


Total Investment Companies — 3.6% (Cost — $18,486,648)					18,370,918


		Beneficial Interest (000)

Other Interests⁽ⁿ⁾ — 0.0%

IT Services — 0.0%
Millennium Corp.^(a)(b)			1,156		—
Millennium Lender Claims^(a)(b)			1,084		—


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


		Par (000)

Preferred Securities—1.3%

Capital Trusts — 1.2%

Banks — 0.3%
Banco de Sabadell SA, 6.50%^(h)(i)	EUR		200		183,602
Banco Santander SA, 4.38%^(h)(i)			200		202,776
Bankia SA, 6.38%^(h)(i)			200		212,026
CaixaBank SA, 6.75%^(h)(i)			200		224,700
Wells Fargo & Co., Series U, 5.88%^(h)(i)	USD		775		805,512

					1,628,616

Diversified Financial Services — 0.9%
Bank of America Corp.,^(h)(i):
Series AA, 6.10%			657		693,135
Series DD, 6.30%			55		61,035
Series X, 6.25%			350		362,274
Series Z, 6.50%			232		249,321
BNP Paribas SA, 4.50%^(d)(h)(i)			200		175,250
HBOS Capital Funding LP, 6.85%⁽ⁱ⁾			200		202,180
HSBC Holdings PLC, 6.00%^(h)(i)			600		596,250


Security		Par (000)		Value

Diversified Financial Services (continued)
JPMorgan Chase & Co.,^(h)(i):
Series 1, 4.23%	USD		52	$	47,336
Series FF, 5.00%			865		827,372
Series HH, 4.60%			374		333,795
Series V, 3.62%			780		688,350
Royal Bank of Scotland Group PLC, 8.63%^(h)(i)			246		255,779

					4,492,077


Total Capital Trusts — 1.2%					6,120,693


		Shares

Preferred Stock — 0.1%

Capital Markets — 0.1%
Goldman Sachs Group, Inc., Series J, 5.50%^(h)(i)			13,550		344,170


Total Preferred Stock — 0.1%					344,170


Total Preferred Securities — 1.3% (Cost — $6,744,032)					6,464,863


Warrants — 0.0%

Metals & Mining — 0.0%
AFGlobal Corp. (Expires 12/20/20)^(a)			5,283		—


Oil, Gas & Consumable Fuels — 0.0%
SM Energy Co. (Expires 06/30/23)^(b)			11,411		42,677


Transportation Infrastructure — 0.0%
Turbo Cayman Ltd. (Strike Price $0.01)^(a)			1		—


Total Warrants — 0.0% (Cost — $48,949)					42,677


Total Long-Term Investments — 144.1% (Cost — $791,021,624)					730,180,644


Short-Term Securities — 0.4%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%^(o)(p)			1,975,816		1,975,816


Total Short-Term Securities — 0.4% (Cost — $1,975,816)					1,975,816


Total Investments — 144.5% (Cost — $792,997,440)					732,156,460

Liabilities in Excess of Other Assets — (44.5)%					(225,332,824	)


Net Assets — 100.0%				$	506,823,636

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

^(b)	Non-income producing security.

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

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

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

^(f)	When-issued security.

^(g)	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.

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

⁽ⁱ⁾	Perpetual security with no stated maturity date.


SCHEDULES OF INVESTMENTS			29

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

^(j)	Convertible security.

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

^(l)	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.

^(m)	Amount is less than 500.

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

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

^(p)	Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliated Issuer	Shares Held at 12/31/19		Shares Purchased			Shares Sold			Shares Held at 06/30/20		Value at 06/30/20		Income		Net Realized Gain (Loss)^(a)			Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		1,975,816	^(b)		—			1,975,816	$	1,975,816	$	8,435	$	—		$	—
iShares iBoxx $ High Yield Corporate Bond ETF		—		155,500			(13,500	)		142,000		11,590,040		72,002		(5,935	)		(100,280	)
iShares iBoxx $ Investment Grade Corporate Bond ETF		—		39,000			—			39,000		5,245,500		22,159		—			188,124

											$	18,811,356	$	102,596	$	(5,935	)	$	87,844

^(a)

Includes net capital gain distributions, if applicable.

^(b)

Represents net shares purchased (sold).

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

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	2,296,000	USD	2,573,816	Goldman Sachs International		07/06/20	$	5,949
EUR	2,709,000	USD	3,036,789	Goldman Sachs International		07/06/20		7,019
GBP	76,000	USD	93,504	Barclays Bank PLC		07/06/20		669
GBP	1,500,000	USD	1,846,021	State Street Bank and Trust Co.		07/06/20		12,672
USD	125,177	GBP	99,000	Goldman Sachs International		07/06/20		2,504

								28,813

EUR	1,755,000	USD	1,988,446	Morgan Stanley & Co. International PLC		07/06/20		(16,543	)
GBP	203,000	USD	256,223	Morgan Stanley & Co. International PLC		07/06/20		(4,680	)
USD	110,269	EUR	100,000	Bank of America N.A.		07/06/20		(2,090	)
USD	97,938	EUR	88,000	Morgan Stanley & Co. International PLC		07/06/20		(938	)
USD	7,162,331	EUR	6,438,000	Morgan Stanley & Co. International PLC		07/06/20		(71,348	)
USD	2,579,037	EUR	2,317,000	UBS AG		07/06/20		(24,324	)
USD	467,616	GBP	380,000	BNP Paribas S.A.		07/06/20		(3,253	)
USD	1,850,774	GBP	1,504,000	BNP Paribas S.A.		07/06/20		(12,876	)
USD	2,575,478	EUR	2,296,000	Goldman Sachs International		08/05/20		(5,981	)
USD	3,038,750	EUR	2,709,000	Goldman Sachs International		08/05/20		(7,057	)
USD	93,520	GBP	76,000	Barclays Bank PLC		08/05/20		(672	)
USD	1,846,353	GBP	1,500,000	State Street Bank and Trust Co.		08/05/20		(12,707	)

							$	(162,469	)


30		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

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)
Altice Finco SA		5.00	%		Quarterly		BNP Paribas S.A.		12/20/24		EUR	30	$	(2,130	)	$	(3,610	)	$	1,480
SES SA		1.00			Quarterly		Barclays Bank PLC		06/20/25		EUR	30		401			791			(390	)

													$	(1,729	)	$	(2,819	)	$	1,090

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	Bank of America N.A.		06/20/23	B		EUR	9	$	(1,406	)	$	(908	)	$	(498	)
Casino Guichard Perrachon SA		1.00			Quarterly	Barclays Bank PLC		06/20/23	B		EUR	6		(880	)		(466	)		(414	)
Casino Guichard Perrachon SA		1.00			Quarterly	Citibank N.A.		06/20/23	B		EUR	9		(1,378	)		(814	)		(564	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/23	B		EUR	4		(551	)		(305	)		(246	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/23	B		EUR	5		(827	)		(457	)		(370	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/23	B		EUR	9		(1,379	)		(815	)		(564	)
Casino Guichard Perrachon SA		1.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/23	B		EUR	10		(1,520	)		(639	)		(881	)
CenturyLink, Inc.		1.00			Quarterly	Barclays Bank PLC		12/20/23	NR		USD	170		(11,169	)		(9,295	)		(1,874	)
Tesco PLC		1.00			Quarterly	Citibank N.A.		12/20/23	BBB-		EUR	50		874			(529	)		1,403
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		12/20/24	B-		EUR	10		(1,941	)		(120	)		(1,821	)
Garfunkelux Holdco 2 SA		5.00			Quarterly	Credit Suisse International		12/20/24	B-		EUR	20		(3,882	)		—			(3,882	)
CenturyLink, Inc.		1.00			Quarterly	Barclays Bank PLC		06/20/25	NR		USD	185		(21,181	)		(25,119	)		3,938

													$	(45,240	)	$	(39,467	)	$	(5,773	)

^(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 Statement of Assets and Liabilities for OTC Swaps


	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Swaps	$	791	$	(43,077	)	$	6,821	$	(11,504	)

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	$	—	$	—	$	—	$	28,813	$	—	$	—	$	28,813
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		7,612		—		—		—		—		7,612

	$	—	$	7,612	$	—	$	28,813	$	—	$	—	$	36,425

Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	162,469	$	—	$	—	$	162,469
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		54,581		—		—		—		—		54,581

	$	—	$	54,581	$	—	$	162,469	$	—	$	—	$	217,050


SCHEDULES OF INVESTMENTS			31

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

For the six months ended June 30, 2020, 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	$	—	$	—		$	(4,436	)	$	—	$	—	$	—	$	(4,436	)
Forward foreign currency exchange contracts		—		—			—			68,925		—		—		68,925
Options purchased^(a)		—		—			(105,819	)		—		—		—		(105,819	)
Swaps		—		(598,438	)		—			—		—		—		(598,438	)

	$	—	$	(598,438	)	$	(110,255	)	$	68,925	$	—	$	—	$	(639,768	)

^(a)

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


	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	228		$	—	$	—	$	—	$	228
Forward foreign currency exchange contracts		—		—		—			66,031		—		—		66,031
Options purchased^(a)		—		—		(75,874	)		—		—		—		(75,874	)
Swaps		—		223,805		—			—		—		—		223,805

	$	—	$	223,805	$	(75,646	)	$	66,031	$	—	$	—	$	214,190

^(a)

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	—	^(a)
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		20,765,508
Average amounts sold — in USD		10,231,847
Options:
Average value of option contracts purchased		—	^(a)
Credit default swaps:
Average notional value — buy protection		50,248
Average notional value — sell protection		913,448

^(a)

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

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

Derivative Financial Instruments — Offsetting as of Period End

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


	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	28,813	$	162,469
Swaps — OTC^(a)		7,612		54,581

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	36,425	$	217,050
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—

Total derivative assets and liabilities subject to an MNA	$	36,425	$	217,050

^(a)

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


32		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

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

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)
Barclays Bank PLC	$	5,398	$	(5,398	)	$	—	$	—	$	—
BNP Paribas S.A.		1,480		(1,480	)		—		—		—
Citibank N.A.		1,403		(1,403	)		—		—		—
Goldman Sachs International		15,472		(13,038	)		—		—		2,434
State Street Bank and Trust Co.		12,672		(12,672	)		—		—		—

	$	36,425	$	(33,991	)	$	—	$	—	$	2,434


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non-cash Collateral Pledged		Cash Collateral Pledged			Net Amount of Derivative Liabilities^(c)
Bank of America N.A.	$	3,496	$	—		$	—	$	—		$	3,496
Barclays Bank PLC		38,230		(5,398	)		—		(30,000	)		2,832
BNP Paribas S.A.		19,739		(1,480	)		—		—			18,259
Citibank N.A.		1,907		(1,403	)		—		—			504
Credit Suisse International		5,823		—			—		—			5,823
Goldman Sachs International		13,038		(13,038	)		—		—			—
JPMorgan Chase Bank N.A.		4,277		—			—		—			4,277
Morgan Stanley & Co. International PLC		93,509		—			—		—			93,509
State Street Bank and Trust Co.		12,707		(12,672	)		—		—			35
UBS AG		24,324		—			—		—			24,324

	$	217,050	$	(33,991	)	$	—	$	(30,000	)	$	153,059

^(a)

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

^(b)

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

^(c)

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

Fair Value Hierarchy as of Period End

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

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


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$	14,652	$	41,611		$	100,477	$	156,740
Corporate Bonds		—		107,491,727			2		107,491,729
Floating Rate Loan Interests		—		568,028,574			29,625,143		597,653,717
Investment Companies		18,370,918		—			—		18,370,918
Preferred Securities		344,170		6,120,693			—		6,464,863
Warrants		—		42,677			—		42,677
Short-Term Securities		1,975,816		—			—		1,975,816
Unfunded floating rate loan interests^(a)		—		1,487			—		1,487
Liabilities:
Unfunded floating rate loan interests^(a)		—		(48,335	)		—		(48,335	)

	$	20,705,556	$	681,678,434		$	29,725,622	$	732,109,612


SCHEDULES OF INVESTMENTS			33

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End (continued)


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments^(b)
Assets:
Credit contracts	$	—	$	6,821		$	—	$	6,821
Foreign currency exchange contracts		—		28,813			—		28,813
Liabilities:
Credit contracts		—		(11,504	)		—		(11,504	)
Foreign currency exchange contracts		—		(162,469	)		—		(162,469	)

	$	—	$	(138,339	)	$	—	$	(138,339	)

The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

^(a)

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

^(b)

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

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

payable of $206,000,000 is categorized as Level 2 within the disclosure hierarchy.

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


	Common Stocks			Corporate Bonds		Floating Rate Loan Interests			Total
Assets:
Opening balance, as of December 31, 2019	$	763,992		$	2	$	30,343,623		$	31,107,617
Transfers into Level 3^(a)		—			—		12,055,652			12,055,652
Transfers out of Level 3^(b)		—			—		(16,224,278	)		(16,224,278	)
Accrued discounts/premiums		—			—		28,561			28,561
Net realized gain (loss)		2,513			—		(491,600	)		(489,087	)
Net change in unrealized appreciation (depreciation)^(c)(d)		(674,300	)		—		(1,736,131	)		(2,410,431	)
Purchases		10,784			—		17,509,745			17,520,529
Sales		(2,512	)		—		(11,860,429	)		(11,862,941	)

Closing balance, as of June 30, 2020	$	100,477		$	2	$	29,625,143		$	29,725,622

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020^(d)	$	(674,300	)	$	—	$	(1,678,393	)	$	(2,352,693	)

^(a)

As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2020, 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 December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

^(c)

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

^(d)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 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.


34		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Shares		Value

Common Stocks — 0.1%

Diversified Financial Services — 0.0%
Kcad Holdings I Ltd.^(a)(b)			309,827,230	$	3,098


Energy Equipment & Services — 0.0%
McDermott International, Inc.^(b)			10,754		774
Pioneer Energy Services Corp.^(a)(b)			887		34,445

					35,219

Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(b)			14,906		15


Media — 0.1%
Clear Channel Outdoor Holdings, Inc.^(b)			114,650		119,236


Metals & Mining — 0.0%
Preferred Proppants LLC^(a)(b)			12,198		48,792


Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.^(b)			1,860		14,248


Software — 0.0%
Avaya Holdings Corp.^(b)			66		816


Total Common Stocks — 0.1% (Cost — $4,418,597)					221,424


		Par (000)

Corporate Bonds — 7.3%

Aerospace & Defense — 0.3%
TransDigm, Inc., 8.00%, 12/15/25^(c)	USD		318		333,819
Wolverine Escrow LLC, 9.00%, 11/15/26^(c)			1,555		1,119,600

					1,453,419

Air Freight & Logistics — 0.2%
FedEx Corp., 3.80%, 05/15/25			669		743,668


Airlines — 1.0%
American Airlines, Inc., 11.75%, 07/15/25^(c)			2,362		2,237,263
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27^(c)			2,453		2,459,132

					4,696,395

Auto Components — 0.6%
Clarios Global LP, 6.75%, 05/15/25^(c)			496		515,840
Ford Motor Co., 8.50%, 04/21/23			2,029		2,145,667
Ford Motor Credit Co. LLC, 5.13%, 06/16/25			209		209,084

					2,870,591

Automobiles — 0.2%
General Motors Co., 6.13%, 10/01/25			661		742,756


Chemicals — 0.0%
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28^(c)			51		53,168


Construction Materials — 0.3%
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28^(c)			1,335		1,297,313
Core & Main LP, 6.13%, 08/15/25^(c)			227		226,240

					1,523,553

Consumer Finance — 0.3%
Equifax, Inc., 2.60%, 12/15/25			136		144,870
Husky III Holding Ltd., (13.00% Cash or 13.00% PIK), 13.00%, 02/15/25^(c)(d)			905		871,063
PayPal Holdings, Inc., 1.65%, 06/01/25			424		438,308

					1,454,241


Security		Par (000)		Value

Diversified Financial Services — 0.5%
Ally Financial, Inc., 3.05%, 06/05/23	USD		1,395	$	1,411,763
General Motors Financial Co., Inc., 2.75%, 06/20/25			925		913,628

					2,325,391

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


Energy Equipment & Services — 0.1%
Pioneer Energy Services Corp.^(c)(d):
11.00%, 05/15/25			364		291,034
(5.00% PIK), 5.00%, 11/15/25^(e)			248		134,031

					425,065

Equity Real Estate Investment Trusts (REITs) — 0.1%
Marriott International, Inc., Series EE, 5.75%, 05/01/25			376		408,470


Hotels, Restaurants & Leisure — 0.2%
Colt Merger Sub, Inc., 5.75%, 07/01/25^(c)(f)			433		435,468
IRB Holding Corp., 7.00%, 06/15/25^(c)			207		213,355

					648,823

Internet & Direct Marketing Retail — 0.5%
Booking Holdings, Inc., 4.10%, 04/13/25			1,290		1,447,869
Expedia Group, Inc., 6.25%, 05/01/25^(c)			767		817,064

					2,264,933

IT Services — 0.4%
Fiserv, Inc., 2.25%, 06/01/27			1,575		1,646,969


Machinery — 0.0%
Clark Equipment Co., 5.88%, 06/01/25^(c)			119		121,678


Media — 0.3%
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26^(c)			350		331,625
Univision Communications, Inc., 6.63%, 06/01/27^(c)			227		216,785
Zayo Group Holdings Inc, 6.13%, 03/01/28^(c)			281		273,272
Zayo Group Holdings, Inc., 4.00%, 03/01/27^(c)			750		713,670

					1,535,352

Metals & Mining — 0.1%
Freeport-McMoRan, Inc., 3.88%, 03/15/23			625		625,000


Oil: Crude Producers — 0.0%
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25^(c)			138		134,947


Real Estate Management & Development — 0.4%
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28^(c)			1,669		1,739,932
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25^(c)			123		123,025

					1,862,957

Semiconductors & Semiconductor Equipment — 1.2%
Broadcom, Inc.^(c):
4.70%, 04/15/25			1,771		1,995,517
3.15%, 11/15/25			660		702,453
Microchip Technology, Inc.^(c):
2.67%, 09/01/23			2,531		2,605,113
4.25%, 09/01/25			348		350,215
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25^(c)			75		78,621

					5,731,919


SCHEDULES OF INVESTMENTS			35

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Software — 0.3%
Castle US Holding Corp., 9.50%, 02/15/28^(c)	USD		647	$	598,475
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24^(c)			666		677,655
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25^(c)			76		77,900

					1,354,030

Specialty Retail — 0.0%
AutoNation, Inc., 4.75%, 06/01/30			141		152,783


Technology Hardware, Storage & Peripherals — 0.2%
Dell International LLC/EMC Corp., 5.85%, 07/15/25^(c)			719		826,275


Wireless Telecommunication Services — 0.1%
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31			408		405,042


Total Corporate Bonds — 7.3% (Cost — $33,387,032)					34,007,425


Floating Rate Loan Interests^(g) — 135.0%

Aerospace & Defense — 2.6%
Bleriot US Bidco, Inc.,:
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26			98		94,010
Term Loan B, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26			627		601,663
Dynasty Acquisition Co., Inc.,:
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			2,561		2,180,214
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			4,764		4,055,199
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.88%, 04/09/26^(a)			782		594,396
TransDigm, Inc.,:
2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.43%, 12/09/25			4,372		3,922,526
2020 Term Loan G, (1 mo. LIBOR + 2.25%), 2.43%, 08/22/24			754		680,131

					12,128,139

Air Freight & Logistics — 0.6%
WestJet Airlines Ltd., Term Loan B, 12/11/26^(h)			3,335		2,664,911


Airlines — 1.3%
American Airlines, Inc.,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 01/29/27			392		294,899
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 12/14/23			1,988		1,581,307
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.18%, 04/28/23			1,369		1,078,452
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24			778		760,495
Mileage Plus Holdings LLC, 2020 Term Loan B, 1.00%, 06/25/27			2,394		2,375,039

					6,090,192

Auto Components — 2.8%
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/12/25			2,346		2,236,712
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 04/30/26			6,517		6,191,120
USI, Inc.,:
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.31%, 05/16/24			3,829		3,625,724


Security		Par (000)		Value

Auto Components (continued)
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.31%, 12/02/26	USD		219	$	212,151
Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.07%, 02/05/26			934		885,146

					13,150,853

Banks — 0.7%
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 11/01/24			3,546		3,390,873


Building Materials — 0.5%
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 07/12/26			2,388		2,316,242


Building Products — 1.3%
CPG International, Inc., 2017 Term Loan, 05/05/24^(h)			1,405		1,388,506
LSF10 XL Bidco SCA, EUR Term Loan B3, (EURIBOR + 4.00%), 4.00%, 10/12/26	EUR		1,000		1,046,573
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23	USD		3,604		3,468,108

					5,903,187

Capital Markets — 1.9%
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 04/09/27^(h)			3,919		3,801,890
Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 12/27/22			918		883,946
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 04/12/24^(a)			1,259		1,183,735
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26			1,159		1,092,542
Travelport Finance (Luxembourg) Sarl,:
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 9.31%, 05/28/27			1,145		325,180
2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.07%, 05/29/26			2,345		1,533,521

					8,820,814

Chemicals — 5.1%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24			3,031		2,912,239
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26			2,579		2,524,885
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 2.06%, 06/01/24			1,870		1,787,477
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 05/16/24			2,849		2,720,313
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 05/16/24			616		588,124
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 04/03/25			652		614,138
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24			1,169		1,079,559
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24^(a)			1,252		1,195,562
Illuminate Buyer LLC, Term Loan, 06/30/27^(h)			2,259		2,221,964
Invictus US LLC,:
1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.78%, 03/28/25			777		716,266
2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.53%, 03/30/26			430		340,418


36		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Chemicals (continued)
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.81%, 03/02/26	USD		2,876	$	2,735,746
Minerals Technologies Inc., 2017 Term Loan B, 02/14/24^(a)(h)			517		501,821
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 05/15/24			1,054		984,499
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 3.69%, 10/14/24			2,603		2,388,413
Starfruit Finco BV, 2018 USD Term Loan B, 10/01/25^(h)			207		194,148

					23,505,572

Commercial Services & Supplies — 5.1%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.00%, 11/10/23			3,046		3,006,411
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.93%, 03/11/25			155		145,831
Asurion LLC,:
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.68%, 08/04/25			1,600		1,588,000
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/23			3,166		3,057,387
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/24			1,156		1,113,763
Creative Artists Agency LLC,:
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 11/26/26			851		802,694
2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26			2,000		1,887,269
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 09/06/24			1,859		1,703,906
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25			572		525,579
GFL Environmental, Inc., 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25			469		455,310
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23			455		329,594
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.50%, 09/19/26			1,000		946,423
Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26			2,179		2,090,871
Verisure Holding AB, EUR Term Loan B1E, (EURIBOR + 3.00%), 3.00%, 10/20/22	EUR		1,000		1,091,199
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/27/25	USD		2,698		2,601,154
West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24			2,506		2,128,878

					23,474,269

Communications Equipment — 0.3%
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24			1,416		1,377,230


Construction & Engineering — 1.1%
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.45%, 06/21/24			2,836		2,587,564
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.94%, 04/12/25			447		424,108
SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.32%, 05/23/25			2,248		2,119,427

					5,131,099


Security		Par (000)		Value

Construction Materials — 2.4%
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/27	USD		1,455	$	1,384,913
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24			5,098		4,844,637
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/29/25^(a)			2,844		2,701,503
Forterra Finance LLC, 2017 Term Loan B, 10/25/23^(h)			2,424		2,351,711

					11,282,764

Containers & Packaging — 2.4%
Berry Global, Inc.,:
2019 Term Loan Y, (1 mo. LIBOR + 2.00%), 2.18%, 07/01/26			1,553		1,481,132
Term Loan W, (1 mo. LIBOR + 2.00%), 2.18%, 10/01/22			4,782		4,649,646
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.56%, 04/03/24			2,430		2,175,570
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.43%, 12/29/23			2,159		2,058,420
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 08/01/26			631		607,384

					10,972,152

Distributors — 0.5%
TriMark USA LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%), 4.58%, 08/28/24			3,119		2,330,255


Diversified Consumer Services — 3.3%
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 02/01/27			554		542,687
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24			1,572		1,492,787
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27			3,030		2,822,878
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 0.75%), 2.50%, 11/07/23			1,876		1,815,626
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 07/11/25			2,610		2,330,371
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/24			1,142		1,098,138
Serta Simmons Bedding, LLC,:
2020 Super Priority First Out Term Loan, 08/10/23^(h)			476		466,115
2020 Super Priority Second Out Term Loan, (2 mo. LIBOR + 7.50%), 8.50%, 08/10/23			745		620,942
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 03/19/26			1,869		1,808,532
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 07/13/23			2,139		2,031,681

					15,029,757

Diversified Financial Services — 3.2%
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 5.18%, 08/01/26			1,836		1,694,711
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 04/04/24			4,473		4,314,297
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.43%, 11/18/24			806		774,435
EG Finco Ltd., 2018 Term Loan, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25			1,211		1,134,546


SCHEDULES OF INVESTMENTS			37

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Diversified Financial Services (continued)
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24	USD		1,716	$	1,461,062
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 3.27%, 01/23/25^(a)			1,564		1,375,903
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.56%, 07/30/25^(a)			516		476,893
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/28/27			2,124		2,044,039
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.68%, 04/30/28			1,617		1,522,341

					14,798,227

Diversified Telecommunication Services — 2.2%
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24			1,437		1,373,125
Iridium Satellite LLC, Term Loan, 11/04/26^(h)			1,766		1,729,069
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 03/01/27			1,931		1,822,584
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24			2,322		2,219,896
Northwest Fiber LLC, Term Loan B, (3 mo. LIBOR + 5.50%), 5.67%, 04/30/27^(a)			965		955,350
TDC A/S, EUR Term Loan, (EURIBOR + 3.00%), 3.00%, 06/04/25	EUR		819		890,540
Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR – GBP + 3.25%), 3.34%, 01/15/27	GBP		1,000		1,191,866

					10,182,430

Electric Utilities — 0.6%
Pacific Gas & Electric Co., 2020 Exit Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25	USD		2,980		2,924,125
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/20^(a)			1,710		—

					2,924,125

Energy Equipment & Services — 1.1%
Gates Global LLC, 2017 Repriced Term Loan B, 04/01/24^(h)			3,852		3,701,374
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25			1,544		1,500,463

					5,201,837

Equity Real Estate Investment Trusts (REITs) — 1.6%
Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 08/09/26^(a)			731		675,998
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 08/21/25			2,181		2,049,205
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 05/11/24			737		690,698
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 12/20/24			4,359		4,053,799

					7,469,700

Food & Staples Retailing — 1.1%
Hearthside Food Solutions LLC,:
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 05/23/25			954		909,289
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.87%, 05/23/25			844		801,210
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25			167		162,408


Security		Par (000)		Value

Food & Staples Retailing (continued)
US Foods, Inc.,:
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 06/27/23	USD		2,639	$	2,474,803
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.07%, 09/13/26			650		604,023

					4,951,733

Food Products — 3.9%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 10/01/25			1,099		1,063,802
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.68%, 10/10/26			165		162,416
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23			3,769		3,615,639
Froneri International Ltd.,:
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.93%, 01/29/28			224		212,240
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 01/29/27			5,215		4,892,348
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.01%, 08/03/25			1,391		1,339,832
JBS USA LUX SA, 2019 Term Loan B, (2 mo. LIBOR + 2.00%), 3.07%, 05/01/26			519		494,362
Pathway Vet Alliance LLC,^(h):
2020 Delayed Draw Term Loan, 03/31/27			44		42,749
2020 Term Loan, 03/31/27			542		525,994
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/23			5,934		5,654,906

					18,004,288

Health Care Equipment & Supplies — 1.7%
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 06/15/21			2,897		2,781,516
Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 3.50%, 09/24/24			795		592,260
Ortho-Clinical Diagnostics SA,:
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 06/30/25			3,569		3,330,427
EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25	EUR		998		1,047,846

					7,752,049

Health Care Providers & Services — 3.1%
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25	USD		800		768,299
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 06/07/23			1,905		1,831,923
Da Vinci Purchaser Corp., 2019 Term Loan, (6 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 01/08/27			968		940,170
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/06/25			701		623,321
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 10/10/25			2,185		1,425,770
EyeCare Partners LLC, :
2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 8.56%, 02/18/28			1,260		1,071,000
2020 Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 02/18/27			1,386		1,243,890
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25			2,333		2,254,694
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/06/26			2,293		2,224,671


38		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)			Value

Health Care Providers & Services (continued)
HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 1.93%, 03/18/26	USD		—	⁽ⁱ⁾	$	434
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23			365			346,261
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22			1,337			1,096,610
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/06/24			855			651,047

						14,478,090

Health Care Services — 0.8%
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.26%, 07/25/26^(a)			2,096			2,027,472
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.13%, 08/13/26			1,753			1,724,027

						3,751,499

Health Care Technology — 1.1%
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24			3,614			3,464,167
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 10/10/25			1,054			1,003,476
Quintiles IMS, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 2.50%, 03/07/24			499			483,005

						4,950,648

Hotels, Restaurants & Leisure — 6.7%
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 11/19/26			3,094			2,927,178
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 02/02/26			433			374,584
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24			1,010			999,900
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 2.86%, 10/19/24			1,396			1,323,105
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.36%, 09/15/23			1,151			1,079,870
Caesars Resort Collection LLC,:
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 12/23/24			3,443			3,052,138
2020 Term Loan, 06/17/25^(h)			3,705			3,475,772
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 08/06/21			1,308			1,266,721
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 11/30/23			1,355			1,280,903
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.31%, 12/01/23			147			118,519
Golden Nugget LLC, 2017 Incremental Term Loan B, 10/04/23^(h)			1,846			1,458,556
Golden Nugget, Inc., 2020 Initial Term Loan, 10/04/23^(a)(h)			177			176,954
IRB Holding Corp, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25			2,565			2,362,602
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 04/03/25			1,401			1,339,706
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24			603			505,848


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.07%, 12/10/24	USD		1,467	$	1,463,442
Scientific Games International, Inc., 2018 Term Loan B5, (6 mo. LIBOR + 2.75%), 3.48%, 08/14/24			1,059		934,348
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.81%, 07/10/25			1,074		1,066,451
Station Casinos LLC, 2020 Term Loan B, 02/08/27^(h)			2,094		1,900,414
Tackle Sarl, 2017 EUR Term Loan, (EURIBOR + 3.50%), 3.50%, 08/08/22	EUR		975		1,056,176
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 08/02/26	USD		2,405		2,298,335
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 05/30/25			553		521,219

					30,982,741

Household Durables — 0.4%
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 02/04/27			1,748		1,681,141


Independent Power and Renewable Electricity Producers — 1.0%
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/25			514		494,507
Calpine Corp.,:
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.18%, 08/12/26			721		691,886
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.43%, 04/06/26			3,656		3,519,916

					4,706,309

Industrial Conglomerates — 2.4%
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/28/21			1,340		1,219,706
Vertical US Newco Inc, USD Term Loan B, 1.00%, 07/01/27^(a)(h)			1,939		1,909,915
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 03/02/27			8,642		8,145,405

					11,275,026

Insurance — 4.2%
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 05/09/25			3,265		3,087,760
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 05/09/25			1,040		988,914
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24			2,816		2,730,282
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27			687		673,532
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 02/13/27			1,440		1,374,374
Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/02/24			939		897,493
Hub International Ltd.,:
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.02%, 04/25/25			3,141		2,980,999
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25			882		865,593


SCHEDULES OF INVESTMENTS			39

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Insurance (continued)
Sedgwick Claims Management Services, Inc., :
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 09/03/26	USD		1,810	$	1,732,802
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26			1,329		1,286,911
Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/31/25			3,151		2,967,598

					19,586,258

Interactive Media & Services — 1.2%
Ancestry.com Operations Inc., 2019 Extended Term Loan B, (1 mo. LIBOR + 4.25%), 5.25%, 08/27/26			796		753,189
Ancestry.com Operations, Inc., Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/23^(a)			3,257		3,110,202
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23			381		362,289
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24			1,221		1,158,907

					5,384,587

IT Services — 5.3%
Camelot US Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 10/31/26			3,853		3,725,708
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 06/01/22			2,797		2,734,584
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 11/27/24			874		843,273
Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 7.59%, 08/01/25			975		416,403
Greeneden US Holdings II LLC, 2018 Term Loan B, 12/01/23^(h)			4,038		3,878,447
GreenSky Holdings, LLC, 2020 Term Loan B2, (3 mo. LIBOR + 4.50%), 5.50%, 03/29/25^(a)			1,575		1,527,750
Presidio, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.27%, 01/22/27			842		809,726
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27			3,244		2,810,264
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 11/16/26			3,325		3,174,687
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/26			4,795		4,582,662

					24,503,504

Leisure Products — 0.2%
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24			1,005		748,886


Life Sciences Tools & Services — 1.9%
Albany Molecular Research, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/30/25			395		375,447
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 4.68%, 02/04/27			2,155		2,107,051
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26			6,535		6,369,897

					8,852,395


Security		Par (000)		Value

Machinery — 1.7%
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24^(a)	USD		133	$	127,668
Ingersoll-Rand Global Holding Co. Ltd., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 02/28/27			2,281		2,165,804
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%), 3.50%, 01/31/24^(a)			321		314,519
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.36%, 03/28/25			5,597		5,104,872

					7,712,863

Media — 16.5%
Altice Financing SA,:
2017 Term Loan B, 07/15/25^(h)			1,113		1,050,250
USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 01/31/26			1,596		1,502,856
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.18%, 08/14/26			3,555		3,410,841
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.93%, 04/30/25			4,373		4,206,960
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.26%, 08/21/26			6,593		5,960,214
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%), 5.50%, 12/12/26			11,057		10,373,145
CSC Holdings LLC,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 07/17/25			2,181		2,057,912
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.68%, 04/15/27			2,144		2,029,758
Diamond Sports Group LLC, Term Loan, (3 mo. LIBOR + 3.25%), 3.43%, 08/24/26			517		419,456
Gray Television, Inc.,:
2017 Term Loan B, (1 mo. LIBOR + 2.25%), 2.42%, 02/07/24			607		586,450
2018 Term Loan C, (1 mo. LIBOR + 2.50%), 2.67%, 01/02/26			821		792,457
Intelsat Jackson Holdings SA,:
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23			395		392,286
2020 DIP Term Loan, 07/13/21^(h)			69		70,398
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 3.43%, 12/01/23			4,328		3,222,391
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.19%, 10/15/26			1,291		1,278,090
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.43%, 03/24/25			1,363		1,285,699
Live Nation Entertainment, Inc., Term Loan B4, 10/19/26^(h)			2,264		2,074,252
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 1.86%, 02/15/24			714		693,023
MH Sub I LLC,:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.57%, 09/13/24			3,571		3,430,102
2020 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.06%, 09/15/24			815		784,438
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 08/15/26^(a)			735		701,524
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 2.92%, 09/19/26			1,497		1,420,489
PSAV Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 03/03/25			3,818		2,729,526


40		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 02/01/24	USD		2,281	$	2,172,858
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.43%, 01/03/24			189		179,950
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/17/26			3,159		3,006,118
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23^(a)			3,761		3,619,794
UFC Holdings LLC, 2019 Term Loan, 04/29/26^(h)			736		701,735
Virgin Media Bristol LLC, USD Term Loan N, 01/31/28^(h)			2,375		2,262,986
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/18/25			3,006		2,441,064
Zayo Group Holdings, Inc., USD Term Loan, 03/09/27^(h)			12,280		11,627,734

					76,484,756

Metals & Mining — 1.0%
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.86%, 07/31/25			1,782		1,630,114
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 03/08/24			3,917		3,004,244

					4,634,358

Multiline Retail — 0.3%
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24			958		869,306
Neiman Marcus Group Ltd LLC,:
2020 DIP Term Loan, (3 mo. LIBOR + 12.75%), 10.79%, 10/07/20			193		196,542
2020 Exit Term Loan, 05/08/25^(a)(h)			281		283,697
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (PRIME + 5.00%), 8.25%, 10/25/23			959		242,712

					1,592,257

Oil & Gas Equipment & Services — 0.3%
McDermott Technology Americas, Inc.,:
2018 1st Lien Term Loan, (PRIME + 4.00%), 7.25%, 05/12/25			1,717		589,307
2020 SP DIP Roll Up Term Loan, 10/21/20^(h)			746		739,020

					1,328,327

Oil, Gas & Consumable Fuels — 0.5%
California Resources Corp., Second Out Term Loan, (3 mo. LIBOR + 10.37%, 1.00% Floor), 11.38%, 12/31/21			1,737		78,143
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 12/13/25			1,512		1,441,945
EG Group Ltd., 2018 Term Loan B, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25			787		737,054

					2,257,142

Personal Products — 1.0%
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 09/25/26^(h)			4,859		4,642,777


Pharmaceuticals — 3.6%
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25			1,980		1,804,580
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26			2,060		2,032,954


Security		Par (000)		Value

Pharmaceuticals (continued)
Elanco Animal Health Incorporated, Term Loan B, 02/04/27^(h)	USD		1,216	$	1,157,609
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.11%, 11/15/27			2,203		2,116,930
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22			3,396		3,350,556
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.19%, 06/02/25			6,460		6,268,805

					16,731,434

Professional Services — 1.7%
Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 02/07/26			1,139		1,036,201
Dun & Bradstreet Corp., Term Loan, 02/06/26^(h)			4,810		4,677,264
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.81%, 08/04/25			1,257		909,258
STG-Fairway Holdings LLC, Term Loan B, 01/31/27^(h)			1,566		1,455,722

					8,078,445

Real Estate Management & Development — 0.5%
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 04/18/24			2,551		2,314,758


Road & Rail — 1.3%
Lineage Logistics Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 02/27/25			4,101		3,963,916
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 09/25/25			730		707,623
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/13/23			1,343		1,172,052

					5,843,591

Semiconductors & Semiconductor Equipment — 0.3%
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 05/29/25			848		816,310
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 09/19/26			637		609,511

					1,425,821

Software — 22.3%
Applied Systems, Inc.,:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/19/24			3,815		3,701,423
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25			726		722,352
BMC Software Finance, Inc., 2017 Term Loan, 10/02/25^(h)			2,349		2,216,853
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.06%, 01/31/27			2,992		2,722,496
Cornerstone OnDemand, Inc., Term Loan B, (2 mo. LIBOR + 4.25%), 5.35%, 04/22/27			1,206		1,185,655
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24			1,896		1,828,510
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 4.25%, 05/27/24			1,163		972,808
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23			1,631		1,299,744
Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 04/17/26			4,294		4,149,815


SCHEDULES OF INVESTMENTS			41

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Software (continued)
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 10/01/25	USD		5,967	$	5,822,182
Informatica LLC,:
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25			1,294		1,292,383
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/25/27			8,257		7,884,968
Kronos, Inc.,:
2017 Term Loan B, 11/01/23^(h)			7,263		7,247,089
2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 11/01/24			2,339		2,338,026
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 09/30/24			3,506		3,405,646
Mitchell International, Inc.,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 11/29/24			2,197		2,044,202
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 12/01/25			850		752,250
Renaissance Holding Corp., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 4.01%, 05/30/25			691		663,492
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 10/12/23			3,876		3,755,174
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 08/01/25			3,706		3,548,895
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/24			3,352		3,243,983
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 03/03/23			2,935		2,827,400
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/30/22			5,115		4,986,887
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			917		876,091
SS&C Technologies, Inc.,:
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			1,305		1,246,638
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			1,622		1,543,844
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/01/24			5,286		5,008,491
Tibco Software Inc.,:
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 03/04/28			3,410		3,267,379
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 06/30/26^(a)			4,773		4,498,261
Ultimate Software Group, Inc.,:
2020 2nd Lien Incremental Term Loan, 1.00%, 05/03/27			1,992		2,021,880
2020 Incremental Term Loan B, 05/04/26^(h)			6,129		6,045,707
Term Loan B, 05/03/26^(h)			5,842		5,650,326
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 07/02/25			4,568		4,297,134

					103,067,984

Specialty Retail — 2.8%
Belron Finance US LLC,:
2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.26%, 10/30/26			889		855,215
Term Loan B, (3 mo. LIBOR + 2.50%), 2.93%, 11/13/25			446		430,030
USD Term Loan B, (3 mo. LIBOR + 2.50%), 2.97%, 11/07/24			2,914		2,808,025
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR – GBP + 4.50%), 5.18%, 06/23/25	GBP		1,000		1,193,874


Security		Par (000)		Value

Specialty Retail (continued)
IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26	USD		824	$	785,506
MED ParentCo LP,:
1st Lien Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			245		220,982
1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			1,396		1,259,477
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/18/21			1,231		1,106,128
PetSmart, Inc., Term Loan B2, 03/11/22^(h)			3,252		3,204,266
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24			1,233		1,130,080

					12,993,583

Technology Hardware, Storage & Peripherals — 0.7%
Electronics for Imaging, Inc., Term Loan, 07/23/26^(a)(h)			1,397		1,089,918
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 1.92%, 04/29/23			1,964		1,907,347

					2,997,265

Thrifts & Mortgage Finance — 0.6%
IG Investment Holdings LLC, 2018 1st Lien Term Loan, 05/23/25^(h)			3,029		2,804,676


Trading Companies & Distributors — 0.8%
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 10/17/23			3,800		3,667,133


Utilities — 0.4%
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/28/24			2,132		2,062,841


Wireless Telecommunication Services — 3.1%
Ligado Networks LLC, PIK Exit Term Loan (12.20% Cash or 9.75% PIK), 0.00%, 12/07/20			172		151,983
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 04/11/25			4,282		4,112,836
T-Mobile USA, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 04/01/27			6,638		6,623,662
Xplornet Communications, Inc., 2020 Term Loan B, 05/29/27^(h)			3,823		3,641,407

					14,529,888


Total Floating Rate Loan Interests — 135.0% (Cost — $662,944,598)					624,923,681


		Shares

Investment Companies — 5.3%

Fixed Income Funds — 5.3%
Invesco Senior Loan ETF			53,000		1,131,550
iShares iBoxx USD High Yield Corporate Bond ETF^(l)			206,000		16,813,720
iShares iBoxx $ Investment Grade Corporate Bond ETF^(l)			49,000		6,590,500


Total Investment Companies — 5.3% (Cost — $24,235,027)					24,535,770


42		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

(Percentages shown are based on Net Assets)


Security		Investment Value (000)		Value

Other Interests^(a)(b)(j) — 0.0%

IT Services — 0.0%
Millennium Corp.	USD		1,607	$	—
Millennium Lender Claims			1,508		—


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


Total Long-Term Investments — 147.7% (Cost — $724,985,254)					683,688,300


		Shares

Short-Term Securities — 0.4%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%^(k)(l)			1,722,056		1,722,056


Total Short-Term Securities — 0.4% (Cost — $1,722,056)					1,722,056


Total Investments — 148.1% (Cost — $726,707,310)					685,410,356

Liabilities in Excess of Other Assets — (48.1)%					(222,561,082	)


Net Assets — 100.0%				$	462,849,274

^(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)	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.

^(e)	Convertible security.

^(f)	When-issued security.

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

^(h)	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.

⁽ⁱ⁾	Amount is less than 500.

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

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

^(l)	Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliated Issuer	Shares Held at 12/31/19		Shares Purchased			Shares Sold			Shares Held at 06/30/20		Value at 06/30/20		Income		Net Realized Gain (Loss)^(a)			Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		1,722,056	^(b)		—			1,722,056	$	1,722,056	$	6,382	$	—		$	—
iShares iBoxx $ Investment Grade Corporate Bond ETF		—		49,000			—			49,000		6,590,500		22,487		—			251,493
iShares iBoxx USD High Yield Corporate Bond ETF		—		236,500			(30,500	)		206,000		16,813,720		118,448		(161,570	)		63,898

											$	25,126,276	$	147,317	$	(161,570	)	$	315,391

^(a)

Includes net capital gain distributions, if applicable.

^(b)

Represents net shares purchased (sold).

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	3,683,000	USD	4,135,676	State Street Bank and Trust Co.		07/06/20	$	2,510
GBP	1,556,000	USD	1,913,988	BNP Paribas S.A.		07/06/20		14,097

								16,607

USD	4,125,123	EUR	3,706,000	UBS AG		07/06/20		(38,905	)
USD	1,920,261	GBP	1,559,000	Standard Chartered Bank		07/06/20		(11,542	)
USD	4,138,372	EUR	3,683,000	State Street Bank and Trust Co.		08/05/20		(2,531	)
USD	1,914,335	GBP	1,556,000	BNP Paribas S.A.		08/05/20		(14,129	)

							$	(67,107	)


SCHEDULES OF INVESTMENTS		43

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

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)
CDX.NA.HY.34.V6		5.00	%		Quarterly		06/20/25		B		USD	12,873	$	(72,704	)	$	(500	)	$	(72,204	)

^(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

Swap
Premiums

Paid

Swap
Premiums

Received

Unrealized
Appreciation

Unrealized
Depreciation

Centrally Cleared Swaps^(a)

33,250

(33,750

)

—

(72,204

)

^(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
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	16,607	$	—	$	—	$	16,607

Liabilities — Derivative Financial Instruments
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts	$	—	$	—	$	—	$	67,107	$	—	$	—	$	67,107
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		72,204		—		—		—		—		72,204

	$	—	$	72,204	$	—	$	67,107	$	—	$	—	$	139,311

^(a)

Net cumulative appreciation (depreciation) on future 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).

For the six months ended June 30, 2020, 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	$	—	$	—		$	—		$	147,719	$	—	$	—	$	147,719
Options purchased^(a)		—		—			(105,539	)		—		—		—		(105,539	)
Swaps		—		(124,196	)		—			—		—		—		(124,196	)

	$	—	$	(124,196	)	$	(105,539	)	$	147,719	$	—	$	—	$	(82,016	)

^(a)

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


44		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

Derivative Financial Instruments Categorized by Risk Exposure (continued)


	Commodity Contracts		Credit Contracts			Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Net Change in Unrealized Appreciation (Depreciation) on:
Forward foreign currency exchange contracts	$	—	$	—		$	—		$	96,287	$	—	$	—	$	96,287
Options purchased^(b)		—		—			(65,439	)		—		—		—		(65,439	)
Swaps		—		(72,204	)		—			—		—		—		(72,204	)

	$	—	$	(72,204	)	$	(65,439	)	$	96,287	$	—	$	—	$	(41,356	)

^(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	$	12,751,033
Average amounts sold — in USD	$	6,612,056
Options:
Average value of option contracts purchased	$	—	^(a)
Credit default swaps:
Average notional value — sell protection	$	6,436,250

^(a)

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

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

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:


	Assets			Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	16,607		$	67,107
Swaps — Centrally cleared		116,971			—

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	133,578		$	67,107
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(116,971	)		—

Total derivative assets and liabilities subject to an MNA	$	16,607		$	67,107

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
BNP Paribas S.A.	$	14,097	$	(14,097	)	$	—	$	—	$	—
State Street Bank and Trust Co.		2,510		(2,510	)		—		—		—

	$	16,607	$	(16,607	)	$	—	$	—	$	—


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^(b)(c)
BNP Paribas S.A.	$	14,129	$	(14,097	)	$	—	$	—	$	32
Standard Chartered Bank		11,542		—			—		—		11,542
State Street Bank and Trust Co.		2,531		(2,510	)		—		—		21
UBS AG		38,905		—			—		—		38,905

	$	67,107	$	(16,607	)	$	—	$	—	$	50,500

^(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 payable due to counterparty in the event of default

^(c)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.


SCHEDULES OF INVESTMENTS			45

Schedule of Investments (unaudited) (continued)

June 30, 2020

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

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:
Common Stocks	$	135,074	$	15		$	86,335	$	221,424
Corporate Bonds		—		34,007,425			—		34,007,425
Floating Rate Loan Interests		—		595,874,846			29,048,835		624,923,681
Investment Companies		24,535,770		—			—		24,535,770
Short-Term Securities		1,722,056		—			—		1,722,056
Unfunded floating rate loan interests^(a)		—		2,001			—		2,001
Liabilities:
Unfunded floating rate loan interests^(a)		—		(42,005	)		—		(42,005	)

	$	26,392,900	$	629,842,282		$	29,135,170	$	685,370,352

Derivative Financial Instruments^(b)
Assets:
Foreign currency exchange contracts	$	—	$	16,607		$	—	$	16,607
Liabilities:
Credit contracts		—		(72,204	)		—		(72,204	)
Foreign currency exchange contracts		—		(67,107	)		—		(67,107	)

	$	—	$	(122,704	)	$	—	$	(122,704	)

The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

^(a)

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

^(b)

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $191,000,000 is categorized as Level 2 within the disclosure hierarchy.

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


	Common Stocks			Floating Rate Loan Interests			Total
Assets:
Opening Balance, as of December 31, 2019	$	556,399		$	29,886,699		$	30,443,098
Transfers into Level 3^(a)		—			10,494,015			10,494,015
Transfers out of Level 3^(b)		—			(15,885,220	)		(15,885,220	)
Accrued discounts/premiums		—			25,019			25,019
Net realized gain (loss)		(17,042	)		(275,682	)		(292,724	)
Net change in unrealized appreciation (depreciation)^(c)(d)		(216,131	)		(1,641,137	)		(1,857,268	)
Purchases		11,824			17,071,614			17,083,438
Sales		(248,715	)		(10,626,473	)		(10,875,188	)

Closing Balance, as of June 30, 2020	$	86,335		$	29,048,835		$	29,135,170

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020^(d)	$	(163,617	)	$	(1,579,489	)	$	(1,743,106	)

^(a)

^(b)

As December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

^(c)

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

^(d)

See notes to financial statements.


46		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Shares		Value

Common Stocks — 0.0%

Diversified Financial Services — 0.0%
Arrow Global Group PLC			2,735	$	3,013
Kcad Holdings I Ltd.^(a)(b)			546,753,936		5,467

					8,480

Energy Equipment & Services — 0.0%
McDermott International, Inc.^(b)			4,151		299
Pioneer Energy Services Corp.^(a)(b)			273		10,601

					10,900

Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(b)			8,511		9


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


Media — 0.0%
Clear Channel Outdoor Holdings, Inc.^(b)			38,911		40,467


Metals & Mining — 0.0%
Ameriforge Group, Inc.			801		20,025
Preferred Proppants LLC^(a)(b)			5,738		22,952

					42,977

Software — 0.0%
Avaya Holdings Corp.^(b)			19		235


Total Common Stocks — 0.0% (Cost — $6,442,271)					103,068


		Par (000)

Asset-Backed Securities — 5.1%
522 Funding Clo I Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 7.34%), 7.62%, 01/15/33^(c)(d)	USD		250		226,927
AIMCO CLO, Series 2017-AA, Class C, 3.59%, 07/20/29			1,000		976,064
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 4.11%, 10/21/28^(c)(d)			1,000		900,645
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.98%, 07/15/27^(c)(d)			270		253,283
Anchorage Capital CLO Ltd.^(c)(d):
Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 6.39%, 01/28/31			850		706,624
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 3.49%, 01/28/31			250		219,742
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 4.52%, 01/28/31			1,000		934,532
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 6.64%, 07/28/28			1,000		807,339
Ares LV CLO Ltd., Series 2020-55A, Class D, (3 mo. LIBOR US + 4.83%), 5.20%, 04/15/31^(c)(d)			1,000		999,971
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.15%), 0.33%, 06/25/36^(d)			5,421		3,824,280
Bain Capital Credit CLO Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 4.81%), 5.17%, 07/19/31^(a)(c)(d)			300		294,000
Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class CR, 3.54%, 07/18/27^(c)(e)			250		224,759


Security		Par (000)		Value

Asset-Backed Securities (continued)
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class C, (3 mo. LIBOR US + 2.60%), 2.75%, 07/15/31^(a)(c)(d)	USD		250	$	250,000
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 8.84%, 10/20/32^(c)(d)			250		239,345
CarVal CLO II Ltd., Series 2019-1A, Class C, 4.39%, 04/20/32^(c)(e)			250		247,245
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 7.58%, 07/20/32^(c)(d)			500		437,508
CarVal CLO Ltd., Series 2018-1A, Class E, 6.04%, 07/16/31^(c)(e)			500		394,461
Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 4.69%, 07/23/30^(c)(d)			500		461,300
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36^(f)			459		380,624
Clear Creek CLO, Series 2015-1A, Class DR, 4.09%, 10/20/30^(c)(e)			250		218,680
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A, (1 mo. LIBOR US + 0.14%), 0.32%, 06/25/37^(d)			796		702,448
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30^(c)			369		367,373
Dryden 36 Senior Loan Fund, Series 2014-36A, Class DR2, (3 mo. LIBOR US + 3.70%), 3.98%, 04/15/29^(c)(d)			250		232,653
Dryden CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 3.79%, 04/18/31^(c)(d)			250		225,060
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.28%, 10/15/32^(c)(d)			950		919,679
Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 1.00%, 07/24/31^(c)(d)^(g)			500		500,000
Litigation Fee Residual Funding, 4.00%, 10/30/27^(a)			671		669,719
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 7.54%, 01/20/29^(c)(d)			500		422,688
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 3.19%, 01/27/26^(c)(d)			1,500		1,446,319
Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 4.84%, 04/20/26^(c)(d)			300		283,908
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 5.28%, 01/15/28^(c)(d)			790		612,393
Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 6.34%, 10/20/27^(c)(d)			500		361,467
Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 7.44%, 07/20/30^(c)(d)			500		421,877
OZLM VIII Ltd., Series 2014-8A^(c)(d):
Class BRR, (3 mo. LIBOR US + 2.20%), 2.47%, 10/17/29			2,500		2,385,814
Class CRR, (3 mo. LIBOR US + 3.15%), 3.42%, 10/17/29			250		226,155


SCHEDULES OF INVESTMENTS		47

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Asset-Backed Securities (continued)
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 6.68%, 01/20/31^(c)(d)	USD		250	$	175,038
Palmer Square CLO Ltd., Series 2020-1A, Class C, (3 mo. LIBOR US + 3.00%), 3.29%, 04/20/29^(c)(d)			250		230,174
Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.22%), 6.64%, 11/14/29^(c)(d)			1,750		1,510,724
Rockford Tower CLO Ltd.^(c)(d):
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.93%, 04/15/29			250		222,929
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.13%, 10/15/29			500		450,817
Sterling Coofs Trust^(a)(c):
Series 2004-1, Class A, 2.36%, 04/15/29			1,486		26,010
Series 2004-2, Class Note, 2.08%, 03/30/30			2,168		37,938
Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 5.04%, 01/23/28^(c)(d)			1,000		910,016
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.33%, 04/15/33^(c)(d)			250		201,668
Voya CLO Ltd., Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 3.64%, 07/25/26^(c)(d)			250		217,497
Wellfleet CLO Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%), 3.08%, 01/17/31^(c)(d)			500		466,020
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 4.39%, 07/20/28^(c)(d)			500		463,607
York CLO Ltd.^(c)(d):
Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 4.74%, 10/20/29			250		233,767
Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 7.89%, 04/20/32			1,000		787,794


Total Asset-Backed Securities — 5.1% (Cost — $30,865,885)					28,708,881


Corporate Bonds — 79.0%

Aerospace & Defense — 2.1%
Amsted Industries, Inc., 5.63%, 07/01/27^(c)			156		160,875
Bombardier, Inc.^(c):
8.75%, 12/01/21^(h)			1,003		814,937
5.75%, 03/15/22			108		79,709
6.00%, 10/15/22			8		5,600
6.13%, 01/15/23^(h)			338		232,476
7.50%, 12/01/24			135		88,425
7.50%, 03/15/25			33		21,536
7.88%, 04/15/27^(h)			972		636,660
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24^(c)⁽ⁱ⁾			208		147,680
Howmet Aerospace, Inc.:
5.87%, 02/23/22^(h)			730		766,500
5.13%, 10/01/24			138		142,949
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25^(c)			378		392,175
moog, Inc., 4.25%, 12/15/27^(c)			156		151,320
Signature Aviation US Holdings, Inc.^(c):
5.38%, 05/01/26			271		271,190
4.00%, 03/01/28			234		211,478


Security		Par (000)		Value

Aerospace & Defense (continued)
TransDigm, Inc.^(c)^(h):
8.00%, 12/15/25	USD		815	$	856,557
6.25%, 03/15/26			6,032		6,017,041
Wolverine Escrow LLC^(c):
8.50%, 11/15/24			256		194,560
9.00%, 11/15/26			913		657,360

					11,849,028

Air Freight & Logistics — 0.1%
FedEx Corp., 3.80%, 05/15/25			324		360,162
XPO Logistics, Inc., 6.75%, 08/15/24^(c)			18		18,857

					379,019

Airlines — 1.2%
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 01/15/23^(h)			1,823		1,476,290
American Airlines, Inc., 11.75%, 07/15/25^(c)			945		895,095
Avianca Holdings SA, 9.00%, 05/10/23^(b)(c)(j)			239		47,920
Gol Finance SA, 7.00%, 01/31/25^(c)			200		112,500
Latam Finance Ltd., 6.88%, 04/11/24^(b)(c)(j)			203		55,317
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27^(c)(g)			1,973		1,977,932
United Airlines Pass-Through Trust, Series 2015-1, Class A, 3.70%, 12/01/22^(h)			2,430		2,259,902

					6,824,956

Auto Components — 1.4%
Allison Transmission, Inc.^(c):
5.00%, 10/01/24			100		99,750
5.88%, 06/01/29^(h)			451		469,040
Aptiv PLC, 4.40%, 10/01/46			240		231,787
Clarios Global LP, 6.75%, 05/15/25^(c)			540		561,600
Clarios Global LP/Clarios US Finance Co.:
4.38%, 05/15/26	EUR		100		110,718
8.50%, 05/15/27^(c)(h)	USD		1,778		1,786,801
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28^(c)			258		238,972
FCE Bank PLC, 1.62%, 05/11/23	EUR		100		105,479
Ford motor Credit Co. LLC, 5.11%, 05/03/29^(h)	USD		526		511,183
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
6.25%, 02/01/22			299		299,747
6.75%, 02/01/24			314		316,355
4.75%, 09/15/24			93		87,439
6.38%, 12/15/25			120		118,800
6.25%, 05/15/26			366		366,256
5.25%, 05/15/27			489		471,885
Panther BF Aggregator 2 LP/Panther Finance Co., Inc., 6.25%, 05/15/26^(c)(h)			1,526		1,573,687
Tesla, Inc., 5.30%, 08/15/25^(c)			404		404,000

					7,753,499

Automobiles — 0.4%
Ford motor Co.:
8.50%, 04/21/23			982		1,038,465
4.35%, 12/08/26			11		10,261
5.29%, 12/08/46			48		39,470
General motors Co.:
6.13%, 10/01/25			380		427,000
6.80%, 10/01/27^(h)			534		622,249
5.00%, 10/01/28			61		64,887
Rolls-Royce PLC, 0.88%, 05/09/24	EUR		100		101,505
Winnebago Industries, Inc., 6.25%, 07/15/28^(c)(g)	USD		98		98,000

					2,401,837


48		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Banks — 2.7%
Al Ahli Bank of Kuwait KSCP(5 year USD Swap + 4.17%), 7.25%^(k)(l)	USD		200	$	197,188
Banca monte dei Paschi di Siena SpA, 2.63%, 04/28/25	EUR		100		109,921
Banco de Sabadell SA(5 year EUR Swap + 2.20%), 2.00%, 01/17/30^(k)			100		93,854
Banco Espirito Santo SA^(b)(e)(j):
4.75%, 01/15/21			100		17,976
4.00%, 01/21/21			100		17,976
Bancolombia SA(5 year CMT + 2.94%), 4.63%, 12/18/29^(k)	USD		200		187,966
Banistmo SA, 3.65%, 09/19/22			200		200,437
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25			200		192,688
Barclays PLC^(h):
4.38%, 09/11/24			580		619,129
3.65%, 03/16/25			3,600		3,902,796
5.20%, 05/12/26			200		222,480
BBVA Bancomer SA, 6.75%, 09/30/22^(c)			192		204,720
Chong Hing Bank Ltd.(5 year CMT + 3.86%), 5.70%^(k)(l)			250		232,332
CIT Group, Inc., 5.00%, 08/01/23			382		389,602
Commerzbank AG(5 year EUR Swap + 4.35%), 4.00%, 12/05/30^(k)	EUR		100		112,776
Emirates NBD Bank PJSC(6 year USD Swap + 3.66%), 6.13%^(k)(l)	USD		250		248,828
Grupo Aval Ltd., 4.38%, 02/04/30^(c)			200		189,500
HSBC Holdings PLC, 4.38%, 11/23/26^(h)			395		439,988
Intesa Sanpaolo SpA, 5.02%, 06/26/24^(c)(h)			2,442		2,502,225
Itau Unibanco Holding SA, 5.13%, 05/13/23^(c)			200		208,980
Santander Holdings USA, Inc., 4.50%, 07/17/25^(h)			1,750		1,892,408
Santander UK Group Holdings PLC, 2.88%, 08/05/21^(h)			950		970,759
Standard Chartered PLC(3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24^(c)(h)(k)			1,500		1,580,271
Unione di Banche Italiane SpA(5 year EUR Swap + 5.75%), 5.88%, 03/04/29^(k)	EUR		100		121,138

					14,855,938

Beverages — 0.2%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46^(h)	USD		800		978,948
Central American Bottling Corp., 5.75%, 01/31/27^(c)			176		176,605
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26			34		39,780

					1,195,333

Building Materials — 0.1%
CEMEX Finance LLC, 4.63%, 06/15/24	EUR		100		110,805
James Hardie International Finance DAC, 5.00%, 01/15/28^(c)	USD		200		204,000

					314,805

Building Products — 0.4%
Advanced Drainage Systems, Inc., 5.00%, 09/30/27^(c)			262		263,965
Griffon Corp., 5.75%, 03/01/28^(c)			87		85,913
Jeld-Wen, Inc.^(c):
6.25%, 05/15/25			146		151,475
4.63%, 12/15/25			35		33,600
4.88%, 12/15/27			3		2,880
Masonite International Corp.^(c):
5.75%, 09/15/26			86		88,580
5.38%, 02/01/28			120		122,700


Security		Par (000)		Value

Building Products (continued)
Standard Industries, Inc.:
6.00%, 10/15/25^(c)^(h)	USD		600	$	617,562
2.25%, 11/21/26	EUR		100		105,531
5.00%, 02/15/27^(c)	USD		174		176,175
4.75%, 01/15/28^(c)			46		46,633
4.38%, 07/15/30^(c)			479		477,802

					2,172,816

Capital Markets — 0.5%
CFLD Cayman Investment Ltd., 6.90%, 01/13/23			200		196,581
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%^(h)^(k)(l)			730		693,500
Intercorp Peru Ltd., 3.88%, 08/15/29^(c)			225		219,094
Intertrust Group BV, 3.38%, 11/15/25	EUR		100		111,617
LABL Escrow Issuer LLC, 6.75%, 07/15/26^(c)	USD		380		395,318
morgan Stanley, 4.00%, 07/23/25^(h)			965		1,094,162
Owl Rock Capital Corp., 5.25%, 04/15/24^(h)			88		91,975
Stevens Holding Co., Inc., 6.13%, 10/01/26^(c)			167		174,515

					2,976,762

Chemicals — 2.0%
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23^(c)⁽ⁱ⁾			656		654,360
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25^(c)^(h)			1,830		1,811,700
Axalta Coating Systems LLC, 4.88%, 08/15/24^(c)			608		615,600
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27^(c)			170		170,884
Blue Cube Spinco LLC:
9.75%, 10/15/23			596		613,880
10.00%, 10/15/25			380		396,150
Chemours Co.:
6.63%, 05/15/23			259		248,640
7.00%, 05/15/25			20		19,119
Cydsa SAB de CV, 6.25%, 10/04/27^(c)			252		246,645
Element Solutions, Inc., 5.88%, 12/01/25^(c)(h)			1,447		1,461,018
ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21			200		201,250
Equate Petrochemical BV, 4.25%, 11/03/26^(c)			211		224,187
GCP Applied Technologies, Inc., 5.50%, 04/15/26^(c)			165		164,588
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28^(c)			236		246,030
Minerals Technologies, Inc., 5.00%, 07/01/28^(c)			169		171,535
monitchem HoldCo 3 SA, 5.25%, 03/15/25	EUR		100		113,614
NOVA Chemicals Corp., 4.88%, 06/01/24^(c)	USD		67		62,478
Orbia Advance Corp SAB de CV, 5.50%, 01/15/48^(c)			200		207,250
PQ Corp.^(c):
6.75%, 11/15/22^(h)			463		471,612
5.75%, 12/15/25			543		547,072
Valvoline, Inc.^(c):
4.38%, 08/15/25			130		130,650
4.25%, 02/15/30			260		256,100
Vedanta Resources Finance II PLC, 9.25%, 04/23/26			282		201,454
WESCO Distribution, Inc.^(c)^(h):
7.13%, 06/15/25			676		711,916
7.25%, 06/15/28			616		651,420
WR Grace & Co-Conn^(c):
5.63%, 10/01/24			216		227,340
4.88%, 06/15/27			283		286,687
Yingde Gases Investment Ltd., 6.25%, 01/19/23			200		204,312

					11,317,491


SCHEDULES OF INVESTMENTS		49

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Commercial Services & Supplies — 1.1%
ADT Security Corp.:
6.25%, 10/15/21	USD		139	$	142,475
4.13%, 06/15/23			9		9,023
4.88%, 07/15/32^(c)^(h)			575		523,250
Advanced Disposal Services, Inc., 5.63%, 11/15/24^(c)			147		152,512
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27^(c)(h)			520		547,950
Booz Allen Hamilton, Inc., 5.13%, 05/01/25^(c)			383		388,745
Clean Harbors, Inc.^(c)(h):
4.88%, 07/15/27			250		256,875
5.13%, 07/15/29			172		178,392
Garda World Security Corp.^(c):
4.63%, 02/15/27			267		262,995
9.50%, 11/01/27^(h)			136		143,820
GFL Environmental, Inc.^(c):
4.25%, 06/01/25			86		86,753
7.00%, 06/01/26			566		585,810
5.13%, 12/15/26^(h)			458		474,030
8.50%, 05/01/27			233		253,387
KAR Auction Services, Inc., 5.13%, 06/01/25^(c)			380		374,300
mobile Mini, Inc., 5.88%, 07/01/24^(h)			499		513,621
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25^(c)			187		192,376
Summer BC Holdco B Sarl, 5.75%, 10/31/26	EUR		100		106,508
United Rentals North America, Inc.:
4.63%, 10/15/25	USD		269		270,345
5.88%, 09/15/26			17		17,816
5.50%, 05/15/27			339		349,170
3.88%, 11/15/27			200		199,500
5.25%, 01/15/30			161		166,232
4.00%, 07/15/30			152		147,019

					6,342,904

Communications Equipment — 0.6%
CommScope Technologies LLC, 6.00%, 06/15/25^(c)			394		380,486
CommScope, Inc.^(c):
5.50%, 03/01/24^(h)			749		756,490
5.50%, 06/15/24			82		83,503
6.00%, 03/01/26			358		366,950
motorola Solutions, Inc., 3.75%, 05/15/22^(h)			843		884,407
Nokia OYJ:
3.38%, 06/12/22			106		108,116
4.38%, 06/12/27			149		157,437
ViaSat, Inc.^(c):
5.63%, 04/15/27			535		547,706
6.50%, 07/15/28			316		316,066

					3,601,161

Construction & Engineering — 0.3%
Brand Industrial Services, Inc., 8.50%, 07/15/25^(c)			498		448,200
Delhi International Airport Ltd., 6.45%, 06/04/29			200		194,500
frontdoor, Inc., 6.75%, 08/15/26^(c)^(h)			473		502,563
SPIE SA, 2.63%, 06/18/26	EUR		100		108,721
SRS Distribution, Inc., 8.25%, 07/01/26^(c)^(h)	USD		466		472,990

					1,726,974

Construction Materials — 1.0%
American Builders & Contractors Supply Co., Inc.^(c):
5.88%, 05/15/26			412		407,880
4.00%, 01/15/28			581		564,598
Core & Main LP, 6.13%, 08/15/25^(c)^(h)			1,743		1,737,161
HD Supply, Inc., 5.38%, 10/15/26^(c)^(h)			1,956		1,997,565
New Enterprise Stone & Lime Co., Inc.^(c):
10.13%, 04/01/22			136		135,320
6.25%, 03/15/26			74		74,370


Security		Par (000)		Value

Construction Materials (continued)
Williams Scotsman International, Inc.^(c):
7.88%, 12/15/22	USD		98	$	101,859
6.88%, 08/15/23			391		401,346

					5,420,099

Consumer Discretionary — 0.0%
Carnival Corp., 11.50%, 04/01/23^(c)			45		48,825
Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25^(c)			135		132,637

					181,462

Consumer Finance — 2.0%
Ally Financial, Inc., 8.00%, 11/01/31^(h)			1,543		1,990,971
Equifax, Inc., 2.60%, 12/15/25			59		62,848
Ford motor Credit Co. LLC:
5.13%, 06/16/25			690		690,276
4.39%, 01/08/26^(h)			400		380,872
Husky III Holding Ltd., (13.00% Cash or 13.00% PIK), 13.00%, 02/15/25^(c)⁽ⁱ⁾			524		504,350
Muthoot Finance Ltd.:
6.13%, 10/31/22^(c)			427		431,804
4.40%, 09/02/23			200		190,624
Navient Corp.:
5.00%, 10/26/20			310		308,720
7.25%, 09/25/23			129		126,083
6.13%, 03/25/24			86		81,700
5.88%, 10/25/24			82		77,029
5.00%, 03/15/27			258		216,720
OneMain Finance Corp.:
6.13%, 05/15/22			70		71,287
6.88%, 03/15/25			226		231,862
7.13%, 03/15/26			374		387,086
6.63%, 01/15/28			221		218,790
5.38%, 11/15/29			78		72,930
PayPal Holdings, Inc., 1.65%, 06/01/25			162		167,467
Refinitiv US Holdings, Inc.^(c):
4.50%, 05/15/26	EUR		400		467,791
6.25%, 05/15/26^(h)	USD		1,668		1,768,080
8.25%, 11/15/26^(h)			972		1,052,647
Verscend Escrow Corp., 9.75%, 08/15/26^(c)^(h)			1,758		1,888,707

					11,388,644

Containers & Packaging — 1.6%
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27^(c)⁽ⁱ⁾			891		881,533
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
5.25%, 04/30/25^(c)			244		250,097
4.13%, 08/15/26^(c)^(h)			676		665,082
4.75%, 07/15/27^(c)	GBP		100		120,193
4.75%, 07/15/27			100		120,193
5.25%, 08/15/27^(c)^(h)	USD		652		640,512
Ball Corp., 4.88%, 03/15/26			86		93,525
Berry Global, Inc., 4.88%, 07/15/26^(c)			395		400,925
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30			200		203,937
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26			196		200,410
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26^(h)			523		532,953
Graphic Packaging International LLC, 3.50%, 03/15/28^(c)			118		117,080
Intertape Polymer Group, Inc., 7.00%, 10/15/26^(c)			201		206,568
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24^(c)(h)			794		779,857
OI European Group BV, 2.88%, 02/15/25	EUR		100		108,103


50		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Containers & Packaging (continued)
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^(c):
(3 mo. LIBOR US + 3.50%), 3.78%, 07/15/21^(d)	USD		433	$	429,752
7.00%, 07/15/24^(h)			344		344,967
Sealed Air Corp.^(c):
5.13%, 12/01/24			46		49,105
6.88%, 07/15/33			44		52,030
Silgan Holdings, Inc., 4.13%, 02/01/28^(c)			228		226,005
Trivium Packaging Finance BV:
3.75%, 08/15/26	EUR		100		110,264
5.50%, 08/15/26^(c)^(h)	USD		1,004		1,012,785
8.50%, 08/15/27^(c)^(h)			1,367		1,460,981

					9,006,857

Diversified Consumer Services — 0.6%
APX Group, Inc.:
7.88%, 12/01/22^(h)			252		250,740
8.50%, 11/01/24			60		58,500
Ascend Learning LLC^(c):
6.88%, 08/01/25			317		319,338
6.88%, 08/01/25^(h)			690		693,450
Graham Holdings Co., 5.75%, 06/01/26^(c)			211		218,201
Laureate Education, Inc., 8.25%, 05/01/25^(c)			114		118,275
Pinnacle Bidco PLC, 6.38%, 02/15/25	GBP		100		104,654
Prime Security Services Borrower LLC/Prime Finance, Inc.^(c):
5.25%, 04/15/24	USD		141		144,173
5.75%, 04/15/26^(h)			320		331,840
Service Corp. International, 5.13%, 06/01/29			238		256,088
ServiceMaster Co. LLC, 5.13%, 11/15/24^(c)^(h)			598		606,222

					3,101,481

Diversified Financial Services — 2.6%
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26^(c)^(h)			1,783		1,872,150
Ally Financial, Inc., 3.05%, 06/05/23			530		536,369
Alpha Holding SA de CV, 9.00%, 02/10/25^(c)			200		178,563
Altice France Holding SA:
8.00%, 05/15/27	EUR		100		118,402
10.50%, 05/15/27^(c)(h)	USD		1,473		1,622,583
6.00%, 02/15/28^(c)			382		360,753
Arrow Global Finance PLC, 5.13%, 09/15/24	GBP		100		113,606
CFLD Cayman Investment Ltd.:
8.63%, 02/28/21	USD		200		202,750
8.60%, 04/08/24			200		197,188
Citigroup, Inc., Series V, (Secured Overnight Financing Rate + 3.23%), 4.70%^(h)(k)^(l)			620		551,025
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26^(c)			423		324,526
Ford motor Credit Co. LLC:
5.88%, 08/02/21^(h)			522		527,063
2.98%, 08/03/22^(h)			449		430,344
3.35%, 11/01/22			215		205,923
3.81%, 01/09/24^(h)			629		604,029
4.06%, 11/01/24			200		191,006
4.13%, 08/04/25			411		389,813
Garfunkelux Holdco 3 SA, 7.50%, 08/01/22	EUR		100		105,978
General motors Financial Co., Inc.:
4.38%, 09/25/21^(h)	USD		530		544,326
2.75%, 06/20/25			352		347,672
5.65%, 01/17/29			67		75,396
Greenko Dutch BV, 5.25%, 07/24/24			200		197,813
Greenko Mauritius Ltd., 6.25%, 02/21/23			200		200,416
Intrum AB, 3.00%, 09/15/27	EUR		100		93,812


Security		Par (000)		Value

Diversified Financial Services (continued)
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.^(c):
5.25%, 03/15/22	USD		23	$	21,850
4.25%, 02/01/27^(h)			315		252,000
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24⁽ⁱ⁾	EUR		100		112,350
Lloyds Banking Group PLC(5 year CMT + 4.82%), 6.75%(k)^(l)	USD		450		459,000
Manappuram Finance Ltd., 5.90%, 01/13/23			200		187,250
mong Doung Finacial Holdings BV, 5.13%, 05/07/29			250		248,984
Murphy Oil USA, Inc., 4.75%, 09/15/29			163		166,668
Picasso Finance Sub, Inc., 6.13%, 06/15/25^(c)			499		510,227
Scenery Journey Ltd.:
11.00%, 11/06/20			200		201,562
11.50%, 10/24/22			219		207,645
13.00%, 11/06/22			200		195,375
Spectrum Brands, Inc.^(c):
5.00%, 10/01/29	USD		162		159,975
5.50%, 07/15/30			154		154,193
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25^(c)(h)			752		761,400
Usiminas International Sarl, 5.88%, 07/18/26^(c)			200		182,250
Vertical Midco GmbH, 4.38%, 07/15/27^(g)	EUR		100		112,350
VZ Vendor Financing BV, 2.50%, 01/31/24			100		109,771
Wanda Group Overseas Ltd., 7.50%, 07/24/22	USD		200		186,246
WMG Acquisition Corp.^(c):
5.50%, 04/15/26			166		171,760
3.88%, 07/15/30			200		202,010

					14,594,372

Diversified Telecommunication Services — 1.9%
Axtel SAB de CV, 6.38%, 11/14/24^(c)			200		207,704
CenturyLink, Inc.:
5.13%, 12/15/26^(c)(h)			1,082		1,079,295
4.00%, 02/15/27^(c)			466		452,602
Series P, 7.60%, 09/15/39			308		331,485
Series U, 7.65%, 03/15/42			391		419,348
Series W, 6.75%, 12/01/23^(h)			512		550,292
Series Y, 7.50%, 04/01/24^(h)			516		566,991
Cincinnati Bell, Inc., 7.00%, 07/15/24^(c)			82		83,640
Frontier Communications Corp., 8.00%, 04/01/27^(c)^(h)			1,598		1,620,596
GCI LLC, 6.63%, 06/15/24^(c)			153		160,108
Level 3 Financing, Inc.:
5.38%, 08/15/22			155		155,140
5.63%, 02/01/23^(m)			17		17,012
5.38%, 05/01/25			90		91,913
5.25%, 03/15/26^(h)			865		888,787
4.63%, 09/15/27^(c)			143		144,073
4.25%, 07/01/28^(c)(h)			820		819,057
Oi SA, (10% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25⁽ⁱ⁾			220		183,425
SoftBank Group Corp.:
4.50%, 04/20/25	EUR		100		114,597
4.75%, 07/30/25			100		115,670
5.00%, 04/15/28			100		116,282
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		137		154,468
6.00%, 09/30/34			423		459,801
7.20%, 07/18/36			90		107,100
7.72%, 06/04/38			163		205,093
Telecom Italia SpA:
4.00%, 04/11/24	EUR		150		176,142
5.30%, 05/30/24^(c)(h)	USD		600		626,142


SCHEDULES OF INVESTMENTS		51

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
Telesat Canada/Telesat LLC, 4.88%, 06/01/27^(c)	USD		332	$	325,360
Verizon Communications, Inc., 3.38%, 02/15/25^(h)			156		173,572

					10,345,695

Electric Utilities — 0.7%
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energ, 6.25%, 12/10/24			200		208,000
Black Hills Corp., 3.15%, 01/15/27^(h)			305		320,531
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29^(c)			275		274,742
Enel Finance International NV, 3.63%, 05/25/27^(c)^(h)			900		982,623
Energuate Trust, 5.88%, 05/03/27^(c)			200		196,938
Exelon Corp., 3.40%, 04/15/26^(h)			140		155,905
Inkia Energy Ltd., 5.88%, 11/09/27^(c)			377		371,345
NextEra Energy Operating Partners LP^(c):
4.25%, 07/15/24^(h)			528		533,940
4.25%, 09/15/24			101		101,602
4.50%, 09/15/27			39		40,768
PG&E Corp., 5.25%, 07/01/30			365		367,080
ReNew Power Synthetic, 6.67%, 03/12/24			200		201,313
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20^(a)			300		—

					3,754,787

Electronic Equipment, Instruments & Components — 0.2%
CDW LLC/CDW Finance Corp.:
5.50%, 12/01/24^(h)			655		712,175
4.13%, 05/01/25			221		221,277
5.00%, 09/01/25			107		110,076
Itron, Inc., 5.00%, 01/15/26^(c)			25		24,906

					1,068,434

Energy Equipment & Services — 0.4%
Archrock Partners LP/Archrock Partners Finance Corp.^(c):
6.88%, 04/01/27			147		138,474
6.25%, 04/01/28			28		25,480
ChampionX Corp., 6.38%, 05/01/26			239		222,095
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26^(c)			316		310,470
Halliburton Co., 3.80%, 11/15/25^(h)			7		7,561
Odebrecht Oil & Gas Finance Ltd., 0.00%^(c)(l)(n)	BRL		43		43
Pattern Energy Group, Inc., 5.88%, 02/01/24^(c)	USD		299		300,495
Pioneer Energy Services Corp.^(c)(i):
(11% Cash), 11.00%, 05/15/25			112		89,549
(5.00% PIK), 5.00%, 11/15/25^(o)			76		41,074
Transocean, Inc.:
8.38%, 12/15/21			51		35,700
8.00%, 02/01/27^(c)			324		178,807
USA Compression Partners LP/USA Compression Finance Corp.:
6.88%, 04/01/26			336		324,660
6.88%, 09/01/27^(h)			503		482,880

					2,157,288

Environmental, Maintenance, & Security Service — 0.1%
Tervita Corp., 7.63%, 12/01/21^(c)			343		269,255
Waste Pro USA, Inc., 5.50%, 02/15/26^(c)			471		449,565

					718,820

Equity Real Estate Investment Trusts (REITs) — 2.1%
AvalonBay Communities, Inc., 3.45%, 06/01/25^(h)			1,245		1,388,623
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26^(c)			141		119,145


Security		Par (000)		Value

Equity Real Estate Investment Trusts (REITs) (continued)
ERP Operating LP, 3.38%, 06/01/25^(h)	USD		1,015	$	1,114,447
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25^(c)			389		367,605
Fortune Star BVI Ltd.:
6.88%, 01/31/21			200		202,000
5.95%, 01/29/23			200		199,000
6.75%, 07/02/23			250		252,500
Iron mountain, Inc.^(c):
4.88%, 09/15/27			349		339,992
4.88%, 09/15/29			2		1,945
5.25%, 07/15/30			417		410,745
5.63%, 07/15/32^(h)			507		505,935
LMIRT Capital Pte Ltd., 7.25%, 06/19/24			229		203,810
MAF Sukuk Ltd., 4.64%, 05/14/29			275		286,258
Marriott International, Inc., Series EE, 5.75%, 05/01/25			178		193,372
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26			40		40,300
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:
5.63%, 05/01/24^(h)			1,334		1,380,717
4.63%, 06/15/25^(c)			513		501,652
4.50%, 09/01/26^(h)			637		630,821
5.75%, 02/01/27			27		27,675
4.50%, 01/15/28			432		410,400
MPT Operating Partnership LP/MPT Finance Corp.^(h):
5.00%, 10/15/27			1,045		1,073,738
4.63%, 08/01/29			456		458,280
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27^(c)			542		482,380
Starwood Property Trust, Inc., 5.00%, 12/15/21			234		226,980
Trust F/1401, 6.95%, 01/30/44			200		216,125
Ventas Realty LP, 4.13%, 01/15/26^(h)			650		697,565

					11,732,010

Food & Staples Retailing — 0.4%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC:
6.63%, 06/15/24			186		190,650
5.75%, 03/15/25			70		71,532
7.50%, 03/15/26^(c)^(h)			107		115,560
4.63%, 01/15/27^(c)^(h)			731		731,000
5.88%, 02/15/28^(c)			320		330,166
4.88%, 02/15/30^(c)			246		251,690
BRF GmbH, 4.35%, 09/29/26			200		193,000
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24			200		203,687
Lamb Weston Holdings, Inc., 4.88%, 05/15/28^(c)			313		331,627

					2,418,912

Food Products — 2.3%
Aramark Services, Inc.^(c):
5.00%, 04/01/25^(h)			623		613,655
6.38%, 05/01/25			243		250,929
5.00%, 02/01/28^(h)			558		530,100
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25^(c)^(h)			416		401,440
Darling Ingredients, Inc., 5.25%, 04/15/27^(c)			254		261,056
Graphic Packaging International LLC, 4.75%, 07/15/27^(c)			89		93,895
Grupo Bimbo SAB de CV(5 year CMT + 3.28%), 5.95%^(c)^(k)(l)			200		205,594
JBS USA LUX SA/JBS USA Finance, Inc.^(c):
5.88%, 07/15/24			412		417,665
5.75%, 06/15/25^(h)			1,006		1,014,802
6.75%, 02/15/28			361		380,629


52		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Food Products (continued)
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.^(c)^(h):
6.50%, 04/15/29	USD		735	$	780,019
5.50%, 01/15/30			675		691,875
Kraft Heinz Foods Co.:
3.88%, 05/15/27^(c)			57		59,564
4.25%, 03/01/31^(c)^(h)			1,299		1,377,321
5.00%, 07/15/35			127		139,736
6.88%, 01/26/39			233		288,041
4.63%, 10/01/39^(c)			77		77,320
6.50%, 02/09/40			155		186,567
5.00%, 06/04/42			129		135,915
5.20%, 07/15/45			351		380,649
4.38%, 06/01/46			377		370,626
4.88%, 10/01/49^(c)^(h)			1,029		1,047,847
5.50%, 06/01/50^(c)^(h)			1,280		1,364,428
MHP Lux SA, 6.25%, 09/19/29^(c)			200		190,750
Minerva Luxembourg SA, 6.50%, 09/20/26^(c)			200		201,000
Post Holdings, Inc.^(c):
5.75%, 03/01/27			253		261,223
5.63%, 01/15/28			73		75,555
5.50%, 12/15/29			230		237,848
4.63%, 04/15/30^(h)			491		480,591
Simmons Foods, Inc., 7.75%, 01/15/24^(c)			270		281,664

					12,798,304

Health Care Equipment & Supplies — 1.0%
Avantor, Inc.^(c)^(h):
6.00%, 10/01/24			1,767		1,846,515
9.00%, 10/01/25			1,092		1,173,900
Hologic, Inc.^(c):
4.38%, 10/15/25			57		57,558
4.63%, 02/01/28			206		213,725
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA^(c):
7.38%, 06/01/25			589		599,308
7.25%, 02/01/28^(h)			1,177		1,196,397
Teleflex, Inc.:
4.88%, 06/01/26			87		89,610
4.63%, 11/15/27			58		61,318
4.25%, 06/01/28^(c)			413		423,325

					5,661,656

Health Care Providers & Services — 3.8%
Acadia Healthcare Co., Inc.:
5.13%, 07/01/22			213		213,064
5.63%, 02/15/23			33		33,012
5.50%, 07/01/28^(c)			204		204,510
AHP Health Partners, Inc., 9.75%, 07/15/26^(c)			213		218,858
Centene Corp.:
5.25%, 04/01/25^(c)			310		319,198
5.38%, 06/01/26^(c)^(h)			336		348,318
5.38%, 08/15/26^(c)			343		356,792
4.25%, 12/15/27^(h)			657		677,965
4.63%, 12/15/29^(h)			1,782		1,880,010
3.38%, 02/15/30			452		456,389
CHS/Community Health Systems, Inc.^(c):
8.63%, 01/15/24^(h)			680		664,958
6.63%, 02/15/25			255		239,700
8.00%, 03/15/26^(h)			971		917,789
Encompass Health Corp., 5.75%, 11/01/24			46		46,000
HCA, Inc.:
5.38%, 02/01/25^(h)			490		524,912
5.88%, 02/15/26			46		50,428


Security		Par (000)		Value

Health Care Providers & Services (continued)
5.38%, 09/01/26^(h)	USD		430	$	468,162
5.63%, 09/01/28^(h)			692		772,445
5.88%, 02/01/29^(h)			547		618,980
3.50%, 09/01/30^(h)			1,478		1,423,568
5.50%, 06/15/47^(h)			650		791,565
LifePoint Health, Inc.^(c):
6.75%, 04/15/25			190		196,175
4.38%, 02/15/27			217		205,065
MEDNAX, Inc.^(c):
5.25%, 12/01/23			168		167,160
6.25%, 01/15/27			90		90,000
molina Healthcare, Inc.:
5.38%, 11/15/22			172		175,440
4.88%, 06/15/25^(c)			168		168,840
4.38%, 06/15/28^(c)			258		257,677
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(c)^(h)			714		664,020
Polaris Intermediate Corp., (8.50% Cash or 9.25% PIK), 8.50%, 12/01/22^(c)^(h)(i)			433		380,660
Surgery Center Holdings, Inc.^(c):
6.75%, 07/01/25^(h)			611		551,427
10.00%, 04/15/27			294		294,000
Tenet Healthcare Corp.:
8.13%, 04/01/22^(h)			615		645,750
4.63%, 07/15/24^(h)			514		503,612
4.63%, 09/01/24^(c)			367		358,742
7.50%, 04/01/25^(c)			181		192,539
4.88%, 01/01/26^(c)^(h)			1,605		1,562,869
6.25%, 02/01/27^(c)^(h)			169		167,733
5.13%, 11/01/27^(c)^(h)			959		946,245
4.63%, 06/15/28^(c)			143		139,311
UnitedHealth Group, Inc., 3.75%, 07/15/25^(h)			1,470		1,674,810
Vizient, Inc., 6.25%, 05/15/27^(c)			407		426,332

					20,995,030

Health Care Technology — 0.4%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25^(c)^(h)			791		781,112
IQVIA, Inc.:
3.25%, 03/15/25	EUR		148		167,433
5.00%, 10/15/26^(c)^(h)	USD		463		476,288
5.00%, 05/15/27^(c)^(h)			637		652,726

					2,077,559

Hotels, Restaurants & Leisure — 4.7%
1011778 BC ULC/New Red Finance, Inc.^(c):
4.25%, 05/15/24			10		10,018
5.75%, 04/15/25			236		247,800
5.00%, 10/15/25^(h)			1,384		1,375,848
3.88%, 01/15/28			423		410,382
4.38%, 01/15/28			302		296,017
Boyd Gaming Corp.:
6.38%, 04/01/26			95		90,250
6.00%, 08/15/26			112		104,686
Boyne USA, Inc., 7.25%, 05/01/25^(c)			254		266,065
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25^(c)^(h)			504		506,520
Churchill Downs, Inc.^(c):
5.50%, 04/01/27^(h)			899		879,941
4.75%, 01/15/28			358		345,470
Cirsa Finance International Sarl, 4.75%, 05/22/25	EUR		100		97,745
Colt Merger Sub, Inc.^(c)^(g):
5.75%, 07/01/25	USD		723		727,121
6.25%, 07/01/25			1,645		1,634,719
8.13%, 07/01/27			876		846,435


SCHEDULES OF INVESTMENTS		53

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Hotels, Restaurants & Leisure (continued)
Eldorado Resorts, Inc.:
6.00%, 04/01/25	USD		91	$	95,186
6.00%, 09/15/26^(m)			76		82,104
GLP Capital LP/GLP Financing II, Inc.:
5.25%, 06/01/25			333		362,104
5.38%, 04/15/26			174		190,111
5.30%, 01/15/29			45		48,694
4.00%, 01/15/31			155		153,876
Golden Nugget, Inc., 6.75%, 10/15/24^(c)^(h)			1,529		1,098,969
Hilton Domestic Operating Co., Inc.:
4.25%, 09/01/24			337		326,957
5.38%, 05/01/25^(c)			145		145,000
5.13%, 05/01/26^(h)			697		693,954
5.75%, 05/01/28^(c)			99		99,990
4.88%, 01/15/30^(h)			1,077		1,060,845
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25			30		29,331
IRB Holding Corp., 7.00%, 06/15/25^(c)			128		131,930
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC^(c):
5.00%, 06/01/24			35		35,656
5.25%, 06/01/26			368		377,200
Las Vegas Sands Corp.:
2.90%, 06/25/25			52		50,507
3.50%, 08/18/26			47		46,867
3.90%, 08/08/29			43		42,419
Lions Gate Capital Holdings LLC^(c):
6.38%, 02/01/24			25		24,375
5.88%, 11/01/24			171		163,305
McDonald’s Corp., 3.70%, 01/30/26^(h)			405		459,143
Melco Resorts Finance Ltd., 5.25%, 04/26/26			250		252,109
MGM China Holdings Ltd., 5.88%, 05/15/26			250		257,500
MGM Resorts International:
7.75%, 03/15/22^(h)			575		586,500
6.00%, 03/15/23			416		420,160
5.75%, 06/15/25			29		28,674
Scientific Games International, Inc.:
8.63%, 07/01/25^(c)(g)			203		189,744
5.00%, 10/15/25^(c)(h)			867		800,466
3.38%, 02/15/26	EUR		100		103,362
8.25%, 03/15/26^(c)(h)	USD		495		443,953
7.00%, 05/15/28^(c)			174		139,200
7.25%, 11/15/29^(c)			51		40,800
Six Flags Theme Parks, Inc., 7.00%, 07/01/25^(c)(h)			753		778,414
Spirit Issuer PLC, Series A5, 5.47%, 12/28/28	GBP		4,500		5,673,152
Studio City Finance Ltd., 7.25%, 02/11/24	USD		250		257,109
Unique Pub Finance Co. PLC:
Series A4, 5.66%, 06/30/27	GBP		48		59,841
Series N, 6.46%, 03/30/32			100		128,843
Vail Resorts, Inc., 6.25%, 05/15/25^(c)	USD		154		161,123
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27^(c)			192		165,984
Wynn Macau Ltd., 5.50%, 10/01/27			200		196,875
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 7.75%, 04/15/25^(c)			239		240,721
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29^(c)			446		398,613
Yum! Brands, Inc.:
7.75%, 04/01/25^(c)			426		459,548
4.75%, 01/15/30^(c)(h)			597		605,955
5.35%, 11/01/43			71		68,160

					26,014,346


Security		Par (000)		Value

Household Durables — 0.9%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.^(c):
6.25%, 09/15/27	USD		217	$	207,519
4.88%, 02/15/30			340		284,104
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25^(c⁾^(g)			232		241,210
Controladora Mabe SA de CV, 5.60%, 10/23/28^(c)			200		208,063
Global Prime Capital Pte Ltd., 5.50%, 10/18/23			200		192,125
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26^(c)			307		302,395
Lennar Corp.:
8.38%, 01/15/21			134		138,188
4.88%, 12/15/23			122		128,710
4.75%, 05/30/25			313		334,127
5.25%, 06/01/26			28		30,240
4.75%, 11/29/27			497		539,245
Mattamy Group Corp., 4.63%, 03/01/30^(c)			233		223,680
MDC Holdings, Inc., 6.00%, 01/15/43			122		128,405
Meritage Homes Corp., 5.13%, 06/06/27			50		51,500
PulteGroup, Inc.:
5.00%, 01/15/27			24		25,680
7.88%, 06/15/32			21		26,834
6.38%, 05/15/33^(h)			469		548,730
Shui On Development Holding Ltd., 5.75%, 11/12/23			200		195,958
Taylor morrison Communities, Inc., 5.88%, 06/15/27^(c)			264		273,435
Tempur Sealy International, Inc., 5.50%, 06/15/26			180		181,800
Theta Capital Pte Ltd., 8.13%, 01/22/25			200		177,863
Toll Brothers Finance Corp., 4.35%, 02/15/28			12		12,450
TRI Pointe Group, Inc., 5.25%, 06/01/27			15		14,925
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24			11		11,297
Yanlord Land HK Co. Ltd.:
6.75%, 04/23/23			200		201,625
6.80%, 02/27/24			200		197,063

					4,877,171

Household Products — 0.1%
ACCO Brands Corp., 5.25%, 12/15/24^(c)			85		86,063
Berkline Benchcraft LLC, 4.50%, 06/01/21^(a)(b)(d)			200		—
Energizer Holdings, Inc.^(c):
6.38%, 07/15/26			90		93,056
7.75%, 01/15/27^(h)			121		129,019
4.75%, 06/15/28^(g)			318		311,948

					620,086

Independent Power and Renewable Electricity Producers — 1.3%
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24			200		201,062
Calpine Corp.^(h):
5.75%, 01/15/25			608		613,952
5.25%, 06/01/26^(c)			718		724,972
4.50%, 02/15/28^(c)			581		566,475
5.13%, 03/15/28^(c)			1,354		1,326,920
Clearway Energy Operating LLC:
5.75%, 10/15/25			214		220,955
4.75%, 03/15/28^(c)^(h)			453		462,033
Genneia SA, 8.75%, 01/20/22^(c)			200		160,250
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26			200		196,313
NRG Energy, Inc.:
6.63%, 01/15/27^(h)			898		937,287
5.75%, 01/15/28			63		66,465
5.25%, 06/15/29^(c)^(h)			856		898,800
TerraForm Power Operating LLC^(c):
4.25%, 01/31/23			184		186,300
5.00%, 01/31/28			228		237,690
4.75%, 01/15/30			334		339,010

					7,138,484


54		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Industrial Conglomerates — 0.2%
BWX Technologies, Inc.^(c):
5.38%, 07/15/26	USD		209	$	215,349
4.13%, 06/30/28			251		250,372
Grupo KUO SAB de CV, 5.75%, 07/07/27^(c)			200		183,103
Vertical US Newco, Inc., 5.25%, 07/15/27^(c)^(g)			394		394,000

					1,042,824

Insurance — 1.6%
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24^(c)			84		87,335
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27^(c)^(h)			1,289		1,284,643
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25^(h)			360		376,744
AmWINS Group, Inc., 7.75%, 07/01/26^(c)			221		232,050
Aon PLC, 3.88%, 12/15/25^(h)			1,115		1,265,944
Asahi Mutual Life Insurance Co.(5 year USD Swap + 4.59%), 6.50%(k)^(l)			306		325,091
Assicurazioni Generali SpA(3 mo. Euribor + 5.35%), 5.50%, 10/27/47^(k)	EUR		100		127,857
Global Atlantic Fin Co., 8.63%, 04/15/21^(c)^(h)	USD		750		784,818
GTCR AP Finance, Inc., 8.00%, 05/15/27^(c)			355		365,426
HUB International Ltd., 7.00%, 05/01/26^(c)^(h)			1,418		1,415,022
Lincoln National Corp., 3.35%, 03/09/25^(h)			845		919,720
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(3 mo. Euribor + 3.50%), 6.00%, 05/26/41^(k)	EUR		400		469,106
Nationstar Mortgage Holdings, Inc., 8.13%, 07/15/23^(c)^(h)	USD		498		511,048
Nationwide Building Society(5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32^(c)^(h)(k)			595		644,151

					8,808,955

Interactive Media & Services — 1.0%
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27^(c)			303		308,302
Match Group Holdings II LLC^(c):
4.63%, 06/01/28			186		187,628
5.63%, 02/15/29			177		186,581
4.13%, 08/01/30			230		225,184
Netflix, Inc.:
3.63%, 06/15/25^(c)			96		96,720
4.88%, 04/15/28			109		116,550
5.88%, 11/15/28^(h)			754		858,617
5.38%, 11/15/29^(c)^(h)			793		868,494
3.63%, 06/15/30	EUR		100		115,440
4.88%, 06/15/30^(c)^(h)	USD		515		552,337
Rackspace Hosting, Inc., 8.63%, 11/15/24^(c)(h)			262		263,310
Sabre GLBL, Inc., 5.25%, 11/15/23^(c)			43		39,560
Twitter, Inc., 3.88%, 12/15/27^(c)			129		129,013
Uber Technologies, Inc.^(c)^(h):
7.50%, 11/01/23			280		282,800
7.50%, 05/15/25			724		729,430
8.00%, 11/01/26			129		131,258
7.50%, 09/15/27			229		229,572

					5,320,796

Internet & Direct Marketing Retail — 0.3%
Booking Holdings, Inc., 4.10%, 04/13/25			493		553,333
Expedia Group, Inc., 6.25%, 05/01/25^(c)(h)			1,067		1,136,646

					1,689,979

IT Services — 0.9%
21Vianet Group, Inc., 7.88%, 10/15/21			200		201,952
Banff Merger Sub, Inc., 9.75%, 09/01/26^(c)^(h)			1,511		1,520,444


Security		Par (000)		Value

IT Services (continued)
Camelot Finance SA, 4.50%, 11/01/26^(c)^(h)	USD		679	$	679,000
Fair Isaac Corp., 4.00%, 06/15/28^(c)			169		169,422
Fiserv, Inc., 2.25%, 06/01/27			644		673,427
Gartner, Inc.^(c):
5.13%, 04/01/25			174		178,185
4.50%, 07/01/28			341		344,990
Leidos, Inc., 4.38%, 05/15/30^(c)			325		366,096
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27^(c)			413		371,700
Science Applications International Corp., 4.88%, 04/01/28^(c)			254		252,491
WEX, Inc., 4.75%, 02/01/23^(c)			203		201,551
Xerox Corp., 4.80%, 03/01/35			203		189,255

					5,148,513

Leisure Products — 0.2%
Mattel, Inc.:
6.75%, 12/31/25^(c)(h)			638		661,925
5.88%, 12/15/27^(c)			293		301,790
6.20%, 10/01/40			24		20,760
5.45%, 11/01/41			110		91,265

					1,075,740

Machinery — 0.5%
Colfax Corp.^(c):
6.00%, 02/15/24			432		445,500
6.38%, 02/15/26			170		177,650
Mueller Water Products, Inc., 5.50%, 06/15/26^(c)			336		347,760
Navistar International Corp., 6.63%, 11/01/25^(c)			362		342,995
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25^(c)			353		354,765
SPX FLOW, Inc., 5.63%, 08/15/24^(c)			206		210,635
Terex Corp., 5.63%, 02/01/25^(c)(h)			324		294,840
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26^(c)(h)			659		623,579
Wabash National Corp., 5.50%, 10/01/25^(c)			241		221,117

					3,018,841

Media — 8.8%
Altice Financing SA:
7.50%, 05/15/26^(c)^(h)			1,143		1,197,292
3.00%, 01/15/28	EUR		100		103,081
5.00%, 01/15/28^(c)	USD		378		375,490
Altice France SA:
7.38%, 05/01/26^(c)^(h)			2,104		2,194,051
5.88%, 02/01/27	EUR		100		118,012
8.13%, 02/01/27^(c)^(h)	USD		707		773,281
5.50%, 01/15/28^(c)^(h)			581		586,810
AMC Networks, Inc., 4.75%, 08/01/25			222		218,714
Block Communications, Inc., 4.88%, 03/01/28^(c)			128		126,437
Cable Onda SA, 4.50%, 01/30/30			215		218,548
CCO Holdings LLC/CCO Holdings Capital Corp.^(c):
4.00%, 03/01/23^(h)			670		671,675
5.13%, 05/01/27^(h)			1,008		1,042,877
5.88%, 05/01/27			349		364,164
5.00%, 02/01/28			34		35,105
5.38%, 06/01/29^(h)			1,248		1,316,640
4.75%, 03/01/30			147		150,409
4.50%, 08/15/30^(h)			1,354		1,381,080
4.50%, 05/01/32^(h)			1,260		1,275,750
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25^(h)			2,425		2,779,252
Clear Channel Worldwide Holdings, Inc.^(h):
9.25%, 02/15/24			811		752,284
5.13%, 08/15/27^(c)			1,774		1,703,040


SCHEDULES OF INVESTMENTS		55

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
Comcast Corp., 3.95%, 10/15/25^(h)	USD		3,000	$	3,437,843
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26^(c)^(h)			1,866		1,768,035
CSC Holdings LLC:
6.75%, 11/15/21			187		196,296
5.38%, 07/15/23^(c)^(h)			1,109		1,124,748
5.25%, 06/01/24			123		129,458
7.75%, 07/15/25^(c)			202		210,100
6.63%, 10/15/25^(c)^(h)			235		244,106
10.88%, 10/15/25^(c)^(h)			1,614		1,735,050
5.50%, 05/15/26^(c)^(h)			200		205,274
5.38%, 02/01/28^(c)			200		209,000
6.50%, 02/01/29^(c)^(h)			865		946,094
5.75%, 01/15/30^(c)^(h)			862		897,773
4.13%, 12/01/30^(c)^(h)			597		591,776
4.63%, 12/01/30^(c)			318		308,892
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26^(c)^(h)			590		427,013
Discovery Communications LLC^(h):
3.25%, 04/01/23			1,490		1,565,615
3.45%, 03/15/25			170		185,543
DISH DBS Corp.:
6.75%, 06/01/21^(h)			627		638,756
5.88%, 07/15/22^(h)			1,396		1,419,453
5.00%, 03/15/23			358		357,141
7.75%, 07/01/26			471		499,260
DISH Network Corp.^(o):
2.38%, 03/15/24			312		279,192
3.38%, 08/15/26			385		353,667
Dolya Holdco 18 DAC, 5.00%, 07/15/28^(c)			754		744,349
Entercom Media Corp., 6.50%, 05/01/27^(c)			286		256,685
Hughes Satellite Systems Corp., 5.25%, 08/01/26			177		183,053
iHeartCommunications, Inc.:
6.38%, 05/01/26			264		261,529
5.25%, 08/15/27^(c)			122		116,815
4.75%, 01/15/28^(c)			78		71,955
Intelsat Jackson Holdings SA, 8.00%, 02/15/24^(c)^(h)			476		482,750
Lamar Media Corp.:
5.75%, 02/01/26			124		127,921
4.88%, 01/15/29^(c)			75		75,375
4.00%, 02/15/30^(c)			126		120,607
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27^(c)^(h)			600		612,000
Live Nation Entertainment, Inc., 6.50%, 05/15/27^(c)^(h)			947		975,410
Meredith Corp., 6.88%, 02/01/26			56		46,565
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27^(c)			177		179,722
Network i2i Ltd.(5 year CMT + 4.27%), 5.65%^(k)(l)			250		241,797
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25^(c)			146		148,994
Radiate Holdco LLC/Radiate Finance, Inc.^(c):
6.88%, 02/15/23			113		114,413
6.63%, 02/15/25			137		136,344
Sable International Finance Ltd., 5.75%, 09/07/27^(c)			200		203,576
Sirius XM Radio, Inc.^(c):
5.00%, 08/01/27			322		329,107
5.50%, 07/01/29^(h)			887		933,674
4.13%, 07/01/30			449		444,043
TEGNA, Inc., 5.50%, 09/15/24^(c)			66		66,660
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28^(c)			200		208,500


Security		Par (000)		Value

Media (continued)
Terrier Media Buyer, Inc., 8.88%, 12/15/27^(c)	USD		490	$	469,787
Tower Bersama Infrastructure Tbk PT, 4.25%, 01/21/25			200		198,692
United Group BV, 3.63%, 02/15/28	EUR		100		105,103
Univision Communications, Inc.^(c):
5.13%, 05/15/23^(h)	USD		366		369,367
5.13%, 02/15/25			133		125,270
6.63%, 06/01/27			132		126,060
Videotron Ltd., 5.13%, 04/15/27^(c)			439		455,520
Virgin Media Secured Finance PLC^(c):
5.50%, 08/15/26			200		204,588
5.50%, 05/15/29			400		418,000
4.50%, 08/15/30			346		346,433
Zayo Group Holdings Inc, 6.13%, 03/01/28^(c)^(h)			1,204		1,170,890
Zayo Group Holdings, Inc., 4.00%, 03/01/27^(c)^(h)			2,044		1,944,989
Ziggo Bond Co. BV^(c):
6.00%, 01/15/27			199		201,985
5.13%, 02/28/30			225		223,245
Ziggo BV:
4.25%, 01/15/27	EUR		90		104,007
5.50%, 01/15/27^(c)^(h)	USD		599		606,523
4.88%, 01/15/30^(c)			200		201,084

					49,467,464

Metals & Mining — 2.0%
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24			250		247,031
ArcelorMittal SA, 1.75%, 11/19/25	EUR		100		106,836
Arconic Corp.^(c):
6.00%, 05/15/25	USD		360		372,150
6.13%, 02/15/28			222		221,945
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25^(c)			244		233,020
Constellium SE^(c):
5.75%, 05/15/24^(h)			506		506,000
6.63%, 03/01/25^(h)			1,269		1,283,302
5.88%, 02/15/26^(h)			838		840,237
5.63%, 06/15/28			250		245,000
Freeport-McMoRan, Inc.:
3.55%, 03/01/22			91		91,000
3.88%, 03/15/23			1,119		1,119,000
4.25%, 03/01/30			386		374,420
5.40%, 11/14/34			161		159,138
5.45%, 03/15/43			1,990		1,950,200
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24^(c)			200		214,625
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23^(c)			371		369,145
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22^(c)			135		137,871
JSW Steel Ltd., 5.95%, 04/18/24			200		191,750
Kaiser Aluminum Corp.^(c):
6.50%, 05/01/25			103		106,476
4.63%, 03/01/28			143		136,754
New Gold, Inc., 7.50%, 07/15/27^(c)			308		317,761
Nexa Resources SA, 5.38%, 05/04/27^(c)			237		229,031
Novelis Corp.^(c):
5.88%, 09/30/26^(h)			502		501,372
4.75%, 01/30/30			881		841,355
thyssenkrupp AG:
1.88%, 03/06/23	EUR		43		46,328
2.88%, 02/22/24			84		90,790
Vale Overseas Ltd., 6.25%, 08/10/26^(h)	USD		188		221,018
Vedanta Resources Finance II PLC, 8.00%, 04/23/23			313		228,247

					11,381,802


56		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Multi-Utilities — 0.3%
Brooklyn Union Gas Co., 3.41%, 03/10/26^(c)^(h)	USD		1,475	$	1,620,387


Multiline Retail — 0.1%
Dufry One BV, 2.00%, 02/15/27	EUR		100		87,024
Future Retail Ltd., 5.60%, 01/22/25	USD		200		132,000
Nordstrom, Inc., 8.75%, 05/15/25^(c)			136		146,356

					365,380

Oil, Gas & Consumable Fuels — 7.0%
Apache Corp.:
3.25%, 04/15/22			10		9,677
5.25%, 02/01/42			30		24,484
4.75%, 04/15/43			321		258,433
4.25%, 01/15/44			421		320,097
5.35%, 07/01/49			72		57,451
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22^(c)			489		416,873
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34⁽ⁿ⁾			149		106,969
Buckeye Partners LP:
4.13%, 03/01/25^(c)			262		251,329
4.50%, 03/01/28^(c)			362		338,470
5.85%, 11/15/43			130		112,814
5.60%, 10/15/44			146		116,800
Callon Petroleum Co.:
6.13%, 10/01/24			208		78,052
8.25%, 07/15/25			243		85,050
Series WI, 6.38%, 07/01/26			192		63,360
Carrizo Oil & Gas, Inc., 6.25%, 04/15/23			372		140,902
Cenovus Energy, Inc.:
3.00%, 08/15/22			84		81,685
3.80%, 09/15/23			48		45,136
5.40%, 06/15/47			34		29,188
Centennial Resource Production LLC, 6.88%, 04/01/27^(c)			255		135,150
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27^(h)			518		569,215
Cheniere Energy Partners LP:
5.63%, 10/01/26			173		172,135
Series WI, 5.25%, 10/01/25			48		47,842
Cheniere Energy, Inc., (4.88% PIK), 4.88%, 05/28/21^(c)(i)(o)			512		516,966
Citgo Holding, Inc., 9.25%, 08/01/24^(c)			228		226,860
CNX Resources Corp.:
5.88%, 04/15/22^(h)			762		884,218
7.25%, 03/14/27^(c)			44		40,480
Comstock Resources, Inc.:
7.50%, 05/15/25^(c)			466		422,313
9.75%, 08/15/26			386		360,290
Continental Resources, Inc.:
5.00%, 09/15/22			428		420,510
4.50%, 04/15/23			142		135,922
4.90%, 06/01/44			233		185,526
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
6.25%, 04/01/23			21		18,690
5.63%, 05/01/27^(c)			361		300,962
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25^(c)(h)			1,188		1,064,745
CVR Energy, Inc.^(c):
5.25%, 02/15/25			231		212,520
5.75%, 02/15/28			77		67,375
DCP Midstream Operating LP:
5.38%, 07/15/25^(h)			188		186,590
5.63%, 07/15/27			201		202,256


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
5.13%, 05/15/29	USD		99	$	94,979
6.45%, 11/03/36^(c)			226		203,400
6.75%, 09/15/37^(c)(h)			392		351,738
Diamondback Energy, Inc., 3.50%, 12/01/29			440		426,171
eG Global Finance PLC:
6.75%, 02/07/25^(c)			396		386,595
6.25%, 10/30/25	EUR		142		154,751
8.50%, 10/30/25^(c)	USD		252		258,300
Enbridge, Inc.(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78^(h)(k)			1,565		1,541,525
Endeavor Energy Resources LP/EER Finance, Inc.^(c):
6.63%, 07/15/25			206		207,611
5.50%, 01/30/26^(h)			779		745,892
5.75%, 01/30/28			408		391,680
Energy Transfer Operating LP:
3.75%, 05/15/30			75		74,494
5.00%, 05/15/50			196		186,154
Series 30Y, 6.00%, 06/15/48			136		141,056
EnLink Midstream LLC, 5.38%, 06/01/29			82		61,500
EnLink Midstream Partners LP:
4.40%, 04/01/24			240		199,320
4.15%, 06/01/25			17		13,090
4.85%, 07/15/26			99		73,290
5.60%, 04/01/44			176		107,360
5.05%, 04/01/45			28		17,438
EQM Midstream Partners LP:
6.00%, 07/01/25^(c)			320		324,134
4.13%, 12/01/26			100		91,687
6.50%, 07/01/27^(c)			356		364,622
EQT Corp.:
3.90%, 10/01/27			325		263,994
7.00%, 02/01/30			197		202,916
Extraction Oil & Gas, Inc.^(b)(c)(j):
7.38%, 05/15/24			302		58,135
5.63%, 02/01/26			572		110,110
Genesis Energy LP/Genesis Energy Finance Corp.:
6.00%, 05/15/23			141		126,900
5.63%, 06/15/24			169		147,030
6.50%, 10/01/25			46		39,330
7.75%, 02/01/28			118		105,020
Geopark Ltd., 6.50%, 09/21/24^(c)			200		182,938
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27			200		176,625
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21^(c)			484		290,400
Hess Corp.:
4.30%, 04/01/27			50		51,778
5.80%, 04/01/47			36		39,127
Hess Midstream Operations LP, 5.63%, 02/15/26^(c)			210		207,793
Hilong Holding Ltd., 8.25%, 09/26/22			200		75,000
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26			200		189,438
Impulsora Pipeline LLC, 6.05%, 12/31/42^(a)			1,452		1,548,685
Indigo Natural Resources LLC, 6.88%, 02/15/26^(c)^(h)			514		478,020
Matador Resources Co., 5.88%, 09/15/26^(h)			563		416,620
Medco Bell Pte Ltd., 6.38%, 01/30/27			250		210,391
MEG Energy Corp.^(c):
7.00%, 03/31/24			290		248,675
6.50%, 01/15/25^(h)			635		592,531
7.13%, 02/01/27			9		7,481
MPLX LP, 4.25%, 12/01/27			185		200,571


SCHEDULES OF INVESTMENTS		57

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Murphy Oil Corp.:
5.75%, 08/15/25	USD		119	$	106,505
6.38%, 12/01/42			29		22,501
Nabors Industries Ltd.^(c):
7.25%, 01/15/26			101		62,115
7.50%, 01/15/28			78		47,970
Neptune Energy Bondco PLC, 6.63%, 05/15/25^(c)			200		174,000
NGPL PipeCo LLC, 7.77%, 12/15/37^(c)			227		277,053
NuStar Logistics LP, 6.00%, 06/01/26			163		158,110
Occidental Petroleum Corp.:
4.85%, 03/15/21			54		53,595
2.60%, 08/13/21^(h)			613		599,079
2.70%, 08/15/22			450		418,928
2.90%, 08/15/24			260		222,165
3.20%, 08/15/26			40		32,500
3.00%, 02/15/27			17		13,178
3.50%, 08/15/29			64		46,822
4.30%, 08/15/39			482		332,440
6.20%, 03/15/40^(h)			714		597,975
4.50%, 07/15/44			196		135,240
4.63%, 06/15/45			464		324,800
6.60%, 03/15/46			26		22,632
4.40%, 04/15/46			455		317,372
4.10%, 02/15/47			48		32,340
4.20%, 03/15/48			324		219,413
4.40%, 08/15/49			104		71,760
Series 1, 4.10%, 02/01/21^(h)			455		456,820
Odebrecht Offshore Drilling Finance Ltd.^(c):
6.72%, 12/01/22	BRL		57		46,788
(7.72% PIK), 7.72%, 12/01/26⁽ⁱ⁾			9		724
Parsley Energy LLC/Parsley Finance Corp.^(c):
5.38%, 01/15/25	USD		251		244,173
5.25%, 08/15/25			59		56,661
5.63%, 10/15/27			271		266,935
4.13%, 02/15/28			281		254,305
PDC Energy, Inc.:
6.25%, 12/01/25			122		102,785
1.13%, 09/15/21^(o)			922		844,535
6.13%, 09/15/24			151		140,430
5.75%, 05/15/26			133		121,030
Pertamina Persero PT, 4.30%, 05/20/23			200		210,750
Petrobras Global Finance BV:
5.30%, 01/27/25			500		518,281
6.00%, 01/27/28			189		197,382
5.60%, 01/03/31			321		322,445
7.25%, 03/17/44			212		229,821
Petroleos Mexicanos, 6.88%, 08/04/26			375		354,281
Puma International Financing SA, 5.13%, 10/06/24^(c)			200		171,500
QEP Resources, Inc.:
6.88%, 03/01/21			456		435,480
5.38%, 10/01/22			178		135,280
5.25%, 05/01/23			138		91,080
5.63%, 03/01/26^(h)			164		104,140
Range Resources Corp.:
5.88%, 07/01/22			44		40,480
5.00%, 08/15/22			252		229,320
5.00%, 03/15/23^(h)			290		249,400
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30^(c)			112		124,343
Saudi Arabian Oil Co., 3.50%, 04/16/29			400		431,750
SM Energy Co., 10.00%, 01/15/25^(c)			502		476,589
Southwestern Energy Co.:
4.10%, 03/15/22			252		240,559
6.20%, 01/23/25			125		107,031
7.50%, 04/01/26			88		77,026


Security		Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
Sunoco Logistics Partners Operations LP:
3.90%, 07/15/26^(h)	USD		235	$	246,836
5.40%, 10/01/47			93		93,048
Sunoco LP/Sunoco Finance Corp.:
6.00%, 04/15/27			63		62,370
Series WI, 4.88%, 01/15/23			213		209,805
Series WI, 5.50%, 02/15/26			33		32,010
Series WI, 5.88%, 03/15/28			124		123,090
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24^(c)^(h)			462		417,218
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
5.13%, 02/01/25			118		113,575
5.88%, 04/15/26			304		300,960
5.38%, 02/01/27			2		1,930
6.50%, 07/15/27			195		195,488
5.00%, 01/15/28			359		337,596
6.88%, 01/15/29^(h)			696		729,060
5.50%, 03/01/30^(c)			364		351,486
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28^(h)			280		313,473
Viper Energy Partners LP, 5.38%, 11/01/27^(c)			123		120,653
Western Midstream Operating LP:
4.00%, 07/01/22			43		42,862
3.95%, 06/01/25			181		169,546
4.65%, 07/01/26			131		125,472
3.10%, 02/01/25			77		72,958
4.75%, 08/15/28			66		63,195
4.05%, 02/01/30			171		164,603
5.45%, 04/01/44			329		273,991
5.30%, 03/01/48			372		301,785
5.50%, 08/15/48			63		51,030
5.25%, 02/01/50			318		275,165
WPX Energy, Inc.:
8.25%, 08/01/23			100		111,000
5.25%, 09/15/24			84		82,740
5.75%, 06/01/26			61		59,170
5.25%, 10/15/27			104		97,156
5.88%, 06/15/28			204		196,034
4.50%, 01/15/30^(h)			499		439,120
YPF SA:
8.75%, 04/04/24^(c)			400		322,200
8.50%, 07/28/25			250		185,784

					39,346,656

Paper & Forest Products — 0.0%
Norbord, Inc., 6.25%, 04/15/23^(c)			152		159,632


Personal Products — 0.0%
Edgewell Personal Care Co., 5.50%, 06/01/28^(c)			176		180,840


Pharmaceuticals — 2.9%
AbbVie, Inc.^(h):
3.45%, 03/15/22^(c)			2,460		2,558,548
3.60%, 05/14/25			695		768,512
Bausch Health Americas, Inc., 8.50%, 01/31/27^(c)^(h)			1,109		1,176,926
Bausch Health Cos., Inc.:
5.50%, 03/01/23^(c)			150		150,000
4.50%, 05/15/23	EUR		346		384,280
5.88%, 05/15/23^(c)	USD		33		32,917
6.13%, 04/15/25^(c)^(h)			813		824,602
5.50%, 11/01/25^(c)^(h)			152		155,800
9.00%, 12/15/25^(c)^(h)			501		539,682
5.75%, 08/15/27^(c)			145		153,700


58		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Pharmaceuticals (continued)
7.00%, 01/15/28^(c)	USD		366	$	376,980
5.00%, 01/30/28^(c)			214		201,479
6.25%, 02/15/29^(c)^(h)			529		531,645
7.25%, 05/30/29^(c)^(h)			498		522,900
5.25%, 01/30/30^(c)			260		246,675
Catalent Pharma Solutions, Inc.:
4.88%, 01/15/26^(c)			324		328,925
5.00%, 07/15/27^(c)			495		513,874
2.38%, 03/01/28	EUR		100		106,265
Charles River Laboratories International, Inc.^(c):
5.50%, 04/01/26	USD		365		379,600
4.25%, 05/01/28			188		187,904
CVS Health Corp.^(h):
4.75%, 12/01/22			165		178,487
4.10%, 03/25/25			2,355		2,663,369
Elanco Animal Health, Inc., 5.65%, 08/28/28			176		195,149
Endo Dac/Endo Finance LLC/Endo Finco, Inc.^(c):
9.50%, 07/31/27			163		172,405
6.00%, 06/30/28			182		117,390
Jaguar Holding Co. II/PPD Development LP^(c):
4.63%, 06/15/25			536		545,487
5.00%, 06/15/28^(h)			501		512,899
Nidda BondCo GmbH, 7.25%, 09/30/25	EUR		100		114,323
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24			100		110,523
Par Pharmaceutical, Inc., 7.50%, 04/01/27^(c)^(h)	USD		1,253		1,285,829
Synlab Bondco PLC(3 mo. Euribor + 4.75%), 4.75%, 07/01/25^(d)	EUR		100		112,125

					16,149,200

Producer Durables: Miscellaneous — 0.3%
Boxer Parent Co., Inc.:
6.50%, 10/02/25			100		115,608
7.13%, 10/02/25^(c)	USD		388		406,818
9.13%, 03/01/26^(c)(h)			601		622,035
Open Text Corp., 3.88%, 02/15/28^(c)			411		395,715
Open Text Holdings, Inc., 4.13%, 02/15/30^(c)			411		403,807

					1,943,983

Professional Services — 0.3%
ASGN, Inc., 4.63%, 05/15/28^(c)			109		106,451
Dun & Bradstreet Corp.^(c)^(h):
6.88%, 08/15/26			1,062		1,119,412
10.25%, 02/15/27			497		551,670

					1,777,533

Real Estate — 0.4%
China Aoyuan Group Ltd., 7.95%, 02/19/23			450		466,969
China SCE Group Holdings Ltd., 7.25%, 04/19/23			200		198,500
Country Garden Holdings Co. Ltd., 6.15%, 09/17/25			200		211,593
Easy Tactic Ltd., 9.13%, 07/28/22			200		190,793
Kaisa Group Holdings Ltd., 11.95%, 10/22/22			200		208,437
Logan Property Holdings Co. Ltd., 6.50%, 07/16/23			200		204,750
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22			200		202,042
Prologis LP, 3.75%, 11/01/25^(h)			255		292,699
Ronshine China Holdings Ltd., 8.95%, 01/22/23			200		208,875
Zhenro Properties Group Ltd., 9.15%, 03/08/22			200		204,250

					2,388,908

Real Estate Management & Development — 2.4%
ADLER Real Estate AG, 3.00%, 04/27/26	EUR		100		111,181
Agile Group Holdings Ltd.:
(5 year CMT + 11.29%), 7.88%(k)^(l)	USD		200		196,438
6.70%, 03/07/22			250		256,297


Security		Par (000)		Value

Real Estate Management & Development (continued)
Central China Real Estate Ltd.:
6.88%, 08/08/22	USD		200	$	197,750
7.25%, 04/24/23			200		197,412
7.65%, 08/27/23			245		242,261
China Aoyuan Group Ltd., 7.50%, 05/10/21			200		202,486
China Evergrande Group:
8.25%, 03/23/22			200		184,125
9.50%, 04/11/22			200		187,810
11.50%, 01/22/23			450		425,416
12.00%, 01/22/24			250		229,422
China SCE Group Holdings Ltd., 7.38%, 04/09/24			200		196,438
CIFI Holdings Group Co. Ltd.:
7.63%, 03/02/21			200		203,250
7.63%, 02/28/23			200		210,110
6.55%, 03/28/24			200		205,586
6.45%, 11/07/24			200		203,000
Consus Real Estate AG, 9.63%, 05/15/24	EUR		100		121,900
Country Garden Holdings Co. Ltd.:
8.00%, 01/27/24	USD		200		215,804
6.50%, 04/08/24			200		212,125
5.13%, 01/14/27			200		200,501
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28^(c)			647		674,497
Easy Tactic Ltd.:
8.75%, 01/10/21			200		198,500
8.13%, 02/27/23			200		182,312
Fantasia Holdings Group Co. Ltd.:
8.38%, 03/08/21			200		200,063
11.75%, 04/17/22			200		206,746
Greenland Global Investment Ltd.:
7.25%, 03/12/22			200		203,408
5.60%, 11/13/22			200		196,472
6.25%, 12/16/22			200		200,750
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(c)			100		100,520
Heimstaden Bostad AB(5 year EUR Swap + 3.67%), 3.25%(k)^(l)	EUR		100		107,047
Hopson Development Holdings Ltd., 7.50%, 06/27/22	USD		200		200,302
Howard Hughes Corp., 5.38%, 03/15/25^(c)			281		261,499
Kaisa Group Holdings Ltd.:
11.25%, 04/09/22			200		207,688
11.50%, 01/30/23			200		204,442
10.88%, 07/23/23			400		399,375
KWG Group Holdings Ltd.:
7.88%, 08/09/21			200		204,688
7.88%, 09/01/23			200		207,184
7.40%, 03/05/24			200		203,776
Logan Group Co. Ltd.:
7.50%, 08/25/22			200		207,013
6.90%, 06/09/24			200		207,052
5.75%, 01/14/25			200		198,924
New Metro Global Ltd.:
6.50%, 04/23/21			200		200,402
6.80%, 08/05/23			200		201,014
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25^(c)			69		69,014
Redsun Properties Group Ltd., 9.95%, 04/11/22			200		200,600
RKPF Overseas A Ltd., Class A, 6.70%, 09/30/24			513		519,573
Ronshine China Holdings Ltd.:
11.25%, 08/22/21			200		209,765
10.50%, 03/01/22			200		212,312
Seazen Group Ltd., 6.45%, 06/11/22			200		201,243


SCHEDULES OF INVESTMENTS		59

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Real Estate Management & Development (continued)
Shimao Group Holdings Ltd.:
6.13%, 02/21/24	USD		200	$	211,000
5.60%, 07/15/26			200		210,687
Sunac China Holdings Ltd.:
7.25%, 06/14/22			200		202,301
7.95%, 10/11/23			200		204,375
7.50%, 02/01/24			200		199,875
Times China Holdings Ltd., 6.75%, 07/16/23			313		317,597
Yango Justice International Ltd., 10.00%, 02/12/23			200		206,313
Yuzhou Group Holdings Co. Ltd.:
8.63%, 01/23/22			200		206,679
8.50%, 02/04/23			200		208,000
8.50%, 02/26/24			200		204,250
8.38%, 10/30/24			200		201,813
Zhenro Properties Group Ltd., 8.70%, 08/03/22			200		201,000

					13,359,383

Road & Rail — 0.5%
Autostrade per l’Italia SpA, 5.88%, 06/09/24	EUR		200		246,589
Herc Holdings, Inc., 5.50%, 07/15/27^(c)	USD		383		383,824
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34^(c)			1,615		1,905,630

					2,536,043

Semiconductors & Semiconductor Equipment — 2.4%
AMS AG, 6.00%, 07/31/25^(g)	XXX		100		111,226
Analog Devices, Inc.^(h):
3.90%, 12/15/25			375		426,895
3.50%, 12/05/26			275		307,248
Applied Materials, Inc., 3.90%, 10/01/25^(h)			285		328,156
Broadcom, Inc.^(c):
4.70%, 04/15/25			941		1,060,295
3.15%, 11/15/25			271		288,431
3.46%, 09/15/26^(h)			578		619,865
4.11%, 09/15/28^(h)			1,594		1,736,700
4.15%, 11/15/30^(h)			695		755,244
4.30%, 11/15/32^(h)			1,105		1,212,382
Entegris, Inc.^(c):
4.63%, 02/10/26			190		192,850
4.38%, 04/15/28			231		235,042
Microchip Technology, Inc.:
2.67%, 09/01/23^(c)			1,038		1,068,395
1.63%, 02/15/25^(o)			86		191,841
4.25%, 09/01/25^(c)^(h)			1,145		1,152,286
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25^(c)			33		34,593
ON Semiconductor Corp., 1.00%, 12/01/20^(o)			274		318,500
Qorvo, Inc.:
5.50%, 07/15/26			234		243,360
4.38%, 10/15/29^(c)			320		327,706
Qualcomm, Inc., 3.45%, 05/20/25^(h)			1,570		1,749,906
Sensata Tech, Inc., 4.38%, 02/15/30^(c)			190		188,100
Sensata Technologies BV^(c):
5.63%, 11/01/24			229		242,740
5.00%, 10/01/25^(h)			324		344,963

					13,136,724

Software — 1.8%
ACI Worldwide, Inc., 5.75%, 08/15/26^(c)(h)			696		725,058
Castle US Holding Corp., 9.50%, 02/15/28^(c)			534		493,950
CDK Global, Inc.:
4.88%, 06/01/27^(h)			627		643,271
5.25%, 05/15/29^(c)			138		143,302
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24^(c)^(h)			1,047		1,088,880


Security		Par (000)		Value

Software (continued)
MSCI, Inc.^(c):
4.00%, 11/15/29	USD		83	$	84,660
3.63%, 09/01/30			84		83,580
3.88%, 02/15/31^(h)			717		731,340
Nuance Communications, Inc., 5.63%, 12/15/26			303		315,120
PTC, Inc.^(c):
3.63%, 02/15/25			164		162,770
4.00%, 02/15/28			187		185,152
RP Crown Parent LLC, 7.38%, 10/15/24^(c)(h)			758		756,105
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24^(c)^(h)			2,213		2,251,727
Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23^(c)			292		294,920
SS&C Technologies, Inc., 5.50%, 09/30/27^(c)^(h)			1,814		1,840,557
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25^(c)			243		249,075
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23^(c)			200		197,000

					10,246,467

Specialty Retail — 0.6%
Asbury Automotive Group, Inc.^(c):
4.50%, 03/01/28			87		84,390
4.75%, 03/01/30			85		82,875
Gap, Inc., 8.88%, 05/15/27^(c)			160		171,187
Group 1 Automotive, Inc., 5.00%, 06/01/22			155		154,034
IAA, Inc., 5.50%, 06/15/27^(c)			372		383,763
L Brands, Inc.:
6.88%, 07/01/25^(c)			277		286,003
6.88%, 11/01/35			401		333,592
6.75%, 07/01/36			71		58,220
Penske Automotive Group, Inc., 5.50%, 05/15/26			32		31,920
PetSmart, Inc.^(c)^(h):
7.13%, 03/15/23			328		323,369
5.88%, 06/01/25			903		904,693
Staples, Inc., 7.50%, 04/15/26^(c)^(h)			583		458,092

					3,272,138

Technology Hardware, Storage & Peripherals — 0.5%
Dell International LLC/EMC Corp.^(c):
7.13%, 06/15/24^(h)			638		660,928
5.85%, 07/15/25			384		441,293
Hewlett Packard Enterprise Co., 4.90%, 10/15/25^(h)			375		432,852
NCR Corp.^(c):
5.75%, 09/01/27			220		220,000
6.13%, 09/01/29			105		104,737
Presidio Holdings, Inc., 4.88%, 02/01/27^(c)			278		271,745
Western Digital Corp., 4.75%, 02/15/26^(h)			459		474,354

					2,605,909

Textiles, Apparel & Luxury Goods — 0.1%
Hanesbrands, Inc., 5.38%, 05/15/25^(c)			123		124,384
Levi Strauss & Co.:
5.00%, 05/01/25^(c)			184		184,692
5.00%, 05/01/25			49		49,184
William Carter Co., 5.63%, 03/15/27^(c)			160		164,800

					523,060

Thrifts & Mortgage Finance — 0.0%
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27^(c)			149		141,550


Transportation Infrastructure — 0.2%
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29^(c)			200		177,840


60		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Transportation Infrastructure (continued)
Ferrovial Netherlands BV(5 year EUR Swap + 2.13%), 2.12%^(k)(l)	EUR		100	$	105,045
Heathrow Finance PLC, 4.13%, 09/01/29	GBP		100		115,422
Rumo Luxembourg Sarl, 5.88%, 01/18/25^(c)	USD		241		254,255
Transurban Finance Co. Property Ltd., 4.13%, 02/02/26^(c)(h)			435		476,069

					1,128,631

Utilities — 0.2%
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30^(c)			240		228,145
ContourGlobal Power Holdings SA, 4.13%, 08/01/25	EUR		100		114,906
Vistra Operations Co. LLC^(c):
3.55%, 07/15/24	USD		6		6,192
5.50%, 09/01/26			8		8,164
5.63%, 02/15/27			422		433,120
5.00%, 07/31/27			158		159,777

					950,304

Wireless Telecommunication Services — 2.3%
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24^(c)	USD		300		306,801
Iron mountain, Inc., 3.00%, 01/15/25	EUR		100		109,332
Millicom International Cellular SA, 5.13%, 01/15/28	USD		275		275,687
Rogers Communications, Inc., 5.00%, 03/15/44^(h)			545		695,894
SBA Communications Corp.^(h):
4.88%, 09/01/24			1,195		1,223,381
3.88%, 02/15/27^(c)			1,248		1,243,320
Sprint Capital Corp.:
6.88%, 11/15/28^(h)			805		980,087
8.75%, 03/15/32			243		347,794
Sprint Corp.^(h):
7.88%, 09/15/23			519		584,524
7.13%, 06/15/24			626		706,842
7.63%, 02/15/25			159		183,446
7.63%, 03/01/26			552		651,564
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21^(c)^(h)			163		164,479
T-Mobile USA, Inc.:
6.38%, 03/01/25^(h)			282		289,755
6.50%, 01/15/26			227		237,240
4.50%, 02/01/26^(h)			498		503,956
4.75%, 02/01/28^(h)			479		506,016
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23			112		105,840
VICI Properties LP/VICI Note Co., Inc.^(c):
3.50%, 02/15/25			387		363,780
4.25%, 12/01/26^(h)			1,246		1,193,045
3.75%, 02/15/27			411		386,340
4.63%, 12/01/29			498		485,550
4.13%, 08/15/30^(h)			1,102		1,051,032
Vodafone Group PLC(5 year EUR Swap + 2.67%), 3.10%, 01/03/79^(k)	EUR		100		112,350
VTR Comunicaciones SpA, 5.13%, 01/15/28^(c)^(g)	USD		205		209,203

					12,917,258


Total Corporate Bonds — 79.0% (Cost — $440,053,265)					441,488,920


Security		Par (000)		Value

Floating Rate Loan Interests^(d) — 44.8%

Aerospace & Defense — 0.9%
Bleriot US Bidco, Inc.,:
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26	USD		39	$	37,675
Term Loan B, (3 mo. LIBOR + 4.75%), 5.06%, 10/31/26			251		241,114
Dynasty Acquisition Co., Inc.,:
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			977		831,557
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.81%, 04/06/26			1,817		1,546,698
TransDigm, Inc.,:
2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.43%, 12/09/25			2,113		1,895,323
2020 Term Loan G, (1 mo. LIBOR + 2.25%), 2.43%, 08/22/24			409		368,638

					4,921,005

Air Freight & Logistics — 0.2%
WestJet Airlines Ltd., Term Loan B, 0.00%, 12/11/26^(p)			1,339		1,070,468


Airlines — 0.4%
American Airlines, Inc.,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 01/29/27			65		48,697
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 12/14/23			973		774,361
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.18%, 04/28/23			415		326,769
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/12/24			294		287,385
Mileage Plus Holdings LLC, 2020 Term Loan B, 1.00%, 06/25/27			1,003		995,056

					2,432,268

Auto Components — 0.9%
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/12/25			849		809,124
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 04/30/26			2,350		2,232,035
USI, Inc.,:
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.31%, 05/16/24			1,506		1,425,778
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.31%, 12/02/26			85		81,968
Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.07%, 02/05/26			615		582,672

					5,131,577

Banks — 0.3%
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 11/01/24			1,457		1,393,342


Building Materials — 0.1%
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 07/10/26			819		794,362


Building Products — 0.4%
CPG International, Inc., 2017 Term Loan, 0.00%, 05/05/24^(p)			590		583,097
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23			1,625		1,563,184

					2,146,281


SCHEDULES OF INVESTMENTS		61

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Capital Markets — 0.5%
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 0.00%, 04/09/27^(p)	USD		1,422	$	1,379,021
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 04/12/24^(a)			286		268,409
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26			465		437,960
Travelport Finance (Luxembourg) Sarl,:
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 9.31%, 05/28/27			410		116,440
2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.07%, 05/29/26			894		584,628

					2,786,458

Chemicals — 1.7%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24			1,364		1,310,587
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26			1,057		1,034,587
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 2.06%, 06/01/24			730		697,211
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 05/16/24			1,369		1,307,137
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 05/16/24			260		248,406
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 04/03/25			342		322,255
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24			350		323,106
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24^(a)			563		537,892
Illuminate Buyer LLC, Term Loan, 1.00%, 06/16/27^(p)			892		876,978
Invictus US LLC,:
1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.78%, 03/28/25			344		316,880
2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.53%, 03/30/26			135		106,875
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.81%, 03/01/26			800		761,303
momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 05/15/24			431		402,877
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 3.69%, 10/14/24			998		915,651
Starfruit Finco BV, 2018 USD Term Loan B, 1.00%, 10/01/25^(p)			118		110,142

					9,271,887

Commercial Services & Supplies — 1.7%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.00%, 11/10/23			1,037		1,023,574
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.93%, 03/11/25			375		352,989
Asurion LLC,:
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.68%, 08/04/25			570		565,725
2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 3.18%, 08/04/22			221		214,490
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/23			1,765		1,704,833
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.18%, 11/03/24			384		369,996


Security		Par (000)		Value

Commercial Services & Supplies (continued)
Creative Artists Agency LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 11/27/26	USD		858	$	809,866
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 3.76%, 09/06/24			829		760,030
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25			189		173,693
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25			309		299,599
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23			166		120,282
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.50%, 09/19/26			448		424,102
Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26			868		832,570
US Ecology, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 2.68%, 11/01/26^(a)			157		152,494
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/27/25			1,086		1,046,838
West Corp.,:
2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24			974		827,082
2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24			98		81,789

					9,759,952

Communications Equipment — 0.1%
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24			689		669,760


Construction & Engineering — 0.4%
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.37%, 06/21/24			1,116		1,018,314
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.94%, 04/12/25			128		121,174
SRS Distribution, Inc., 2018 1st Lien Term Loan, 0.00%, 05/23/25^(p)			867		817,251

					1,956,739

Construction Materials — 0.8%
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/27			656		624,103
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24			2,007		1,907,040
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 03/29/25^(a)			950		902,292
Forterra Finance LLC, 2017 Term Loan B, 0.00%, 10/25/23^(p)			837		812,029

					4,245,464

Containers & Packaging — 0.7%
Berry Global, Inc., Term Loan W, (1 mo. LIBOR + 2.00%), 2.18%, 10/01/22			1,595		1,550,427
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.56%, 04/03/24			1,071		958,634
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.43%, 12/29/23			1,050		1,001,514
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.18%, 07/31/26			139		133,632

					3,644,207


62		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Distributors — 0.2%
TriMark USA LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%), 4.58%, 08/28/24	USD		1,334	$	996,308


Diversified Consumer Services — 1.1%
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 02/01/27			204		199,834
APX Group, Inc., 2020 Term Loan, (PRIME + 4.00%), 6.21%, 12/31/25			62		57,752
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24			773		734,139
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27			1,161		1,081,776
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 0.75%), 3.25%, 11/07/23			786		760,932
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 07/12/25			968		864,265
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/24			410		394,428
Serta Simmons Bedding, LLC, :
2020 Super Priority First Out Term Loan, 1.00%, 08/10/23^(p)			190		186,249
2020 Super Priority Second Out Term Loan, (2 mo. LIBOR + 7.50%), 8.50%, 08/10/23			255		212,621
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 03/19/26			670		647,825
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 07/13/23			852		809,657

					5,949,478

Diversified Financial Services — 1.0%
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 5.18%, 07/31/26			623		574,768
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 04/04/24			1,728		1,666,343
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.43%, 11/18/24			344		330,856
Credito Real SAB de CV, Term Loan B, (3 mo. LIBOR + 3.75%), 4.12%, 02/17/23^(a)			35		31,150
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 5.07%, 02/07/25			610		571,398
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24			693		589,820
SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 6.20%, 01/23/25^(a)			540		474,912
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.56%, 07/30/25^(a)			147		136,279
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/28/27			897		863,749
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.68%, 04/30/28			600		564,876

					5,804,151

Diversified Telecommunication Services — 0.7%
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24			657		627,211
Iridium Satellite LLC, Term Loan, 0.00%, 11/04/26^(p)			728		712,692


Security		Par (000)		Value

Diversified Telecommunication Services (continued)
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 03/01/27	USD		566	$	534,470
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24			1,006		961,697
Northwest Fiber LLC, Term Loan B, (3 mo. LIBOR + 5.50%), 5.67%, 05/21/27^(a)			369		365,310
TDC A/S, EUR Term Loan, (EURIBOR + 3.00%), 3.00%, 06/04/25	EUR		819		890,540

					4,091,920

Electric Utilities — 0.3%
Pacific Gas & Electric Co., 2020 Exit Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/23/25	USD		1,228		1,204,975
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/20^(a)			780		—
Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 1.94%, 12/31/25			602		580,388

					1,785,363

Energy Equipment & Services — 0.3%
Gates Global LLC, 2017 USD Repriced Term Loan B, 0.00%, 04/01/24^(p)			1,476		1,418,371
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25			527		512,239

					1,930,610

Equity Real Estate Investment Trusts (REITs) — 0.5%
Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 08/09/26^(a)			262		242,086
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 08/21/25			839		787,861
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 05/11/24			248		232,650
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 12/20/24			1686		1,567,520

					2,830,117

Food & Staples Retailing — 0.4%
Hearthside Food Solutions LLC,:
2018 Incremental Term Loan, 0.00%, 05/23/25^(p)			506		482,179
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.87%, 05/23/25			269		255,043
US Foods, Inc.,:
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 06/27/23			1,080		1,012,978
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.07%, 09/13/26			404		375,673

					2,125,873

Food Products — 1.2%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 10/01/25			463		447,690
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.68%, 10/10/26			73		72,117
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23			1,627		1,560,765
Froneri International Ltd., :
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.93%, 01/31/28			87		82,433
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 01/29/27			2,140		2,007,420


SCHEDULES OF INVESTMENTS		63

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Food Products (continued)
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.01%, 08/03/25	USD		427	$	411,068
JBS USA LUX SA, 2019 Term Loan B, (2 mo. LIBOR + 2.00%), 3.07%, 05/01/26			115		109,311
Pathway Vet Alliance LLC,^(p):
2020 Delayed Draw Term Loan, 1.00%, 03/31/27			18		17,056
2020 Term Loan, 1.00%, 03/31/27			216		209,863
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/23			2,122		2,021,749

					6,939,472

Health Care Equipment & Supplies — 0.5%
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 06/15/21			1,167		1,120,162
Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 3.50%, 09/24/24			264		196,641
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 06/30/25			1,462		1,364,364

					2,681,167

Health Care Providers & Services — 1.2%
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25			334		320,183
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 06/07/23			961		923,918
Da Vinci Purchaser Corp., 2019 Term Loan, (6 mo. LIBOR + 4.00%, 1.00% Floor), 5.24%, 01/08/27			547		531,263
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/06/25			286		254,287
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 10/10/25			904		589,542
EyeCare Partners LLC,:
2020 Delayed Draw Term Loan, 1.00%, 02/18/27			—		—
2020 Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 02/05/27			520		466,830
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25			817		789,677
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.50%), 4.68%, 08/06/26			862		835,820
HCA, Inc.,:
Term Loan B12, (1 mo. LIBOR + 1.75%), 1.93%, 03/13/25			262		256,623
Term Loan B13, (1 mo. LIBOR + 1.75%), 1.93%, 03/18/26			763		745,059
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23			147		139,125
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22			521		427,541
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/06/24			350		266,899

					6,546,767

Health Care Services — 0.3%
Emerald TopCo., Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.26%, 07/24/26^(a)			1,147		1,109,443


Security		Par (000)		Value

Health Care Services (continued)
WP CityMD Bidco LLC, 2019 Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.15%, 08/13/26	USD		681	$	669,230

					1,778,673

Health Care Technology — 0.3%
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24			1,597		1,530,505
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 10/10/25			271		257,905

					1,788,410

Hotels, Restaurants & Leisure — 2.0%
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 11/19/26			1,008		953,422
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 02/02/26			282		243,671
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24			434		429,660
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 2.86%, 10/19/24			367		347,888
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.36%, 09/15/23			398		373,402
Caesars Resort Collection LLC,:
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 12/23/24			1,363		1,208,350
2020 Term Loan, 1.00%, 06/19/25^(p)			1,448		1,358,412
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 08/08/21			432		418,306
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.18%, 11/30/23			553		522,999
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.31%, 03/13/25			49		39,506
Golden Nugget LLC, 2017 Incremental Term Loan B, 0.00%, 10/04/23^(p)			749		591,563
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23^(a)			80		79,699
IRB Holding Corp, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25			880		810,828
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.94%, 04/03/25			501		478,795
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24			163		136,981
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.07%, 12/10/24			488		487,190
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 3.20%, 08/14/24			364		320,898
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.81%, 07/10/25			631		626,277
Station Casinos LLC, 2020 Term Loan B, 0.00%, 02/08/27^(p)			848		769,663
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 07/31/26			1,018		973,278
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 05/30/25			204		191,720

					11,362,508


64		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Household Durables — 0.1%
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 02/04/27	USD		704	$	677,446


Independent Power and Renewable Electricity Producers — 0.4%
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 01/15/25			897		862,322
Calpine Corp.,:
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.18%, 08/12/26			993		953,415
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.43%, 04/05/26			273		263,070

					2,078,807

Industrial Conglomerates — 0.7%
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 11/28/21			461		419,902
Vertical US Newco Inc, USD Term Loan B, 1.00%, 07/01/27^(a)(p)			744		732,840
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 03/02/27			3,171		2,988,717

					4,141,459

Insurance — 1.4%
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 05/09/25			1,341		1,268,578
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.44%, 05/09/25			287		273,045
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24			1,186		1,149,827
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/12/27			169		165,206
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27			547		522,404
Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/02/24			866		828,012
Hub International Ltd.,:
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.02%, 04/25/25			1,101		1,045,058
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25			705		692,051
Sedgwick Claims Management Services, Inc.,:
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.18%, 09/03/26			626		599,749
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26			382		369,902
Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/31/25			1,250		1,177,549

					8,091,381

Interactive Media & Services — 0.3%
Ancestry.com Operations Inc., 2019 Extended Term Loan B, (1 mo. LIBOR + 4.25%), 5.25%, 08/27/26			294		277,738
Ancestry.com Operations, Inc., Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/23^(a)			951		908,189
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23			136		129,445


Security		Par (000)		Value

Interactive Media & Services (continued)
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24	USD		440	$	417,802

					1,733,174

IT Services — 1.6%
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.18%, 10/30/26			1,809		1,749,557
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 06/01/22			874		854,648
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.68%, 11/27/24			374		360,881
Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 7.59%, 08/01/25			273		116,593
Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 12/01/23			1,661		1,595,366
Presidio, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.27%, 01/22/27			320		307,734
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.68%, 02/12/27			1,241		1,075,208
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 11/16/26			1,440		1,374,403
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.43%, 05/15/26			1,599		1,528,090

					8,962,480

Life Sciences Tools & Services — 0.7%
Albany molecular Research, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/30/25			130		123,565
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27			1,063		1,039,348
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26			2,676		2,608,216

					3,771,129

Machinery — 0.5%
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24^(a)			59		56,638
Ingersoll-Rand Global Holding Co. Ltd., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.93%, 03/01/27			873		828,631
Terex Corp., 2019 Term Loan B1, (3 mo. LIBOR + 2.75%), 3.50%, 01/31/24^(a)			116		113,227
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.36%, 03/28/25			2,189		1,996,360

					2,994,856

Media — 5.3%
Altice Financing SA,^(p):
2017 Term Loan B, 1.00%, 07/15/25			447		422,376
USD 2017 1st Lien Term Loan, 0.00%, 01/31/26			539		507,234
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.18%, 08/14/26			1,352		1,297,341
Cable One, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 1.93%, 05/01/24			126		122,705
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.93%, 04/30/25			1,626		1,563,873
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.26%, 08/21/26			2,352		2,126,199


SCHEDULES OF INVESTMENTS		65

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Media (continued)
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26	USD		3,968	$	3,722,196
CSC Holdings LLC,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 2.43%, 07/17/25			661		623,455
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.68%, 04/15/27			1,018		963,627
Diamond Sports Group LLC, Term Loan, (3 mo. LIBOR + 3.25%), 3.43%, 08/24/26			166		134,322
Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 2.42%, 02/07/24			684		660,213
Intelsat Jackson Holdings SA,:
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23			145		144,004
2020 DIP Term Loan, (UNFND + 3.60%), 5.05%, 07/14/21^(p)			36		36,887
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 3.43%, 12/01/23			1,795		1,336,026
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.19%, 10/15/26			409		404,910
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.43%, 03/24/25			529		498,747
Live Nation Entertainment, Inc., Term Loan B4, 0.00%, 10/17/26^(p)			1,005		920,993
MH Sub I LLC,:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.57%, 09/13/24			1,641		1,576,347
2020 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.06%, 09/13/24			289		278,162
Midcontinent Communications, 2019 Term Loan B, (PRIME + 1.75%), 2.96%, 08/15/26^(a)			262		249,761
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), 2.92%, 09/18/26			511		485,045
PSAV Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 03/03/25			1,317		941,370
Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 02/01/24			953		907,359
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.43%, 01/03/24			227		215,930
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.43%, 12/17/26			1,025		975,062
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23^(a)			1,480		1,424,044
UFC Holdings LLC, 2019 Term Loan, 0.00%, 04/29/26^(p)			277		264,339
Virgin Media Bristol LLC, USD Term Loan N, 0.00%, 01/31/28^(p)			953		908,053
William morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/18/25			1,210		982,859
Zayo Group Holdings, Inc., USD Term Loan, 0.00%, 03/09/27^(p)			5,204		4,928,335

					29,621,774

Metals & Mining — 0.3%
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.86%, 07/31/25			673		615,473
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 03/08/24			1,560		1,196,579

					1,812,052


Security		Par (000)		Value

Multiline Retail — 0.1%
Neiman Marcus Group Ltd LLC,:
2020 DIP Term Loan, (1 mo. LIBOR + 12.75%), 13.88%, 10/07/20	USD		71	$	72,291
2020 Exit Term Loan, 1.00%, 05/08/25^(a)(p)			103		104,349
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (PRIME + 5.00%), 8.25%, 10/25/23			353		89,274

					265,914

Oil & Gas Equipment & Services — 0.1%
McDermott Technology Americas, Inc.,:
2018 1st Lien Term Loan, (PRIME + 4.00%), 7.25%, 05/09/25			663		227,467
2020 SP DIP Roll Up Term Loan, 0.00%, 10/21/20^(p)			292		289,705

					517,172

Oil, Gas & Consumable Fuels — 0.1%
California Resources Corp., Second Out Term Loan, (3 mo. LIBOR + 10.37%, 1.00% Floor), 11.38%, 12/31/21			600		27,016
CITGO Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23			2		1,881
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 12/13/25			446		425,021
EG Group Ltd., 2018 Term Loan B, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25			249		233,477

					687,395

Personal Products — 0.4%
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 0.00%, 10/01/26^(p)			2,069		1,976,507


Pharmaceuticals — 1.7%
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25			860		783,691
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26			990		976,498
Elanco Animal Health Incorporated, Term Loan B, 1.00%, 02/04/27^(p)			955		908,504
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.11%, 11/15/27			885		850,975
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22			3,168		3,125,207
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.19%, 06/02/25			2,949		2,861,935

					9,506,810

Professional Services — 0.6%
Cast and Crew Payroll LLC, 2019 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.93%, 02/09/26			443		403,014
Dun & Bradstreet Corp., Term Loan, 0.00%, 02/06/26^(p)			2,057		2,000,329
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.86%, 08/04/25			396		286,602
STG-Fairway Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 4.57%, 01/31/27			473		439,691

					3,129,636

Real Estate Management & Development — 0.2%
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 04/18/24			1,022		926,954


66		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Road & Rail — 0.4%
Lineage Logistics Holdings LLC, 2018 Term Loan, 0.00%, 02/27/25^(p)	USD		1,930	$	1,865,792
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/13/23			656		573,031

					2,438,823

Semiconductors & Semiconductor Equipment — 0.1%
Cabot Microelectronics Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.19%, 11/17/25			467		452,121
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.18%, 05/29/25			346		333,125

					785,246

Software — 7.9%
Applied Systems, Inc.,:
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/19/24			1,607		1,559,272
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25			250		248,436
BMC Software Finance, Inc., 2017 Term Loan, 0.00%, 10/02/25^(p)			866		817,040
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.06%, 01/29/27			1,168		1,062,482
Cornerstone OnDemand, Inc., Term Loan B, (2 mo. LIBOR + 4.25%), 5.35%, 04/22/27			495		486,649
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24			1,871		1,804,856
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 4.25%, 05/28/24			496		415,126
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/30/23			492		392,114
Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 3.75%), 4.06%, 04/17/26			1,929		1,864,511
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 10/01/25			2,656		2,591,980
Informatica LLC,:
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25^(q)			487		486,391
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 02/25/27			3,256		3,109,479
Kronos, Inc.,:
2017 Term Loan B, 0.00%, 11/01/23^(p)			3,667		3,658,471
2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 11/01/24			772		771,766
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 09/30/24			1,607		1,561,067
Mitchell International, Inc.,:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 11/29/24			738		686,775
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 12/01/25			267		236,000
Renaissance Holding Corp., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 4.01%, 05/30/25			32		30,449
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 10/12/23			1,653		1,601,002
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.43%, 08/01/25			1,414		1,353,591
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 02/05/24			1,525		1,476,392
Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 2.93%, 03/03/23			1,338		1,289,224


Security		Par (000)		Value

Software (continued)
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/30/22	USD		1,882	$	1,835,356
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			582		555,835
SS&C Technologies, Inc.,:
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			829		791,605
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 04/16/25			531		505,563
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 2.93%, 05/01/24			2,422		2,295,165
Tibco Software Inc.,:
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.43%, 03/03/28			1,429		1,369,257
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 3.93%, 06/30/26^(a)			1,774		1,672,026
Ultimate Software Group, Inc.,:
2020 2nd Lien Incremental Term Loan, 1.00%, 05/03/27			794		805,910
2020 Incremental Term Loan B, 1.00%, 05/04/26^(p)			2,457		2,423,609
Term Loan B, 0.00%, 05/04/26^(p)			2,364		2,286,198
Vertafore, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.43%, 07/02/25			1,974		1,856,802

					43,900,399

Specialty Retail — 1.1%
Belron Finance US LLC,:
2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.26%, 10/30/26			418		402,229
Term Loan B, (3 mo. LIBOR + 2.50%), 2.93%, 11/13/25			183		176,569
USD Term Loan B, (3 mo. LIBOR + 2.50%), 2.97%, 11/07/24			743		716,018
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.50%), 5.18%, 06/23/25	GBP		1,000		1,193,873
IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26	USD		287		273,287
MED ParentCo LP,:
1st Lien Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			118		106,512
1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.61%, 08/31/26			673		607,061
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/18/21			538		483,621
PetSmart, Inc., Term Loan B2, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/11/22			1,877		1,849,473
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24			385		352,871

					6,161,514

Technology Hardware, Storage & Peripherals — 0.2%
Electronics for Imaging, Inc., Term Loan, 0.00%, 07/23/26^(a)(p)			531		414,420
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 1.92%, 04/29/23			822		798,469

					1,212,889

Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, 2018 1st Lien Term Loan, 0.00%, 05/23/25^(p)			1,172		1,085,062


SCHEDULES OF INVESTMENTS		67

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)


Security		Par (000)		Value

Trading Companies & Distributors — 0.2%
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 1.93%, 10/17/23	USD		1,077	$	1,038,855


Utilities — 0.1%
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/28/24			786		760,299


Wireless Telecommunication Services — 1.0%
Ligado Networks LLC, PIK Exit Term Loan (12.20% Cash or 9.75% PIK), 0.00%, 12/07/20⁽ⁱ⁾			102		90,282
SBA Senior Finance II LLC, 2018 Term Loan B, 0.00%, 04/11/25^(p)			1,080		1,037,280
T-Mobile USA, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.18%, 04/01/27			2,874		2,867,792
Xplornet Communications, Inc., 2020 Term Loan B, 0.00%, 05/29/27^(p)			1,550		1,476,375

					5,471,729


Total Floating Rate Loan Interests — 44.8% (Cost — $263,780,758)					250,584,349


Foreign Agency Obligations — 4.0%

Bahrain — 0.1%
CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25			400		445,000


Colombia — 0.4%
Colombia Government International Bond:
8.13%, 05/21/24			238		285,674
4.50%, 01/28/26^(h)			1,354		1,474,591
3.88%, 04/25/27			200		211,938

					1,972,203

Dominican Republic — 0.1%
Dominican Republic International Bond:
5.50%, 01/27/25			159		160,690
5.95%, 01/25/27			491		493,915

					654,605

Egypt — 0.3%
Egypt Government International Bond:
5.75%, 05/29/24^(c)			215		215,941
5.88%, 06/11/25			335		337,931
7.60%, 03/01/29			816		830,790
8.50%, 01/31/47^(c)			321		313,777

					1,698,439

Iceland — 0.6%
Iceland Government International Bond, 5.88%, 05/11/22			3,030		3,266,369


Indonesia — 0.3%
Indonesia Government International Bond:
4.75%, 01/08/26			595		671,048
4.10%, 04/24/28^(h)			650		720,891
5.35%, 02/11/49^(h)			200		259,313

					1,651,252

Mexico — 0.2%
Mexico Government International Bond, 4.15%, 03/28/27^(h)			1,052		1,128,796


mongolia — 0.1%
mongolia Government International Bond, 8.75%, 03/09/24			250		269,375


Security		Par (000)		Value

Panama — 0.1%
Panama Government International Bond, 3.16%, 01/23/30^(h)	USD		699	$	752,736


Paraguay — 0.1%
Paraguay Government International Bond^(c):
4.95%, 04/28/31			300		333,000
5.40%, 03/30/50			200		226,812

					559,812

Peru — 0.1%
Peruvian Government International Bond, 2.78%, 01/23/31			609		649,651


Portugal — 0.7%
Portugal Government International Bond, 5.13%, 10/15/24^(c)			3,190		3,709,077


Qatar — 0.3%
Qatar Government International Bond:
4.50%, 04/23/28			690		813,337
4.00%, 03/14/29^(c)(h)			710		816,500

					1,629,837

Russia — 0.2%
Russian Foreign Bond - Eurobond:
4.75%, 05/27/26			600		682,800
4.25%, 06/23/27			600		669,600

					1,352,400

Saudi Arabia — 0.2%
Saudi Government International Bond, 4.50%, 04/17/30			1,035		1,220,265


South Africa — 0.0%
Republic of South Africa Government International Bond, 5.88%, 05/30/22			200		211,687


Sri Lanka — 0.1%
Sri Lanka Government International Bond:
6.85%, 03/14/24			200		138,000
6.35%, 06/28/24			200		138,000
7.85%, 03/14/29			400		260,000
7.55%, 03/28/30			200		128,500

					664,500

Ukraine — 0.1%
Ukraine Government International Bond:
7.75%, 09/01/22			118		123,015
8.99%, 02/01/24			200		215,000
9.75%, 11/01/28			236		269,630

					607,645

Total Foreign Agency Obligations — 4.0% (Cost — $21,575,614)				22,443,649


		Shares

Investment Companies — 1.3%

Fixed Income Funds — 1.3%
Invesco Senior Loan ETF			197,601		4,218,781
iShares iBoxx $ Investment Grade Corporate Bond ETF^(u)			20,000		2,690,000


Total Investment Companies — 1.3% (Cost — $6,966,023)					6,908,781


68		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)



Security		Par (000)		Value

Non-Agency Mortgage-Backed Securities — 1.8%

Collateralized Mortgage Obligations — 0.9%
Alternative Loan Trust, Series 2007-19, Class 1A1, 6.00%, 08/25/37	USD		695	$	514,041
Countrywide Alternative Loan Trust:
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35			1,646		1,328,731
Series 2006-J8, Class A5, 6.00%, 02/25/37			2,282		1,458,731
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2005-17, Class 1A6, 5.50%, 09/25/35			23		234,345
Series 2006-17, Class A2, 6.00%, 12/25/36			863		573,398
Series 2007-HY5, Class 3A1, 3.85%, 09/25/37^(e)			595		528,773
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.87%, 10/25/35^(e)			460		339,659

					4,977,678

Commercial Mortgage-Backed Securities — 0.9%
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33^(c)(e)			4,830		5,118,081


Total Non-Agency Mortgage-Backed Securities — 1.8% (Cost — $10,061,360)				10,095,759


		Beneficial Interest (000)

Other Interests^(r) — 0.0%

Auto Components — 0.0%
Lear Corp. Escrow^(a)(b)(j)			1,000		10


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


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


		Par (000)

Preferred Securities

Capital Trusts — 6.9%

Banks — 1.2%
Banco Mercantil del Norte SA, 6.75%^(c)(d)(k)(l)	USD		396		373,787
Bank of East Asia Ltd., 5.88%^(k)(l)	HKD		250		241,050
Bankia SA, 6.38%^(k)(l)	EUR		200		212,026
Burgan Bank SAK, 5.75%^(k)(l)	KWD		250		242,031
Capital One Financial Corp., Series E, 4.15%^(d)(h)(l)	USD		3,000		2,445,000
CIT Group, Inc., Series A, 5.80%^(k)(l)			235		180,804
Nanyang Commercial Bank Ltd., 5.00%^(k)(l)	EUR		200		194,813
TMB Bank PCL, 4.90%^(k)(l)	USD		250		231,094
Wells Fargo & Co.,^(h)(k)(l):
Series S, 5.90%			1,500		1,481,363
Series U, 5.88%			968		1,006,110

					6,608,078

Capital Markets — 0.7%
China Cinda Asset Management Co. Ltd., 4.45%^(k)(l)	CNY		200		200,625
Goldman Sachs Group, Inc., Series M, 4.37%^(h)(k)(l)	USD		1,730		1,585,891
morgan Stanley, Series H, 3.89%^(h)(k)(l)			2,546		2,291,282

					4,077,798



Security		Par (000)		Value

Diversified Financial Services — 3.8%
Bank of America Corp.,^(h)(k)(l):
Series AA, 6.10%	USD		1,038	$	1,095,090
Series DD, 6.30%			215		238,590
Series U, 5.20%			1,250		1,205,090
Series X, 6.25%			1,929		1,996,650
Series Z, 6.50%			143		153,676
BNP Paribas SA, 4.50%^(c)(k)(l)			205		179,631
Credit Agricole SA, 6.50%^(k)(l)	EUR		100		114,228
Credit Suisse Group AG^(k)(l):
5.10%^(c)	USD		200		189,500
6.25%			200		208,336
6.38%^(c)(h)			495		502,673
HBOS Capital Funding LP, 6.85%^(l)			100		101,090
HSBC Holdings PLC^(h)(k)(l):
6.00%			415		412,406
6.25%^(d)			695		689,788
JPMorgan Chase & Co.,^(h)(k)(l):
Series 1, 4.23%			146		132,904
Series FF, 5.00%			1,345		1,286,493
Series HH, 4.60%			570		508,725
Series R, 6.00%			120		120,900
Series S, 6.75%			160		172,000
Series U, 6.13%			6,690		6,827,145
Series V, 3.62%			4,060		3,582,950
Royal Bank of Scotland Group PLC^(h)(k)(l):
6.00%			1,185		1,200,405
8.63%			200		207,950
Woori Bank, 4.25%^(k)(l)	KRW		250		249,531

					21,375,751

Diversified Telecommunication Services — 0.1%
Telefonica Europe BV^(k)(l):
4.38%	EUR		100		115,720
5.88%			100		121,066

					236,786

Electric Utilities — 0.4%
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79^(h)(k)	USD		1,750		1,907,142


Electronic Equipment, Instruments & Components — 0.0%
Belden, Inc., 4.13%, 10/15/26	EUR		100		111,784


Insurance — 0.7%
Achmea BV, 4.63%^(k)(l)			200		217,307
Heungkuk Life Insurance Co. Ltd., 4.48%^(k)(l)			200		188,125
Voya Financial, Inc., 5.65%, 05/15/53^(h)(k)			3,500		3,526,250

					3,931,682

Oil, Gas & Consumable Fuels — 0.0%
BP Capital Markets PLC, 3.25%^(k)(l)			100		112,814
Naturgy Finance BV, 3.38%^(k)(l)			100		112,631

					225,445

Utilities — 0.0%
Electricite de France SA, 3.00%^(k)(l)			200		214,067


Total Capital Trusts — 6.9%					38,688,533


		Shares

Preferred Stocks — 1.8%

Banks — 0.0%
CF-B L2 (D) LLC, (Aquired 04/08/15, cost $132,662), 0.00%^(c)(s)			135,568		13,123


SCHEDULES OF INVESTMENTS		69

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)



Security		Shares		Value

Capital Markets — 1.8%
Goldman Sachs Group, Inc., Series J, 5.50%^(k)(l)			202,526	$	5,144,161
morgan Stanley,^(k)(l):
Series F, 6.88%			120		3,189,600
Series K, 5.85%			53		1,370,732

					9,704,493


Total Preferred Stocks — 1.8%				9,717,616


Trust Preferred — 0.4%

Diversified Financial Services — 0.4%
GMAC Capital Trust I, Series 2, 6.18%, 02/15/40^(k)			105,753		2,370,982


Total Trust Preferreds — 0.4%				2,370,982


Total Preferred Securities — 9.1% (Cost — $52,343,714)					50,777,131


		Par (000)

U.S. Government Sponsored Agency Securities — 10.9%

Collateralized Mortgage Obligations — 0.3%
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.18%, 10/25/29^(d)	USD		1,600		1,609,149


Interest Only Collateralized Mortgage Obligations — 0.2%
Freddie Mac Mortgage-Backed Securities, Series K042, Class X1, 1.17%, 12/25/24^(e)			33,605		1,336,286


Mortgage-Backed Securities — 10.4%
Fannie Mae Mortgage-Backed Securities, 5.00%, 07/01/20 - 08/01/23^(h)			24		24,886
Freddie Mac Mortgage-Backed Securities, 3.50%, 07/01/49^(h)			3,810		4,078,582
Uniform Mortgage-Backed Securities, 2.50%, 07/01/50 - 08/01/50^(t)			52,000		54,066,287

					58,169,755


Total U.S. Government Sponsored Agency Securities — 10.9% (Cost — $60,767,217)					61,115,190


U.S. Treasury Obligations — 3.1%
U.S. Treasury Bonds, 2.88%, 05/15/49^(h)			1,350		1,826,402
U.S. Treasury Notes^(h):
2.75%, 04/30/23			8,000		8,580,000
2.75%, 08/31/25	USD		6,150		6,916,588


Total U.S. Treasury Obligations — 3.1% (Cost — $15,441,361)					17,322,990


		Shares

Warrants — 0.0%

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


Oil, Gas & Consumable Fuels — 0.0%
SM Energy Co., (Expires 06/30/23) (b)			12,030		44,992


Total Warrants — 0.0% (Cost — $51,609)					44,992


Total Long-Term Investments — 159.1% (Cost — $908,349,077)					889,593,720



Security		Par (000)		Value

Short-Term Securities — 0.3%

U.S. Treasury Obligations— 0.3%
U.S. Treasury Bills, 2.75%, 09/30/20^(h)	USD		1,600	$	1,610,214


Total Short-Term Securities — 0.3% (Cost — $1,599,462)				1,610,214


Total Investments Before TBA Sale Commitments — 159.4% (Cost — $909,948,539)					891,203,934


		Shares

TBA Sale Commitments — (4.8%)

Mortgage-Backed Securities — (4.8%)
Uniform Mortgage-Backed Securities, 2.50%, 08/01/50^(t)	USD		26,000		(27,003,437	)


Total TBA Sale Commitments—(4.8)% (Proceeds — $26,838,848)					(27,003,437	)


Total Investments, Net of TBA Sale Commitments — 154.6% (Cost — $883,109,691)					864,200,497


Liabilities in Excess of Other Assets — (54.6)%					(305,053,973	)


Net Assets — 100.0%				$	559,146,524

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

^(f)	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.

^(g)	When-issued security.

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

⁽ⁱ⁾	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.

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

^(k)	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.

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

^(m)	All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

⁽ⁿ⁾	Zero-coupon bond.

^(o)	Convertible security.

^(p)	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.

^(q)	Fixed rate.

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

^(s)	Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $13,123, representing less than 0.00% of its net assets as of period end, and an original cost of $132,662.

^(t)	Represents or includes a TBA transaction.


70		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

^(u)	Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliated Issuer	Par/ Shares Held at 12/31/19		Par/ Shares Purchased		Par/ Shares Sold			Par/ Shares Held at 06/30/20		Value at 06/30/20		Income		Net Realized Gain (Loss)^(a)		Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class^(b)		1,358,645		—		(1,358,645	)^(c)		—	$	—	$	18,063	$	—	$	—
iShares iBoxx $ Investment Grade Corporate Bond ETF		—		20,000		—			20,000		2,690,000		6,438		—		150,612

										$	2,690,000	$	24,501	$	—	$	150,612

^(a)

Includes net capital gain distributions, if applicable.

^(b)

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

^(c)

Represents net shares purchased (sold).

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)

BNP Paribas S.A.

0.95

06/21/19

Open

2,902,500

2,962,517

Capital Trusts

Open/Demand

BNP Paribas S.A.

0.95

06/21/19

Open

1,483,125

1,513,793

Capital Trusts

Open/Demand

BNP Paribas S.A.

0.95

06/21/19

Open

581,788

593,589

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/21/19

Open

226,188

231,299

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/21/19

Open

993,200

1,015,645

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/21/19

Open

944,843

965,956

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/21/19

Open

590,008

603,341

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/21/19

Open

2,421,969

2,475,099

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,776,250

1,813,210

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

993,431

1,014,102

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

392,531

400,699

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,455,000

1,485,275

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,434,125

1,463,966

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,493,888

1,524,972

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

654,063

667,672

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,528,788

1,560,598

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

407,531

416,011

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

154,635

157,853

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

256,275

261,608

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

386,250

394,287

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

288,563

294,567

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

680,231

694,385

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,110,819

1,133,932

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

275,224

281,240

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

263,313

268,791

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

285,938

291,887

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

1,218,544

1,243,899

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

430,650

439,611

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

370,781

378,496

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

843,750

861,307

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

162,350

165,728

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

134,925

137,732

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

0.45

06/21/19

Open

343,350

350,494

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

07/16/19

Open

569,250

580,283

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

0.15

07/17/19

Open

6,512,000

6,602,224

U.S. Treasury Obligations

Open/Demand

HSBC Securities (USA), Inc.

0.15

07/17/19

Open

8,316,000

8,431,218

U.S. Treasury Obligations

Open/Demand

RBC Capital Markets, LLC

1.30

08/26/19

Open

1,682,738

1,713,284

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

0.15

08/27/19

Open

1,636,000

1,659,221

U.S. Treasury Obligations_ST

Open/Demand

RBC Capital Markets, LLC

0.10

08/29/19

Open

264,128

266,146

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.15

08/29/19

Open

643,125

653,779

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

08/29/19

Open

419,543

427,028

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

08/29/19

Open

535,301

544,852

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

08/29/19

Open

1,561,573

1,589,434

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

09/03/19

Open

1,437,188

1,458,033

Capital Trusts

Open/Demand


SCHEDULES OF INVESTMENTS		71

Schedule of Investments (unaudited) (continued)

June 30, 2020

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)

Barclays Capital, Inc.

1.00

09/03/19

Open

1,068,750

1,084,722

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.00

09/03/19

Open

1,622,771

1,647,023

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/03/19

Open

1,327,775

1,350,393

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/03/19

Open

1,081,978

1,100,409

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/03/19

Open

509,469

518,147

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/03/19

Open

2,310,000

2,349,350

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/03/19

Open

1,226,569

1,247,463

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/04/19

Open

392,201

398,852

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

908,438

921,540

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

3,172,500

3,218,259

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

6,781,988

6,880,044

Capital Trusts

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

1,504,500

1,526,200

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

3,555,000

3,606,276

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

838,785

850,883

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

1,002,394

1,016,852

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

526,025

533,619

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

3,812,057

3,867,040

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

849,225

861,474

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

288,400

292,564

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.95

09/04/19

Open

169,744

172,192

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

09/04/19

Open

2,289,375

2,326,291

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

09/09/19

Open

446,500

453,548

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/11/19

Open

986,798

1,003,004

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/16/19

Open

1,105,561

1,123,381

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/16/19

Open

778,500

790,988

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

09/17/19

Open

806,925

818,200

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.05

09/17/19

Open

181,750

184,362

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.05

09/17/19

Open

292,370

296,572

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

103,853

105,301

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

728,850

740,486

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

597,690

607,232

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

855,400

869,057

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

412,539

419,125

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

143,696

145,990

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

788,880

801,475

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

09/17/19

Open

430,320

437,190

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

09/20/19

Open

575,920

584,867

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

09/20/19

Open

512,513

520,073

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

10/01/19

Open

264,600

268,752

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

10/01/19

Open

844,828

858,084

Corporate Bonds

Open/Demand

J.P. morgan Securities LLC

0.75

10/11/19

Open

200,430

202,514

Corporate Bonds

Open/Demand

J.P. morgan Securities LLC

1.10

10/11/19

Open

446,400

451,835

Corporate Bonds

Open/Demand

J.P. morgan Securities LLC

1.10

10/11/19

Open

862,875

873,830

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

11/12/19

Open

450,640

456,139

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

11/15/19

Open

109,385

110,671

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

11/15/19

Open

1,247,063

1,261,882

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

11/15/19

Open

380,190

384,781

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

11/21/19

Open

310,030

313,539

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

12/05/19

Open

553,465

559,246

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

12/17/19

Open

1,048,005

1,057,594

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

12/17/19

Open

2,048,770

2,067,516

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

12/18/19

Open

1,143,000

1,153,390

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

12/18/19

Open

917,975

926,320

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/18/19

Open

321,722

324,908

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/18/19

Open

1,041,074

1,051,383

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.35

12/19/19

Open

903,858

912,994

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/19/19

Open

149,425

150,905

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/19/19

Open

165,205

166,841

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/19/19

Open

334,670

337,984

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/19/19

Open

285,600

288,410

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.30

12/20/19

Open

1,726,231

1,742,885

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.17

01/02/20

Open

1,498,500

1,504,932

U.S. Treasury Obligations

Open/Demand


72		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty

Interest
Rate

Trade
Date

Maturity
Date^(a)

Face Value

Face Value
Including
Accrued Interest

Type of Non-Cash
Underlying Collateral

Remaining Contractual
Maturity of the Agreements^(a)

BNP Paribas S.A.

1.12

01/08/20

Open

837,533

843,974

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.22

01/08/20

Open

1,640,138

1,653,545

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/14/20

Open

760,598

766,285

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/14/20

Open

5,976,413

6,021,103

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/14/20

Open

1,009,775

1,018,033

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.50

01/14/20

Open

1,155,131

1,164,091

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

01/15/20

Open

1,665,343

1,677,310

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

01/16/20

Open

1,019,655

1,027,628

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/16/20

Open

1,696,500

1,708,983

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/16/20

Open

210,938

212,636

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/16/20

Open

1,348,200

1,359,053

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/16/20

Open

765,475

771,637

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.25

01/21/20

Open

168,670

169,017

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

01/21/20

Open

1,673,415

1,684,106

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

01/21/20

Open

581,819

586,186

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

01/21/20

Open

1,549,083

1,560,711

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

01/21/20

Open

396,664

399,641

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/21/20

Open

443,438

446,568

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/21/20

Open

536,130

539,915

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/21/20

Open

570,000

574,024

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.30

01/21/20

Open

1,186,868

1,196,043

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.38

01/21/20

Open

835,728

842,487

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

01/22/20

Open

882,000

888,566

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/22/20

Open

313,600

315,795

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/23/20

Open

636,380

641,218

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

01/24/20

Open

1,079,520

1,087,520

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

01/27/20

Open

869,938

875,767

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.50

01/31/20

Open

446,985

448,618

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.09

01/31/20

Open

393,335

395,709

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.09

01/31/20

Open

267,890

269,507

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.09

01/31/20

Open

275,220

276,881

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

02/06/20

Open

983,678

990,078

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

159,568

160,432

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

178,351

179,317

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

874,278

879,013

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

590,094

593,290

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

1,193,688

1,200,153

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

1,021,138

1,026,669

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/11/20

Open

580,583

583,727

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.09

02/11/20

Open

270,338

271,844

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

02/11/20

Open

158,400

159,289

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

02/11/20

Open

879,675

884,611

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

02/11/20

Open

938,210

943,474

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.30

02/11/20

Open

350,400

352,522

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

02/12/20

Open

548,368

551,730

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.35

02/12/20

Open

718,815

723,500

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

879,056

883,718

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

799,939

804,181

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

574,291

577,337

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

806,575

810,852

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

878,130

882,787

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

678,510

682,108

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

844,760

849,240

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/13/20

Open

749,875

753,851

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

02/13/20

Open

707,783

711,671

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

02/25/20

Open

727,635

731,251

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

02/26/20

Open

128,060

128,755

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

611,100

613,853

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

654,309

657,257

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

646,905

649,820

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

669,030

672,044

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

549,780

552,257

Corporate Bonds

Open/Demand


SCHEDULES OF INVESTMENTS		73

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty

Interest
Rate

Trade
Date

Maturity
Date^(a)

Face Value

Face Value
Including
Accrued Interest

Type of Non-Cash
Underlying Collateral

Remaining Contractual
Maturity of the Agreements^(a)

BNP Paribas S.A.

1.05

02/28/20

Open

657,510

660,472

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

02/28/20

Open

660,630

663,607

Corporate Bonds

Open/Demand

Credit Suisse Securities (USA) LLC

0.50

03/02/20

Open

225,000

225,559

Foreign Agency Obligations

Open/Demand

Credit Suisse Securities (USA) LLC

1.00

03/02/20

Open

222,430

223,612

Foreign Agency Obligations

Open/Demand

Goldman Sachs & Co.

0.25

03/02/20

Open

176,587

176,931

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.25

03/02/20

Open

397,350

398,125

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.25

03/02/20

Open

288,576

289,139

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.25

03/02/20

Open

253,869

254,364

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.50

03/02/20

Open

221,038

221,652

Foreign Agency Obligations

Open/Demand

Goldman Sachs & Co.

0.55

03/02/20

Open

531,421

532,985

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.55

03/02/20

Open

553,155

554,783

Capital Trusts

Open/Demand

Goldman Sachs & Co.

0.60

03/02/20

Open

391,957

393,175

Corporate Bonds

Open/Demand

Goldman Sachs & Co.

0.60

03/02/20

Open

1,270,074

1,274,022

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

0.45

03/09/20

Open

7,341

7,367

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

03/13/20

Open

231,840

232,713

Corporate Bonds

Open/Demand

BoFA Securities, Inc.

(1.25

)

03/17/20

Open

101,490

101,116

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.60

03/18/20

Open

940,275

944,663

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.60

03/18/20

Open

971,480

976,014

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

80,360

81,085

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

68,693

69,313

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

231,400

233,489

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

71,570

72,216

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

123,840

124,958

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

3.25

03/23/20

Open

150,590

151,949

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/23/20

Open

85,000

85,153

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

03/24/20

Open

361,950

362,985

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.04

03/25/20

Open

178,600

179,100

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

118,000

118,204

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

151,000

151,261

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

458,000

458,792

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

110,000

110,190

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

201,000

201,348

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

194,000

194,335

Corporate Bonds

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

139,000

139,240

Capital Trusts

Open/Demand

HSBC Securities (USA), Inc.

0.45

03/26/20

Open

529,000

529,915

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

04/01/20

Open

536,705

538,181

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

04/03/20

Open

47,765

47,908

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

04/06/20

Open

120,201

120,556

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

04/06/20

Open

389,003

390,151

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

04/07/20

Open

555,900

557,327

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

04/14/20

Open

922,000

924,197

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

04/14/20

Open

672,513

674,771

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

04/14/20

Open

937,485

940,633

Corporate Bonds

Open/Demand

J.P. morgan Securities LLC

0.75

04/14/20

Open

100,430

100,591

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

04/15/20

Open

2,897,438

2,903,554

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

1.00

04/15/20

Open

2,243,138

2,247,873

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

04/15/20

Open

2,191,031

2,195,656

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

04/15/20

Open

678,750

680,183

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

04/15/20

Open

349,966

350,705

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.10

04/15/20

Open

182,440

182,864

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

1.25

04/17/20

Open

1,011,051

1,013,579

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

2.00

04/17/20

Open

1,384,540

1,390,078

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.25

04/20/20

Open

3,110,250

3,118,026

Foreign Agency Obligations

Open/Demand

BNP Paribas S.A.

1.05

04/22/20

Open

438,863

439,746

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

04/22/20

Open

581,160

582,330

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

04/24/20

Open

352,715

353,384

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

04/27/20

Open

204,750

205,132

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

04/27/20

Open

241,380

241,938

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

04/29/20

Open

662,990

664,303

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.45

04/30/20

Open

506,606

506,993

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

04/30/20

Open

644,831

646,197

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.25

04/30/20

Open

966,219

968,265

Corporate Bonds

Open/Demand


74		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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.

0.75

04/30/20

Open

106,198

106,332

Corporate Bonds

Open/Demand

BNP Paribas S.A.

0.75

04/30/20

Open

185,000

185,235

Capital Trusts

Open/Demand

BNP Paribas S.A.

0.75

04/30/20

Open

263,318

263,652

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/08/20

Open

437,876

438,795

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

05/08/20

Open

1,746,360

1,749,111

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

05/08/20

Open

1,385,693

1,388,914

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

05/08/20

Open

970,323

972,579

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

05/08/20

Open

869,678

871,700

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

05/11/20

Open

774,368

775,551

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

05/11/20

Open

613,319

614,274

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.65

05/12/20

Open

578,588

579,110

Capital Trusts

Open/Demand

Barclays Capital, Inc.

0.65

05/12/20

Open

1,091,131

1,092,116

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

822,429

824,028

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

1,207,860

1,210,209

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

1,366,845

1,369,503

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

1,015,985

1,017,961

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

814,196

815,779

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/12/20

Open

625,625

626,841

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.55

05/12/20

Open

1,287,563

1,290,279

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

796,080

798,015

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

670,313

671,942

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

568,688

570,070

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

574,893

576,290

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

644,963

646,530

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

473,688

474,839

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

638,711

640,264

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

508,524

509,760

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

524,288

525,562

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

469,391

470,532

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

529,031

530,317

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

547,393

548,723

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/12/20

Open

641,933

643,493

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

05/15/20

Open

1,169,136

1,170,994

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.65

05/21/20

Open

677,119

677,620

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/21/20

Open

467,940

468,686

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/21/20

Open

461,213

461,948

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

05/21/20

Open

461,125

461,860

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.40

05/21/20

Open

429,660

430,345

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.40

05/21/20

Open

484,270

485,042

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.40

05/21/20

Open

503,291

504,094

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.40

05/21/20

Open

922,930

924,402

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.40

05/22/20

Open

778,365

779,576

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

0.45

05/27/20

Open

1,556,143

1,556,947

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.75

05/28/20

Open

354,149

354,717

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.65

06/01/20

Open

301,394

301,557

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

317,000

317,370

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

412,070

412,551

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

381,769

382,214

Capital Trusts

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

387,296

387,748

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

426,883

427,381

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

328,188

328,570

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

375,375

375,813

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

492,240

492,814

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

415,063

415,547

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

370,178

370,609

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

406,568

407,042

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/01/20

Open

394,129

394,589

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

06/01/20

Open

435,870

436,270

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.20

06/01/20

Open

482,813

483,295

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.25

06/01/20

Open

402,620

403,039

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.25

06/01/20

Open

400,514

400,931

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.45

06/01/20

Open

375,445

375,899

Corporate Bonds

Open/Demand


SCHEDULES OF INVESTMENTS		75

Schedule of Investments (unaudited) (continued)

June 30, 2020

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)

Barclays Capital, Inc.

0.65

06/04/20

Open

1,051,131

1,051,644

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/04/20

Open

1,182,090

1,183,331

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/04/20

Open

1,126,400

1,127,583

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.40

06/04/20

Open

821,023

821,885

Corporate Bonds

Open/Demand

Credit Agricole Corporate And Inves

0.23

06/09/20

7/14/20

3,977,684

3,978,192

U.S. Government Sponsored Agency Securities

Up to 30 Days

Credit Agricole Corporate And Inves

0.23

06/09/20

7/14/20

23,662

23,665

U.S. Government Sponsored Agency Securities

Up to 30 Days

BNP Paribas S.A.

1.05

06/09/20

Open

685,204

685,623

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/09/20

Open

360,938

361,159

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/09/20

Open

107,200

107,266

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/09/20

Open

603,750

604,120

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

0.45

06/10/20

Open

580,168

580,320

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.50

06/16/20

Open

515,100

515,207

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.55

06/16/20

Open

571,380

571,511

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

582,168

582,459

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

476,499

476,737

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

520,020

520,280

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

462,223

462,454

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

617,210

617,519

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

448,476

448,700

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

472,938

473,174

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.20

06/16/20

Open

367,133

367,316

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.50

06/19/20

Open

792,743

792,842

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.50

06/19/20

Open

660,555

660,638

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.55

06/19/20

Open

2,330,850

2,331,170

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.55

06/19/20

Open

689,788

689,882

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.60

06/19/20

Open

1,078,870

1,079,032

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

1.00

06/19/20

Open

604,073

604,224

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/19/20

Open

472,536

472,654

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/19/20

Open

514,973

515,101

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.10

06/19/20

Open

611,780

611,948

Corporate Bonds

Open/Demand

RBC Capital Markets LLC

1.30

06/19/20

Open

530,338

530,510

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.15

06/23/20

Open

408,375

408,479

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

0.50

06/29/20

Open

720,188

720,197

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.50

06/29/20

Open

1,058,288

1,058,302

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.55

06/29/20

Open

615,081

615,091

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.55

06/29/20

Open

637,813

637,822

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

0.90

06/29/20

Open

956,888

956,911

Capital Trusts

Open/Demand

Barclays Capital, Inc.

0.90

06/29/20

Open

906,395

906,418

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

368,153

368,163

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

525,140

525,155

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

390,930

390,941

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

334,954

334,963

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

473,869

473,882

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

400,640

400,651

Foreign Agency Obligations

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

402,855

402,866

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

509,375

509,389

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

397,843

397,854

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

668,300

668,319

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

406,868

406,879

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

411,446

411,458

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

1.00

06/29/20

Open

472,028

472,041

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.00

06/29/20

Open

441,183

441,195

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.00

06/29/20

Open

529,500

529,515

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/29/20

Open

454,611

454,671

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/29/20

Open

523,500

523,515

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/29/20

Open

501,839

501,853

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.05

06/29/20

Open

454,279

454,292

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.20

06/29/20

Open

468,000

468,016

Corporate Bonds

Open/Demand

BNP Paribas S.A.

1.20

06/29/20

Open

332,170

332,181

Corporate Bonds

Open/Demand


76		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

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		1.30	%		06/29/20		Open	$	590,818	$	590,860	Corporate Bonds	Open/Demand

								$	277,450,711	$	279,746,784

^(a)

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts 10-Year U.S. Ultra Note		4		09/21/20	$	630	$	1,134
2-Year US Treasury Notes		12		09/30/20		2,650		77
90-Day Euro-Dollar		165		12/14/20		41,130		7,147

								8,358

Short Contracts
10-Year U.S. Treasury Note		106		09/21/20		14,752		(46,749	)
Long U.S. Treasury Bond		17		09/21/20		3,036		4,160
U.S. Treasury Ultra Bond		109		09/21/20		23,779		(119,044	)
5-Year U.S. Treasury Note		484		09/30/20		60,859		(147,923	)
90-Day Euro-Dollar		165		12/19/22		41,143		(45,040	)

								(354,596	)

							$	(346,238	)

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	7,251,000	USD	8,141,949	BNP Paribas S.A.		07/06/20	$	5,209
EUR	265,000	USD	297,065	Goldman Sachs International		07/06/20		687
EUR	832,000	USD	934,217	HSBC Bank USA N.A.		07/06/20		611
GBP	4,498,000	USD	5,535,329	JPMorgan Chase Bank N.A.		07/06/20		38,274
GBP	880,000	USD	1,082,346	Standard Chartered Bank		07/06/20		8,087
GBP	655,000	USD	805,696	State Street Bank and Trust Co.		07/06/20		5,933
NZD	86,000	USD	55,303	Bank of America N.A.		07/06/20		194
USD	126,442	GBP	100,000	Deutsche Bank AG		07/06/20		2,529
AUD	6,150,000	NZD	6,567,136	Bank of America N.A.		09/16/20		7,731

								69,255

USD	97,935	EUR	88,000	BNP Paribas S.A.		07/06/20		(941	)
USD	110,272	EUR	100,000	JPMorgan Chase Bank N.A.		07/06/20		(2,088	)
USD	294,970	EUR	265,000	UBS AG		07/06/20		(2,782	)
USD	929,433	EUR	835,000	UBS AG		07/06/20		(8,766	)
USD	9,033,864	EUR	8,116,000	UBS AG		07/06/20		(85,201	)
USD	5,535,095	GBP	4,498,000	BNP Paribas S.A.		07/06/20		(38,508	)
USD	1,083,919	GBP	880,000	Standard Chartered Bank		07/06/20		(6,515	)
USD	1,059,198	GBP	860,000	UBS AG		07/06/20		(6,453	)
USD	53,340	NZD	86,000	Westpac Banking Corp.		07/06/20		(2,157	)
USD	8,147,246	EUR	7,251,000	BNP Paribas S.A.		08/05/20		(5,263	)
USD	297,257	EUR	265,000	Goldman Sachs International		08/05/20		(690	)
USD	934,823	EUR	832,000	HSBC Bank USA N.A.		08/05/20		(618	)
USD	5,536,309	GBP	4,498,000	JPMorgan Chase Bank N.A.		08/05/20		(38,391	)
USD	1,082,539	GBP	880,000	Standard Chartered Bank		08/05/20		(8,109	)
USD	805,841	GBP	655,000	State Street Bank and Trust Co.		08/05/20		(5,949	)
USD	55,305	NZD	86,000	Bank of America N.A.		08/05/20		(195	)
NOK	41,000,000	SEK	39,956,509	Morgan Stanley & Co. International PLC		09/16/20		(31,147	)

							$	(243,773	)

							$	(174,518	)


SCHEDULES OF INVESTMENTS		77

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

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.34.V6		5.00	%		Quarterly	06/20/25		USD	1,330	$	7,512		$	72,564		$	(65,052	)
CDX.NA.IG.34.V1		1.00			Quarterly	06/20/25		USD	11,250		(134,303	)		(130,982	)		(3,321	)

										$	(126,791	)	$	(58,418	)	$	(68,373	)

Centrally Cleared Interest Rate Swaps

Paid by the Fund

Received by the Fun

Termination
Date

Notional
Amount (000)

Value

Upfront
Premium
Paid
(Received)

Unrealized
Appreciation
(Depreciation)

Rate

Frequency

Rate

Frequency

Effective
Date

3-Month LIBOR, 0.30%

Quarterly

1.57%

Semi-Annual

02/11/20

02/11/30

USD

480

202

278

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)
Altice Finco SA		5.00	%		Quarterly	Credit Suisse International		12/20/24	EUR	40	$	(2,840	)	$	(4,910	)	$	2,070
Altice Finco SA		5.00			Quarterly	Credit Suisse International		12/20/24	EUR	30		(2,130	)		(3,043	)		913
SES SA		1.00			Quarterly	Credit Suisse International		06/20/25	EUR	20		273			488			(215	)
SES SA		1.00			Quarterly	Credit Suisse International		06/20/25	EUR	20		262			516			(254	)

											$	(4,435	)	$	(6,949	)	$	2,514

OTC Credit Default Swaps — Sell Protection


Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty		Termination Date		Credit Rating^(a)	Notional Amount (000)^(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Casino Guichard Perrachon SA		1.00	%		Quarterly		Citibank N.A.		06/20/23	B		EUR	11	$	(1,634	)	$	(995	)	$	(639	)
Casino Guichard Perrachon SA		1.00			Quarterly		Barclays Bank PLC		12/20/23	B		EUR	40		(7,239	)		(4,600	)		(2,639	)
Broadcom, Inc.		1.00			Quarterly		Citibank N.A.		06/20/24	B		USD	1,185		9,483			(72,650	)		82,133
Garfunkelux Holdco 2 SA		5.00			Quarterly		Credit Suisse International		12/20/24	B+		EUR	10		(1,941	)		(120	)		(1,821	)
Garfunkelux Holdco 2 SA		5.00			Quarterly		Credit Suisse International		12/20/24	B+		EUR	30		(5,824	)		—			(5,824	)
Garfunkelux Holdco 2 SA		5.00			Quarterly		Credit Suisse International		12/20/24	B+		EUR	10		(1,941	)		558			(2,499	)
Intrum Justitia AB		5.00			Quarterly		Credit Suisse International		12/20/24	B+		EUR	20		(1,706	)		598			(2,304	)
Rolls-Royce PLC		1.00			Quarterly		Citibank N.A.		06/20/25	BB		EUR	6		(985	)		(1,129	)		144
Rolls-Royce PLC		1.00			Quarterly		Citibank N.A.		06/20/25	BB		EUR	14		(2,160	)		(2,484	)		324
Rolls-Royce PLC		1.00			Quarterly		JPMorgan Chase Bank N.A.		06/20/25	BB		EUR	20		(3,145	)		(2,943	)		(202	)
Tesco PLC		1.00			Quarterly		morgan Stanley & Co. International PLC		12/20/28	BBB-		EUR	60		(2,365	)		(5,271	)		2,906
CMBX.NA.8		3.00			monthly		Barclays Bank PLC		10/17/57	NR		USD	5,000		(1,136,028	)		(499,645	)		(636,383	)
CMBX.NA.8		3.00			monthly		Credit Suisse International		10/17/57	NR		USD	2,500		(568,014	)		(247,129	)		(320,885	)
CMBX.NA.8		3.00			monthly		morgan Stanley & Co. International PLC		10/17/57	NR		USD	4,450		(1,011,065	)		(583,841	)		(427,224	)
CDX.NA.HY.34.V6		3.00			monthly		morgan Stanley & Co. International PLC		09/17/58	NR		USD	5,545		(1,075,265	)		(1,495,697	)		420,432
CMBX.NA.9		3.00			monthly		morgan Stanley & Co. International PLC		09/17/58	NR		USD	7,550		(1,463,992	)		(916,761	)		(547,231	)
CMBX.NA.9		3.00			monthly		Credit Suisse International		09/17/58	NR		USD	5,000		(969,531	)		(535,164	)		(434,367	)
CMBX.NA.9		3.00			monthly		Credit Suisse International		09/17/58	NR		USD	5,000		(969,531	)		(535,164	)		(434,367	)
CMBX.NA.9		3.00			monthly		Credit Suisse International		09/17/58	NR		USD	5,000		(969,531	)		(529,318	)		(440,213	)

														$	(8,182,414	)	$	(5,431,755	)	$	(2,750,659	)

^(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.


78		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

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


	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation
Centrally Cleared Swaps^(a)	$	72,766	$	(130,982	)	$	278	$	(68,373	)
OTC Swaps		2,160		(5,440,864	)		508,922		(3,257,067	)

^(a)

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)	$	—	$	—	$	—	$	—	$	12,518	$	—	$	12,518
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts		—		—		—		69,255		—		—		69,255
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps^(a)		—				—		—		278		—		278
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		511,082		—		—		—		—		511,082

	$	—	$	511,082	$	—		69,255	$	12,796	$	—	$	593,133

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	—	$	—	$	—	$	—	$	358,756	$	—	$	358,756
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		243,773		—		—		243,773
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps^(a)		—		68,373		—		—		—		—		68,373
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		8,697,931		—		—		—		—		8,697,931

	$	—	$	8,766,304	$	—	$	243,773	$	358,756	$	—	$	9,368,833

^(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). For the six months ended June 30, 2020, 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	$	—	$	—	$	(718	)	$	—	$	1,476,076		$	—	$	1,475,358
Forward foreign currency exchange contracts		—		—		—			634,606		—			—		634,606
Options purchased^(a)		—		—		—			—		4,265			—		4,265
Options written		—		—		—			—		(2,737	)		—		(2,737	)
Swaps		—		497,855		—			—		(416,752	)		—		81,103

	$	—	$	497,855	$	(718	)	$	634,606	$	1,060,852		$	—	$	2,192,595

^(a)

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


SCHEDULES OF INVESTMENTS		79

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

Derivative Financial Instruments Categorized by Risk Exposure (continued)


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

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	35	$	—	$	(506,107	)	$	—	$	(506,072	)
Forward foreign currency exchange contracts		—		—			—		274,957		—			—		274,957
Options purchased^(a)		—		—			—		—		135,662			—		135,662
Options written		—		—			—		—		(57,323	)		—		(57,323	)
Swaps		—		(5,672,071	)		—		—		278			—		(5,671,793	)

	$	—	$	(5,672,071	)	$	35	$	274,957	$	(427,490	)	$	—	$	(5,824,569	)

^(a)

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — long	$	149,400,395
Average notional value of contracts — short	$	111,809,258
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	57,532,819
Average amounts sold — in USD	$	37,503,564
Options:
Average notional amount of swaption contracts purchased	$	—	^(a)
Average notional amount of swaption contracts written	$	—	^(a)
Credit default swaps:
Average notional value — buy protection	$	6,390,394
Average notional value — sell protection	$	38,812,484
Interest rate swaps:
Average notional amount-pays fixed rate	$	—	^(a)
Average notional value — receives fixed rate	$	5,000

^(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

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


	Assets			Liabilities
Futures contracts	$	156,375		$	1,016
Forward foreign currency exchange contracts		69,255			243,773
Swaps — Centrally cleared		4,318			—
Swaps — OTC^(a)		511,082			8,697,931

Total derivative assets and liabilities in the Statements of Assets and Liabilities	$	741,030		$	8,942,720
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(160,693	)		(1,016	)

Total derivative assets and liabilities subject to an MNA	$	580,337		$	8,941,704

^(a)

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


80		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

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


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)(c)
Bank of America N.A.	$	7,925	$	(195	)	$	—	$	—	$	7,730
BNP Paribas S.A.		5,209		(5,209	)		—		—		—
Citibank N.A.		82,601		(77,897	)		—		—		4,704
Credit Suisse International		5,143		(5,143	)		—		—		—
Deutsche Bank AG		2,529		—			—		—		2,529
Goldman Sachs International		687		(687	)		—		—		—
HSBC Bank USA N.A.		611		(611	)		—		—		—
JPMorgan Chase Bank N.A.		38,274		(38,274	)		—		—		—
morgan Stanley & Co. International PLC		423,338		(423,338	)		—		—		—
Standard Chartered Bank		8,087		(8,087	)		—		—		—
State Street Bank and Trust Co.		5,933		(5,933	)		—		—		—

	$	580,337	$	(565,374	)	$	—	$	—	$	14,963


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset^(a)			Non-cash Collateral Pledged		Cash Collateral Pledged^(d)			Net Amount of Derivative Liabilities^(c)(e)
Bank of America N.A.	$	195	$	(195	)	$	—	$	—		$	—
Barclays Bank PLC		1,143,267		—			—		(1,080,000	)		63,267
BNP Paribas S.A.		44,712		(5,209	)		—		—			39,503
Citibank N.A.		77,897		(77,897	)		—		—			—
Credit Suisse International		3,497,597		(5,143	)		—		(3,460,000	)		32,454
Goldman Sachs International		690		(687	)		—		—			3
HSBC Bank USA N.A.		618		(611	)		—		—			7
JPMorgan Chase Bank N.A.		43,624		(38,274	)		—		—			5,350
morgan Stanley & Co. International PLC		4,007,172		(423,338	)		—		(3,520,000	)		63,834
Standard Chartered Bank		14,624		(8,087	)		—		—			6,537
State Street Bank and Trust Co.		5,949		(5,933	)		—		—			16
UBS AG		103,202		—			—		—			103,202
Westpac Banking Corp.		2,157		—			—		—			2,157

	$	8,941,704	$	(565,374	)	$	—	$	(8,060,000	)	$	316,330

^(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 may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

^(d)

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(e)

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


SCHEDULES OF INVESTMENTS		81

Schedule of Investments (unaudited) (continued)

June 30, 2020

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:
Common Stocks	$	44,014		$	20,034		$	39,020	$	103,068
Asset-Backed Securities		—			27,431,214			1,277,667		28,708,881
Corporate Bonds		—			439,940,235			1,548,685		441,488,920
Floating Rate Loan Interests		—			240,608,889			9,975,460		250,584,349
Foreign Agency Obligations		—			22,443,649			—		22,443,649
Investment Companies		6,908,781			—			—		6,908,781
Non-Agency Mortgage-Backed Securities		—			10,095,759			—		10,095,759
Other Interests		—			—			10		10
Preferred Securities		12,075,475			38,688,533			—		50,764,008
U.S. Government Sponsored Agency Securities		—			61,115,190			—		61,115,190
U.S. Treasury Obligations		—			17,322,990			—		17,322,990
Warrants		—			44,992			—		44,992
Short-Term Securities:
U.S. Treasury Obligations		—			1,610,214			—		1,610,214
Unfunded floating rate loan interests^(a)		—			800			—		800
Liabilities:
Investments:
TBA Sale Commitments		—			(27,003,437	)		—		(27,003,437	)
Unfunded floating rate loan interests^(a)		—			(16,036	)		—		(16,036	)

	$	19,028,270		$	832,303,026		$	12,840,842	$	864,172,138

Investments Valued at NAV^(b)										13,123

									$	864,185,261

Derivative Financial Instruments^(c)
Assets:
Credit contracts	$	—		$	426,789		$	82,133	$	508,922
Forward foreign currency contracts		—			69,255			—		69,255
Interest rate contracts		12,518			278			—		12,796
Liabilities:
Credit contracts		—			(3,325,440	)		—		(3,325,440	)
Forward foreign currency contracts		—			(243,773	)		—		(243,773	)
Interest rate contracts		(358,756	)		—			—		(358,756	)

	$	(346,238	)	$	(3,072,891	)	$	82,133	$	(3,336,996	)

The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

^(a)

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

^(b)

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.

^(c)

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 $279,746,784 are categorized within as Level 2 the disclosure hierarchy.


82		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued)

June 30, 2020

BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

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


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests		Grand Total
Assets:
Opening balance, as of December 31, 2019	$	1,015,603		$	522,907		$	1,561,152		$	8,974,479		$	10	$	12,074,151
Transfers into Level 3^(a)		—			—			—			4,223,836			—		4,223,836
Transfers out of Level 3^(b)		—			—			—			(5,495,853	)		—		(5,495,853	)
Accrued discounts/premiums		(51,552	)		—			—			7,787			—		(43,765	)
Net realized gain (loss)		—			(7,400	)		251			(138,220	)		—		(145,369	)
Net change in unrealized appreciation (depreciation)^(c)(d)		(43,614	)		(372,126	)		4,324			(525,664	)		—		(937,080	)
Purchases		544,000			3,639			—			5,662,800			—		6,210,439
Sales		(186,770	)		(108,000	)		(17,042	)		(2,733,705	)		—		(3,045,517	)

Closing balance, as of June 30, 2020	$	1,277,667		$	39,020		$	1,548,685		$	9,975,460		$	10	$	12,840,842

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020^(b)	$	(43,614	)	$	(349,323	)	$	4,324		$	(523,689	)	$	—	$	(912,302	)

^(a)

^(b)

^(c)

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

^(d)


	Credit Contracts			Grand Total
Assets:
Opening balance, as of December 31, 2019	$	84,334		$	84,334
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Accrued discounts/premiums		—			—
Net realized gain (loss)		—			—
Net change in unrealized appreciation (depreciation)^(a)(b)		(2,201	)		(2,201	)
Purchases		—			—
Sales		—			—

Closing balance, as of June 30, 2020	$	82,133		$	82,133

Net change in unrealized appreciation (depreciation) on derivative financial instruments held at June 30, 2020^(a)	$	(2,201	)	$	(2,201	)

^(a)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2020 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

^(b)

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

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

See notes to financial statements.


SCHEDULES OF INVESTMENTS		83

Statements of Assets and Liabilities (unaudited)

June 30, 2020


	DSU			FRA			BLW

ASSETS
Investments at value — unaffiliated^(a)	$	713,345,104		$	660,284,080		$	888,513,934
Investments at value — affiliated^(b)		18,811,356			25,126,276			2,690,000
Cash		902,660			330,950			—
Cash Pledged:
Collateral — reverse repurchase agreements		—			—			3,793,685
Collateral — OTC derivatives		30,000			—			8,060,000
Futures contracts		—			—			1,825,470
Centrally cleared swaps		—			1,801,000			338,000
Foreign currency at value^(c)		2,691,992			12,861			2,866,594
Receivables:
Investments sold		13,024,708			8,301,500			20,341,062
TBA sale commitments		—			—			26,986,828
Dividends — affiliated		139			60			263
Dividends — unaffiliated		—			—			71,034
Interest — unaffiliated		2,815,837			1,553,259			8,352,452
Variation margin on futures contracts		—			—			156,375
Variation margin on centrally cleared swaps		—			116,971			4,318
Swap premiums paid		791			—			2,160
Unrealized appreciation on:
Forward foreign currency exchange contracts		28,813			16,607			69,255
OTC swaps		6,821			—			508,922
Unfunded floating rate loan interests		1,487			2,001			800
Prepaid expenses		9,777			7,476			7,831
Other assets		3,887			—			—

Total assets		751,673,372			697,553,041			964,588,983


LIABILITIES
Bank overdraft		—			—			6,620,930
Collateral — reverse repurchase agreements		—			—			738,206
TBA sale commitments at value^(d)		—			—			27,003,437
Reverse repurchase agreements at value		—			—			279,746,784
Payables:
Investments purchased		37,507,423			42,361,286			81,123,425
Bank borrowings		206,000,000			191,000,000			—
Capital shares redeemed		—			278,599			—
Income dividend distributions		86,392			95,299			126,921
Interest expense		199,000			169,288			—
Investment advisory fees		311,942			384,833			370,422
Directors’ and Officer’s fees		319,949			500			399,119
Other accrued expenses		159,645			304,850			354,459
Variation margin on futures contracts		—			—			1,016
Swap premiums received		43,077			—			5,440,864
Unrealized depreciation on:
Forward foreign currency exchange contracts		162,469			67,107			243,773
OTC swaps		11,504			—			3,257,067
Unfunded floating rate loan interests		48,335			42,005			16,036

Total liabilities		244,849,736			234,703,767			405,442,459


NET ASSETS	$	506,823,636		$	462,849,274		$	559,146,524


NET ASSETS CONSIST OF
Paid-in capital^(e)(f)(g)	$	670,147,198		$	556,806,365		$	635,115,466
Accumulated loss		(163,323,562	)		(93,957,091	)		(75,968,942	)

NET ASSETS	$	506,823,636		$	462,849,274		$	559,146,524


Net asset value	$	10.83		$	12.97		$	15.65


^(a) Investments at cost — unaffiliated	$	774,273,928		$	701,896,425		$	907,409,151
^(b) Investments at cost — affiliated	$	18,723,512		$	24,810,885		$	2,539,388
^(c) Foreign currency at cost	$	2,688,354		$	12,833		$	2,824,884
^(d) Proceeds from TBA sale commitments	$	—		$	—		$	26,838,848
^(e) Par value	$	0.100		$	0.100		$	0.001
^(f) Shares outstanding		46,783,244			35,681,231			35,739,063
^(g) Shares authorized		400 million			200 million			unlimited

See notes to financial statements.


84		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations (unaudited)

Six Months Ended June 30, 2020


	DSU			FRA			BLW

INVESTMENT INCOME
Dividends — affiliated	$	102,596		$	147,317		$	24,501
Dividends — unaffiliated		219,821			292,491			568,129
Interest — unaffiliated		19,637,122			16,176,993			20,680,728
Other income		259,754			260,832			136,692
Foreign taxes withheld		(259	)		—			(3,682	)

Total investment income		20,219,034			16,877,633			21,406,368


EXPENSES
Investment advisory		2,077,214			2,486,997			2,179,184
Professional		114,865			94,013			87,076
Transfer agent		98,453			24,642			37,202
Accounting services		59,755			53,632			59,143
Custodian		12,017			14,883			43,159
Registration		9,422			6,699			6,598
Printing		7,733			6,035			8,438
Directors and Officer		—			15,456			—
Miscellaneous		15,157			13,710			26,045

Total expenses excluding interest expense and fees		2,394,616			2,716,067			2,446,845
Interest expense and fees		1,891,975			1,574,517			1,752,210

Total expenses		4,286,591			4,290,584			4,199,055
Less fees waived and/or reimbursed by the Manager		(16,555	)		(30,166	)		(3,400	)

Total expenses after fees waived and/or reimbursed		4,270,036			4,260,418			4,195,655

Net investment income		15,948,998			12,617,215			17,210,713


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Futures contracts		(4,436	)		—			1,475,358
Forward foreign currency exchange contracts		68,925			147,719			634,606
Foreign currency transactions		12,750			(3,251	)		(157,798	)
Investments — affiliated		(5,935	)		(161,570	)		—
Investments — unaffiliated		(24,434,657	)		(18,769,010	)		(13,518,713	)
Options written		—			—			(2,737	)
Swaps		(598,438	)		(124,196	)		81,103

		(24,961,791	)		(18,910,308	)		(11,488,181	)

Net change in unrealized appreciation (depreciation) on:
Futures contracts		228			—			(506,072	)
Forward foreign currency exchange contracts		66,031			96,287			274,957
Foreign currency translations		608			(12,449	)		8,715
Investments — affiliated		87,844			315,391			150,612
Investments — unaffiliated		(45,647,369	)		(36,914,911	)		(32,942,149	)
Options written		—			—			(57,323	)
Swaps		223,805			(72,204	)		(5,671,793	)
Unfunded floating rate loan interests		(214,138	)		(189,332	)		(70,521	)

		(45,482,991	)		(36,777,218	)		(38,813,574	)

Net realized and unrealized loss		(70,444,782	)		(55,687,526	)		(50,301,755	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(54,495,784	)	$	(43,070,311	)	$	(33,091,042	)

See notes to financial statements.


FINANCIAL STATEMENTS		85

Statements of Changes in Net Assets


	DSU									FRA
	Six Months Ended 06/30/20 (unaudited)			Period from 03/01/19 to 12/31/19			Year Ended 02/28/19			Six Months Ended 06/30/20 (unaudited)			Period from 09/01/19 to 12/31/19			Year Ended 08/31/19

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	15,948,998		$	32,028,542		$	42,457,853		$	12,617,215		$	9,182,798		$	30,775,188
Net realized loss		(24,961,791	)		(10,374,472	)		(7,363,476	)		(18,910,308	)		(1,960,481	)		(9,782,691	)
Net change in unrealized appreciation (depreciation)		(45,482,991	)		19,737,256			(16,979,647	)		(36,777,218	)		8,098,171			(6,388,475	)

Net increase (decrease) in net assets resulting from operations		(54,495,784	)		41,391,326			18,114,730			(43,070,311	)		15,320,488			14,604,022


DISTRIBUTIONS TO SHAREHOLDERS^(a)
From net investment income		(17,204,477	)^(b)		(37,103,506	)		(44,243,908	)		(14,139,194	)^(b)		(13,875,793	)		(32,025,983	)
From return of capital		—			(1,264,429	)		—			—			—			—

Decrease in net assets resulting from distributions to shareholders		(17,204,477	)		(38,367,935	)		(44,243,908	)		(14,139,194	)		(13,875,793	)		(32,025,983	)


CAPITAL SHARE TRANSACTIONS
Redemption of shares resulting from share repurchase program (including transaction costs)		(26,716,257	)		(39,003,259	)		(74,855,117	)		(2,485,930	)		(5,346,886	)		(11,500,788	)


NET ASSETS
Total increase (decrease) in net assets		(98,416,518	)		(35,979,868	)		(100,984,295	)		(59,695,435	)		(3,902,191	)		(28,922,749	)
Beginning of period		605,240,154			641,220,022			742,204,317			522,544,709			526,446,900			555,369,649

End of period	$	506,823,636		$	605,240,154		$	641,220,022		$	462,849,274		$	522,544,709		$	526,446,900

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

See notes to financial statements.


86		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets (continued)


	BLW
	Six Months Ended 06/30/20 (unaudited)			Period from 09/01/19 to 12/31/19			Year Ended 08/31/19

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	17,210,713		$	10,824,978		$	34,113,194
Net realized loss		(11,488,181	)		(1,710,596	)		(4,073,290	)
Net change in unrealized appreciation (depreciation)		(38,813,574	)		8,611,334			14,386,640

Net increase (decrease) in net assets resulting from operations		(33,091,042	)		17,725,716			44,426,544


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to Common shareholders		(17,566,737	)^(b)		(16,909,431	)		(34,575,364	)


CAPITAL SHARE TRANSACTIONS
Redemption of shares resulting from share repurchase program (including transaction costs)		(1,263,289	)		—			(11,648,172	)


NET ASSETS
Total increase (decrease) in net assets		(51,921,068	)		816,285			(1,796,992	)
Beginning of period		611,067,592			610,251,307			612,048,299

End of period	$	559,146,524		$	611,067,592		$	610,251,307

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

See notes to financial statements.


FINANCIAL STATEMENTS		87

Statements of Cash Flows (unaudited)

Six Months Ended June 30, 2020


	DSU			FRA			BLW

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES
Net decrease in net assets resulting from operations	$	(54,495,784	)	$	(43,070,311	)	$	(33,091,042	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used for operating activities:
Proceeds from sales of long-term investments and principal paydowns		384,256,260			268,125,318			238,293,763
Purchases of long-term investments		(291,743,790	)		(235,867,762	)		(300,929,687	)
Net proceeds from sales (purchases) of short-term securities		(2,155,360	)		(2,007,779	)		326,782
Amortization of premium and accretion of discount on investments and other fees		(476,660	)		(346,068	)		86,280
Paid-in-kind income		(618,474	)		(606,209	)		(223,178	)
Premiums paid on closing options written		—			—			(91,590	)
Net realized loss on investments		24,443,540			18,935,602			13,521,450
Net unrealized depreciation on investments		45,483,827			36,692,565			38,933,819

(Increase) Decrease in Assets:
Receivables:
Dividends — affiliated		1,899			1,394			4,991
Dividends		—			—			4
Interest — unaffiliated		813,596			103,070			(751,615	)
Variation margin on futures contracts		—			—			7,171
Variation margin on centrally cleared swaps		—			(116,971	)		3,541
Swap premiums paid		5,626			—			3,323
Prepaid expenses		(5,016	)		(3,526	)		(3,206	)
Other assets		4,740			—			—

Increase (Decrease) in Liabilities:
Cash received for reverse repurchase agreements		—			—			678,918
Payables:
Investment advisory fees		(466,353	)		(519,078	)		(376,017	)
Interest expense and fees		(340,565	)		(274,240	)		568,956
Directors’ and Officer’s fees		(42,749	)		(67	)		(55,285	)
Variation margin on futures contracts		—			—			(39,519	)
Other accrued expenses		(217,817	)		(60,382	)		(63,030	)
Swap premiums received		(10,520	)		—			1,457,581
Other liabilities		(575,071	)		(568,672	)		(205,327	)

Net cash provided by (used for) operating activities		103,861,329			40,416,884			(41,942,917	)


CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES
Cash dividends paid to Common Shareholders		(20,631,550	)		(16,873,213	)		(20,955,000	)
Payments for bank borrowings		(236,000,000	)		(174,000,000	)		—
Payments on redemption of Common Shares		(26,716,257	)		(2,207,331	)		(1,263,289	)
Proceeds from bank borrowings		180,000,000			151,000,000			—
Increase in bank overdraft		—			—			6,620,930
Net borrowing of reverse repurchase agreements		—			—			65,778,381

Net cash (provided by) used for financing activities		(103,347,807	)		(42,080,544	)		50,181,022


CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
Cash impact from foreign exchange fluctuations	$	1,847		$	(12,455	)	$	9,542


CASH AND FOREIGN CURRENCY
Net increase (decrease) in restricted and unrestricted cash and foreign currency		515,369			(1,676,115	)		8,247,647
Restricted and unrestricted cash and foreign currency at beginning of period		3,109,283			3,820,926			8,636,102

Restricted and unrestricted cash and foreign currency at end of period	$	3,624,652		$	2,144,811		$	16,883,749


SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid during the period for interest expense	$	2,232,540		$	1,848,757		$	1,183,254

See notes to financial statements.


88		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2020


	DSU		FRA		BLW

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES
Cash	$	902,660	$	330,950	$	—
Cash pledged:
Collateral — reverse repurchase agreements		—		—		3,793,685
Collateral — OTC derivatives		30,000		—		8,060,000
Futures contracts		—		—		1,825,470
Centrally cleared swaps		—		1,801,000		338,000
Foreign currency at value		2,691,992		12,861		2,866,594

	$	3,624,652	$	2,144,811	$	16,883,749


RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGNCURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES
Cash	$	2,941,945	$	2,708,544	$	1,806,397
Cash pledged:
Collateral — reverse repurchase agreements		—		—		2,088,865
Collateral — OTC derivatives		—		—		1,510,000
Futures contracts		4,000		—		822,592
Centrally cleared swaps		—		—		662,000
Foreign currency at value		163,338		1,112,382		1,746,248

	$	3,109,283	$	3,820,926	$	8,636,102

See notes to financial statements.


FINANCIAL STATEMENTS		89

Financial Highlights

(For a share outstanding throughout each period)


	DSU
	Six Months Ended 06/30/20 (unaudited)			Period from 03/01/19 to 12/31/19			Year Ended February 28,									Year Ended February 29, 2016^(a)(b)			Year Ended February 28, 2015^(a)(b)
	Six Months Ended 06/30/20 (unaudited)			Period from 03/01/19 to 12/31/19			2019			2018^(a)			2017^(a)			Year Ended February 29, 2016^(a)(b)			Year Ended February 28, 2015^(a)(b)

Net asset value, beginning of period	$	12.25		$	12.16		$	12.62		$	12.70		$	11.38		$	12.87		$	13.32

Net investment income^(c)		0.33			0.64			0.79			0.78			0.73			0.77			0.87
Net realized and unrealized gain (loss)		(1.39	)		0.21			(0.43	)		(0.04	)		1.34			(1.46	)		(0.43	)

Net increase (decrease) from investment operations		(1.06	)		0.85			0.36			0.74			2.07			(0.69	)		0.44


Distributions^(d)
From net investment income		(0.36	)^(e)		(0.73	)		(0.82	)		(0.82	)		(0.75	)		(0.80	)		(0.89	)
From return of capital		—			(0.03	)		—			—			—			—			—

Total distributions		(0.36	)		(0.76	)		(0.82	)		(0.82	)		(0.75	)		(0.80	)		(0.89	)


Net asset value, end of period	$	10.83		$	12.25		$	12.16		$	12.62		$	12.70		$	11.38		$	12.87


Market price, end of period	$	9.33		$	11.20		$	10.78		$	11.47		$	11.68		$	9.96		$	11.43


Total Return^(f)
Based on net asset value		(8.23	)%^(g)		8.03	%^(g)		3.86	%		6.60	%^(h)		19.57	%		(4.73	)%		4.15	%

Based on market price		(13.53	)%^(g)		11.42	%^(g)		1.30	%		5.35	%		25.53	%		(6.03	)%		0.66	%


Ratios to Average Net Assets⁽ⁱ⁾
Total expenses		1.60	%^(j)		2.21	%^(j)(k)		2.23	%		1.86	%		1.36	%		1.18	%		1.24	%

Total expenses after fees waived and/or reimbursed		1.60	%^(j)		2.21	%^(j)(k)		2.23	%		1.85	%		1.35	%		1.18	%		1.24	%

Total expenses after fees waived and/or reimbursed and excluding interest expense		0.89	%^(j)		0.92	%^(j)		0.96	%		0.94	%		0.87	%		0.84	%		0.89	%

Net investment income		5.97	%^(j)		6.25	%^(j)		6.40	%		6.12	%		6.04	%		6.29	%		6.68	%


Supplemental Data
Net assets, end of period (000)	$	506,824		$	605,240		$	641,220		$	742,204		$	780,810		$	709,236		$	801,887

Borrowings outstanding, end of period (000)	$	206,000		$	262,000		$	278,000		$	338,000		$	318,000		$	190,000		$	295,000

Asset coverage, end of period per $1,000 of bank borrowings	$	3,461		$	3,310		$	3,308		$	3,196		$	3,455		$	4,733		$	3,719

Portfolio turnover rate		40	%		53	%		62	%		59	%		55	%		41	%		54	%

^(a)	Consolidated Financial Highlights through November 30, 2017.

^(b)	Per share operating performance amounts have been adjusted to reflect a one-for-three reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016.

^(c)	Based on average shares outstanding.

^(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

^(f)	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.

^(g)	Aggregate total return.

^(h)	Includes payment received from an affiliate, which had no impact on the Fund’s total return.

⁽ⁱ⁾	Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:


	Six Months Ended 06/30/20 (unaudited)			Period from 03/01/19 to 12/31/19			Year Ended February 28,									Year Ended February 29, 2016^(a)(b)			Year Ended February 28, 2015^(a)(b)
	Six Months Ended 06/30/20 (unaudited)			Period from 03/01/19 to 12/31/19			2019			2018^(a)			2017^(a)			Year Ended February 29, 2016^(a)(b)			Year Ended February 28, 2015^(a)(b)
Investments in underlying funds		0.03	%		0.03	%		—	%		—	%		0.02	%		0.01	%		—	%

^(j)	Annualized.

^(k)	Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.


90		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)


	FRA
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			Year Ended August 31,
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			2019			2018^(a)			2017^(a)			2016^(a)			2015^(a)

Net asset value, beginning of period	$	14.55		$	14.49		$	14.92		$	14.93		$	14.78		$	14.91		$	15.38

Net investment income^(b)		0.35			0.25			0.84			0.79			0.76			0.76			0.81
Net realized and unrealized gain (loss)		(1.54	)		0.19			(0.40	)		(0.06	)		0.20			(0.14	)		(0.47	)

Net increase (decrease) from investment operations		(1.19	)		0.44			0.44			0.73			0.96			0.62			0.34


Distributions from net investment income^(c)		(0.39	)^(d)		(0.38	)		(0.87	)		(0.74	)		(0.81	)		(0.75	)		(0.81	)


Net asset value, end of period	$	12.97		$	14.55		$	14.49		$	14.92		$	14.93		$	14.78		$	14.91	^(e)


Market price, end of period	$	11.18		$	13.44		$	12.46		$	13.80		$	14.10		$	13.70		$	12.94


Total Return^(f)
Based on net asset value		(7.67	)%^(g)		3.41	%^(g)		3.94	%		5.28	%		6.93	%		5.00	%		2.88	%^(e)

Based on market price		(13.84	)%^(g)		11.08	%^(g)		(3.37	)%		3.11	%		8.95	%		12.14	%		(3.71	)%


Ratios to Average Net Assets^(h)
Total expenses		1.81	%⁽ⁱ⁾		2.20	%^(i)(j)		2.45	%		2.23	%		1.88	%		1.54	%		1.56	%

Total expenses after fees waived and/or reimbursed		1.80	%⁽ⁱ⁾		2.20	%^(i)(j)		2.45	%		2.22	%		1.88	%		1.54	%		1.56	%

Total expenses after fees waived and/or reimbursed		1.13	%⁽ⁱ⁾		1.19	%⁽ⁱ⁾		1.16	%		1.20	%		1.21	%		1.14	%		1.19	%

Net investment income		5.35	%⁽ⁱ⁾		5.26	%⁽ⁱ⁾		5.74	%		5.27	%		5.08	%		5.27	%		5.39	%


Supplemental Data
Net assets, end of period (000)	$	462,849		$	522,545		$	526,447		$	555,370		$	555,972		$	550,271		$	555,104

Borrowings outstanding, end of period (000)	$	191,000		$	214,000		$	204,000		$	233,000		$	237,000		$	225,000		$	196,000

Asset coverage, end of period per $1,000 of bank borrowings	$	3,424		$	3,442		$	3,582		$	3,385		$	3,346			3,446		$	3,832

Portfolio turnover rate		38	%		16	%		53	%		57	%		64	%		48	%		43	%

^(a)	Consolidated Financial Highlights through November 30, 2017.

^(b)	Based on average shares outstanding.

^(c)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

^(e)	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.

^(f)	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.

^(g)	Aggregate total return.

^(h)	Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:


	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			Year Ended August 31,
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			2019			2018^(a)			2017^(a)			2016^(a)			2015^(a)
Investments in underlying funds		0.04	%		0.04	%		0.03	%		0.01	%		—	%		—	%		—	%

⁽ⁱ⁾	Annualized.

^(j)	Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.


FINANCIAL HIGHLIGHTS		91

Financial Highlights (continued)

(For a share outstanding throughout each period)


	BLW
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			Year Ended August 31,
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			2019			2018			2017			2016			2015^(a)

Net asset value, beginning of period	$	17.05		$	17.03		$	16.71		$	17.02		$	16.84		$	17.04		$	18.09

Net investment income^(b)		0.48			0.31			0.94			0.95			1.01			1.32			1.16
Net realized and unrealized gain (loss)		(1.39	)		0.18			0.33			(0.31	)		0.44			(0.22	)		(0.92	)

Net increase (decrease) from investment operations		(0.91	)		0.49			1.27			0.64			1.45			1.10			0.24


Distributions from net investment income^(c)		(0.49	)^(d)		(0.47	)		(0.95	)		(0.95	)		(1.27	)		(1.30	)		(1.29	)


Net asset value, end of period	$	15.65		$	17.05		$	17.03		$	16.71		$	17.02		$	16.84		$	17.04	^(e)


Market price, end of period	$	13.93		$	16.39		$	15.44		$	15.06		$	15.99		$	15.74		$	14.60


Total Return^(f)
Based on net asset value		(4.90	)%^(g)		3.11	%^(g)		8.77	%		4.42	%		9.62	%		7.78	%		2.23	%^(e)

Based on market price		(11.94	)%^(g)		9.32	%^(g)		9.41	%		0.18	%		10.18	%		17.59	%		(5.74	)%


Ratios to Average Net Assets^(h)
Total expenses		1.50	%⁽ⁱ⁾		1.64	%^(i)(j)		1.81	%		1.73	%		1.45	%		1.21	%		1.15	%

Total expenses after fees waived and/or reimbursed		1.50	%⁽ⁱ⁾		1.64	%^(i)(j)		1.81	%		1.73	%		1.45	%		1.21	%		1.15	%

Total expenses after fees waived and/or reimbursed and excluding interest expense		0.87	%⁽ⁱ⁾		0.89	%⁽ⁱ⁾		0.84	%		0.89	%		0.89	%		0.89	%		0.92	%

Net investment income		6.14	%⁽ⁱ⁾		5.32	%⁽ⁱ⁾		5.69	%		5.60	%		6.00	%		8.04	%		6.65	%


Supplemental Data
Net assets, end of period (000)	$	559,147		$	611,068		$	610,251		$	612,048		$	629,728		$	623,219		$	630,388

Borrowings outstanding, end of period (000)	$	279,747		$	213,399		$	202,539		$	234,622		$	252,280		$	263,445		$	264,036

Portfolio turnover rate^(k)		35	%		14	%		50	%		50	%		55	%		54	%		47	%

^(a)	Consolidated Financial Highlights.

^(b)	Based on average shares outstanding.

^(c)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

^(e)	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.

^(f)	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.

^(g)	Aggregate total return.

^(h)	Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:


	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			Year Ended August 31,
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			2019			2018			2017			2016			2015^(a)
Investments in underlying funds		0.01	%		0.02	%		0.02	%		—	%		—	%		—	%		—	%

⁽ⁱ⁾	Annualized.

^(j)	Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.

^(k)	Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:


	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			Year Ended August 31,
	Six Months Ended 06/30/20 (Unaudited)			Period from 09/01/19 to 12/31/19			2019			2018			2017			2016			2015^(a)
Portfolio turnover rate (excluding MDRs)		29	%		—	%		—	%		—	%		—	%		—	%		—	%

See notes to financial statements.


92		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited)

1.	*ORGANIZATION*

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:


Fund Name	Herein Referred To As	Organized	Diversification Classification
BlackRock Debt Strategies Fund, Inc.	DSU	Maryland	Diversified
BlackRock Floating Rate Income Strategies Fund, Inc.	FRA	Maryland	Diversified
BlackRock Limited Duration Income Trust	BLW	Delaware	Diversified

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

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

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 and non-cash dividend income, if any, are 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., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Funds are recorded on the ex-dividend date. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. See Note 8, Income Tax Information, for the tax character of each Fund’s distributions paid during the period.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.


NOTES TO FINANCIAL STATEMENTS		93

Notes to Financial Statements (unaudited) (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.

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

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

3.	*INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS*

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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.

•

Exchange-traded funds (“ETFs”) traded on a recognized securities exchange are valued at the official closing price each day, if available. For ETFs traded on more than one exchange, the official closing price on the exchange where the ETF is primarily traded is used. ETFs 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.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

Futures contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded.

•

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 equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used.

•

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.

•

To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.


94		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (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 June 30, 2020, 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		95

Notes to Financial Statements (unaudited) (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 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


96		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (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 Appreciation/ (Depreciation)
DSU	EyeCare Partners LLC	$	375,820	$	375,820	$	337,392	$	(38,428	)
	Intelsat Jackson Holdings SA		77,512		77,493		78,530		1,037
	MED ParentCo LP		113,223		112,091		102,184		(9,907	)
	Neiman Marcus Group Ltd LLC		22,508		22,508		22,958		450
FRA	EyeCare Partners LLC		324,109		324,109		290,969		(33,140	)
	Intelsat Jackson Holdings SA		67,290		67,274		68,174		900
	MED ParentCo LP		104,833		103,476		94,611		(8,865	)
	Neiman Marcus Group Ltd LLC		55,054		55,054		56,155		1,101
BLW	EyeCare Partners LLC		121,637		121,637		109,200		(12,437	)
	Intelsat Jackson Holdings SA		24,702		24,631		25,026		395
	MED ParentCo LP		50,529		49,201		45,602		(3,599	)
	Neiman Marcus Group Ltd LLC		20,250		20,250		20,655		405

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.


NOTES TO FINANCIAL STATEMENTS		97

Notes to Financial Statements (unaudited) (continued)

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the six months ended June 30, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $233,773,903 and 1.51%, respectively.

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

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


Counterparty	Reverse Repurchase Agreements			Fair Value of Non-cash Collateral Pledged Including Accrued Interest^(a)		Cash Collateral Pledged/Received		Net Amount
Barclays Capital, Inc.		$(90,868,540)		$	90,868,540	$	—	$	—
BNP Paribas S.A.		(118,490,275	)		118,490,275		—		—
BofA Securities, Inc.		(101,116	)		101,116		—		—
Credit Agricole Corporate And Inves		(4,001,857	)		4,001,857		—		—
Credit Suisse Securities (USA) LLC		(449,171	)		449,171		—		—
Goldman Sachs & Co.		(4,095,176	)		4,095,176		—		—
HSBC Securities (USA), Inc.		(18,681,101	)		18,681,101		—		—
J.P. Morgan Securities LLC		(1,628,770	)		1,628,770		—		—
RBC Capital Markets LLC		(41,430,778	)		41,430,778		—		—

	$	(279,746,784	)	$	279,746,784	$	—	$	—

^(a)

Collateral with a value of $ 310,969,565 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.


98		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

5.	*DERIVATIVE FINANCIAL INSTRUMENTS*

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

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

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

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

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

•

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

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.


NOTES TO FINANCIAL STATEMENTS		99

Notes to Financial Statements (unaudited) (continued)

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

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

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

•

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

•

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.

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.


100		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6.	*INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES*

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:


	DSU	FRA
Investment advisory fees	0.55%	0.75%

For purposes of calculating these fees, “net assets” means the total assets of each Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to each Fund, effective March 2, 2020 for FRA, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW, the Manager also entered into a separate sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BRS for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BRS acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of the Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived were as follows:


	DSU		FRA		BLW
Amounts waived	$	703	$	452	$	1,423

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2021. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:


	DSU		FRA		BLW
Amounts waived	$	15,852	$	29,714	$	1,977

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 six months ended June 30, 2020, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:


	Purchases		Sales		Net Realized Gain (Loss)
DSU	$	83,969	$	7,365,717	$	(183,602	)
FRA		—		623,665		(93,730	)
BLW		1,769,374		1,856,170		74,614

7.	*PURCHASES AND SALES*

For the six months ended June 30, 2020, purchases and sales of investments, including paydowns/payups and excluding short-term securities, were as follows:


	DSU		FRA		BLW
Purchases	$	309,536,208	$	263,794,256	$	375,320,999
Sales		390,088,440		268,385,931		283,315,587


NOTES TO FINANCIAL STATEMENTS		101

Notes to Financial Statements (unaudited) (continued)

For the six months ended June 30, 2020, purchases and sales related to mortgage dollar rolls were as follows:


	BLW
Purchases	$	53,749,990
Sales		53,858,441

8.	*INCOME TAX INFORMATION*

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open, for FRA and BLW, each of the four years ended August 31, 2019 and period ended December 31, 2019 and for DSU, each of the four years ended February 28, 2019 and period ended December 31, 2019. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of June 30, 2020, 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.

As of December 31, 2019, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:


DSU		FRA		BLW
$	71,050,350	$	29,632,724	$	38,457,929

As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:


	DSU			FRA			BLW
Tax cost	$	793,298,869		$	726,945,355		$	910,709,674

Gross unrealized appreciation	$	3,391,742		$	2,161,338		$	20,159,884
Gross unrealized depreciation		(64,672,490	)		(43,819,041	)		(43,167,209	)

Net unrealized appreciation (depreciation)	$	(61,280,748	)	$	(41,657,703	)	$	(23,007,325	)

9.	*BANK BORROWINGS*

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

The SSB Agreement allows for the following maximum commitment amounts:


	Commitment Amounts
DSU	$	340,000,000
FRA		274,000,000

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the six months ended June 30, 2020, the average amount of bank borrowings and the daily weighted average interest rates for DSU and FRA for loans under the revolving credit agreements were as follows:


	Average Amount Outstanding		Daily Weighted Average Interest Rate
DSU	$	222,719,780		1.71	%
FRA		191,368,132		1.65


102		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.

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 it believes 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.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

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

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps


NOTES TO FINANCIAL STATEMENTS		103

Notes to Financial Statements (unaudited) (continued)

with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”) or are unrated, 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

DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s and BLW’s shares is $0.10, $0.10 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Open Market Share Repurchase Program: Each Fund participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2018 through November 30, 2019, each Fund was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in the Fund’s Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:


	DSU				FRA				BLW
	Shares		Amount		Shares		Amount		Shares		Amount
Six Months Ended June 30, 2020		2,632,584	$	26,716,257		223,820	$	2,485,930		93,594	$	1,263,289
Period Ended December 31, 2019		686,397		7,398,251		420,202		5,346,886		—		—
Year Ended August 31, 2019		—		—		907,235		11,500,788		803,959		11,648,172
Year Ended February 28, 2019		173,552		1,913,158		—		—		—		—

Discount Management Program: DSU’s three-year discount management program (the “Program”) ended in 2020. Under the Program, the Fund offered to repurchase its common shares based on three 3-month measurement periods when the Fund’s common shares traded at an average daily discount to net asset value (“NAV”) of more than 7.5% during a measurement period (the “discount trigger”). There was no guarantee that shareholders would be able to sell all of the shares that they desired to sell in any particular repurchase that was executed.

The discount trigger was met for all three measurement periods. For the first measurement period, the Fund conducted a tender offer for 10% of its outstanding shares of common stock. For the second and third measurement periods, the Fund conducted a tender offer for 5% of its outstanding shares of common stock.

The results of each tender offer were as follows:


Commencement Date^(a)	Valuation Date		Number of Shares Tendered		Tendered Shares as a Percentage of Outstanding Shares			Number of Tendered Shares Purchased		Tendered Shares Purchased as a Percentage of Outstanding Shares			Purchase Price		Total Amount of Purchases
March 16, 2018		April 17, 2018		26,225,806		45	%		5,879,192		10	%	$	12.4068	$	72,941,959
March 15, 2019		April 15, 2019		21,792,955		41	%		2,636,959		5	%		11.9854		31,605,008
March 17, 2020		April 16, 2020		17,034,684		34	%		2,470,791		5	%		10.2018		25,206,516

^(a)

Date the tender offer period began.


104		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

12.

SUBSEQUENT EVENTS

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

The Funds declared and paid distributions to Common Shareholders as follows:


	Common Dividend Per Share
	Paid^(a)		Declared^(b)
DSU	$	0.071100	$	0.071100
FRA		0.078800		0.078800
BLW		0.098100		0.098100

^(a)

Net investment income dividend paid on July 31, 2020 to Common Shareholders of record on July 15, 2020.

^(b)

Net investment income dividend declared on August 3, 2020, payable to shareholders of record on August 14, 2020.


NOTES TO FINANCIAL STATEMENTS		105

Disclosure of Investment Advisory Agreements

The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Debt Strategies Fund, Inc. (“DSU”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” together with DSU and FRA, the “Funds” and each, a “Fund”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May 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 May Meeting, the Board consisted of ten individuals, eight 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 services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. 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 BlackRock’s 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 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, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance 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’s 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 April 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 the Board to better assist its deliberations. The materials provided in connection with the April 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”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (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) a 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 April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April 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 questions and requests with additional written information in advance of the May 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.


106		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements (continued)

At the May 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 to its Performance Peers and to 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 its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any 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’s 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, investment 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; 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 third-party 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 April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. 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 and, with respect to DSU and 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 its Performance Peers (for example, the investment objectives and 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 disproportionately affect long-term performance.

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

The Board noted that for the one-, three- and five-year periods reported, FRA ranked in the first, second 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 noted that for each of the one-, three- and five-year periods reported, BLW outperformed 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.


DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS		107

Disclosure of Investment Advisory Agreements (continued)

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 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 managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) 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, and the actual management fee rate gives effect to any management fee reimbursements or waivers. 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, 2019 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 the individual fund level 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.

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

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 of scale 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. Closed-end funds 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 its 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 communication 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


108		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements (continued)

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.

Conclusion

The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2021. 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.


DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS		109

Disclosure of Sub-Advisory Agreement

The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Floating Rate Income Strategies Fund, Inc. (the “Fund”), met in person on February 19, 2020 (the “February Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Fund, BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.

On the date of the February Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.

At the February Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s annual shareholder report for the fiscal year ended August 31, 2019. The factors considered by the Board at the February Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.

Following discussion, all the Board Members present at the February Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement among the Fund, the Manager and BlackRock International Limited for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.


110		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Director and Officer Information

Richard E. Cavanagh, Co-Chair of the Board and Director

Karen P. Robards, Co-Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Robert Fairbairn, Director

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

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisers

BlackRock International Limited

Edinburgh EH3 8BL

United Kingdom

BlackRock (Singapore) Limited^(a)

079912 Singapore

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

^(a)	For BLW only.


DIRECTOR AND OFFICER INFORMATION		111

Additional Information

Fund Certification

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

Dividend Policy

Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.

The distributions paid by 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 each Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the 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 Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in its Statement of Additional Information may have become outdated.

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

In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

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

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

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

Householding

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


112		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Additional Information (continued)

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov.

Availability of Proxy Voting Policies and Procedures

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

Availability of Proxy Voting Record

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

Availability of Fund Updates

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

BlackRock Privacy Principles

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

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

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

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

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


ADDITIONAL INFORMATION		113

Glossary of Terms Used in this Report


Currency

AUD		Australian Dollar

BRL		Brazilian Real

CAD		Canadian Dollar

EUR		Euro

GBP		British Pound

NOK		Norwegian Krono

NZD		New Zealand Dollar

USD		U.S. Dollar


Portfolio Abbreviations

ABS		Asset-Backed Security

CLO		Collateralized Loan Obligation

ETF		Exchange-Traded Fund

EURIBOR		Euro Interbank Offered Rate

LIBOR		London Interbank Offered Rate

PIK		Payment-In-Kind

PRIME		U.S. Prime Rate

S&P		Standard & Poor’s


114		2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Want to know more?

blackrock.com | 800-882-0052

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

CEFT-BK3-6/20-SAR

Item 2 –

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

Item 3 –

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

Item 4 –

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

Item 5 –

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

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –

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

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report.

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –

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


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
January 1-31, 2020	0	$ --	0	1,795,253
February 1-29, 2020	0	$ --	0	1,795,253
March 1-31, 2020	0	$ --	0	1,795,253
April 1-30, 2020	0	$ --	0	1,795,253
May 1-31, 2020	93,857	$10.9717	93,857	1,701,396
June 1-30, 2020	129,963	$11.1872	129,963	1,571,433
Total:	223,820	$11.0968	223,820	1,571,433

¹On September 5, 2019, the Fund announced a 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 to this semi-annual report

Item 13 –

Exhibits attached hereto

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

(a)(2) – Section 302 Certifications are attached

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Section 906 Certifications are attached

(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 2009¹

¹ The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


BlackRock Floating Rate Income Strategies Fund, Inc.

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

Date:		September 4, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


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

Date:		September 4, 2020

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

Date:		September 4, 2020