N-CSR 1 d108921dncsr.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 52nd Street, New York, NY 10055

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

Date of fiscal year end: 12/31/2020

Date of reporting period: 12/31/2020

Item 1 –

Report to Stockholders

(a) The Report to Shareholders is attached herewith.

LOGO

  DECEMBER 31, 2020

 

    

  

 

2020 Annual Report

 

 

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Limited Duration Income Trust (BLW)

 

 

 

 
Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information  (unaudited)   

 

Section 19(a) Notices

BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) and BlackRock Limited Duration Income Trust’s (BLW) (collectively the “Funds”, or individually a “Fund”) 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 its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

December 31, 2020

 

     Total Cumulative Distributions             % Breakdown of the Total Cumulative  
    for the Fiscal Period            Distributions for the Fiscal Period  
    Net      Net Realized      Net Realized            Total Per            Net     Net Realized     Net Realized           Total Per  
    Investment      Capital Gains      Capital Gains      Return of     Common            Investment     Capital Gains     Capital Gains     Return of     Common  
Fund Name     Income        Short-Term        Long-Term        Capital (a)      Share                Income       Short-Term       Long-Term       Capital       Share  

DSU

   $ 0.648339      $ —      $ —      $ 0.183661     $ 0.832000          78 %      — %      — %      22 %       100 % 

FRA

     0.696324        —        —        0.225076       0.921400          76       —       —       24       100  

BLW

     1.017530        —        —        0.159670       1.177200                86       —       —       14       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 the Funds, 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 (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, the Funds currently distribute the following fixed amounts per share on a monthly basis:

 

     Amount Per  
Exchange Symbol   Common Share  

DSU

   $ 0.0605  

FRA

     0.0667  

BLW

     0.0981  

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.

 

 

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The Markets in Review

Dear Shareholder,

The 12-month reporting period as of December 31, 2020 has been a time of sudden change in global financial markets, as the emergence and spread of the coronavirus (or “COVID-19”) led to a vast disruption in the global economy and financial markets. The threat from the coronavirus became increasingly apparent throughout February and March 2020, and countries around the world took economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.

After markets hit their lowest point of the reporting period in late March 2020, a steady recovery ensued, as businesses began to re-open and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs late in the reporting period following a series of successful vaccine trials and passage of additional stimulus. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities from developed economies grew at a more modest pace, lagging emerging market stocks, which rebounded sharply.

During the market downturn, the performance of different types of fixed-income securities initially diverged due to a reduced investor appetite for risk. U.S. Treasuries benefited from the risk-off environment, and posted solid returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) touched an all-time low. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and both investment-grade and high-yield bonds recovered to post positive returns.

Following the coronavirus outbreak, the Fed instituted two emergency interest rate cuts, pushing short-term interest rates, already low as the year began, close to zero. To stabilize credit markets, the Fed also implemented 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 disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to accelerate as vaccination efforts get under way. The results of the U.S. elections also cleared the way for additional stimulus spending in 2021, which is likely to be a solid tailwind for economic growth. Inflation should increase as the expansion continues, but a shift in central bank policy means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the equity expansion.

Overall, we favor a positive stance toward risk, with an overweight in both equities and credit. We see U.S. and Asian equities benefiting from structural growth trends in tech, while emerging markets should be particularly helped by a vaccine-led economic expansion. In credit, rising inflation should provide tailwinds for inflation-protected bonds, and Euro area peripherals and Asian bonds also provide attractive opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

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 December 31, 2020

     6-Month   12-Month

U.S. large cap equities

(S&P 500® Index)

   22.16%   18.40%

U.S. small cap equities

(Russell 2000® Index)

   37.85   19.96

International equities

(MSCI Europe, Australasia,

Far East Index)

   21.61   7.82

Emerging market equities

(MSCI Emerging Markets Index)

   31.14   18.31

3-month Treasury bills

(ICE BofA 3-Month

U.S. Treasury Bill Index)

   0.07   0.67

U.S. Treasury securities

(ICE BofA 10-Year

U.S. Treasury Index)

   (1.87)   10.58

U.S. investment grade bonds

(Bloomberg Barclays

U.S. Aggregate Bond Index)

   1.29   7.51

Tax-exempt municipal bonds

(S&P Municipal Bond Index)

   2.92   4.95

U.S. high yield bonds

(Bloomberg Barclays

U.S. Corporate High Yield 2%

Issuer Capped Index)

   11.32   7.05

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

 

T H I S   P A G E   I S   N O T   P A R T   O F   Y O U R   F U N D   R E P O R T

   3

Table of Contents

 

      Page  

Supplemental Information

      2  

The Markets in Review

      3  

Annual Report:

   

The Benefits and Risks of Leveraging

      5  

Derivative Financial Instruments

      5  

Fund Summary

      6  

Financial Statements:

   

Schedules of Investments

      15  

Statements of Assets and Liabilities

      100  

Statements of Operations

      102  

Statements of Changes in Net Assets

      103  

Statements of Cash Flows

      105  

Financial Highlights

      107  

Notes to Financial Statements

      110  

Report of Independent Registered Public Accounting Firm

      123  

Important Tax Information

      124  

Investment Objectives, Policies and Risks

      125  

Automatic Dividend Reinvestment Plan

      134  

Director and Officer Information

      135  

Additional Information

      138  

Glossary of Terms Used in this Report

      142  

 

 

4       

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 a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a 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 amount of each Fund’s obligations under its 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 each Fund’s 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, if applicable.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 1/3% 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.

 

 

T H E   B E N E F I T S   A N D   R I S K S   O F   L E V E R A G I N G  /  D E R I V A T I V E   F I N A N C I A L   I N S T R U M E N T S

   5

Fund Summary  as of December 31, 2020    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Investment Objective

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 objective will be achieved.

Fund Information

 

Symbol on New York Stock Exchange

   DSU

Initial Offering Date

   March 27, 1998

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($10.45)(a)

   6.95%

Current Monthly Distribution per Common Share(b)

   $0.0605

Current Annualized Distribution per Common Share(b)

   $0.7260

Leverage as of December 31, 2020(c)

   30%

 

(a)  Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate 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)  Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

Market Price and Net Asset Value Per Share Summary

 

     12/31/20      12/31/19      Change     High      Low  

Market Price

   $ 10.45      $ 11.20        (6.70 )%    $ 11.50      $ 5.92  

Net Asset Value

     11.55        12.25        (5.71 )      12.35        8.46  

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

 

LOGO

 

 

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Fund Summary  as of December 31, 2020 (continued)    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

    Average Annual Total Returns  
     1 Year     3 Years     5 Years  

Fund at NAV(a)(b)

     2.57 %      4.97 %      7.75 % 

Fund at Market Price(a)(b)

     1.50       4.15       8.47  

Reference Benchmark(c)

     5.09       5.12       6.90  

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

     7.05       6.21       8.57  

S&P/LSTA Leveraged Loan Index(e)

     3.12       4.01       5.24  

 

(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.

   

   

   

   

   

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 blackrock.com.

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

What factors influenced performance?

After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the high yield and floating rate loan interest (“bank loan”) markets recovered to finish 2020 with positive returns. Both categories were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.

Bank loans made the largest contributor to the Fund’s absolute return in 2020, followed by high yield and investment grade bonds. From a sector perspective, technology, cable & satellite and building materials were the leading contributors. B rated issues made the largest contribution among the three major credit tiers, followed by CCCs and BBBs.

Energy was by far the largest detractor from performance at the sector level, followed by lodging and aerospace/defense. BB rated securities were the sole detractor by rating.

The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning. The Fund’s use of derivatives had a negative impact on Fund performance.

Describe recent portfolio activity.

The Fund increased its allocation to high yield and investment grade bonds throughout the year due to supportive supply-and-demand conditions and attractive relative valuations. The investment adviser’s credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest held mostly in high yield and investment grade corporate bonds. The Fund’s largest sector positions were in technology, health care and consumer cyclical services, while it had less exposure to retailers, home construction and transportation services. Within energy, the Fund remained broadly underweight across the midstream, independent energy and oil field services categories. From a credit rating perspective, the Fund continued to emphasize BB and B rated issues, with a higher allocation to the latter. The Fund also held a smaller in position in CCC rated debt.

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.

 

 

F U N D   S U M M A R Y

   7

Fund Summary  as of December 31, 2020 (continued)    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type   12/31/20     12/31/19  

Floating Rate Loan Interests

     82 %      81 % 

Corporate Bonds

     16       15  

Investment Companies

     1       3  

Preferred Securities

     1       1  

Other*

     —       —  

 

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b)   12/31/20     12/31/19  

BBB/Baa

     7 %      7 % 

BB/Ba

     21       27  

B

     64       59  

CCC/Caa

     7       3  

N/R

     1       4  
 
(a) 

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, Inc. 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.

(b)

Excludes common stocks, warrants, short-term securities, options purchased and options written.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Fund Summary  as of December 31, 2020    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Investment Objective

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

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

Fund Information

 

Symbol on New York Stock Exchange

   FRA

Initial Offering Date

   October 31, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($12.11)(a)

   6.61%

Current Monthly Distribution per Common Share(b)

   $0.0667

Current Annualized Distribution per Common Share(b)

   $0.8004

Leverage as of December 31, 2020(c)

   30%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate 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) 

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

 

Market Price and Net Asset Value Per Share Summary

 

      12/31/20      12/31/19      Change      High      Low  

Market Price

    $ 12.11      $ 13.44        (9.90 )%     $ 13.66      $ 6.72  

Net Asset Value

      13.81        14.55        (5.09 )       14.66        10.16  

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

 

LOGO

 

 

F U N D   S U M M A R Y

   9

Fund Summary  as of December 31, 2020 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

          Average Annual Total Returns  
            1 Year     3 Years     5 Years  

Fund at NAV(a)(b)

       2.76 %      4.54 %      5.89 % 

Fund at Market Price(a)(b)

       (2.45 )      2.61       5.23  

S&P/LSTA Leveraged Loan Index(c)

             3.12       4.01       5.24  

 

  (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.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

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

What factors influenced performance?

After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the floating rate loan interest (“bank loan”) market recovered to finish 2020 with positive returns. As was the case with other credit-oriented segments of the bond market, bank loans were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.

From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to investment grade and high yield corporate bonds contributed to performance. By sector, the largest contributors included technology, cable/satellite and building materials. With respect to credit tiers, the Fund’s B rated positions were the leading contributors to absolute returns, followed by CCCs and BBBs.

At the sector level, the largest detractors from performance included energy and lodging. By rating class, BB rated issues were the sole detractor.

Describe recent portfolio activity.

The investment adviser increased the Fund’s allocation to high yield and investment grade bonds throughout the year due to the supportive technicals and attractive relative values in these areas. The investment adviser’s credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest primarily invested in high yield and investment grade corporates. By credit rating, B rated loans were the Fund’s largest position, and it had a much smaller weightings in the higher-risk CCC rated segment. Within the single B category, the investment adviser remained focused on higher-quality B+ and B rated areas, with less of an emphasis on B- rated debt.

The investment adviser’s core sector views stayed largely intact. Some of the Fund’s top sector positions were technology companies, particularly in the enterprise software business. Health care, cable/satellite and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The investment adviser slightly increased the portfolio’s allocation to sectors with above-average sensitivity to COVID-19 during the second half of the year by participating in new issues in the gaming and airline categories. The Fund maintained a lower allocation to energy and to the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.

Additionally, the Fund had a bias toward larger loan tranches, as well as to loan/bond capital structures over the loan-only segment. The Fund remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.

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.

 

 

10

  

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Fund Summary  as of December 31, 2020 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type   12/31/20     12/31/19  

Floating Rate Loan Interests

     93 %      94 % 

Corporate Bonds

     5       1  

Investment Companies

     2       5  

Other*

     —       —  

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b)   12/31/20     12/31/19  

BBB/Baa

     6 %      8 % 

BB/Ba

     19       27  

B

     67       58  

CCC/Caa

     6       2  

N/R

     2       5  
 

 

(a) 

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, Inc. 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.

(b) 

Excludes common stocks, warrants, short-term securities, options purchased and options written.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

F U N D   S U M M A R Y

   11

Fund Summary  as of December 31, 2020    BlackRock Limited Duration Income Trust (BLW)

 

Investment Objective

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

 

  •  

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

  •  

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

  •  

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

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

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

Fund Information

 

Symbol on New York Stock Exchange

   BLW

Initial Offering Date

   July 30, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2020 ($15.92)(a)

   7.39%

Current Monthly Distribution per Common Share(b)

   $0.0981

Current Annualized Distribution per Common Share(b)

   $1.1772

Leverage as of December 31, 2020(c)

   31%

 

  (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) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its 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.

 

Market Price and Net Asset Value Per Share Summary

 

      12/31/20      12/31/19      Change      High      Low  

Market Price

    $ 15.92      $ 16.39        (2.87 )%     $ 16.70      $ 9.52  

Net Asset Value

      16.93        17.05        (0.70 )       17.22        12.19  

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

 

LOGO

 

 

12

  

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Fund Summary  as of December 31, 2020 (continued)    BlackRock Limited Duration Income Trust (BLW)

 

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

       7.58 %       7.26 %       8.67 % 

Fund at Market Price(a)(b)

       5.24        7.37        9.57  

Reference Benchmark(c)

       5.06        4.73        5.63  

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

       7.05        6.21        8.57  

S&P/LSTA Leveraged Loan Index(e)

       3.12        4.01        5.24  

BATS S Benchmark(f)

             4.43        3.72        2.98  

 

  (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) 

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

 
  (e) 

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

 
  (f) 

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

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

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

What factors influenced performance?

Positive contributors to the Fund’s absolute performance over the period included allocations to both high yield and investment grade corporate bonds as credit sentiment rebounded based on policy support after the market dislocation seen in the first quarter of 2020. Exposure to credit-sensitive floating rate loan interests (“bank loans”) and emerging market debt also added to performance. Finally, U.S. Treasuries also provided positive returns as interest rates declined over the period.

The largest detractors from the Fund’s absolute performance were exposures to tax-exempt municipal bonds, equities and taxable bonds.

Describe recent portfolio activity.

Over the period, the Fund increased its allocation to U.S. high yield corporate credit, investment grade corporate credit and emerging market debt. Over the same period, the Fund reduced exposure to U.S. Treasuries, commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”).

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate credit, investment grade corporate credit, emerging market debt, CMBS and ABS. In addition, the Fund held modest exposures to government securities, including U.S. Treasuries and non-U.S. sovereign securities.

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.

 

 

F U N D   S U M M A R Y

   13

Fund Summary  as of December 31, 2020 (continued)    BlackRock Limited Duration Income Trust (BLW)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

Asset Type(a)   12/31/20     12/31/19  

Corporate Bonds

     55 %      48 % 

Floating Rate Loan Interests

     30       31  

Preferred Securities

     5       7  

Asset-Backed Securities

     3       3  

Foreign Agency Obligations

     3       2  

U.S. Treasury Obligations

     2       2  

Non-Agency Mortgage-Backed Securities

     1       1  

Investment Companies

     1       2  

U.S. Government Sponsored Agency Securities

     — *      4  

Other*

     —       —  

 

CREDIT QUALITY ALLOCATION

Credit Rating(b)(c)   12/31/20     12/31/19  

AAA/Aaa

     — %      1 % 

AA/Aa

     2       3  

A

     4       7  

BBB/Baa

     14       15  

BB/Ba

     32       35  

B

     39       34  

CCC/Caa

     7       4  

N/R

     2       1  

 

 
(a) 

Excludes short-term securities, options purchased and options written.

(b)

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

(c) 

Excludes common stocks, warrants, short-term securities, options purchased and options written.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

14

  

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Schedule of Investments

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security    

    

Shares

     Value  

Common Stocks

 

Construction & Engineering — 0.1%

 

McDermott International Ltd.(a)

       141,483     $ 114,601  
   

 

 

  
Diversified Financial Services — 0.0%  

Kcad Holdings I Ltd.(b)

       1,075,282,733       10,753  
   

 

 

  
Energy Equipment & Services — 0.0%  

Pioneer Energy Services Corp.(b)

       809       31,416  
   

 

 

  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.

       10,718       11  
   

 

 

  
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

       1,664       29,120  

Preferred Proppants LLC(b)

       14,576       21,864  
   

 

 

  
        50,984  
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp.(a)

       2,336       55,106  
   

 

 

  
Semiconductors & Semiconductor Equipment(a) — 0.0%  

Maxeon Solar Technologies Ltd.

       213       6,043  

SunPower Corp.

       1,707       43,768  
   

 

 

  
        49,811  
Software — 0.0%  

Avaya Holdings Corp.(a)

       40       766  
   

 

 

  
Specialty Retail — 0.0%  

NMG Parent LLC

       1,477       95,414  
   

 

 

  
Total Common Stocks — 0.1%  

    (Cost: $15,916,895)

         408,862  
   

 

 

  
            Par
(000)		         

Corporate Bonds

 

Aerospace & Defense — 0.7%

 

Bombardier, Inc.(c)

      

8.75%, 12/01/21

     USD       7       7,280  

6.13%, 01/15/23

       664       649,060  

7.50%, 12/01/24

       58       55,638  

7.50%, 03/15/25

       14       12,985  

7.88%, 04/15/27

       17       15,631  

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

       200       194,000  

Signature Aviation US Holdings, Inc.(c)

      

5.38%, 05/01/26

       42       43,050  

4.00%, 03/01/28

       196       197,303  

Spirit AeroSystems, Inc., 5.50%, 01/15/25(c)

       58       61,184  

TransDigm, Inc.

      

8.00%, 12/15/25(c)

       656       725,077  

6.25%, 03/15/26(c)

       1,173       1,249,245  

6.38%, 06/15/26

       62       64,170  

Triumph Group, Inc., 8.88%,
06/01/24(c)

       270       296,325  
   

 

 

  
              3,570,948  
Airlines — 1.7%  

Allegiant Travel Co., 8.50%,
02/05/24(c)

       1,065       1,139,550  

American Airlines, Inc., 11.75%,
07/15/25(c)

       2,177       2,510,625  
Security     Par
(000)		     Value  
Airlines (continued)  

Delta Air Lines, Inc./SkyMiles IP Ltd.(c)

      

4.50%, 10/20/25

     USD       75     $ 80,165  

4.75%, 10/20/28

       259       282,702  

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(c)

       2,210       2,375,750  

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(c)

       22       24,921  

United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27

       2,405       2,597,911  
   

 

 

  
              9,011,624  
Auto Components — 0.4%  

Clarios Global LP, 6.75%, 05/15/25(c)

       801       863,077  

Clarios Global LP/Clarios US Finance Co.

      

4.38%, 05/15/26

     EUR       100       126,551  

6.25%, 05/15/26(c)

     USD       122       130,845  

8.50%, 05/15/27(c)

       488       530,168  

Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(c)

       25       26,323  

Goodyear Tire & Rubber Co., 9.50%, 05/31/25

       65       73,470  

Meritor, Inc., 4.50%, 12/15/28(c)

       24       24,600  

Tenneco, Inc., 7.88%, 01/15/29(c)

       25       28,069  

Venture Holdings Co. LLC, 12.00%,
07/01/49(a)(b)(d)

       5,150       1  

ZF Finance GmbH

      

3.00%, 09/21/25

     EUR       100       126,135  

3.75%, 09/21/28

       100       131,022  
   

 

 

  
        2,060,261  
Automobiles — 0.8%  

Allison Transmission, Inc.(c)

      

5.88%, 06/01/29

     USD       113       124,865  

3.75%, 01/30/31

       100       102,312  

Asbury Automotive Group, Inc.

      

4.50%, 03/01/28

       35       36,488  

4.75%, 03/01/30

       73       78,292  

AutoNation, Inc., 4.75%, 06/01/30

       93       111,910  

FCE Bank PLC, 1.62%, 05/11/23

     EUR       100       122,228  

Ford Motor Co.

      

8.50%, 04/21/23

     USD       169       190,211  

4.35%, 12/08/26

       9       9,585  

4.75%, 01/15/43

       176       179,520  

5.29%, 12/08/46

       78       81,510  

Ford Motor Credit Co. LLC

      

3.81%, 01/09/24

       200       205,000  

4.06%, 11/01/24

       200       210,114  

5.13%, 06/16/25

       423       459,928  

General Motors Co.

      

6.13%, 10/01/25

       581       704,735  

6.80%, 10/01/27

       296       380,393  

5.00%, 10/01/28

       19       22,608  

General Motors Financial Co., Inc.

      

2.75%, 06/20/25

       574       613,780  

5.65%, 01/17/29

       21       26,021  

Group 1 Automotive, Inc., 4.00%, 08/15/28(c)

       205       211,310  

Ken Garff Automotive LLC, 4.88%, 09/15/28(c)

       39       40,560  

Nissan Motor Co. Ltd., 4.81%, 09/17/30(c)

                   200       225,203  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

   15

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Automobiles (continued)  

Penske Automotive Group, Inc., 3.50%, 09/01/25

     USD       62     $ 63,008  

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

       135       140,737  
        4,340,318  
Banks — 0.0%  

Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25

     EUR       100       125,243  

Banco Espirito Santo SA(a)(d)

      

2.63%, 05/08/17

       100       15,881  

4.75%, 01/15/21(e)

       200       31,763  

4.00%, 01/21/21

       100       15,882  

Freedom Mortgage Corp., 7.63%,
05/01/26(c)

     USD       22       23,269  
   

 

 

  
        212,038  
Beverages — 0.3%  

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

       441       470,768  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27(c)

       208       218,360  

Trivium Packaging Finance BV

      

3.75%, 08/15/26

     EUR       100       125,463  

8.50%, 08/15/27(c)

     USD       814       891,330  
   

 

 

  
              1,705,921  
Biotechnology — 0.0%  

Emergent BioSolutions, Inc., 3.88%,
08/15/28(c)

       25       25,888  
   

 

 

  

Building Materials — 0.5%

      

Boise Cascade Co., 4.88%, 07/01/30(c)

       45       48,713  

Cornerstone Building Brands, Inc., 6.13%, 01/15/29(c)

       114       121,125  

CP Atlas Buyer, Inc., 7.00%, 12/01/28(c)

       30       31,200  

Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(c)

       51       54,825  

Griffon Corp., 5.75%, 03/01/28

       28       29,610  

Jeld-Wen, Inc.(c)

      

4.63%, 12/15/25

       32       32,656  

4.88%, 12/15/27

       10       10,575  

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

       45       48,319  

SRM Escrow Issuer LLC, 6.00%,
11/01/28(c)

       1,764       1,843,653  

Standard Industries, Inc.(c)

      

5.00%, 02/15/27

       34       35,530  

4.38%, 07/15/30

       90       96,276  

3.38%, 01/15/31

       199       199,995  

Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(c)

       168       176,400  
   

 

 

  
        2,728,877  
Building Products(c) — 0.1%  

LBM Acquisition LLC, 6.25%, 01/15/29

       64       66,080  

Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26

       125       132,468  

SRS Distribution, Inc., 8.25%, 07/01/26

       403       428,187  

White Cap Buyer LLC, 6.88%, 10/15/28

       156       166,335  
   

 

 

  
        793,070  
Capital Markets — 0.2%  

Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(e)(g)

       265       278,912  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

      

4.75%, 09/15/24

       101       104,914  

6.38%, 12/15/25

       3       3,103  
Security     Par
(000)		     Value  
Capital Markets (continued)  

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (continued)

      

5.25%, 05/15/27

     USD       138     $ 147,936  

NFP Corp.(c)

      

7.00%, 05/15/25

       31       33,325  

6.88%, 08/15/28

       288       307,492  

Owl Rock Capital Corp.

      

4.25%, 01/15/26

       58       61,093  

3.40%, 07/15/26

       30       30,430  

Owl Rock Technology Finance Corp., 3.75%, 06/17/26(c)

       40       40,217  

RP Escrow Issuer LLC, 5.25%, 12/15/25(c)

       50       52,253  
   

 

 

  
              1,059,675  
Chemicals — 0.6%  

Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(f)

       289       291,497  

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

       636       647,130  

Axalta Coating Systems LLC, 3.38%, 02/15/29(c)

       150       150,000  

Blue Cube Spinco LLC

      

9.75%, 10/15/23

       10       10,275  

10.00%, 10/15/25

       143       151,401  

Chemours Co., 5.75%, 11/15/28(c)

       38       38,760  

Element Solutions, Inc., 3.88%, 09/01/28(c)

       378       388,867  

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

       134       138,020  

HB Fuller Co., 4.25%, 10/15/28

       31       31,775  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(c)

       181       199,100  

Ingevity Corp., 3.88%, 11/01/28(c)

       23       23,173  

Minerals Technologies, Inc., 5.00%,
07/01/28(c)

       55       57,552  

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

       307       315,059  

Rayonier AM Products, Inc., 7.63%,
01/15/26(c)

       21       21,898  

Valvoline, Inc., 4.25%, 02/15/30(c)

       58       61,480  

WESCO Distribution, Inc.(c)

      

7.13%, 06/15/25

       153       168,274  

7.25%, 06/15/28

       198       225,183  

WR Grace & Co-Conn, 4.88%, 06/15/27(c)

       64       67,873  
   

 

 

  
        2,987,317  
Commercial Services & Supplies — 0.1%  

AMN Healthcare, Inc., 4.00%, 04/15/29(c)

       28       28,630  

APX Group, Inc., 7.88%, 12/01/22

       163       163,407  

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

       79       82,160  

Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(c)

       24       25,083  

Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27(c)

       17       19,486  

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

       106       112,360  

Interface, Inc., 5.50%, 12/01/28(c)

       38       39,995  

Prime Security Services Borrower LLC/Prime Finance, Inc.(c)

      

3.38%, 08/31/27

       42       41,685  

6.25%, 01/15/28

       117       125,610  

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

       103       88,580  

United Rentals North America, Inc.

      

5.25%, 01/15/30

       2       2,220  

4.00%, 07/15/30

       6       6,315  
   

 

 

  
        735,531  
 

 

 

16

  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Communications Equipment(c) — 0.1%                  

Avaya, Inc., 6.13%, 09/15/28

     USD       195     $ 208,311  

CommScope Technologies LLC

      

6.00%, 06/15/25

       101       103,273  

5.00%, 03/15/27

       76       74,860  

CommScope, Inc.

      

6.00%, 03/01/26

       32       33,715  

8.25%, 03/01/27

       12       12,810  

7.13%, 07/01/28

       12       12,780  

ViaSat, Inc.

      

5.63%, 04/15/27

       90       94,500  

6.50%, 07/15/28

       150       162,331  
   

 

 

  
        702,580  
Construction & Engineering(c) — 0.0%                  

KBR, Inc., 4.75%, 09/30/28

       61       63,592  

Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28

       23       24,035  
   

 

 

  
        87,627  
Construction Materials(c) — 0.4%                  

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

       125       129,375  

Core & Main LP, 6.13%, 08/15/25

       797       823,899  

H&E Equipment Services, Inc., 3.88%, 12/15/28

       41       41,439  

IAA, Inc., 5.50%, 06/15/27

       159       168,540  

Picasso Finance Sub, Inc., 6.13%, 06/15/25

       159       170,130  

Williams Scotsman International, Inc., 4.63%, 08/15/28

       77       79,695  

Winnebago Industries, Inc., 6.25%, 07/15/28

       45       48,375  

Wolverine Escrow LLC, 9.00%, 11/15/26

       501       474,221  
   

 

 

  
              1,935,674  
Consumer Discretionary(c) — 0.1%                  

Carnival Corp.

      

11.50%, 04/01/23

       30       34,702  

10.50%, 02/01/26

       42       48,930  

7.63%, 03/01/26

       76       82,801  

9.88%, 08/01/27

       61       70,150  

NCL Corp. Ltd.

      

10.25%, 02/01/26

       37       43,290  

5.88%, 03/15/26

       63       66,265  

Nielsen Finance LLC/Nielsen Finance Co.

      

5.63%, 10/01/28

       112       121,693  

5.88%, 10/01/30

       74       83,712  

Royal Caribbean Cruises Ltd.

      

10.88%, 06/01/23

       45       51,205  

9.13%, 06/15/23

       54       58,590  

11.50%, 06/01/25

       95       111,060  
   

 

 

  
        772,398  
Consumer Finance — 0.6%                  

MPH Acquisition Holdings LLC, 5.75%,

      

11/01/28(c)

       228       224,078  

Navient Corp.

      

7.25%, 09/25/23

       5       5,480  

6.13%, 03/25/24

       96       102,480  

5.88%, 10/25/24

       77       81,812  

5.00%, 03/15/27

       2       2,018  

OneMain Finance Corp.

      

8.88%, 06/01/25

       27       30,544  

6.63%, 01/15/28

       8       9,500  

5.38%, 11/15/29

       14       15,750  

4.00%, 09/15/30

       100       103,761  

PayPal Holdings, Inc., 1.65%, 06/01/25

       257       268,509  
Security     Par
(000)		     Value  
Consumer Finance (continued)                  

Refinitiv US Holdings, Inc., 4.50%, 05/15/26

     EUR       855     $ 1,098,042  

Sabre GLBL, Inc.(c)

      

5.25%, 11/15/23

     USD       10       10,125  

9.25%, 04/15/25

       287       341,530  

7.38%, 09/01/25

       81       87,885  

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(c)

       87       90,480  

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

       851       922,271  

WEX, Inc., 4.75%, 02/01/23(c)

       8       8,010  
   

 

 

  
              3,402,275  
Containers & Packaging — 0.1%                  

Graham Packaging Co., Inc., 7.13%, 08/15/28(c)

       147       162,435  

Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(c)

       53       54,457  
International Paper Co., 7.30%, 11/15/39       5       8,012  
LABL Escrow Issuer LLC(c)      

6.75%, 07/15/26

       116       125,625  

10.50%, 07/15/27

       56       63,070  
   

 

 

  
        413,599  
Diversified Consumer Services(c) — 0.3%                  

Allied Universal Holdco LLC/Allied Universal Finance Corp.

      

6.63%, 07/15/26

       868       925,548  

9.75%, 07/15/27

       95       103,550  

Ascend Learning LLC, 6.88%, 08/01/25

       340       349,638  

Brink’s Co., 5.50%, 07/15/25

       15       16,013  

Garda World Security Corp.

      

4.63%, 02/15/27

       29       29,290  

9.50%, 11/01/27

       55       60,913  

Sotheby’s, 7.38%, 10/15/27

       200       214,250  
   

 

 

  
        1,699,202  
Diversified Financial Services — 0.1%                  

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

     GBP       100       136,187  

Central Garden & Pet Co., 4.13%, 10/15/30

     USD       59       61,507  

Citigroup, Inc., (5 year CMT + 3.60%),
4.00%(e)(g)

      50       51,313  

Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(c)(f)

       24       21,271  

Intrum AB, 4.88%, 08/15/25

     EUR       100       126,135  

Spectrum Brands, Inc.(c)

      

5.00%, 10/01/29

     USD       18       19,330  

5.50%, 07/15/30

       50       53,875  

Starwood Property Trust Inc., 5.50%, 11/01/23(c)

       9       9,405  
   

 

 

  
        479,023  
Diversified Telecommunication Services — 1.2%  

CenturyLink, Inc.

      

5.13%, 12/15/26(c)

       618       652,583  

4.50%, 01/15/29(c)

       202       205,535  

Series P, 7.60%, 09/15/39

       183       222,345  

Series U, 7.65%, 03/15/42

       103       124,630  

Cincinnati Bell, Inc.(c)

      

7.00%, 07/15/24

       26       27,040  

8.00%, 10/15/25

       20       21,325  

Consolidated Communications, Inc., 6.50%,

      

10/01/28(c)

       150       160,500  

Frontier Communications Corp.(c)

      

5.88%, 10/15/27

       145       156,781  

5.00%, 05/01/28

       216       225,180  

6.75%, 05/01/29

       135       144,450  

Intelsat Jackson Holdings SA, 8.00%, 02/15/24(c)

       155       158,681  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

   17

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Level 3 Financing, Inc.(c)

      

4.25%, 07/01/28

     USD       207     $ 212,693  

3.63%, 01/15/29

       123       122,693  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(f)

       12       12,776  

Sprint Capital Corp., 6.88%, 11/15/28

       171       225,460  

Switch Ltd., 3.75%, 09/15/28(c)

       100       101,500  

Telecom Italia Capital SA

      

6.38%, 11/15/33

       58       71,340  

6.00%, 09/30/34

       134       163,224  

7.20%, 07/18/36

       14       18,889  

7.72%, 06/04/38

       51       70,890  

Telecom Italia SpA, 5.30%, 05/30/24(c)

       314       341,475  

Zayo Group Holdings, Inc.(c)

      

4.00%, 03/01/27

       2,254       2,259,635  

6.13%, 03/01/28

       472       499,140  
   

 

 

  
              6,198,765  
Electric Utilities — 0.1%                  

FirstEnergy Corp.

      

2.65%, 03/01/30

       8       8,025  

Series B, 3.90%, 07/15/27

       29       31,967  

Series B, 2.25%, 09/01/30

       6       5,804  

Series C, 4.85%, 07/15/47

       151       187,919  

Series C, 3.40%, 03/01/50

       60       57,470  

FirstEnergy Transmission LLC(c)

      

5.45%, 07/15/44

       94       119,273  

4.55%, 04/01/49

       45       52,553  

PG&E Corp., 5.25%, 07/01/30

       108       118,800  

Pike Corp., 5.50%, 09/01/28(c)

       185       195,406  

Texas Competitive Electric Holdings Co.

      

LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/21(a)(b)(d)

       2,375       —  
   

 

 

  
        777,217  
Electrical Equipment — 0.1%                  

Gates Global LLC/Gates Corp., 6.25%,

      

01/15/26(c)

       291       305,550  

GrafTech Finance, Inc., 4.63%, 12/15/28(c)

       44       44,495  

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

       5,125       1  
   

 

 

  
        350,046  
Electronic Equipment, Instruments & Components — 0.1%  

Brightstar Escrow Corp., 9.75%, 10/15/25(c)

       28       29,925  

BWX Technologies, Inc., 4.13%,
06/30/28(c)

       81       84,341  

CDW LLC/CDW Finance Corp., 3.25%, 02/15/29

       125       127,463  

Energizer Holdings, Inc.(c)

      

4.75%, 06/15/28

       34       35,785  

4.38%, 03/31/29

       6       6,213  

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

       181       182,357  
   

 

 

  
        466,084  
Energy Equipment & Services — 0.2%                  

Archrock Partners LP/Archrock Partners Finance Corp.(c)

      

6.88%, 04/01/27

       129       138,836  

6.25%, 04/01/28

       86       89,523  

Pioneer Energy Services Corp.(b)(c)(f) (11.00% Cash), 11.00%, 05/15/25

       329       262,855  
Security     Par
(000)		     Value  
Energy Equipment & Services (continued)                  

Pioneer Energy Services Corp.(b)(c)(f) (continued)

      

(5.00% PIK), 5.00%, 11/15/25(h)

     USD       231     $ 124,956  

USA Compression Partners LP/USA Compression Finance Corp.

      

6.88%, 04/01/26

       331       345,895  

6.88%, 09/01/27

       274       292,517  
   

 

 

  
        1,254,582  
Environmental, Maintenance, & Security Service — 0.1%  

Covanta Holding Corp., 5.00%, 09/01/30

       29       31,028  

GFL Environmental, Inc.(c)

      

3.75%, 08/01/25

       85       87,125  

5.13%, 12/15/26

       73       77,654  

4.00%, 08/01/28

       98       98,735  

3.50%, 09/01/28

       104       105,885  

Stericycle Inc., 3.88%, 01/15/29(c)

       52       53,430  

Tervita Corp., 11.00%, 12/01/25(c)

       37       39,813  

Waste Pro USA, Inc., 5.50%, 02/15/26(c)

       71       72,598  
   

 

 

  
        566,268  
Equity Real Estate Investment Trusts (REITs) — 0.5%  

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

       128       126,080  

Diversified Healthcare Trust, 9.75%, 06/15/25

       53       60,215  

Global Net Lease, Inc./Global Net Lease

      

Operating Partnership LP, 3.75%, 12/15/27(c)

       88       90,727  

Iron Mountain, Inc.(c)

      

4.88%, 09/15/29

       10       10,550  

5.25%, 07/15/30

       134       144,720  

5.63%, 07/15/32

       151       166,477  

MGM Growth Properties Operating Partnership

      

LP/MGP Finance Co-Issuer, Inc.

      

4.63%, 06/15/25(c)

       205       219,555  

4.50%, 09/01/26

       139       149,550  

4.50%, 01/15/28

       420       446,830  

3.88%, 02/15/29(c)

       137       140,083  

MPT Operating Partnership LP/MPT Finance Corp.

      

4.63%, 08/01/29

       296       316,350  

3.50%, 03/15/31

       149       153,843  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.Issuer, 5.88%, 10/01/28(c)

       29       30,885  

RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27

       521       539,235  

Service Properties Trust

      

4.50%, 06/15/23

       15       15,075  

4.35%, 10/01/24

       12       11,850  

7.50%, 09/15/25

       108       124,450  

5.50%, 12/15/27

       42       45,921  
   

 

 

  
        2,792,396  
Food & Staples Retailing — 0.4%                  

Albertsons Cos., Inc./Safeway, Inc./New

      

Albertsons LP/Albertsons LLC(c)

      

3.25%, 03/15/26

       146       148,190  

4.63%, 01/15/27

       11       11,701  

4.88%, 02/15/30

       91       100,271  
 

 

 

18  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Food & Staples Retailing (continued)                  

Kraft Heinz Foods Co.

      

4.25%, 03/01/31(c)

     USD       226     $ 252,003  

5.00%, 07/15/35

       24       29,094  

6.88%, 01/26/39

       164       227,248  

4.63%, 10/01/39(c)

       88       98,257  

6.50%, 02/09/40

       35       47,310  

5.20%, 07/15/45

       101       120,095  

4.38%, 06/01/46

       217       234,782  

4.88%, 10/01/49(c)

       219       255,490  

5.50%, 06/01/50(c)

       395       497,602  

Lamb Weston Holdings, Inc., 4.88%, 05/15/28(c)

       70       78,137  

Post Holdings, Inc., 4.63%, 04/15/30(c)

       87       91,521  

TreeHouse Foods, Inc., 4.00%, 09/01/28

       23       23,791  

United Natural Foods, Inc., 6.75%,
10/15/28(c)

       40       41,849  
   

 

 

  
              2,257,341  
Food Products(c) — 0.2%                  

Aramark Services, Inc.

      

6.38%, 05/01/25

       99       105,806  

5.00%, 02/01/28

       3       3,161  

Chobani LLC/Chobani Finance Corp., Inc.

      

7.50%, 04/15/25

       272       285,219  

4.63%, 11/15/28

       85       86,275  

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

       90       100,716  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29

       85       98,949  

Simmons Foods, Inc., 7.75%, 01/15/24

       174       181,177  
   

 

 

  
        861,303  
Gas Utilities — 0.0%                  

Ferrellgas LP/Ferrellgas Finance Corp., 10.00%, 04/15/25(c)

       26       28,744  
   

 

 

  

Health Care Equipment & Supplies(c) — 0.1%

 

Avantor Funding, Inc., 4.63%, 07/15/28

       316       334,170  

Hologic, Inc., 3.25%, 02/15/29

       48       48,840  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA

      

7.38%, 06/01/25

       285       303,525  

7.25%, 02/01/28

       103       108,665  
   

 

 

  
        795,200  
Health Care Providers & Services — 0.8%                  

Acadia Healthcare Co., Inc.(c)

      

5.50%, 07/01/28

       66       70,887  

5.00%, 04/15/29

       55       58,713  

AdaptHealth LLC(c)

      

6.13%, 08/01/28

       49       52,614  

4.63%, 08/01/29(i)

       24       24,660  

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

       212       233,995  

Centene Corp.

      

5.38%, 08/15/26(c)

       87       91,894  

4.25%, 12/15/27

       206       218,360  

3.00%, 10/15/30

       24       25,438  

CHS/Community Health Systems, Inc.(c)

      

8.63%, 01/15/24

       153       159,502  

6.63%, 02/15/25

       261       274,697  

8.00%, 03/15/26

       441       475,177  

5.63%, 03/15/27

       234       251,608  

6.00%, 01/15/29

       169       182,564  

Encompass Health Corp.

      

4.50%, 02/01/28

       2       2,090  
Security     Par
(000)		     Value  
Health Care Providers & Services
(continued)		                  

Encompass Health Corp. (continued)

      

4.75%, 02/01/30

     USD       19     $ 20,354  

4.63%, 04/01/31

       33       35,310  

HCA, Inc., 3.50%, 09/01/30

       272       289,021  

Legacy LifePoint Health LLC(c)

      

6.75%, 04/15/25

       116       124,562  

4.38%, 02/15/27

       44       44,055  

LifePoint Health, Inc., 5.38%, 01/15/29(c)

       49       48,895  

Molina Healthcare, Inc., 3.88%, 11/15/30(c)

       73       78,292  

Prime Healthcare Services, Inc., 7.25%,

      

11/01/25(c)

       45       47,813  

Providence Service Corp., 5.88%, 11/15/25(c)

       23       24,323  

RegionalCare Hospital Partners Holdings,

      

Inc./LifePoint Health, Inc., 9.75%,
12/01/26(c)

       17       18,700  

Surgery Center Holdings, Inc.(c)

      

6.75%, 07/01/25

       145       147,537  

10.00%, 04/15/27

       267       295,035  

Teleflex, Inc., 4.25%, 06/01/28(c)

       94       99,640  

Tenet Healthcare Corp.(c)

      

7.50%, 04/01/25

       41       44,793  

4.88%, 01/01/26

       392       410,075  

5.13%, 11/01/27

       354       374,797  

4.63%, 06/15/28

       26       27,235  

6.13%, 10/01/28

       135       140,667  
   

 

 

  
              4,393,303  
Health Care Technology(c) — 0.1%                  

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

       41       43,302  

Change Healthcare Holdings LLC/Change

      

Healthcare Finance, Inc., 5.75%, 03/01/25

       229       233,580  

Charles River Laboratories International, Inc.,

      

4.25%, 05/01/28

       46       48,185  

Mednax, Inc.

      

5.25%, 12/01/23

       122       123,501  

6.25%, 01/15/27

       62       66,492  

Syneos Health, Inc., 3.63%, 01/15/29

       147       147,406  

West Street Merger Sub, Inc., 6.38%, 09/01/25

       134       137,350  
   

 

 

  
        799,816  
Healthcare — 0.0%                  

Akumin, Inc., 7.00%, 11/01/25(c)

       17       17,850  
   

 

 

  
Hotels, Restaurants & Leisure — 1.1%                  

1011778 BC ULC/New Red Finance, Inc.(c)

      

4.38%, 01/15/28

       218       224,540  

4.00%, 10/15/30

       63       63,846  

Affinity Gaming, 6.88%, 12/15/27(c)

       38       39,816  

Boyd Gaming Corp.

      

8.63%, 06/01/25(c)

       79       87,863  

6.38%, 04/01/26

       32       33,242  

4.75%, 12/01/27

       58       60,248  

Boyne USA, Inc., 7.25%, 05/01/25(c)

       19       19,926  

Caesars Entertainment, Inc.(c)

      

6.25%, 07/01/25

       472       502,680  

8.13%, 07/01/27

       328       363,103  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(c)

 

     154       163,175  

CCM Merger, Inc., 6.38%, 05/01/26(c)

       53       55,650  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op(c)

      

5.50%, 05/01/25

       388       404,490  

6.50%, 10/01/28

       19       20,604  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   19

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

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

Churchill Downs, Inc., 4.75%, 01/15/28(c)

     USD       137     $ 144,192  

Dave & Buster’s, Inc., 7.63%, 11/01/25(c)

       61       64,203  

GLP Capital LP/GLP Financing II, Inc.

      

5.25%, 06/01/25

       162       182,263  

5.38%, 04/15/26

       80       91,814  

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

       455       451,733  

Hilton Domestic Operating Co., Inc.

      

5.38%, 05/01/25(c)

       41       43,563  

5.75%, 05/01/28(c)

       163       177,262  

4.88%, 01/15/30

       193       210,852  

4.00%, 05/01/31(c)

       132       139,275  

Las Vegas Sands Corp.

      

3.50%, 08/18/26

       31       33,173  

3.90%, 08/08/29

       28       30,112  

Marriott International, Inc., Series EE, 5.75%, 05/01/25

       393       459,693  

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

       73       80,712  

Peninsula Pacific Entertainment LLC/Peninsula

      

Pacific Entertainment Finance, Inc., 8.50%,

      

11/15/27(c)

       33       35,310  

Powdr Corp., 6.00%, 08/01/25(c)

       69       72,622  

Scientific Games International, Inc.(c)

      

8.63%, 07/01/25

       65       71,175  

8.25%, 03/15/26

       506       545,266  

SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25(c)

       52       56,453  

Six Flags Theme Parks, Inc., 7.00%, 07/01/25(c)

       275       297,000  

Vail Resorts, Inc., 6.25%, 05/15/25(c)

       89       95,007  

Wyndham Destinations, Inc., 6.63%, 07/31/26(c)

       56       64,120  

Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(c)

       44       45,718  

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

       250       261,875  

Yum! Brands, Inc.

      

4.75%, 01/15/30(c)

       49       53,729  

3.63%, 03/15/31

       22       22,238  

5.35%, 11/01/43

       14       15,820  
   

 

 

  
              5,784,363  
Household Durables — 0.2%                  

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 4.88%, 02/15/30(c)

       260       268,775  

CD&R Smokey Buyer, Inc., 6.75%,
07/15/25(c)

       75       80,156  

Diebold Nixdorf, Inc., 9.38%, 07/15/25(c)

       42       47,040  

Mattamy Group Corp., 4.63%, 03/01/30(c)

       102       108,120  

MDC Holdings, Inc., 6.00%, 01/15/43

       52       69,708  

NCR Corp.(c)

      

5.75%, 09/01/27

       72       76,500  

5.00%, 10/01/28

       35       36,925  

6.13%, 09/01/29

       78       86,385  

5.25%, 10/01/30

       36       38,610  

New Home Co., Inc., 7.25%, 10/15/25(c)

       22       22,594  

PulteGroup, Inc.

      

5.00%, 01/15/27

       44       51,920  

7.88%, 06/15/32

       23       34,414  

Taylor Morrison Communities, Inc., 5.13%,

      

08/01/30(c)

       50       56,000  
Security     Par
(000)		     Value  
Household Durables (continued)                  

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

     USD       2     $ 2,082  

TRI Pointe Group, Inc., 5.70%, 06/15/28

       18       20,322  
   

 

 

  
        999,551  
Household Products — 0.0%                  

Kronos Acquisition Holdings, Inc./KIK Custom

      

Products, Inc., 5.00%, 12/31/26(c)

       24       25,037  
   

 

 

  

Independent Power and Renewable Electricity Producers(c) — 0.2%

 

Calpine Corp.

      

5.25%, 06/01/26

       68       70,346  

5.13%, 03/15/28

       458       481,802  

4.63%, 02/01/29

       86       88,432  

5.00%, 02/01/31

       100       104,500  

3.75%, 03/01/31

       78       77,246  

Clearway Energy Operating LLC, 4.75%, 03/15/28

       20       21,450  

NRG Energy, Inc., 3.63%, 02/15/31

       127       130,658  

TerraForm Power Operating LLC, 4.75%, 01/15/30

       74       79,180  
   

 

 

  
              1,053,614  
Insurance — 0.3%                  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(c)

      

4.25%, 10/15/27

       349       356,852  

6.75%, 10/15/27

       731       782,170  

AmWINS Group, Inc., 7.75%, 07/01/26(c)

       25       26,848  

AssuredPartners, Inc., 5.63%, 01/15/29(c)

       86       89,762  

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

       467       488,384  

Unipol Gruppo SpA, 3.25%, 09/23/30

     EUR       100       129,283  

Willis North America, Inc., 2.95%, 09/15/29

     USD       10       10,941  
   

 

 

  
        1,884,240  
Interactive Media & Services — 0.1%                  

Arches Buyer, Inc.(c)

      

4.25%, 06/01/28

       36       36,457  

6.13%, 12/01/28

       16       16,523  

Netflix, Inc.

      

4.88%, 04/15/28

       112       126,302  

5.88%, 11/15/28

       14       16,783  

3.63%, 06/15/30

     EUR       100       138,692  

4.88%, 06/15/30(c)

     USD       127       146,050  

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28(c)

       30       34,200  
   

 

 

  
        515,007  
Internet Software & Services(c) — 0.4%                  

Expedia Group, Inc.

      

3.60%, 12/15/23

       486       517,933  

6.25%, 05/01/25

       275       318,753  

4.63%, 08/01/27

       95       106,115  

Match Group Holdings II LLC

      

4.63%, 06/01/28

       43       45,069  

4.13%, 08/01/30

       78       81,120  

TripAdvisor, Inc., 7.00%, 07/15/25

       82       88,560  

Uber Technologies, Inc.

      

7.50%, 05/15/25

       230       248,451  

8.00%, 11/01/26

       82       89,492  
 

 

 

20

  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Internet Software & Services (continued)  

Uber Technologies, Inc. (continued)

      

7.50%, 09/15/27

     USD       138     $ 151,800  

6.25%, 01/15/28

       265       288,187  
   

 

 

  
              1,935,480  
IT Services — 0.7%                  

Austin BidCo, Inc., 7.13%, 12/15/28(c)

       23       24,006  

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

       506       546,556  

Booz Allen Hamilton, Inc., 3.88%,
09/01/28(c)

       101       104,030  

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

       113       117,944  

Dun & Bradstreet Corp.(c)

      

6.88%, 08/15/26

       102       109,650  

10.25%, 02/15/27

       232       261,580  

Fiserv, Inc., 2.25%, 06/01/27

       1,385       1,476,059  

Gartner, Inc.(c)

      

4.50%, 07/01/28

       83       87,565  

3.75%, 10/01/30

       96       101,161  

Presidio Holdings, Inc., 4.88%, 02/01/27(c)

       5       5,304  

Rackspace Technology Global, Inc., 5.38%, 12/01/28(c)

       136       142,487  

Tempo Acquisition LLC/Tempo

      

Acquisition Finance Corp.(c)

      

5.75%, 06/01/25

       190       201,875  

6.75%, 06/01/25

       291       300,763  

Unisys Corp., 6.88%, 11/01/27(c)

       33       36,053  
   

 

 

  
        3,515,033  
Leisure Products — 0.0%                  

Mattel, Inc.

      

6.75%, 12/31/25(c)

       12       12,666  

5.88%, 12/15/27(c)

       34       37,782  

6.20%, 10/01/40

       33       38,527  

5.45%, 11/01/41

       116       127,641  
   

 

 

  
        216,616  
Machinery — 0.3%                  

ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(c)

       35       35,613  

Clark Equipment Co., 5.88%, 06/01/25(c)

       284       299,620  

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

       84       89,670  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(c)(f)

       445       483,937  

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

     EUR       100       121,360  

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

     USD       57       58,069  

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

       147       152,880  

Vertical US Newco, Inc., 5.25%, 07/15/27(c)

       200       212,000  
   

 

 

  
        1,453,149  
Media — 2.3%                  

Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(c)

       46       48,645  

Altice Financing SA, 5.00%, 01/15/28(c)

       204       209,026  

Altice France Holding SA(c)

      

10.50%, 05/15/27

       539       605,027  

6.00%, 02/15/28

       272       275,400  

Cable One, Inc., 4.00%, 11/15/30(c)

       77       79,984  

CCO Holdings LLC/CCO Holdings Capital Corp.(c)

      

5.13%, 05/01/27

       48       50,937  

5.00%, 02/01/28

       34       35,955  

5.38%, 06/01/29

       117       128,261  

4.50%, 08/15/30

       134       142,207  
Security     Par
(000)		     Value  
Media (continued)                  

CCO Holdings LLC/CCO Holdings Capital

      

Corp.(c) (continued)

      

4.25%, 02/01/31

     USD       286     $ 301,404  

4.50%, 05/01/32

       434       463,390  

Clear Channel International BV, 6.63%,

      

08/01/25(c)

       200       211,000  

Clear Channel Worldwide Holdings, Inc.

      

9.25%, 02/15/24

       363       367,537  

5.13%, 08/15/27(c)

       659       665,590  

Connect Finco Sarl/Connect US Finco LLC,

      

6.75%, 10/01/26(c)

       738       794,974  

CSC Holdings LLC

      

5.25%, 06/01/24

       344       372,346  

4.63%, 12/01/30(c)

       223       232,756  

3.38%, 02/15/31(c)

       405       397,406  

DISH DBS Corp.

      

5.88%, 07/15/22

       689       720,005  

7.75%, 07/01/26

       219       245,282  

GCI LLC, 4.75%, 10/15/28(c)

       29       30,930  

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

       20       22,075  

Lamar Media Corp., 4.00%, 02/15/30

       57       59,138  

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

       200       215,250  

Liberty Broadband Corp., 2.75%,
09/30/50(c)(h)

       481       514,556  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(c)(f)

       205       198,850  

Lions Gate Capital Holdings LLC(c)

      

6.38%, 02/01/24

       26       26,650  

5.88%, 11/01/24

       21       21,315  

Live Nation Entertainment, Inc.(c)

      

4.88%, 11/01/24

       9       9,113  

6.50%, 05/15/27

       329       367,993  

4.75%, 10/15/27

       30       30,748  

3.75%, 01/15/28(i)

       61       61,634  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(c)

       36       36,630  

Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(c)

       95       96,900  

Radiate Holdco LLC/Radiate Finance, Inc.(c)

      

4.50%, 09/15/26

       714       736,312  

6.50%, 09/15/28

       1,096             1,154,910  

Scripps Escrow II, Inc.(c)

      

3.88%, 01/15/29

       31       32,217  

5.38%, 01/15/31

       55       57,338  

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

     EUR       100       134,031  

Sinclair Television Group, Inc., 4.13%,
12/01/30(c)

    USD       216       221,018  

Sirius XM Radio, Inc.(c)

      

5.50%, 07/01/29

       60       66,019  

4.13%, 07/01/30

       57       60,669  

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

       131       135,585  

Terrier Media Buyer, Inc., 8.88%, 12/15/27(c)

       112       123,480  

Townsquare Media, Inc., 6.88%,
02/01/26(c)(i)

       25       26,183  

Univision Communications, Inc.(c)

      

5.13%, 02/15/25

       107       107,802  

6.63%, 06/01/27

       347       372,695  

Virgin Media Secured Finance PLC, 4.50%, 08/15/30(c)

       200       209,000  

Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(c)

       242       251,680  

WMG Acquisition Corp.(c) 3.88%, 07/15/30

       15       15,942  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   21

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Media (continued)                  

WMG Acquisition Corp.(c) (continued)

      

3.00%, 02/15/31

     USD       19     $ 18,620  

Ziggo Bond Co. BV, 5.13%, 02/28/30(c)

       200       211,060  

Ziggo BV, 5.50%, 01/15/27(c)

       169       176,394  
   

 

 

  
            12,149,869  
Metals & Mining — 0.6%                  

Allegheny Technologies, Inc., 7.88%, 08/15/23

       20       21,887  

Arconic Corp.(c)

      

6.00%, 05/15/25

       13       13,878  

6.13%, 02/15/28

       106       114,281  

Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(c)

       293       316,440  

Constellium SE(c)

      

6.63%, 03/01/25

       300       306,375  

5.88%, 02/15/26

       321       330,630  

Freeport-McMoRan, Inc.

      

4.38%, 08/01/28

       92       97,750  

4.63%, 08/01/30

       168       184,380  

5.45%, 03/15/43

       551       685,995  

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

       96       97,440  

Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28(c)

      57       64,552  

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

       75       77,812  

New Gold, Inc., 7.50%, 07/15/27(c)

       158       174,590  

Novelis Corp., 4.75%, 01/30/30(c)

       385       414,786  

thyssenkrupp AG, 2.88%, 02/22/24

     EUR       64       78,596  

United States Steel Corp., 12.00%,
06/01/25(c)

     USD       173       199,815  
   

 

 

  
        3,179,207  
Multi-line Retail(c) — 0.1%                  

Macy’s, Inc., 8.38%, 06/15/25

       176       195,448  

Nordstrom, Inc., 8.75%, 05/15/25

       75       84,004  
   

 

 

  
        279,452  
Oil, Gas & Consumable Fuels — 3.0%                  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.88%, 05/15/26(c)

       101       104,291  

Antero Resources Corp., 8.38%,
07/15/26(c)(i)

       17       17,352  

Apache Corp.

      

4.88%, 11/15/27

       68       72,080  

5.10%, 09/01/40

       59       62,909  

5.25%, 02/01/42

       10       10,778  

4.75%, 04/15/43

       103       106,797  

4.25%, 01/15/44

       46       45,385  

5.35%, 07/01/49

       23       23,599  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(c)

      

9.00%, 11/01/27

       212       235,320  

8.25%, 12/31/28

       37       36,908  

Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(c)

       54       57,510  

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

       314       320,672  

Buckeye Partners LP

      

4.13%, 03/01/25(c)

       5       5,063  

3.95%, 12/01/26

       34       34,442  

4.50%, 03/01/28(c)

       61       62,830  

5.85%, 11/15/43

       16       15,743  

5.60%, 10/15/44

       6       5,768  

Cenovus Energy, Inc.

      

3.00%, 08/15/22

       26       26,567  

3.80%, 09/15/23

       15       15,581  
Security     Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)                  

Cenovus Energy, Inc. (continued)

      

5.38%, 07/15/25

     USD       94     $          105,980  

5.40%, 06/15/47

       35       41,087  

Cheniere Energy Partners LP

      

5.63%, 10/01/26

       151       157,040  

4.50%, 10/01/29

       133       140,685  

5.25%, 10/01/25

       12       12,315  

Cheniere Energy, Inc., 4.63%, 10/15/28(c)

       414       434,700  

CITGO Petroleum Corp., 7.00%, 06/15/25(c)

       90       89,775  

CNX Resources Corp.(c)

      

7.25%, 03/14/27

       73       78,110  

6.00%, 01/15/29

       84       86,057  

Comstock Resources, Inc.

      

7.50%, 05/15/25(c)

       278       284,836  

9.75%, 08/15/26

       131       141,135  

Continental Resources, Inc.

      

5.75%, 01/15/31(c)

       79       87,688  

4.90%, 06/01/44

       124       122,637  

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

 

     194       192,060  

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

       677       691,373  

CVR Energy, Inc.(c)

      

5.25%, 02/15/25

       105       101,325  

5.75%, 02/15/28

       54       51,165  

DCP Midstream Operating LP

      

5.38%, 07/15/25

       22       24,174  

5.63%, 07/15/27

       65       72,150  

5.13%, 05/15/29

       118       130,876  

6.45%, 11/03/36(c)

       250       270,000  

6.75%, 09/15/37(c)

       21       22,680  

Diamondback Energy, Inc.

      

4.75%, 05/31/25

       60       67,547  

3.50%, 12/01/29

       84       89,739  

Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(c)

       78       82,710  

eG Global Finance PLC

      

6.75%, 02/07/25(c)

       200       206,000  

6.25%, 10/30/25

     EUR       142       178,140  

8.50%, 10/30/25(c)

     USD       244       260,235  

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

      

6.63%, 07/15/25

       73       78,110  

5.50%, 01/30/26

       421       432,009  

5.75%, 01/30/28

       320       345,184  

Energy Transfer Operating LP

      

6.13%, 12/15/45

       92       108,679  

5.00%, 05/15/50

       11       11,912  

EnLink Midstream LLC, 5.63%, 01/15/28(c)

       56       57,131  

EnLink Midstream Partners LP

      

4.40%, 04/01/24

       136       134,201  

4.85%, 07/15/26

       39       38,077  

5.60%, 04/01/44

       249       199,822  

5.05%, 04/01/45

       20       15,938  

EQM Midstream Partners LP

      

6.00%, 07/01/25(c)

       88       96,360  

4.13%, 12/01/26

       17       17,128  

6.50%, 07/01/27(c)

       117       131,746  

EQT Corp.

      

3.90%, 10/01/27

       120       119,214  

5.00%, 01/15/29

       44       46,390  
 

 

 

22  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

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

EQT Corp. (continued)

      

8.75%, 02/01/30

     USD       27     $            33,075  

Extraction Oil & Gas, Inc.(a)(c)(d)

      

7.38%, 05/15/24

       383       68,940  

5.63%, 02/01/26

       133       23,940  

Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 01/15/27

       68       67,334  

Harvest Midstream I LP, 7.50%, 09/01/28(c)

       94       99,992  

Indigo Natural Resources LLC, 6.88%, 02/15/26(c)

       42       42,945  

MasTec, Inc., 4.50%, 08/15/28(c)

       66       69,300  

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

       121       118,580  

MEG Energy Corp.(c)

      

7.00%, 03/31/24

       63       63,630  

6.50%, 01/15/25

       91       93,735  

7.13%, 02/01/27

       79       81,567  

Murphy Oil Corp., 5.75%, 08/15/25

       55       54,450  

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

       109       115,949  

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

       200       197,854  

New Enterprise Stone & Lime Co. Inc., 9.75%, 07/15/28(c)

       26       28,470  

New Fortress Energy, Inc., 6.75%,
09/15/25(c)

       353       374,950  

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

       186       251,468  

NuStar Logistics LP

      

5.75%, 10/01/25

       41       43,665  

6.00%, 06/01/26

       124       134,107  

6.38%, 10/01/30

       2       2,266  

Occidental Petroleum Corp.

      

2.70%, 08/15/22

       123       123,154  

2.70%, 02/15/23

       87       86,917  

6.95%, 07/01/24

       19       20,520  

2.90%, 08/15/24

       89       85,662  

5.50%, 12/01/25

       45       46,917  

3.40%, 04/15/26

       21       20,022  

3.20%, 08/15/26

       5       4,675  

3.00%, 02/15/27

       2       1,780  

8.88%, 07/15/30

       2       2,348  

6.13%, 01/01/31

       77       82,405  

4.30%, 08/15/39

       174       147,120  

6.20%, 03/15/40

       284       281,160  

4.50%, 07/15/44

       72       61,020  

4.63%, 06/15/45

       199       173,454  

6.60%, 03/15/46

       7       7,103  

4.40%, 04/15/46

       114       99,347  

4.10%, 02/15/47

       17       13,897  

4.20%, 03/15/48

       69       56,235  

4.40%, 08/15/49

       35       29,498  

Ovintiv Exploration, Inc., 5.75%, 01/30/22

       28       29,082  

Parsley Energy LLC/Parsley Finance Corp.,

      

5.63%, 10/15/27(c)

       477       522,076  

PBF Holding Co. LLC/PBF Finance Corp., 9.25%,

      

05/15/25(c)

       362       356,896  

PDC Energy, Inc.

      

6.13%, 09/15/24

       187       192,163  

6.25%, 12/01/25

       29       28,638  

5.75%, 05/15/26

       48       49,560  

Plains All American Pipeline LP/PAA Finance Corp.

      

3.55%, 12/15/29

       13       13,605  

4.30%, 01/31/43

       7       6,887  
Security     Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)                  

Plains All American Pipeline LP/PAA Finance Corp. (continued)

      

4.90%, 02/15/45

     USD       21     $ 22,287  

QEP Resources, Inc.

      

5.38%, 10/01/22

       677       704,926  

5.25%, 05/01/23

       150       157,875  

5.63%, 03/01/26

       25       27,414  

Range Resources Corp.

      

5.88%, 07/01/22

       69       69,000  

5.00%, 08/15/22

       103       101,970  

5.00%, 03/15/23

       46       44,850  

4.88%, 05/15/25

       39       36,839  

Rattler Midstream LP, 5.63%, 07/15/25(c)

       79       83,444  

Sabine Pass Liquefaction LLC, 4.50%,

      

05/15/30(c)

       144       170,680  

SM Energy Co.

      

6.13%, 11/15/22

       11       10,615  

10.00%, 01/15/25(c)

       225       241,875  

Southwestern Energy Co.

      

4.10%, 03/15/22

       158       158,790  

7.50%, 04/01/26

       36       37,764  

8.38%, 09/15/28

       31       33,635  

Sunoco Logistics Partners Operations LP

      

5.30%, 04/01/44

       153       165,336  

5.35%, 05/15/45

       41       45,166  

5.40%, 10/01/47

       133       148,605  

Sunoco LP/Sunoco Finance Corp.

      

5.50%, 02/15/26

       8       8,200  

5.88%, 03/15/28

       151       163,080  

4.50%, 05/15/29(c)

       56       58,240  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(c)

      

5.50%, 09/15/24

       6       6,105  

7.50%, 10/01/25

       44       47,502  

6.00%, 12/31/30

       50       51,452  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

      

5.13%, 02/01/25

       75       76,875  

5.38%, 02/01/27

       17       17,856  

5.50%, 03/01/30

       255       276,853  

4.88%, 02/01/31(c)

       97       105,690  

Transocean, Inc., 11.50%, 01/30/27(c)

       167       119,405  

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

       117       122,265  

Western Midstream Operating LP

      

4.75%, 08/15/28

       95       98,800  

5.30%, 03/01/48

       54       53,512  

5.50%, 08/15/48

       6       5,890  

6.25%, 02/01/50

       120       132,000  

WPX Energy, Inc.

      

8.25%, 08/01/23

       261       297,049  

5.25%, 09/15/24

       6       6,536  

5.75%, 06/01/26

       28       29,435  

5.25%, 10/15/27

       78       82,650  

5.88%, 06/15/28

       66       71,942  

4.50%, 01/15/30

       59       62,540  
   

 

 

  
            15,977,021  
Personal Products — 0.0%                  

Edgewell Personal Care Co., 5.50%, 06/01/28(c)

       41       44,063  
   

 

 

  
Pharmaceuticals — 0.4%                  

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

      101       112,329  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   23

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Pharmaceuticals (continued)                  

Bausch Health Cos., Inc.(c)

      

9.00%, 12/15/25

     USD       255     $ 281,507  

7.00%, 01/15/28

       185       203,352  

5.00%, 02/15/29

       167       171,709  

6.25%, 02/15/29

       168       182,490  

5.25%, 01/30/30

       84       88,200  

5.25%, 02/15/31

       94       98,204  

Elanco Animal Health, Inc., 5.90%, 08/28/28

       57       67,260  

Endo Dac/Endo Finance LLC/Endo Finco,
Inc.(c)

      

9.50%, 07/31/27

       184       205,390  

6.00%, 06/30/28

       91       77,350  

Jaguar Holding Co. II/PPD Development LP(c)

      

4.63%, 06/15/25

       122       128,663  

5.00%, 06/15/28

       178       190,015  

P&L Development LLC/PLD Finance Corp.,

      

7.75%, 11/15/25(c)

       46       49,450  

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

       254       275,590  
   

 

 

  
              2,131,509  
Real Estate Management & Development — 0.3%  

Consus Real Estate AG, 9.63%, 05/15/24

     EUR       100       130,990  

Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28(c)

     USD       842       928,305  

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

       24       24,456  

Howard Hughes Corp., 5.38%, 08/01/28(c)

       45       48,398  

Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(c)

       171       185,658  

Unique Pub Finance Co. PLC

      

Series A4, 5.66%, 06/30/27

     GBP       46       64,700  

Series N, 6.46%, 03/30/32

       100       133,073  
   

 

 

  
        1,515,580  
Semiconductors & Semiconductor Equipment — 0.4%  

ams AG, 2.13%, 11/03/27

     EUR       100       122,014  

Broadcom, Inc.

      

4.70%, 04/15/25

     USD       910       1,042,831  

3.15%, 11/15/25

       514       561,263  

ON Semiconductor Corp., 3.88%,
09/01/28(c)

       106       109,710  

Qorvo, Inc., 3.38%, 04/01/31(c)

       7       7,227  

Sensata Technologies, Inc., 3.75%,
02/15/31(c)

       71       73,597  
   

 

 

  
        1,916,642  
Software(c) — 0.7%                  

ANGI Group LLC, 3.88%, 08/15/28

       84       85,470  

Black Knight InfoServ LLC, 3.63%, 09/01/28

       122       124,898  

Boxer Parent Co., Inc.

      

7.13%, 10/02/25

       124       134,595  

9.13%, 03/01/26

       215       231,125  

BY Crown Parent LLC, 7.38%, 10/15/24

       602       612,535  

BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26

       461       472,525  

CDK Global, Inc., 5.25%, 05/15/29

       28       31,022  

Open Text Corp., 3.88%, 02/15/28

       82       85,280  

Open Text Holdings, Inc., 4.13%, 02/15/30

       9       9,574  

PTC, Inc., 4.00%, 02/15/28

       80       83,850  

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

       1,315       1,362,669  
Security     Par
(000)		     Value  
Software (continued)                  

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

     USD       236     $ 252,053  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25

       493       505,941  
   

 

 

  
        3,991,537  
Specialty Retail(c) — 0.1%                  

Gap, Inc., 8.88%, 05/15/27

       105       121,800  

L Brands, Inc.

      

6.88%, 07/01/25

       133       144,409  

6.63%, 10/01/30

       46       51,175  

PetSmart, Inc.

      

7.13%, 03/15/23

       135       135,000  

5.88%, 06/01/25

       98       100,695  
   

 

 

  
        553,079  
Technology Hardware, Storage & Peripherals — 0.0%  

Seagate HDD Cayman, 4.13%, 01/15/31(c)

       30       31,987  
   

 

 

  

Textiles, Apparel & Luxury Goods — 0.0%

 

Hanesbrands, Inc., 5.38%, 05/15/25(c)

       30       31,740  

Levi Strauss & Co., 5.00%, 05/01/25

       33       33,825  

William Carter Co., 5.50%, 05/15/25(c)

       11       11,682  

Wolverine World Wide, Inc., 6.38%, 05/15/25(c)

       24       25,560  
   

 

 

  
        102,807  
Thrifts & Mortgage Finance — 0.1%                  

Genworth Mortgage Holdings, Inc., 6.50%,

      

08/15/25(c)

       184       199,180  

LD Holdings Group LLC, 6.50%, 11/01/25(c)

       16       16,840  

MGIC Investment Corp., 5.25%, 08/15/28

       47       50,290  

Nationstar Mortgage Holdings, Inc.(c)

      

6.00%, 01/15/27

       78       82,777  

5.50%, 08/15/28

       81       85,050  

5.13%, 12/15/30

       45       47,035  
   

 

 

  
        481,172  
Utilities — 0.0%                  

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

       99       105,300  
   

 

 

  
Wireless Telecommunication Services — 0.6%  

Altice France SA(c)

      

7.38%, 05/01/26

       391       411,528  

8.13%, 02/01/27

       334       368,238  

GLP Capital LP/GLP Financing II, Inc.

      

5.30%, 01/15/29

       25       28,924  

4.00%, 01/15/31

       386       421,211  

Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(c)

       57       61,032  

SBA Communications Corp., 3.88%, 02/15/27

       586       615,300  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC

      

6.00%, 04/15/23(c)

       35       35,700  

8.25%, 10/15/23

       171       172,283  

VICI Properties LP/VICI Note Co., Inc.(c)

      

4.25%, 12/01/26

       496       514,426  

4.63%, 12/01/29

       321       343,470  
   

 

 

  
        2,972,112  
Total Corporate Bonds — 22.9%                  

(Cost: $125,482,350)

         123,096,188  
   

 

 

  
 

 

 

24  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  

Floating Rate Loan Interests(e)

 

Aerospace & Defense — 2.0%

 

Bleriot US Bidco, Inc.

      

Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

     USD       111     $ 110,915  

Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

       713       709,858  

Dynasty Acquisition Co., Inc.

      

2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

       1,805       1,714,190  

2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

       3,356       3,188,393  

Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/09/26

       780       624,096  

Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25

       893       899,698  

Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25

       3,559       3,483,007  
   

 

 

  
            10,730,157  
Air Freight & Logistics — 0.6%                  

WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

       3,634       3,477,579  
   

 

 

  
Airlines — 1.3%                  

American Airlines, Inc.

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27

       455       389,022  

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23

       2,255       2,020,775  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23

       1,587       1,426,534  

JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24

       670       687,515  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27

       2,112       2,195,171  
   

 

 

  
        6,719,017  
Auto Components — 2.3%                  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26

       5,507       5,477,799  

USI, Inc.

      

2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24

       4,393       4,326,290  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26

       251       249,688  

Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26

       2,325       2,289,424  
   

 

 

  
        12,343,201  
Automobiles — 0.5%                  

Mavis Tire Express Services Corp.

      

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25

       1,312       1,286,066  

2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25

       1,191       1,193,978  
   

 

 

  
        2,480,044  
Security     Par
(000)		     Value  
Building Materials — 0.6%                  

Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26

     USD       2,086     $       2,074,907  

CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25

       162       162,796  

CP Atlas Buyer, Inc.

      

2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       266       266,333  

2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       798       798,997  
   

 

 

  
        3,303,033  
Building Products — 1.3%                  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24

       1,528       1,526,233  

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

     EUR       1,000       1,210,008  

MI Windows and Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27

     USD       474       474,593  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23

       3,752       3,754,384  
   

 

 

  
        6,965,218  
Capital Markets — 1.7%                  

Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

       5,519       5,519,997  

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27

       1,265       1,262,634  

FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 06/27/25

       — (j)      250  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24

       533       526,046  

GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27

       733       735,179  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26

       1,311       1,299,591  
   

 

 

  
        9,343,697  
Chemicals — 4.2%                  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24

       2,736       2,723,809  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26

       2,959       2,965,967  

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24

       1,264       1,252,748  

Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25

       743       727,634  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24

       1,350       1,315,316  

Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24

       1,269       1,259,558  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   25

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Chemicals (continued)                  

Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27

     USD       2,887     $       2,885,814  

Invictus US LLC

      

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25

       679       665,702  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26

       973       925,058  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26

       3,294       3,266,118  

Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b)

       378       376,511  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24

       1,327       1,307,338  

Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24

       2,405       2,372,329  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25

       425       420,341  
   

 

 

  
        22,464,243  
Commercial Services & Supplies — 3.8%  

Asurion LLC

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25

       1,728       1,738,343  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23

       1,265       1,252,342  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24

       926       917,354  

2020 Term Loan B8, 12/23/26(k)

       704       695,973  

Creative Artists Agency LLC

      

2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26

       742       732,488  

2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26

       1,728       1,704,971  

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25

       2,708       2,682,821  

Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24

       1,710       1,682,823  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

       477       468,231  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23

       506       446,154  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26(b)

       1,286       1,263,853  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26

       1,506       1,509,343  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25

       2,911       2,905,342  

West Corp.

      

2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24

       1,020       986,405  

2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24

       1,404       1,350,480  
   

 

 

  
        20,336,923  
Security     Par
(000)		     Value  
Communications Equipment — 0.2%                  

Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24

     USD       907     $ 906,528  
   

 

 

  
Construction & Engineering — 1.3%                  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

       3,183       3,458,252  

Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26

       463       461,539  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25

       523       521,625  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25

       2,602       2,557,401  
   

 

 

  
              6,998,817  
Construction Materials — 1.8%                  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24

       4,805       4,776,977  

Filtration Group Corp.

      

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25

       2,145       2,120,065  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25

       1,281       1,281,422  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

       1,024       1,023,983  

Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(b)

       715       715,000  
   

 

 

  
        9,917,447  
Consumer Discretionary(k) — 0.3%                  

Zaxby’s Operating Company LLC

      

1st Lien Term Loan, 12/10/27

       1,236       1,236,000  

2nd Lien Term Loan, 12/08/28(b)

       563       568,630  
   

 

 

  
        1,804,630  
Containers & Packaging — 1.8%                  

Berry Global, Inc.

      

Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22

       2,893       2,888,133  

Term Loan Y, (1 mo. LIBOR + 2.00%), 2.15%, 07/01/26

       1,292       1,284,353  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24

       2,254       2,172,002  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23

       1,943       1,929,902  

Pregis TopCo Corp.

      

1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26

       551       548,668  

2020 Incremental Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 08/01/26(b)

       257       255,073  

Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27

       735       737,146  
   

 

 

  
        9,815,277  
 

 

 

26  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Distributors — 1.2%                  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27

     USD       2,694     $ 2,665,884  

TMK Hawk Parent Corp.

      

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24

       990       951,012  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24(b)

       3,287       2,563,813  
   

 

 

  
              6,180,709  
Diversified Consumer Services — 3.2%                  

Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27

       639       636,395  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24

       1,195       1,187,591  

Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24

       990       991,172  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27

       3,071       3,078,945  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23

       1,767       1,747,768  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25

       3,011       2,912,178  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

       1,406       1,423,501  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24

       1,121       1,105,968  

PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27

       680       680,000  

Serta Simmons Bedding LLC

      

2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23

       421       425,490  

2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23

       862       774,683  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23

       2,425       2,418,821  
   

 

 

  
        17,382,512  
Diversified Financial Services — 4.9%                  

Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26

       952       941,758  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(b)

       761       762,995  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24

       5,002       4,940,260  
Security     Par
(000)		     Value  
Diversified Financial Services (continued)                  

Allsup’s Convenience Stores, Inc., Term Loan,

      

(1 mo. LIBOR + 6.25%), 6.40%, 11/18/24

     USD       667     $ 668,061  

Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27

       1,111       1,109,611  

Delta TopCo, Inc.

      

2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28

       595       598,719  

2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27

       3,270       3,266,599  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

       1,161       1,145,797  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

       1,342       1,271,370  

LBM Acquisition LLC(k)

      

Delayed Draw Term Loan, 12/09/27

       189       188,491  

Term Loan B, 12/17/27

       849       848,209  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27

       680       681,476  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

       2,258       2,254,229  

SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25

       1,735       1,628,941  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25

       557       529,544  

Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27

       625       622,834  

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27

       3,069       3,050,176  

Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28

       1,876       1,862,512  
   

 

 

  
            26,371,582  
Diversified Telecommunication Services — 2.8%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27

       510       508,567  

Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27

       995       998,671  

Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21

       1,369       1,373,285  

GCI LLC, 2020 Term Loan B, 10/15/25(k)

       1,099       1,093,408  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24

       2,340       2,338,598  

Intelsat Jackson Holdings SA

      

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

       455       460,688  

2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22

       158       160,467  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26

       1,545       1,551,331  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   27

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27

     USD       1,676     $ 1,646,672  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24

       2,334       2,325,613  

Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27

       842       843,083  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.28%, 01/15/27

     GBP       1,400       1,867,041  
   

 

 

  
            15,167,424  
Electric Utilities — 0.2%                  

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27

     USD       1,203       1,201,195  
   

 

 

  
Electrical Equipment — 0.7%                  

Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24

       3,513       3,500,207  
   

 

 

  
Electronic Equipment, Instruments & Components — 0.2%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25

       984       982,120  
   

 

 

  
Energy Equipment & Services — 0.0%                  

Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25

       169       169,288  
   

 

 

  

Entertainment — 0.3%

      

MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b)

       1,759       1,767,795  
   

 

 

  
Environmental, Maintenance, & Security Service — 0.8%  

Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27

       1,771       1,773,891  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27

       2,272       2,280,797  
   

 

 

  
        4,054,688  

Equity Real Estate Investment Trusts (REITs) — 0.7%

 

VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24

       3,938       3,868,495  
   

 

 

  
Food & Staples Retailing — 1.2%                  

Hearthside Food Solutions LLC

      

2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25

       1,031       1,014,204  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25

       1,401       1,375,213  

2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25

       179       179,248  
Security          Par
(000)		     Value  
Food & Staples Retailing (continued)  

US Foods, Inc.

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23

     USD       3,010     $ 2,961,349  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26

       747       733,459  
   

 

 

  
              6,263,473  
Food Products — 2.9%                  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25

       1,111       1,106,691  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26

       415       413,579  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27

       2,767       2,757,380  

Froneri International Ltd.

      

2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28(b)

       374       376,201  

2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27

       4,333       4,285,663  

JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26

       598       592,464  

Pathway Vet Alliance LLC

      

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       39       38,930  

2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       477       476,609  

Reynolds Group Holdings, Inc.

      

2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23

       2,364       2,352,238  

2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26

       1,703       1,688,099  

Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27

       849       848,609  

Sovos Brands Intermediate, Inc., 2018 Term Loan, (3 mo. LIBOR + 4.75%), 4.96%, 11/20/25(b)

       669       670,129  
   

 

 

  
        15,606,592  
Health Care Equipment & Supplies — 1.3%  

Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27

       1,843       1,844,161  

Ortho-Clinical Diagnostics SA

      

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25

       3,821       3,761,874  

EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25

     EUR       993       1,192,482  
   

 

 

  
        6,798,517  
Health Care Providers & Services — 4.3%                  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25

     USD       830       832,350  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23

       2,178       2,162,110  
 

 

 

28  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  

Health Care Providers & Services (continued)

 

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

     USD       1,115     $ 1,116,261  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25

       1,727       1,435,439  

EyeCare Partners LLC

      

2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28(b)

       1,460       1,328,600  

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       376       365,346  

2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       1,599       1,554,025  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26

       874       813,839  

Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25

       2,479       2,461,727  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26

       2,646       2,640,766  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23

       1,017       1,010,895  

Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(b)

       1,741       1,740,978  

Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26

       5,913       5,930,587  
   

 

 

  
            23,392,923  
Health Care Services — 1.0%                  

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26

       2,412       2,378,630  

Unified Physician Management LLC, 2020 Term Loan, 12/16/27(b)(k)

       1,267       1,257,497  

WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26

       1,891       1,887,683  
   

 

 

  
        5,523,810  
Health Care Technology — 1.4%                  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24

       3,205       3,186,962  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR

      

+ 2.75%), 2.90%, 10/10/25

       2,567       2,546,468  

Press Ganey Holdings, Inc., 2020 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 07/25/26

       1,698       1,693,755  

Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 03/07/24

       279       277,385  
   

 

 

  
        7,704,570  
Hotels, Restaurants & Leisure — 7.3%                  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26

       3,265       3,215,213  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26

       496       466,955  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

       885       886,218  
Security          Par
(000)		     Value  

Hotels, Restaurants & Leisure (continued)

 

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.96%, 10/19/24

     USD       1,085     $ 1,073,984  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23

       1,087       1,076,174  

Caesars Resort Collection LLC

      

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24

       2,901       2,842,844  

2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25

       3,541       3,542,273  

CCM Merger, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25

       1,371       1,366,997  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

       3,653       3,261,658  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23

       903       895,267  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23

       1,878       1,808,576  

Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b)

       201       227,378  

Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25

       532       534,326  

IRB Holding Corp.

      

2020 Fourth Amendment Incremental Term Loan, 11/12/27(k)

       4,045       4,046,254  

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

       1,996       1,976,653  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25

       872       864,274  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24

       683       625,291  

Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24

       1,642       1,649,557  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24

       1,144       1,115,650  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25

       1,015       1,018,189  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27

       1,994       1,961,105  

Travelport Finance (Luxembourg) Sarl

      

(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25

       1,470       1,447,303  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26

       2,619       1,767,405  

Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26

       1,879       1,860,387  
   

 

 

  
        39,529,931  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   29

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Household Durables — 0.2%  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27

     USD       1,061     $ 1,061,531  
   

 

 

  
Independent Power and Renewable Electricity Producers — 0.7%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25

       669       659,401  

Calpine Corp.

      

2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26

       1,061       1,046,002  

Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26

       1,923       1,900,820  
   

 

 

  
        3,606,223  
Industrial Conglomerates — 2.8%                  

AVSC Holding Corp.

      

(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25

       4,406       3,742,778  

(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26

       1,273       1,457,011  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23(b)

       1,426       1,433,583  

Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27

       1,708       1,713,509  

Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27

       6,934       6,885,382  
   

 

 

  
        15,232,263  
Insurance — 3.6%                  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       2,440       2,399,589  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       1,190       1,168,709  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24

       2,559       2,553,874  

AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27

       603       602,827  

AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27

       1,558       1,533,395  

HUB International Ltd.

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25

       2,809       2,755,342  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25

       1,420       1,422,078  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27

       1,463       1,457,845  

Sedgwick Claims Management Services, Inc.

      

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25

       1,742       1,712,318  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26

       2,078       2,068,476  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

       1,497       1,506,718  
   

 

 

  
        19,181,171  
Interactive Media & Services — 1.6%                  

Adevinta ASA, USD Term Loan B, 10/13/27(k)

       2,218       2,214,629  
Security          Par
(000)		     Value  

Interactive Media & Services (continued)

 

Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26

     USD       3,763     $ 3,759,463  

Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27

       1,721       1,726,376  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24

       869       863,912  
   

 

 

  
              8,564,380  
Internet & Direct Marketing Retail — 0.5%  

CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27

       2,428       2,423,824  
   

 

 

  
IT Services — 6.3%                  

Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27

       2,134       2,135,067  

Aruba Investments, Inc.

      

2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28

       1,275       1,275,000  

2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27

       690       689,137  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26

       3,610       3,590,595  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27

       4,253       4,256,987  

GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b)

       1,379       1,351,488  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25

       1,121       701,623  

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27

       2,838       2,700,320  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23

       333       332,213  

Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b)

       3,730       3,692,700  

Trans Union LLC, 2019 Term Loan B5, (1 mo.

      

LIBOR + 1.75%), 1.90%, 11/16/26

       3,129       3,114,390  

Veritas US, Inc., 2020 USD Term Loan B, (3 mo.

      

LIBOR + 5.50%, 1.00% Floor), 6.50%,

      

09/01/25

       6,692       6,666,616  

Virtusa Corp., Term Loan B, 12/01/27(k)

       939       931,957  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26

       2,217       2,199,862  
   

 

 

  
        33,637,955  
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

       782       723,026  
   

 

 

  
 

 

 

30  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security            Par
(000)		     Value  
Life Sciences Tools & Services — 0.7%                  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

     USD       2,469     $ 2,441,807  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(b)

       1,104       1,113,325  
   

 

 

  
        3,555,132  
Machinery — 1.9%                  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24

       1,300       1,283,204  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27

       2,527       2,491,359  

Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24(b)

       382       378,370  

Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25

       6,054       5,890,460  
   

 

 

  
            10,043,393  
Media — 13.1%                  

Altice Financing SA

      

2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25

       660       644,474  

USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26

       1,759       1,717,617  

Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26

       2,831       2,814,739  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25

       3,589       3,573,309  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26

       5,847       5,617,083  

Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26

       9,129       9,150,481  

CSC Holdings LLC

      

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25

       588       578,371  

2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27

       1,976       1,955,389  

E.W. Scripps Co., 2020 Term Loan B3, 12/15/27(k)

       916       916,000  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

       3,858       3,471,211  

Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26

       1,488       1,492,032  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25

       1,559       1,533,354  

Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26

       2,497       2,421,568  

MH Sub I LLC

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24

       4,241       4,179,079  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24

       1,736       1,728,898  

Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26

       838       833,901  
Security            Par
(000)		     Value  
Media (continued)                  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26

     USD       1,544     $ 1,532,161  

Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26

       2,206       2,206,998  

Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26

       3,008       3,007,479  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b)

       4,338       4,305,590  

UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26

       1       694  

Virgin Media Bristol LLC

      

2020 USD Term Loan Q, 01/31/29(k)

       2,097       2,093,603  

USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28

       2,578       2,551,988  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25

       3,155       2,897,699  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27

       9,474       9,402,607  
   

 

 

  
            70,626,325  
Metals & Mining — 0.4%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25

       2,050       2,008,065  
   

 

 

  
Multi-line Retail — 0.2%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24

       907       900,148  

Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25

       114       121,520  
   

 

 

  
        1,021,668  
Oil, Gas & Consumable Fuels — 0.6%  

Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%

       393       425,914  

Chesapeake Energy Corp., 2019 Last Out Term Loan, 9.00%, 06/24/24(a)(d)

       315       261,781  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25

       1,722       1,684,192  

EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

       720       710,208  

McDermott Technology Americas, Inc.

      

2020 Make Whole Term Loan,
06/30/24(b)(k)

       2       1,218  

2020 Take Back Term Loan, 3.00%, 06/30/25

       322       208,774  
   

 

 

  
        3,292,087  
Paper & Forest Products — 0.7%  

Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27

       3,629       3,643,681  
   

 

 

  
Personal Products — 1.1%                  

Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26

       5,941       5,952,176  
   

 

 

  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   31

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Pharmaceuticals — 3.2%                  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25

     USD       2,281     $ 2,219,136  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26

       2,329       2,326,126  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27

       941       932,032  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27

       1,885       1,867,438  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22

       3,779       3,775,522  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25

       6,228       6,200,204  
   

 

 

  
            17,320,458  
Professional Services — 1.5%                  

Dun & Bradstreet Corp.

      

2020 Add-On Term Loan, 02/06/26(k)

       915       914,616  

Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26

       5,991       5,988,338  

STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27

       1,447       1,421,412  
   

 

 

  
        8,324,366  
Real Estate Management & Development — 0.6%        

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24

       1,836       1,807,339  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25

       1,311       1,285,300  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25

       179       175,943  
   

 

 

  
        3,268,582  
Road & Rail — 0.4%                  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 09/25/25

       869       863,010  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25(b)

       1,401       1,278,430  
   

 

 

  
        2,141,440  
Semiconductors & Semiconductor Equipment — 0.0%  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/19/26

       — (j)      31  
   

 

 

  
Software — 17.4%                  

Applied Systems, Inc.

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24

       3,571       3,566,146  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25

       764       767,113  

Barracuda Networks, Inc.

      

1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25

       3,182       3,172,539  

2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28

       771       776,783  
Security          Par
(000)		     Value  
Software (continued)                  

BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25

     USD       2,314     $ 2,301,551  

By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26

       2,007       1,997,306  

Cloudera, Inc., Term Loan B, 12/17/27(k)

       531       529,673  

Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27

       1,006       1,008,954  

Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24

       1,346       1,340,797  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24

       337       307,393  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23

       1,078       960,603  

Epicor Software Corp.

      

2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

       1,886           1,962,628  

2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27

       4,235       4,255,540  

Financial & Risk US Holdings, Inc.

      

2018 EUR Term Loan, (EURIBOR + 3.25%), 3.25%, 10/01/25

     EUR       951       1,159,785  

2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25

     USD       9,336       9,316,418  

Informatica LLC

      

2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25

       1,914       1,944,145  

2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27

       7,823       7,749,654  

McAfee LLC, 2018 USD Term Loan B, (1 mo.

      

LIBOR + 3.75%), 3.90%, 09/30/24

       3,126       3,123,865  

MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26(b)

       770       777,771  

Mitchell International, Inc.

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24

       2,493       2,444,967  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25

       1,094       1,055,841  

2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24

       1,835       1,834,482  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

       1,307       1,304,007  

Omnitracs, Inc., 2020 2nd Lien Term Loan,
(1 mo. LIBOR + 8.00%), 8.15%, 10/01/28

       953       938,705  

Planview Parent, Inc.(b)(k)

      

2nd Lien Term Loan, 12/11/28

       824       815,760  

Delayed Draw Term Loan, 12/17/27

       328       327,497  

Term Loan, 12/17/27

       1,405       1,401,685  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%,

      

05/30/25

       590       578,720  

Sabre GLBL, Inc., 2020 Term Loan B, 12/17/27(k)

      987       988,234  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25

       3,331       3,285,244  

Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23

       3,160       3,132,510  
 

 

 

32  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security             Par
(000)		      Value  
Software (continued)                    

Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27

     USD        4,577      $ 4,580,250  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

        385        379,450  

SS&C Technologies, Inc.

        

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

        498        490,716  

2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

        1,748        1,726,550  

Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26

        6,113        6,063,512  

Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28

        3,674        3,704,422  

Ultimate Software Group, Inc.

        

2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27

        1,767        1,813,384  

2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26

        4,577        4,596,804  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26

        5,158        5,149,691  
    

 

 

  
              93,631,095  
Specialty Retail — 2.3%                    

Belron Finance US LLC

        

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25

        2,008        2,003,000  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26

        1,151        1,148,492  

USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24

        1,443        1,438,901  

MED ParentCo LP

        

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26

        376        369,619  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26

        1,500        1,473,944  

PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22

        2,934        2,926,199  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

        2,001        1,964,257  

WOOF Holdings, Inc.

        

1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/16/27

        491        489,979  

2nd Lien Term Loan, 12/11/28(k)

        495        496,237  
    

 

 

  
          12,310,628  
Technology Hardware, Storage & Peripherals — 0.4%  

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26

        1,612        1,370,743  

Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23

        841        838,575  
    

 

 

  
          2,209,318  
Security          

  Par

(000)

      Value  
Thrifts & Mortgage Finance — 0.5%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25

     USD        2,938      $ 2,928,635  
    

 

 

  
Wireless Telecommunication Services — 1.2%         

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25

        3,370        3,328,577  

Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27

        3,200        3,201,329  
    

 

 

  
          6,529,906  
    

 

 

  
Total Floating Rate Loan Interests — 120.1%
    (Cost: $646,756,787)		          646,309,001  
    

 

 

  
               Shares           
Investment Companies                    
Equity Funds — 0.1%                    

SPDR S&P Oil & Gas Exploration & Production ETF

        4,875        285,188  
    

 

 

  
Fixed Income Funds — 2.2%                    

Invesco Senior Loan ETF

        45,000        1,002,600  

iShares iBoxx $ High Yield Corporate Bond ETF(l)

       62,000        5,412,600  

iShares iBoxx $ Investment Grade Corporate Bond ETF(l)

        39,000        5,387,070  
    

 

 

  
          11,802,270  
    

 

 

  
Total Investment Companies — 2.3%
    (Cost: $11,521,724)		      12,087,458  
    

 

 

  
              
 Benefical
Interest (000)		  
 		         
Other Interests(m)                    
IT Services(a)(b) — 0.0%                    

Millennium Corp.

     USD        1,156        —  

Millennium Lender Claims

        1,084        —  
    

 

 

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

 

 

  
              

 Par

(000)

  

 

         

Preferred Securities

        

Capital Trusts — 1.1%(e)

        
Automobiles — 0.0%                    

General Motors Financial Co., Inc., Series C, 5.70%(g)

     USD        50        55,125  
    

 

 

  
Banks — 0.1%                    

Bankia SA, 6.38%

     EUR        200        261,739  

Wells Fargo & Co., Series U, 5.88%(g)

     USD        475        538,531  
    

 

 

  
          800,270  
Diversified Financial Services(g) — 0.9%  

Bank of America Corp.

        

Series AA, 6.10%

        657        744,414  

Series DD, 6.30%

        55        64,212  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   33

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

          Par        
Security          (000)     Value  

Diversified Financial Services (continued)

 

Bank of America Corp. (continued)

      

Series X, 6.25%

     USD       350     $ 388,347  

Series Z, 6.50%

       232       265,060  

BNP Paribas SA, 4.50%(c)

       200       202,106  

Citigroup, Inc., Series Q, 4.32%

       161       160,195  

HSBC Holdings PLC, 6.00%

       600       653,250  

JPMorgan Chase & Co.

      

Series FF, 5.00%

       765       804,803  

Series HH, 4.60%

       166       171,395  

Series I, 3.68%

       107       106,781  

Series V, 3.56%

       799       784,970  

Morgan Stanley, Series H, 3.85%

       403       400,098  

Natwest Group PLC, 8.63%

       246       255,326  
     

 

 

  
            5,000,957  
Utilities — 0.1%  

Electricite de France SA, 3.38%

     EUR       200       265,953  
     

 

 

  
Total Capital Trusts — 1.1%     6,122,305  
     

 

 

  
            Shares         
Preferred Stocks — 0.1%  
Capital Markets — 0.1%  

Goldman Sachs Group, Inc., Series J, 5.50%(e)(g)

      13,550       370,322  
     

 

 

  
Insurance — 0.0%  

Alliant Holdings, Inc.(b)

       83       81,671  
     

 

 

  
Total Preferred Stocks — 0.1%     451,993  
     

 

 

  
Total Preferred Securities — 1.2%
    (Cost: $6,217,702)		     6,574,298  
     

 

 

  

Warrants

 

Metals & Mining — 0.0%

 

AFGlobal Corp. (Expires 06/08/22)(a)(b)

       5,283       —  
     

 

 

  

 

 

Security   Shares     Value  

Oil, Gas & Consumable Fuels(a) — 0.0%

 

California Resources Corp. (Expires 10/27/24)

     1,152     $ 4,608  

SM Energy Co. (Expires 06/30/23)

     11,411       69,721  
   

 

 

  
      74,329  

Transportation Infrastructure — 0.0%

    

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

     1       —  
   

 

 

  

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

       74,329  
   

 

 

  

Total Investments — 146.6%
    (Cost: $805,944,407)

       788,550,136  

Liabilities in Excess of Other
Assets — (46.6)%

       (250,591,533 ) 
   

 

 

  

Net Assets — 100.0%

     $ 537,958,603  
   

 

 

  

 

(a)

Non-income producing security.

(b)

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

(c)

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

(d)

Issuer filed for bankruptcy and/or is in default.

(e)

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(f)

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

(g)

Perpetual security with no stated maturity date.

(h)

Convertible security.

(i)

When-issued security.

(j)

Amount is less than 500.

(k)

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.

(l) 

Affiliate of the Fund.

(m) 

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

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

 

Affiliated Issuer     Value at
12/31/19		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
12/31/20		     Shares
Held at
12/31/20		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

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

 

   $ —     $ — (b)    $ —     $ —     $ —     $ —       —     $ 9,026     $ —  

iShares iBoxx $ High Yield Corporate Bond ETF

 

     —       12,869,137       (7,884,095 )      65,135       362,423       5,412,600       62,000       250,859       —  

iShares iBoxx $ Investment Grade Corporate Bond ETF

 

     —       5,057,376       —       —       329,694       5,387,070       39,000       101,485       —  
          

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
           $ 65,135     $ 692,117     $  10,799,670       $  361,370     $ —  
          

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

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

 
  (b)

Represents net amount 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.

 

 

34  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

    

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD     1,772,653        EUR     1,448,500      BNP Paribas S.A.        02/03/21        $ 1,855  
USD     1,761,012        EUR     1,438,000      UBS AG        02/03/21          3,050  
                     

 

 

  
                        4,905  
                     

 

 

  
EUR     1,448,500        USD     1,771,490      BNP Paribas S.A.        01/06/21          (1,878 ) 
EUR     1,438,000        USD     1,759,824      UBS AG        01/06/21          (3,040 ) 
USD     1,829,998        EUR     1,524,500      Barclays Bank PLC        01/06/21          (32,462 ) 
USD     1,722,246        EUR     1,444,500      Goldman Sachs International        01/06/21          (42,480 ) 
USD     1,817,628        EUR     1,524,500      Goldman Sachs International        01/06/21          (44,832 ) 
USD     1,729,927        EUR     1,444,500      UBS AG        01/06/21          (34,798 ) 
USD     69,495        GBP     52,000      BNP Paribas S.A.        01/06/21          (1,616 ) 
USD     1,969,229        GBP     1,474,000      Standard Chartered Bank        01/06/21          (46,491 ) 
                     

 

 

  
                        (207,597 ) 
                     

 

 

  
                      $ (202,692 ) 
                     

 

 

  

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)		  

CenturyLink, Inc.

      1.00 %       Quarterly        Barclays Bank PLC        12/20/23      NR        USD        170        $ (4,058 )     $ (7,977 )     $ 3,919  

CenturyLink, Inc.

      1.00        Quarterly        Barclays Bank PLC        06/20/25      NR        USD        185          (13,085 )       (22,685)        9,600  
                       

 

 

     

 

 

     

 

 

  
                        $ (17,143 )     $   (30,662 )     $ 13,519  
                       

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 

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

 

Description   

Swap

Premiums

Paid

      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		  

OTC Swaps

    $  —      $ (30,662 )     $ 13,519      $  —  

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   35

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

    

 

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

    $ —      $ —      $ —      $ 4,905      $ —      $ —      $ 4,905  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        13,519        —        —        —        —        13,519  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 13,519      $ —      $ 4,905      $ —      $ —      $ 18,424  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 207,597      $ —      $ —      $ 207,597  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        30,662        —        —        —        —        30,662  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 30,662      $ —      $   207,597      $ —      $ —      $ 238,259  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

For the year ended December 31, 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

    $ —      $ —      $ (4,448 )     $ —      $ —      $ —      $ (4,448 ) 

Forward foreign currency exchange contracts

      —        —        —        (601,720 )       —        —        (601,720 ) 

Options purchased(a)

      —        —        (105,819 )       —        —        —        (105,819 ) 

Swaps

      —        (596,967 )       —        —        —        —        (596,967 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $   (596,967)      $   (110,267 )     $   (601,720 )     $ —      $ —      $  (1,308,954 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on

                     

Futures contracts

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

Forward foreign currency exchange contracts

      —        —        —        (3,005 )       —        —        (3,005 ) 

Options purchased(b)

      —        —        (75,874 )       —        —        —        (75,874 ) 

Swaps

      —        242,007        —        —        —        —        242,007  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 242,007      $ (75,646 )     $ (3,005 )     $ —      $ —      $ 163,356  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

 

  (b)

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

    $ 17,582,815  

Average amounts sold — in USD

    $ 7,985,596  

Options

   

Average value of option contracts purchased

    $ — (a) 

Credit default swaps

   

Average notional value — buy protection

    $ 25,124  

Average notional value — sell protection

    $ 652,469  

 

  (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.

 

 

36  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

    

 

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

    $ 4,905        $ 207,597  

Swaps — OTC(a)

      13,519          30,662  
  

 

 

       

 

 

  

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

      18,424          238,259  
  

 

 

       

 

 

  

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

      —          —  
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $     18,424        $     238,259  
  

 

 

       

 

 

  

 

  (a)

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

 

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under 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		  
 
 

Barclays Bank PLC

    $ 13,519        $ (13,519)      $ —        $ —        $ —  

BNP Paribas S.A

      1,855          (1,855)        —          —          —  

UBS AG

      3,050          (3,050)        —          —          —  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
   $ 18,424        $ (18,424)      $ —        $ —        $ —  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
                                                    

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) 

Barclays Bank PLC

    $ 63,124        $ (13,519)      $ —        $ (30,000)        $ 19,605  

BNP Paribas S.A

      3,494          (1,855)        —          —          1,639  

Goldman Sachs International

      87,312          —        —          —          87,312  

Standard Chartered Bank

      46,491          —        —          —          46,491  

UBS AG

      37,838          (3,050)        —          —          34,788  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
   $ 238,259        $ (18,424)      $ —        $     (30,000 )       $ 189,835  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  

 

  (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.

 

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Common Stocks

                  

Construction & Engineering

    $     114,601        $     —        $     —        $     114,601  

Diversified Financial Services

      —          —          10,753          10,753  

Energy Equipment & Services

      —          —              31,416          31,416  

Health Care Management Services

      —          11          —          11  

Metals & Mining

      —          29,120          21,864          50,984  

Oil, Gas & Consumable Fuels

      55,106          —          —          55,106  

Semiconductors & Semiconductor Equipment

      49,811          —          —          49,811  

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   37

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                  

Software

    $ 766        $ —        $ —        $ 766  

Specialty Retail

      —          95,414          —          95,414  

Corporate Bonds

                  

Aerospace & Defense

      —          3,570,948          —          3,570,948  

Airlines

      —          9,011,624          —          9,011,624  

Auto Components

      —          2,060,260          1          2,060,261  

Automobiles

      —          4,340,318          —          4,340,318  

Banks

      —          212,038          —          212,038  

Beverages

      —          1,705,921          —          1,705,921  

Biotechnology

      —          25,888          —          25,888  

Building Materials

      —          2,728,877          —          2,728,877  

Building Products

      —          793,070          —          793,070  

Capital Markets

      —          1,059,675          —          1,059,675  

Chemicals

      —          2,987,317          —          2,987,317  

Commercial Services & Supplies

      —          735,531          —          735,531  

Communications Equipment

      —          702,580          —          702,580  

Construction & Engineering

      —          87,627          —          87,627  

Construction Materials

      —          1,935,674          —          1,935,674  

Consumer Discretionary

      —          772,398          —          772,398  

Consumer Finance

      —          3,402,275          —          3,402,275  

Containers & Packaging

      —          413,599          —          413,599  

Diversified Consumer Services

      —          1,699,202          —          1,699,202  

Diversified Financial Services

      —          479,023          —          479,023  

Diversified Telecommunication Services

      —          6,198,765          —          6,198,765  

Electric Utilities

      —          777,217          —          777,217  

Electrical Equipment

      —          350,045          1          350,046  

Electronic Equipment, Instruments & Components

      —          466,084          —          466,084  

Energy Equipment & Services

      —          866,771          387,811          1,254,582  

Environmental, Maintenance, & Security Service

      —          566,268          —          566,268  

Equity Real Estate Investment Trusts (REITs)

      —          2,792,396          —          2,792,396  

Food & Staples Retailing

      —          2,257,341          —          2,257,341  

Food Products

      —          861,303          —          861,303  

Gas Utilities

      —          28,744          —          28,744  

Health Care Equipment & Supplies

      —          795,200          —          795,200  

Health Care Providers & Services

      —          4,393,303          —          4,393,303  

Health Care Technology

      —          799,816          —          799,816  

Healthcare

      —          17,850          —          17,850  

Hotels, Restaurants & Leisure

      —          5,784,363          —          5,784,363  

Household Durables

      —          999,551          —          999,551  

Household Products

      —          25,037          —          25,037  

Independent Power and Renewable Electricity Producers

      —          1,053,614          —          1,053,614  

Insurance

      —          1,884,240          —          1,884,240  

Interactive Media & Services

      —          515,007          —          515,007  

Internet Software & Services

      —          1,935,480          —          1,935,480  

IT Services

      —          3,515,033          —          3,515,033  

Leisure Products

      —          216,616          —          216,616  

Machinery

      —          1,453,149          —          1,453,149  

Media

      —          12,149,869          —          12,149,869  

Metals & Mining

      —          3,179,207          —          3,179,207  

Multi-line Retail

      —          279,452          —          279,452  

Oil, Gas & Consumable Fuels

      —          15,977,021          —          15,977,021  

Personal Products

      —          44,063          —          44,063  

Pharmaceuticals

      —          2,131,509          —          2,131,509  

Real Estate Management & Development

      —          1,515,580          —          1,515,580  

Semiconductors & Semiconductor Equipment

      122,014          1,794,628          —          1,916,642  

Software

      —          3,991,537          —          3,991,537  

Specialty Retail

      —          553,079          —          553,079  

Technology Hardware, Storage & Peripherals

      —          31,987          —          31,987  

Textiles, Apparel & Luxury Goods

      —          102,807          —          102,807  

Thrifts & Mortgage Finance

      —          481,172          —          481,172  

Utilities

      —          105,300          —          105,300  

Wireless Telecommunication Services

      —          2,972,112          —          2,972,112  

Floating Rate Loan Interests

      —          615,557,131          30,751,870          646,309,001  

 

 

38  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Debt Strategies Fund, Inc. (DSU)

    

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Investment Companies

    $ 12,087,458        $ —        $ —        $ 12,087,458  

Other Interests

      —          —          —          —  

Preferred Securities

                  

Capital Trusts

      —          6,122,305          —          6,122,305  

Preferred Stocks

      370,322          —          81,671          451,993  

Warrants

      —          74,329          —          74,329  

Unfunded Floating Rate Loan Interests(a)

      —          —          —          —  

Liabilities

                  

Unfunded Floating Rate Loan Interests(a)

      —          (400 )         —          (400 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $   12,800,078        $   744,464,271        $   31,285,387        $   788,549,736  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(b)

                  

Assets

                  

Credit Contracts

    $ —        $ 13,519        $ —        $ 13,519  

Foreign Currency Exchange Contracts

      —          4,905          —          4,905  

Liabilities

                  

Foreign Currency Exchange Contracts

      —          (207,597 )         —          (207,597 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ —        $ (189,173 )       $ —        $ (189,173 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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 $229,000,000 are categorized as Level 2 within the disclosure hierarchy.

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

 

     Common
Stocks		     Corporate
Bonds		     Floating Rate
Loan Interests		     Other
Interests		     Preferred
Stocks		     Total  

Assets

            

Opening balance, as of December 31, 2019

   $ 763,992     $ 2     $ 30,343,623     $ — (a)    $ —     $ 31,107,617  

Transfers into Level 3(b)

     —       —       1,119,073       —       —       1,119,073  

Transfers out of Level 3(c)

     —       —       (11,168,515 )      —       —       (11,168,515 ) 

Accrued discounts/premiums

     —       12,440       112,812       —       —       125,252  

Net realized gain (loss)

     5,833       1,038       (790,988 )      —       —       (784,117 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

     (710,744 )      (15,286 )      669,690       —       (84 )      (56,424 ) 

Purchases

     10,784       400,885       23,920,343       —       81,755       24,413,767  

Sales

     (5,832 )      (11,266 )      (13,454,168 )      —       —       (13,471,266 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Closing balance, as of December 31, 2020

   $ 64,033     $ 387,813     $     30,751,870     $ — (a)    $ 81,671     $ 31,285,387  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(e)

   $     (710,740 )    $     (15,286 )    $ 645,294     $ —     $ (84 )    $ (80,816 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a)

Rounds to less than $1.

 
  (b)

As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 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.

 
  (c)

As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 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.

 
  (d)

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

 
  (e)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The Fund’s 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 financial instruments.

See notes to financial statements.

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   39

Schedule of Investments  

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security     

    

Shares

      Value  

Common Stocks

 

Construction & Engineering — 0.0%  

McDermott International Ltd.(a)

        123,933      $ 100,386  
    

 

 

  
Diversified Financial Services — 0.0%  

Kcad Holdings I Ltd.(a)(b)

        309,827,230        3,098  
    

 

 

  
Energy Equipment & Services — 0.0%  

Pioneer Energy Services
Corp.(a)(b)

        887        34,445  
    

 

 

  
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(a)

        14,906        15  
    

 

 

  
Media — 0.1%  

Clear Channel Outdoor Holdings, Inc.(a)

        114,650        189,172  
    

 

 

  
Metals & Mining — 0.0%  

Preferred Proppants LLC(a)(b)

        12,198        18,297  
    

 

 

  
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp.(a)

        2,027        47,817  
    

 

 

  
Semiconductors & Semiconductor Equipment(a) — 0.0%  

Maxeon Solar Technologies Ltd.

        232        6,582  

SunPower Corp.

        1,860        47,690  
    

 

 

  
          54,272  
Software — 0.0%  

Avaya Holdings Corp.(a)

        66        1,264  
    

 

 

  
Specialty Retail — 0.1%  

NMG Parent LLC(a)

        3,613        233,400  
    

 

 

  
Total Common Stocks — 0.2%  

(Cost: $8,108,650)

           682,166  
    

 

 

  
            

Par

(000)

          

Corporate Bonds

        
Aerospace & Defense — 0.1%  

TransDigm, Inc., 8.00%, 12/15/25(c)

     USD        318        351,485  
    

 

 

  
Airlines — 1.9%  

Allegiant Travel Co., 8.50%, 02/05/24(c)

        1,195        1,278,650  

American Airlines, Inc., 11.75%, 07/15/25(c)

        2,362        2,723,976  

Mileage Plus Holdings LLC/Mileage Plus Intellectual

        

Property Assets Ltd., 6.50%, 06/20/27(c)

        2,453        2,636,975  

United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27

        2,394        2,586,029  
    

 

 

  
          9,225,630  
Auto Components — 0.1%  

Clarios Global LP, 6.75%, 05/15/25(c)

        496        534,440  
    

 

 

  
Automobiles — 1.0%  

AutoNation, Inc., 4.75%, 06/01/30

        141        169,670  

Ford Motor Co., 8.50%, 04/21/23

        2,029        2,283,660  

Ford Motor Credit Co. LLC, 5.13%, 06/16/25

        209        227,246  

General Motors Co., 6.13%, 10/01/25

        661        801,772  
Security           Par
(000)		      Value  
Automobiles (continued)  

General Motors Financial Co., Inc., 2.75%, 06/20/25

     USD        925      $ 989,106  

Group 1 Automotive, Inc., 4.00%, 08/15/28(c)

        170        175,233  
    

 

 

  
          4,646,687  
Building Materials(c) — 0.4%  

SRM Escrow Issuer LLC, 6.00%, 11/01/28

        1,839        1,922,040  

Summit Materials LLC/Summit Materials Finance

        

Corp., 5.25%, 01/15/29

        118        123,900  
    

 

 

  
          2,045,940  
Chemicals — 0.0%  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,

        

9.00%, 07/01/28(c)

        51        56,100  
    

 

 

  
Construction Materials(c) — 0.3%  

Core & Main LP, 6.13%, 08/15/25

        227        234,661  

Wolverine Escrow LLC, 9.00%, 11/15/26

        1,555        1,471,885  
    

 

 

  
          1,706,546  
Consumer Finance — 0.1%  

PayPal Holdings, Inc., 1.65%, 06/01/25

        424        442,987  
    

 

 

  
Containers & Packaging — 0.0%  

Graham Packaging Co., Inc., 7.13%, 08/15/28(c)

        117        129,285  
    

 

 

  
Diversified Telecommunication Services(c) — 0.5%  

Zayo Group Holdings, Inc.

        

4.00%, 03/01/27

        1,969        1,973,922  

6.13%, 03/01/28

        281        297,158  
    

 

 

  
          2,271,080  
Electric Utilities — 0.0%  

Pike Corp., 5.50%, 09/01/28(c)

        144        152,100  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(a)(b)(d) 11.50%, 10/01/20(c)

        1,061        —  

Term Loan, 1.00%, 11/10/21

        1,710        —  
    

 

 

  
          152,100  
Energy Equipment & Services(b)(c)(e) — 0.1%  

Pioneer Energy Services Corp.

        

(11.00% Cash), 11.00%, 05/15/25

        360        288,458  

(5.00% PIK), 5.00%, 11/15/25(f)

        254        137,120  
    

 

 

  
          425,578  
Equity Real Estate Investment Trusts (REITs) — 0.0%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(c)

        138        147,798  
    

 

 

  
Hotels, Restaurants & Leisure — 0.1%  

Marriott International, Inc., Series EE, 5.75%, 05/01/25

        376        439,808  
    

 

 

  
Internet Software & Services(c) — 0.3%  

Expedia Group, Inc.

        

3.60%, 12/15/23

        462        492,356  

6.25%, 05/01/25

        767        889,030  

TripAdvisor, Inc., 7.00%, 07/15/25

        87        93,960  

Uber Technologies, Inc., 6.25%, 01/15/28

        222        241,425  
    

 

 

  
          1,716,771  
 

 

 

40  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security

         

Par

(000)

    

Value

  
IT Services — 0.5%  

Castle U.S. Holding Corp., 9.50%, 02/15/28(c)

     USD       647     $ 647,000  

Fiserv, Inc., 2.25%, 06/01/27

       1,575       1,678,551  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(c)

       76       80,750  
   

 

 

  
        2,406,301  
Machinery(c) — 0.2%  

Clark Equipment Co., 5.88%, 06/01/25

       119       125,545  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(e)

       905       984,188  
   

 

 

  
        1,109,733  
Media(c) — 0.5%  

Liberty Broadband Corp., 2.75%,
09/30/50(f)

       513       548,788  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(e)

       179       173,630  

Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 09/15/26

       573       590,906  

6.50%, 09/15/28

       787       829,301  

Univision Communications, Inc., 6.63%, 06/01/27

       227       243,810  
   

 

 

  
        2,386,435  
Oil, Gas & Consumable Fuels — 0.1%  

eG Global Finance PLC, 8.50%,
10/30/25(c)

       284       301,987  
   

 

 

  
Real Estate Management & Development(c) — 0.2%  

Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28

       834       919,485  

Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25

       123       133,544  
   

 

 

  
        1,053,029  
Semiconductors & Semiconductor Equipment — 0.6%  

Broadcom, Inc.

      

4.70%, 04/15/25

       1,771       2,029,509  

3.15%, 11/15/25

       660       720,688  

NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(c)

       75       80,722  
   

 

 

  
        2,830,919  
Software(c) — 0.2%  

BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26

       293       300,325  

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

       666       690,143  
   

 

 

  
        990,468  
Wireless Telecommunication Services — 0.1%  

GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31

       408       445,218  
   

 

 

  
Total Corporate Bonds — 7.3%  

(Cost: $33,226,239)

             35,816,325  
   

 

 

  

Floating Rate Loan Interests(g)

      
Aerospace & Defense — 2.4%  

Bleriot US Bidco, Inc.

      

Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

       97       97,124  

Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

       624       621,596  

Dynasty Acquisition Co., Inc. 2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

       2,044       1,941,657  

Security

         

Par

(000)

    

Value

  
Aerospace & Defense (continued)  

Dynasty Acquisition Co., Inc. (continued)

      

2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

     USD       3,802     $ 3,611,483  

Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/09/26

       780       624,096  

Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25

       1,005       1,012,538  

Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25

       3,782       3,700,982  
   

 

 

  
            11,609,476  
Air Freight & Logistics — 0.7%  

WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

       3,472       3,321,830  
   

 

 

  
Airlines — 1.3%  

American Airlines, Inc.

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27

       392       335,514  

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23

       1,967       1,762,863  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23

       1,370       1,230,558  

JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24

       759       778,583  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27

       2,394       2,488,276  
   

 

 

  
        6,595,794  
Auto Components — 2.6%  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26

       6,367       6,333,712  

USI, Inc.

      

2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24

       3,809       3,751,023  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26

       218       217,120  

Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26

       2,625       2,584,807  
   

 

 

  
        12,886,662  
Automobiles(h) — 0.6%  

Mavis Tire Express Services Corp.

      

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25

       1,481       1,452,326  

2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25

       1,347       1,350,367  
   

 

 

  
        2,802,693  
Building Materials — 0.8%  

Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26

       2,376       2,364,012  

CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25

       184       183,769  

CP Atlas Buyer, Inc.(h)

      

2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       302       302,127  

2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       905       906,382  
   

 

 

  
        3,756,290  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   41

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Building Products — 1.4%        

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24

     USD       1,735     $ 1,732,200  

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

     EUR       1,000       1,210,008  

MI Windows and Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27(h)

     USD       537       537,671  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23

       3,227       3,229,161  
   

 

 

  
        6,709,040  
Capital Markets — 2.3%        

Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

       5,872       5,873,429  

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27

       1,432       1,429,322  

FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 06/27/25

       834       830,346  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24

       1,176       1,161,388  

GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27

       829       831,202  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26

       1,153       1,143,162  
   

 

 

  
            11,268,849  
Chemicals — 4.5%        

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24

       2,939       2,926,114  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26

       2,566       2,572,021  

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24

       1,860       1,843,248  

Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25

       649       635,476  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24

       1,163       1,133,244  

Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24(b)

       1,245       1,235,739  

Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27

       2,493       2,491,946  

Invictus US LLC

      

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25

       773       758,529  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26

       861       818,698  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26

       2,861       2,836,722  

Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b)

       431       428,701  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24

       1,502       1,479,110  
Security          Par
(000)		     Value  
Chemicals (continued)        

Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24

     USD       2,589     $ 2,554,000  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25

       206       203,974  
   

 

 

  
            21,917,522  
Commercial Services & Supplies — 4.3%        

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 03/11/25

       155       152,446  

Asurion LLC

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25

       1,503       1,512,424  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23

       2,124       2,102,059  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24

       1,151       1,140,146  

2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26(h)

       802       792,524  

Creative Artists Agency LLC

      

2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26

       597       589,157  

2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26

       1,990       1,963,753  

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25(b)

       2,334       2,313,013  

Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24

       1,936       1,905,617  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

       569       559,196  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23

       440       387,269  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26

       995       977,729  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26

       1,962       1,966,994  

Verisure Holding AB, EUR Term Loan B1E, (3 mo. LIBOR + 2.75%), 2.75%, 10/20/22

     EUR       627       763,260  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25

     USD       2,684       2,678,497  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24

       1,155       1,116,442  
   

 

 

  
        20,920,526  
Communications Equipment — 0.2%        

Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24

       1,149       1,148,802  
   

 

 

  
Construction & Engineering — 1.6%        

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

       3,597       3,902,553  

Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26

       525       523,203  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25

       445       443,625  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25

       2,935       2,884,601  
   

 

 

  
        7,753,982  
 

 

 

42  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Construction Materials — 2.2%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24

     USD       5,072     $ 5,042,242  

Filtration Group Corp.

      

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25

       2,430       2,401,206  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25

       1,221       1,220,940  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

       1,161       1,161,741  

Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(b)(h)

       810       810,000  
   

 

 

  
            10,636,129  
Consumer Discretionary(h) — 0.4%  

Zaxby’s Operating Company LLC

      

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/10/27

       1,395       1,395,000  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 7.25%, 12/08/28

       636       642,360  
   

 

 

  
        2,037,360  
Containers & Packaging — 1.9%  

Berry Global, Inc.

      

Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22

       2,475       2,470,960  

Term Loan Y, (1 mo. LIBOR + 2.00%), 2.15%, 07/01/26

       493       489,892  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24

       2,417       2,329,519  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23

       2,056       2,042,217  

Pregis TopCo Corp.

      

1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26

       628       625,010  

2020 Incremental Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 08/01/26(h)

       291       288,817  

Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27

       830       832,424  
   

 

 

  
        9,078,839  
Distributors — 1.3%        

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27

       2,854       2,824,286  

TMK Hawk Parent Corp.

      

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24

       940       902,561  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24

       3,120       2,433,197  
   

 

 

  
        6,160,044  
Diversified Consumer Services — 3.5%  

Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27

       551       549,163  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24

       1,564       1,554,520  
Security          Par
(000)		     Value  
Diversified Consumer Services
(continued)		                  

Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24

     USD       1,024     $ 1,026,143  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27

       3,297       3,304,838  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23

       1,866       1,846,047  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25

       2,596       2,510,846  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

       1,228       1,242,897  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24

       1,142       1,126,906  

PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27

       770       770,000  

Serta Simmons Bedding LLC

      

2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23

       475       479,183  

2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23

       743       667,613  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23

       2,128       2,122,184  
   

 

 

  
            17,200,340  
Diversified Financial Services — 5.3%                  

Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26

       1,070       1,058,598  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(b)

       861       862,995  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24

       2,943       2,907,194  

Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.40%, 11/18/24

       614       615,091  

Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27

       1,254       1,252,432  

Delta TopCo, Inc.

      

2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28

       670       674,187  

2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27

       3,680       3,676,173  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

       923       910,847  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

       1,708       1,617,987  

LBM Acquisition LLC(h)

      

Delayed Draw Term Loan, 5.25%, 12/09/27

       213       212,917  

Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/17/27

       959       958,126  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27

       769       770,669  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

       2,557       2,552,730  

SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25

       1,556       1,461,038  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   43

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Financial Services (continued)  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25

     USD       513     $ 487,290  

Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27

       707       704,452  

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27

       3,476       3,454,439  

Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28

       1,617       1,605,374  
   

 

 

  
            25,782,539  
Diversified Telecommunication Services — 3.5%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27(h)

       578       576,376  

Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27

       1,128       1,131,760  

Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21

       1,542       1,546,826  

GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25(b)(h)

       1,244       1,237,278  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24

       2,648       2,646,774  

Intelsat Jackson Holdings SA

      

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

       395       399,938  

2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22

       137       139,307  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26

       1,756       1,763,475  

Level 3 Financing, Inc., 2019 Term Loan B,
(1 mo. LIBOR + 1.75%), 1.90%, 03/01/27

       1,931       1,896,651  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24

       2,310       2,302,248  

Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27

       960       961,673  

TDC A/S, EUR Term Loan, (6 mo. LIBOR + 3.00%), 3.00%, 06/04/25

     EUR       820       994,255  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.28%, 01/15/27

     GBP       1,000       1,333,600  
   

 

 

  
        16,930,161  
Electric Utilities — 0.3%  

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27

     USD       1,361       1,358,959  
   

 

 

  
Electrical Equipment — 0.6%  

Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24

       3,147       3,135,675  
   

 

 

  
Electronic Equipment, Instruments & Components — 0.2%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25

       856       853,763  
   

 

 

  
Security          Par
(000)		     Value  
Energy Equipment & Services — 0.2%  

Dell International LLC, 2019 Term Loan B,
(1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25

     USD       861     $ 861,226  
   

 

 

  
Entertainment — 0.4%                  

MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b)(h)

       1,990       1,999,950  
   

 

 

  
Environmental, Maintenance, & Security Service — 0.9%  

Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27

       2,008       2,011,743  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27(b)

       2,470       2,479,697  
   

 

 

  
        4,491,440  
Equity Real Estate Investment Trusts (REITs) — 0.7%  

RHP Hotel Properties LP, 2017 Term Loan B,
(1 mo. LIBOR + 2.00%), 2.15%, 05/11/24

       732       713,410  

VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24

       2,969       2,916,778  
   

 

 

  
            3,630,188  
Food & Staples Retailing — 1.0%  

Hearthside Food Solutions LLC

      

2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25

       949       934,345  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25

       840       824,428  

2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25

       166       166,303  

US Foods, Inc.

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23

       2,626       2,583,476  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26

       647       635,417  
   

 

 

  
        5,143,969  
Food Products — 3.0%                  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25

       1,094       1,090,010  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26

       415       414,013  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27

       3,125       3,114,229  

Froneri International Ltd.

      

2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28

       403       404,565  

2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27

       4,665       4,613,923  

JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26

       516       511,644  

Pathway Vet Alliance LLC

      

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       44       43,894  

2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       538       537,387  
 

 

 

44  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Food Products (continued)                  

Reynolds Group Holdings, Inc.

      

2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23

     USD       2,247     $ 2,235,747  

2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26

       410       406,147  

Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27

       635       635,210  

Sovos Brands Intermediate, Inc., 2018 Term Loan, (3 mo. LIBOR + 4.75%), 4.96%, 11/20/25(b)

       755       756,018  
   

 

 

  
            14,762,787  
Health Care Equipment & Supplies — 1.4%        

Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27(h)

       2,085       2,086,314  

Ortho-Clinical Diagnostics SA

      

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25

       3,522       3,467,658  

EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25

     EUR       993       1,192,482  
   

 

 

  
        6,746,454  
Health Care Providers & Services — 4.4%        

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25

     USD       800       802,312  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23

       1,895       1,880,977  

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

       963       964,768  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25

       1,955       1,624,953  

EyeCare Partners LLC

      

2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28

       1,260       1,146,600  

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       324       315,076  

2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       1,379       1,340,197  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26

       985       917,135  

Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25

       2,143       2,128,746  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26

       2,282       2,277,203  

HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 1.90%, 03/18/26

       — (i)      442  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23

       1,182       1,175,399  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22

       —       3,454  

Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%,
11/18/27(b)(h)

       1,969       1,968,704  

Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26

       5,156       5,170,670  
   

 

 

  
        21,716,636  
Security     Par
(000)		     Value  
Health Care Services — 1.1%                  

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26

     USD       2,085     $ 2,056,352  

Unified Physician Management LLC, 2020 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/16/27(h)

       1,439       1,428,207  

WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26

       1,792       1,788,584  
   

 

 

  
            5,273,143  
Health Care Technology — 1.5%                  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24

       2,824       2,808,519  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 10/10/25

       2,894       2,870,538  

Press Ganey Holdings, Inc., 2020 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 07/25/26

       978       975,555  

Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 03/07/24

       499       495,986  
   

 

 

  
        7,150,598  
Hotels, Restaurants & Leisure — 8.5%                  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26

       2,480       2,442,259  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26

       431       405,822  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

       1,005       1,006,839  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.96%, 10/19/24

       986       976,247  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23

       1,142       1,130,704  

Caesars Resort Collection LLC

      

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24

       2,782       2,725,711  

2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25

       3,658       3,659,243  

CCM Merger, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25(h)

       730       727,868  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

       3,897       3,479,111  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23

       1,348       1,337,589  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/01/23

       149       142,528  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23

       2,129       2,051,072  

Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b)

       177       199,959  

Herschend Entertainment Co. LLC, Term
Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25(b)

       601       604,500  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   45

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

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

IRB Holding Corp.

      

2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%), 4.25%, 11/12/27(h)

     USD       4,575     $ 4,576,418  

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

       2,298       2,275,401  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25

       1,394       1,381,888  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24

       600       548,989  

Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24

       1,429       1,436,482  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24

       1,054       1,027,848  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25

       888       890,481  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27

       2,087       2,052,508  

Tackle Sarl, 2017 EUR Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 08/08/22

     EUR       975       1,181,340  

Travelport Finance (Luxembourg) Sarl

      

(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25

     USD       1,120       1,247,054  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26

       2,230       1,505,018  

Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26

       2,116       2,094,008  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 05/30/25

       551       546,091  
   

 

 

  
            41,652,978  
Household Durables — 0.6%                  

Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/04/27

       1,597       1,585,305  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27

       1,201       1,201,600  
   

 

 

  
        2,786,905  
Independent Power and Renewable Electricity Producers — 0.9%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25

       511       504,604  

Calpine Corp.

      

2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26

       717       706,650  

Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26

       3,154       3,117,834  
   

 

 

  
        4,329,088  
Industrial Conglomerates — 3.1%                  

AVSC Holding Corp.

      

(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25

       3,798       3,225,938  

(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26(b)(h)

      1,097       1,255,813  
Security     Par
(000)		     Value  
Industrial Conglomerates (continued)                  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23

     USD       1,315     $ 1,321,648  

Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27

       1,934       1,940,709  

Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27

       7,365       7,313,706  
   

 

 

  
            15,057,814  
Insurance — 3.9%                  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       2,944       2,895,128  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       1,034       1,015,860  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24

       2,174       2,169,819  

AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27

       684       684,263  

AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27

       1,433       1,410,127  

HUB International Ltd.

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25

       3,418       3,352,587  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25

       878       879,294  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27

       1,661       1,654,609  

Sedgwick Claims Management Services, Inc.

      

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25

       1,974       1,939,725  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26

       1,222       1,216,703  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

       1,698       1,709,046  
   

 

 

  
        18,927,161  
Interactive Media & Services — 2.0%                  

Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 10/13/27(h)

       2,513       2,508,971  

Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26

       4,251       4,247,004  

Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27

       1,945       1,950,905  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24

       981       975,417  
   

 

 

  
        9,682,297  
Internet & Direct Marketing Retail — 0.6%                  

CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27

       2,722       2,717,318  
   

 

 

  
IT Services — 7.7%                  

Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27(h)

       2,412       2,413,206  
 

 

 

46  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
IT Services (continued)                  

Aruba Investments, Inc.(h)

      

2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28

     USD       1,440     $ 1,440,000  

2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27

       779       778,026  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26

       3,960       3,938,338  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27(h)

       4,803       4,807,293  

GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b)

       1,567       1,535,782  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25

       975       610,243  

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27

       3,228       3,071,866  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23

       379       378,041  

Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b)

       4,215       4,172,850  

Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 11/16/26

       3,109       3,094,687  

Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25

       7,207       7,179,697  

Virtusa Corp., Term Loan B, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%,
12/01/27(h)

       1,062       1,054,035  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26

       3,179       3,154,507  
   

 

 

  
            37,628,571  
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

       1,000       925,032  
   

 

 

  
Life Sciences Tools & Services — 0.8%                  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

       2,693       2,662,552  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(b)

       1,249       1,260,299  
   

 

 

  
        3,922,851  
Machinery — 2.0%                  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24

       132       131,512  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24

       1,470       1,451,008  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27

       2,270       2,237,502  
Security     Par
(000)		     Value  
Machinery (continued)                  

Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24

     USD       319     $ 316,119  

Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25

       5,589       5,438,196  
   

 

 

  
            9,574,337  
Media — 15.1%                  

Altice Financing SA

      

2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25

       1,107       1,081,363  

USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26

       1,588       1,550,451  

Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26

       3,537       3,516,293  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25

       3,403       3,388,315  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26

       6,560       6,302,203  

Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26

       9,108       9,151,904  

CSC Holdings LLC

      

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25

       2,169       2,133,686  

2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27

       2,134       2,111,260  

E.W. Scripps Co., 2020 Term Loan B3, 3.75%, 12/15/27(h)

       1,037       1,037,000  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

       4,306       3,873,702  

Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26

       1,291       1,294,499  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25

       1,354       1,332,361  

Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26

       2,807       2,723,208  

MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 1.86%, 02/15/24

       360       358,693  

MH Sub I LLC

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24

       3,544       3,491,629  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24

       1,958       1,950,211  

Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26

       731       727,532  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26

       1,344       1,333,579  

Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26

       2,450       2,451,057  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.40%, 01/03/24

       160       157,991  

Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26

       3,143       3,141,935  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b)

       4,102       4,070,971  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   47

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Media (continued)                  

UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26

     USD       1     $ 786  

Virgin Media Bristol LLC

      

2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.25%, 01/31/29(h)

       2,365       2,361,169  

USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28

       2,375       2,351,035  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25

       2,990       2,745,553  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27

       9,200       9,131,396  
   

 

 

  
            73,769,782  
Metals & Mining — 0.4%                  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25

       1,772       1,736,120  
   

 

 

  
Multi-line Retail — 0.2%                  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24

       956       948,284  

Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25

       280       297,230  
   

 

 

  
        1,245,514  
Oil, Gas & Consumable Fuels — 0.5%                  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25

       1,483       1,450,343  

EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

       783       772,591  

McDermott Technology Americas, Inc.

      

2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(b)(h)

       40       1,057  

2020 Take Back Term Loan, 3.00%, 06/30/25

       282       182,877  
   

 

 

  
        2,406,868  
Paper & Forest Products — 0.8%                  

Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27(h)

       3,962       3,977,476  
   

 

 

  
Personal Products — 1.4%                  

Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26

       6,695       6,707,880  
   

 

 

  
Pharmaceuticals — 3.3%                  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25

       1,970       1,916,461  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26

       2,050       2,047,425  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27

       1,064       1,053,568  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27

       1,703       1,686,755  
Security     Par
(000)		     Value  
Pharmaceuticals (continued)                  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22

     USD       3,378     $ 3,375,387  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25

       6,091       6,064,164  
   

 

 

  
            16,143,760  
Professional Services — 1.9%                  

Dun & Bradstreet Corp.

      

2020 Add-On Term Loan, 3.98%,
02/06/26(h)

       1,033       1,032,566  

Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26

       6,800       6,797,377  

STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27

       1,558       1,530,902  
   

 

 

  
        9,360,845  
Real Estate Management & Development — 0.7%        

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24

       2,070       2,037,138  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25

       1,479       1,449,949  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25

       202       198,556  
   

 

 

  
        3,685,643  
Road & Rail — 0.3%                  

Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 09/25/25

       247       245,623  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25

       1,242       1,133,082  
   

 

 

  
        1,378,705  
Semiconductors & Semiconductor Equipment — 0.1%        

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/19/26

       484       484,545  
   

 

 

  
Software — 20.4%                  

Applied Systems, Inc.

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24

       3,376       3,371,818  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25

       726       728,704  

Barracuda Networks, Inc.

      

1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25

       3,599       3,587,961  

2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%,
10/30/28(b)(h)

       870       876,525  

BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25

       2,337       2,324,697  

By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26

       2,417       2,405,018  

Cloudera, Inc., Term Loan B, (3 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 12/17/27(h)

       602       600,495  

Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27

       724       726,527  

Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24

       1,886       1,878,810  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24

       1,157       1,055,252  
 

 

 

48  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Software (continued)                  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23

     USD       1,623     $ 1,445,973  

Epicor Software Corp.

      

2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

       2,141       2,227,989  

2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27

       4,275       4,295,534  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25

       9,442       9,422,234  

Informatica LLC

      

2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25

       1,770       1,797,877  

2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27

       8,215           8,138,149  

McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 09/30/24

       3,143       3,140,704  

MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26(b)

       875       883,556  

Mitchell International, Inc.

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24

       2,185       2,143,013  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25

       1,083       1,044,928  

2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24

       2,077       2,075,757  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

       1,472       1,468,629  

Omnitracs, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 8.15%, 10/01/28

       1,078       1,061,830  

Planview Parent, Inc.(h)
2nd Lien Term Loan, 0.24%, 12/11/28

       930       920,700  

Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27

       371       370,413  

Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27

       1,589       1,585,366  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25

       687       674,377  

Sabre GLBL, Inc., 2020 Term Loan B, 6.25%, 12/17/27(h)

       1,117       1,118,396  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25

       3,688       3,636,899  

Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23

       2,920       2,894,243  

Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27

       5,170       5,173,671  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

       870       857,857  

SS&C Technologies, Inc.

      

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

       1,124       1,108,357  

2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

       1,613       1,593,044  

Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26

       6,919       6,862,998  
Security     Par
(000)		     Value  
Software (continued)                  

Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28

     USD       3,410     $ 3,438,570  

Ultimate Software Group, Inc.

      

2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27

       1,992       2,044,290  

2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26

       4,892       4,913,410  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26

       5,813       5,803,684  
   

 

 

  
        99,698,255  
Specialty Retail — 2.9%                  

Belron Finance US LLC

      

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25(b)

       444       442,830  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26(b)

       884       881,860  

USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24

       2,899       2,891,456  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 4.31%, 06/23/25

     GBP       1,000       1,344,787  

IAA, Inc.,

      

Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26

     USD       484       479,162  

MED ParentCo LP

      

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26

       348       342,227  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26

       1,388       1,364,713  

PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22

       3,252       3,242,769  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

       2,194       2,153,812  

WOOF Holdings, Inc.(h)

      

1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/16/27

       555       553,846  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/11/28

       560       561,400  
   

 

 

  
        14,258,862  
Technology Hardware, Storage & Peripherals — 0.4%        

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26

       1,390       1,182,194  

Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23

       732       730,297  
   

 

 

  
        1,912,491  
Thrifts & Mortgage Finance — 0.6%                  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25

       3,013       3,003,561  
   

 

 

  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   49

Schedule of Investments  (continued)

December 31, 2020

   

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

(Percentages shown are based on Net Assets)

 

           Par         
Security           (000)      Value  
Wireless Telecommunication Services — 1.4%         

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25

     USD        3,413        $ 3,370,920  

Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27

        3,624        3,625,242  
    

 

 

  
          6,996,162  
    

 

 

  

Total Floating Rate Loan Interests — 137.2%
(Cost: $669,820,719)

           669,612,487  
    

 

 

  
             Shares          

Investment Companies

 

   
Fixed Income Funds — 2.6%         

Invesco Senior Loan ETF

        38,000        846,640  

iShares iBoxx $ High Yield Corporate Bond ETF(j)

        96,000        8,380,800  

iShares iBoxx $ Investment Grade Corporate Bond ETF(j)

        24,000        3,315,120  
    

 

 

  
          12,542,560  
    

 

 

  
Total Investment Companies — 2.6%
    (Cost: $11,535,497)		      12,542,560  
    

 

 

  
             Benefical
Interest (000)		          

Other Interests(k)

        
IT Services(a)(b) — 0.0%                    

Millennium Corp

     USD        1,607        —  

Millennium Lender Claims

        1,508        —  
    

 

 

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

 

 

  

    

Security

           Shares      Value  

Warrants

        

Oil, Gas & Consumable Fuels — 0.0%

 

   

California Resources Corp. (Expires 10/27/24)(a)

        999        $ 3,996  
    

 

 

  

Total Warrants — 0.0%
(Cost: $ — )

           3,996  
    

 

 

  

Total Investments — 147.3%
(Cost: $722,691,105)

           718,657,534  

Liabilities in Excess of Other Assets — (47.3)%

 

      (230,606,283 ) 
    

 

 

  

Net Assets — 100.0%

           $ 488,051,251  
    

 

 

  

 

(a) 

Non-income producing security.

(b)

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

(c) 

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

(d)

Issuer filed for bankruptcy and/or is in default.

(e)

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)

Convertible security.

(g) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(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)

Affiliate of the Fund.

(k) 

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

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/19		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
12/31/20		     Shares
Held at
12/31/20		     Income    

Capital Gain

Distributions
from
Underlying
Funds

  

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

   $ —     $ —     $ — (b)    $ —     $ —     $ —       —     $ 6,693     $ —  

iShares iBoxx $ High Yield Corporate Bond ETF

     —       19,813,373       (12,130,758 )      (40,887 )      739,072       8,380,800       96,000       387,217       —  

iShares iBoxx $ Investment Grade Corporate Bond ETF

     —       6,339,007       (3,451,924 )      185,270       242,767       3,315,120       24,000       79,062       —  
          

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
           $ 144,383     $ 981,839     $   11,695,920       $  472,972     $ —  
          

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

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

 
  (b) 

Represents net amount 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.

 

 

50  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

    

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold     Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD     2,617,638        EUR     2,137,500     UBS AG        02/03/21        $ 4,534  
                    

 

 

  
EUR     2,137,500        USD     2,615,873     UBS AG        01/06/21          (4,519 ) 
USD     2,559,821        EUR     2,147,000     Goldman Sachs International        01/06/21          (63,139 ) 
USD     2,571,239        EUR     2,147,000     UBS AG        01/06/21          (51,721 ) 
USD     2,575,050        GBP     1,927,000     BNP Paribas S.A.        01/06/21          (60,154 ) 
                    

 

 

  
                       (179,533 ) 
                    

 

 

  
                     $   (174,999 ) 
                  

 

 

  

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

    $ —      $ —      $ —      $ 4,534      $ —      $ —      $ 4,534  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 179,533      $ —      $ —      $   179,533  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

For the year ended December 31, 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

    $ —      $ —      $ —      $ (322,988 )     $ —      $ —      $ (322,988 ) 

Options purchased(a)

      —        —        (105,539 )       —        —        —        (105,539 ) 

Swaps

      —        517,108        —        —        —        —        517,108  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 517,108      $ (105,539 )     $ (322,988 )     $ —      $ —      $ 88,581  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on

                     

Forward foreign currency exchange contracts

    $ —      $ —      $ —      $ (28,212 )     $ —      $ —      $ (28,212 ) 

Options purchased(b)

      —        —        (65,439 )       —        —        —        (65,439 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ (65,439 )     $ (28,212 )     $ —      $ —      $ (93,651 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts

         

Average amounts purchased — in USD

    $ 11,911,250  

Average amounts sold — in USD

    $ 5,413,765  

Options

   

Average value of option contracts purchased

    $ — (a) 

Credit default swaps

   

Average notional value — sell protection

    $ 5,689,475  

 

  (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.

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   51

Schedule of Investments  (continued)

December 31, 2020

   

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

    

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

                                 
      Assets        Liabilities  

Derivative Financial Instruments

        

Forward foreign currency exchange contracts

    $ 4,534        $ 179,533  
  

 

 

       

 

 

  

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

      4,534          179,533  
  

 

 

       

 

 

  

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

      —          —  
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 4,534        $ 179,533  
  

 

 

       

 

 

  

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		  
 
 

UBS AG

    $ 4,534        $ (4,534)      $ —        $ —        $ —  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
                                                    
                                                    

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) 

BNP Paribas S.A

    $ 60,154        $ —      $ —        $ —        $ 60,154  

Goldman Sachs International

      63,139          —        —          —          63,139  

UBS AG

      56,240          (4,534)        —          —          51,706  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
   $ 179,533        $ (4,534)      $ —        $ —        $ 174,999  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  

 

  (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.

 

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

 

                                                                                   
      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Common Stocks

                  

Construction & Engineering

    $ 100,386        $ —        $ —        $ 100,386  

Diversified Financial Services

      —          —          3,098          3,098  

Energy Equipment & Services

      —          —          34,445          34,445  

Health Care Management Services

      —15               —          15  

Media

      189,172          —          —          189,172  

Metals & Mining

      —          —          18,297          18,297  

Oil, Gas & Consumable Fuels

      47,817          —          —          47,817  

Semiconductors & Semiconductor Equipment

      54,272          —          —          54,272  

Software

      1,264          —          —          1,264  

Specialty Retail

      —          233,400          —          233,400  

Corporate Bonds

      —          35,390,747          425,578          35,816,325  

Floating Rate Loan Interests

      —          637,692,842          31,919,645          669,612,487  

Investment Companies

      12,542,560          —          —          12,542,560  

Other Interests

      —          —          —          —  

 

 

52  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

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

    

 

Fair Value Hierarchy as of Period End (continued)

 

                                                                                           
      Level 1        Level 2        Level 3        Total  

Warrants

    $ —        $ 3,996        $ —        $ 3,996  

Unfunded Floating Rate Loan Interests

      —          —          —          —  

Liabilities

                  

Unfunded Floating Rate Loan Interests(a)

      —          (453 )         —          (453 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 12,935,471        $ 673,320,547        $ 32,401,063        $ 718,657,081  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(b)

                  

Assets

                  

Foreign Currency Exchange Contracts

    $ —        $ 4,534        $ —        $ 4,534  

Liabilities

                  

Foreign Currency Exchange Contracts

      —          (179,533 )         —          (179,533 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ —        $ (174,999 )       $ —        $ (174,999 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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

 
  (b) 

Derivative financial instruments are forward foreign currency exchange contracts. 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 $208,000,000 are categorized as Level 2 within the disclosure hierarchy.

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

 

      Common
Stocks		      Corporate
Bonds		      Floating
Rate Loan
Interests		      Other
Interests		      Total  

Assets

               

Opening balance, as of December 31, 2019

    $ 556,399      $ —      $ 29,886,699        $      — (a)     $ 30,443,098  

Transfers into Level 3(b)

      —        —        1,335,680        —        1,335,680  

Transfers out of Level 3(c)

      —        —        (11,732,825 )       —        (11,732,825 ) 

Accrued discounts/premiums

      —        13,652        103,859        —        117,511  

Net realized gain (loss)

      (17,042 )       1,139        (617,144 )       —        (633,047 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

      (246,626 )       (16,774 )       669,067        —        405,667  

Purchases

      11,824        439,925        25,534,377        —        25,986,126  

Sales

      (248,715 )       (12,364 )       (13,260,068 )       —        (13,521,147 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing balance, as of December 31, 2020

    $       55,840      $       425,578      $ 31,919,645        $      — (a)     $ 32,401,063  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(e)

    $ (194,112 )     $ (16,774 )     $ 663,724        $      —      $ 452,838  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Rounds to less than $1.

 
  (b) 

As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 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.

 
  (c) 

As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 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.

 
  (d) 

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

 
  (e) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

S C H E D U L E  O F  I N V E S T M E N T S

   53

Schedule of Investments

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  

Asset-Backed Securities

 

522 Funding CLO I Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 7.34%), 7.58%, 01/15/33(a)(b)

     USD       250     $ 249,553  

AIMCO CLO, Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 2.67%, 07/20/29(a)(b)

       1,000       994,577  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.21%, 10/21/28(a)(b)

       1,000       967,803  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.94%, 07/15/27(a)(b)

       270       267,835  

Anchorage Capital CLO Ltd.(a)(b)

      

Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 5.72%, 01/28/31

       850       796,997  

Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.82%, 01/28/31

       250       236,629  

Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.72%, 01/28/31

       1,000       989,614  

Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 5.97%, 07/28/28

       1,000       955,226  

Ares LV CLO Ltd., Series 2020-55A, Class D, (3 mo. LIBOR US + 4.83%), 5.07%, 04/15/31(a)(b)

       1,000       999,920  

Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 0.45%, 06/25/36(a)

       5,162       3,766,856  

Bain Capital Credit CLO Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 4.81%), 5.03%, 07/21/31(a)(b)(c)

       300       301,590  

Benefit Street Partners CLO VII Ltd., Series 2015- VIIA, Class CR, 2.62%, 07/18/27(a)(b)

       250       244,760  

Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class C, (3 mo. LIBOR US + 2.60%), 2.84%, 07/15/31(a)(b)

       250       248,533  

BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 7.92%, 10/20/32(a)(b)

       250       250,709  

CarVal CLO II Ltd., Series 2019-1A, Class C, 3.47%, 04/20/32(a)(b)

       250       250,249  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.66%, 07/20/32(a)(b)

       500       489,486  

CarVal CLO Ltd., Series 2018-1A, Class E, 6.00%, 07/16/31(a)(b)

       500       430,017  

Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 3.86%, 07/23/30(a)(b)

       500       497,630  

Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(d)

       440       367,114  

Clear Creek CLO, Series 2015-1A, Class DR, 3.17%, 10/20/30(a)(b)

       250       243,972  

Countrywide Asset-Backed Certificates, Series 2006- 26, Class 1A, (1 mo. LIBOR US + 0.14%), 0.29%, 06/25/37(a)

       741       686,488  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(b)

       333       334,007  
Security          Par
(000)		     Value  

Asset-Backed Securities (continued)

 

Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 04/18/31(a)(b)

     USD       250     $ 244,090  

Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.24%, 10/15/32(a)(b)

       950       945,928  

Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.03%,
07/24/31(a)(b)

       500       502,440  

Litigation Fee Residual Funding, 4.00%, 10/30/27(c)

      481       481,162  

Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.62%, 01/20/29(a)(b)

       500       486,553  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 3.92%, 04/20/26(a)(b)

       300       298,046  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 5.24%, 01/15/28(a)(b)

       790       740,903  

Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 5.42%,
10/20/27(a)(b)

       500       413,998  

Octagon Investment Partners 31 LLC, Series 2017- 1A, Class E, (3 mo. LIBOR US + 6.30%), 6.52%, 07/20/30(a)(b)

       500       481,947  

OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.37%,
10/17/29(a)(b)

       250       243,450  

OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 5.76%,
01/20/31(a)(b)

       250       231,816  

Palmer Square CLO Ltd., Series 2020-1A, Class C, (3 mo. LIBOR US + 3.00%), 3.22%, 04/20/29(a)(b)

       250       249,329  

Palmer Square Loan Funding Ltd., Series 2018-5A, Class B, (3 mo. LIBOR US + 1.90%), 2.12%, 01/20/27(a)(b)

       1,000       990,216  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.22%), 6.44%, 11/14/29(a)(b)

       1,750           1,691,447  

Rockford Tower CLO Ltd.(a)(b)

      

Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 04/15/29

       250       239,331  

Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 10/15/29

       500       492,903  

Sterling Coofs Trust(c)

      

Series 2004-1, Class A, 2.36%, 04/15/29

       1,303       13,035  

Series 2004-2, Class Note, 2.08%,
03/30/30(b)

       1,851       18,509  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 4.21%, 01/23/28(a)(b)

       1,000       991,347  

TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.29%,
04/15/33(a)(b)

       250       238,852  

Voya CLO Ltd.(a)(b)

      

Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 2.86%, 07/25/26

       250       245,918  

Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.82%, 10/17/32

       1,000       988,397  
 

 

 

54  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Asset-Backed Securities (continued)

 

Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 3.47%, 07/20/28(a)(b)

     USD       500     $ 497,599  

York CLO Ltd.(a)(b)

      

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 3.82%, 10/20/29

       250       250,118  

Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 6.97%, 04/20/32

       1,000       940,847  
   

 

 

  

Total Asset-Backed Securities — 4.6%
(Cost: $27,633,891)

 

     27,487,746  
   

 

 

  
            Shares         

Common Stocks

 

Construction & Engineering — 0.0%

 

McDermott International Ltd.(e)

       47,837       38,748  
   

 

 

  

Consumer Finance — 0.0%

 

Arrow Global Group PLC(e)

       3,932       10,993  
   

 

 

  

Diversified Financial Services — 0.0%

 

Kcad Holdings I Ltd.(c)

       546,753,936       5,468  
   

 

 

  

Energy Equipment & Services — 0.0%

 

Pioneer Energy Services Corp.(c)

       273       10,601  
   

 

 

  

Health Care Management Services — 0.0%

 

New Millennium HoldCo, Inc.

       8,511       8  
   

 

 

  

Household Durables — 0.0%

 

Berkline Benchcraft Equity LLC(c)

       3,155       —  
   

 

 

  

Media — 0.0%

 

Clear Channel Outdoor Holdings,
Inc.(e)

       38,911       64,203  
   

 

 

  

Metals & Mining — 0.0%

 

Ameriforge Group, Inc.

       801       14,018  

Preferred Proppants LLC(c)

       5,738       8,607  
   

 

 

  
        22,625  

Oil, Gas & Consumable Fuels — 0.0%

 

California Resources Corp.(e)

       700       16,513  
   

 

 

  

Software — 0.0%

 

Avaya Holdings Corp.(e)

       19       364  
   

 

 

  

Specialty Retail — 0.0%

 

NMG Parent LLC

       1,330       85,918  
   

 

 

  

Total Common Stocks — 0.0%
(Cost: $7,786,659)

 

     255,441  
   

 

 

  
           

Par

(000)

         

Corporate Bonds

 

Aerospace & Defense — 2.2%

 

Amsted Industries, Inc., 5.63%, 07/01/27(b)

     USD       156       165,750  

Bombardier, Inc.(b)

      

8.75%, 12/01/21(f)

       779       810,160  

5.75%, 03/15/22

       108       110,189  

6.00%, 10/15/22

       8       7,853  

6.13%, 01/15/23(f)

       338       330,395  

7.50%, 12/01/24

       135       129,501  

7.50%, 03/15/25

       33       30,608  
Security          Par
(000)		     Value  

Aerospace & Defense (continued)

 

Bombardier, Inc.(b) (continued)

      

7.88%, 04/15/27(f)

     USD       636     $ 584,764  

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

       423       410,310  

Howmet Aerospace, Inc.

      

5.87%, 02/23/22(f)

       730       763,763  

5.13%, 10/01/24

       5       5,504  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b)(f)

       378       396,428  

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

       156       161,850  

Rolls-Royce PLC, 5.75%, 10/15/27(b)

       218       241,435  

Signature Aviation US Holdings, Inc.(b)

      

5.38%, 05/01/26

       271       277,775  

4.00%, 03/01/28

       234       235,556  

Spirit AeroSystems, Inc., 5.50%, 01/15/25(b)

       181       190,937  

TransDigm, Inc.

      

8.00%, 12/15/25(b)(f)

       815       900,819  

6.25%, 03/15/26(b)(f)

       6,032       6,424,080  

6.38%, 06/15/26

       194       200,790  

Triumph Group, Inc., 8.88%, 06/01/24(b)(f)

       851       933,972  
   

 

 

  
            13,312,439  

Air Freight & Logistics — 0.0%

 

XPO Logistics, Inc., 6.75%, 08/15/24(b)

       18       19,125  
   

 

 

  

Airlines — 1.7%

 

American Airlines Pass-Through Trust,

      

Series 2013-2, Class A, 4.95%, 07/15/24(f)

       1,727       1,645,450  

American Airlines, Inc., 11.75%, 07/15/25(b)

       945       1,089,821  

Avianca Holdings SA, (3 mo. LIBOR US + 10.50% Cash or 12.00% PIK), 10.74%, 11/10/21(a)(b)(g)

       68       63,240  

Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b)

       136       148,446  

Gol Finance SA, 7.00%, 01/31/25(b)

       200       179,312  

Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(h)

       203       102,008  

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)

       2,135       2,295,125  

United Airlines Pass-Through Trust(f)

      

Series 2015-1, Class A, 3.70%, 06/01/24

       2,430       2,408,196  

Series 2016-1, Class A, 5.88%, 10/15/27

       1,903       2,055,644  
   

 

 

  
        9,987,242  

Auto Components — 0.9%

 

Aptiv PLC, 4.40%, 10/01/46

       240       258,082  

Clarios Global LP, 6.75%, 05/15/25(b)

       540       581,850  

Clarios Global LP/Clarios US Finance Co.

      

4.38%, 05/15/26

     EUR       100       126,551  

6.25%, 05/15/26(b)(f)

     USD       1,526       1,636,635  

8.50%, 05/15/27(b)(f)

       2,098       2,279,287  

Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) .

       334       351,679  

Faurecia SE, 3.75%, 06/15/28

     EUR       100       128,120  

ZF Finance GmbH

      

3.00%, 09/21/25

       100       126,135  

3.75%, 09/21/28

       100       131,022  
   

 

 

  
        5,619,361  

Automobiles — 1.8%

 

Allison Transmission, Inc.(b)

      

5.88%, 06/01/29(f)

     USD       396       437,580  

3.75%, 01/30/31

       311       318,192  

Asbury Automotive Group, Inc.

      

4.50%, 03/01/28

       129       134,483  

4.75%, 03/01/30

       124       132,990  

FCE Bank PLC, 1.62%, 05/11/23

     EUR       100       122,228  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   55

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  

Automobiles (continued)

 

Ford Motor Co.

      

8.50%, 04/21/23

     USD       982     $ 1,105,251  

4.35%, 12/08/26

       11       11,715  

5.29%, 12/08/46

       48       50,160  

Ford Motor Credit Co. LLC(f)

      

5.88%, 08/02/21

       522       534,267  

2.98%, 08/03/22

       449       456,498  

3.35%, 11/01/22

       215       218,762  

3.81%, 01/09/24

       629       644,725  

4.06%, 11/01/24

       200       210,114  

5.13%, 06/16/25

       690       750,237  

4.13%, 08/04/25

       411       431,036  

3.38%, 11/13/25

       200       205,472  

4.39%, 01/08/26

       400       419,872  

5.11%, 05/03/29

       526       585,806  

General Motors Co.

      

6.13%, 10/01/25

       254       308,094  

6.80%, 10/01/27(f)

       534       686,249  

5.00%, 10/01/28

       61       72,582  

General Motors Financial Co., Inc.

      

4.38%, 09/25/21(f)

       530       544,311  

2.75%, 06/20/25

       352       376,395  

5.65%, 01/17/29

       67       83,019  

Group 1 Automotive, Inc., 4.00%,
08/15/28(b)

       252       259,757  

Ken Garff Automotive LLC, 4.88%,
09/15/28(b)

       122       126,880  

Navistar International Corp., 6.63%,
11/01/25(b)

       324       339,439  

Nissan Motor Co. Ltd., 4.81%, 09/17/30(b)

       305       343,435  

Penske Automotive Group, Inc.

      

3.50%, 09/01/25

       214       217,478  

5.50%, 05/15/26

       32       33,240  

Renault SA, 2.38%, 05/25/26

     EUR       100       123,539  

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

     USD       422       439,935  

Wabash National Corp., 5.50%, 10/01/25(b)

       241       245,820  
   

 

 

  
            10,969,561  

Banks — 1.7%

 

Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25

     EUR       100       125,243  

Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a)

       100       118,465  

Banco Espirito Santo SA(e)(h)

      

4.75%, 01/15/21(a)

       100       15,882  

4.00%, 01/21/21

       100       15,881  

Bancolombia SA, (5 year CMT + 2.94%), 4.63%, 12/18/29(a)

     USD       200       210,000  

Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00%(a)(i)

       201       209,354  

Banistmo SA, 3.65%, 09/19/22

       200       205,000  

Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25

       200       203,188  

Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(i)

       250       253,906  

CIT Group, Inc., 5.00%, 08/01/23(f)

       382       417,335  

Commerzbank AG, (5 year EUR Swap + 4.35%), 4.00%, 12/05/30(a)

     EUR       100       133,384  

Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(i)

     USD       250       266,250  

Grupo Aval Ltd., 4.38%, 02/04/30(b)

       200       212,688  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(b)(f)

       2,442       2,671,738  

Itau Unibanco Holding SA, 5.13%, 05/13/23(b)

       200       213,438  
Security          Par
(000)		     Value  

Banks (continued)

 

Santander Holdings USA, Inc., 4.50%,
07/17/25(f)

     USD       1,750     $ 1,985,480  

Santander UK Group Holdings PLC, 2.88%, 08/05/21(f)

       950       963,305  

Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(a)(b)(f)

       1,500       1,595,542  

Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)

     EUR       100       136,468  
   

 

 

  
            9,952,547  

Beverages — 1.3%

 

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(f)

     USD       800       1,040,184  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(f)(g)

       891       951,143  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

      

5.25%, 04/30/25(b)

       244       257,420  

4.13%, 08/15/26(b)(f)

       276       288,420  

4.75%, 07/15/27

     GBP       100       141,708  

4.75%, 07/15/27(b)

       100       141,708  

5.25%, 08/15/27(b)(f)

     USD       652       684,476  

Ball Corp., 4.88%, 03/15/26

       86       97,137  

Canpack SA/Eastern PA Land Investment Holding LLC, 3.13%, 11/01/25(b)

       211       210,473  

Central American Bottling Corp.

      

5.75%, 01/31/27(b)

       176       186,450  

5.75%, 01/31/27

       105       111,234  

Crown Cork & Seal Co., Inc., 7.38%, 12/15/26

       34       41,395  

Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b)(f)

       794       809,666  

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

     EUR       100       123,689  

Silgan Holdings, Inc., 4.13%, 02/01/28

     USD       58       60,248  

Trivium Packaging Finance BV

      

3.75%, 08/15/26

     EUR       100       125,463  

5.50%, 08/15/26(b)(f)

     USD       1,004       1,061,730  

8.50%, 08/15/27(b)(f)

       1,367       1,496,865  
   

 

 

  
        7,829,409  

Biotechnology — 0.0%

 

Emergent BioSolutions, Inc., 3.88%,
08/15/28(b)

       76       78,698  
   

 

 

  

Building Materials — 0.9%

 

Boise Cascade Co., 4.88%, 07/01/30(b)

       136       147,220  

Cemex SAB de CV, 5.45%, 11/19/29

       200       219,750  

Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b)

       362       384,625  

CP Atlas Buyer, Inc., 7.00%, 12/01/28(b)

       93       96,720  

Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b)

       410       440,750  

Griffon Corp., 5.75%, 03/01/28

       87       92,002  

James Hardie International Finance DAC, 5.00%, 01/15/28(b)

       200       212,434  

Jeld-Wen, Inc.(b)

      

6.25%, 05/15/25

       146       157,680  

4.63%, 12/15/25

       55       56,128  

4.88%, 12/15/27

       17       17,978  

Masonite International Corp.(b)

      

5.75%, 09/15/26

       86       89,870  

5.38%, 02/01/28

       101       108,449  

Norbord, Inc., 6.25%, 04/15/23(b)

       152       164,920  

SRM Escrow Issuer LLC, 6.00%, 11/01/28(b)

       1,188       1,241,644  
 

 

 

56  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Building Materials (continued)

 

Standard Industries, Inc.

      

2.25%, 11/21/26

     EUR       100     $ 123,226  

5.00%, 02/15/27(b)

     USD       174       181,830  

4.75%, 01/15/28(b)

       46       48,415  

4.38%, 07/15/30(b)(f)

       479       512,401  

3.38%, 01/15/31(b)(f)

       628       631,140  

Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b)

       235       246,750  
   

 

 

  
        5,173,932  

Building Products(b) — 0.3%

 

Advanced Drainage Systems, Inc., 5.00%, 09/30/27

       262       275,199  

LBM Acquisition LLC, 6.25%, 01/15/29

       198       204,435  

Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26

       388       411,179  

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

       466       495,125  

White Cap Buyer LLC, 6.88%, 10/15/28

       495       527,794  
   

 

 

  
            1,913,732  

Capital Markets — 0.5%

 

Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(i)

       835       878,838  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

      

6.25%, 02/01/22(f)

       299       299,748  

4.75%, 09/15/24

       93       96,604  

6.38%, 12/15/25

       120       124,140  

6.25%, 05/15/26

       366       387,557  

5.25%, 05/15/27(f)

       489       524,208  

Intercorp Peru Ltd., 3.88%, 08/15/29(b)

       225       233,156  

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

     EUR       100       124,303  

NFP Corp., 6.88%, 08/15/28(b)

     USD       221       235,957  

Owl Rock Capital Corp., 5.25%, 04/15/24(f)

       88       95,240  

RP Escrow Issuer LLC, 5.25%, 12/15/25(b)

       156       163,029  
   

 

 

  
        3,162,780  

Chemicals — 1.6%

 

Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(f)(g)

       656       660,920  

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

       1,830       1,862,025  

Axalta Coating Systems LLC, 3.38%,
02/15/29(b)

       297       297,000  

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b).

       170       180,838  

Blue Cube Spinco LLC

      

9.75%, 10/15/23

       52       53,430  

10.00%, 10/15/25(f)

       380       402,325  

Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b)

       278       310,057  

Element Solutions, Inc., 3.88%, 09/01/28(b)(f)

       1,191       1,225,241  

Equate Petrochemical BV, 4.25%, 11/03/26(b)

       211       234,803  

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

       165       169,950  

HB Fuller Co., 4.25%, 10/15/28

       98       100,450  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)

       360       396,000  

INEOS Finance PLC, 3.38%, 03/31/26

     EUR       100       125,860  

Ingevity Corp., 3.88%, 11/01/28(b)

     USD       84       84,630  

Minerals Technologies, Inc., 5.00%, 07/01/28(b)

       169       176,842  

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

     EUR       100       126,459  

NOVA Chemicals Corp., 4.88%, 06/01/24(b)

     USD       67       69,764  
Security         

Par

(000)

     Value  

Chemicals (continued)

 

Orbia Advance Corp. SAB de CV, 5.50%, 01/15/48(b)

     USD       200     $ 240,562  

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

       543       557,254  

Valvoline, Inc.

      

4.38%, 08/15/25

       130       134,260  

4.25%, 02/15/30(b)

       126       133,560  

3.63%, 06/15/31(b)(j)

       1       1,026  

WESCO Distribution, Inc.(b)(f)

      

7.13%, 06/15/25

       676       743,485  

7.25%, 06/15/28

       616       700,571  

WR Grace & Co-Conn(b)

      

5.63%, 10/01/24

       216       233,010  

4.88%, 06/15/27

       189       200,438  

Yingde Gases Investment Ltd., 6.25%, 01/19/23

       200       206,125  
   

 

 

  
            9,626,885  

Commercial Services & Supplies — 0.6%

 

ADT Security Corp.

      

4.13%, 06/15/23

       9       9,595  

4.88%, 07/15/32(b)(f)

       575       623,156  

APX Group, Inc.

      

7.88%, 12/01/22(f)

       252       252,630  

8.50%, 11/01/24

       60       63,000  

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

       91       94,640  

Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b)

       75       78,383  

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

       383       405,980  

Intertrust Group BV, 3.38%, 11/15/25

     EUR       100       124,580  

Prime Security Services Borrower LLC/Prime Finance, Inc.(b)

      

5.25%, 04/15/24

     USD       141       150,518  

5.75%, 04/15/26(f)

       320       350,400  

3.38%, 08/31/27

       341       338,443  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b)

       187       192,470  

United Rentals North America, Inc.

      

5.88%, 09/15/26

       17       17,998  

5.50%, 05/15/27

       339       362,730  

3.88%, 11/15/27

       178       186,455  

5.25%, 01/15/30

       161       178,710  

4.00%, 07/15/30

       70       73,675  
   

 

 

  
        3,503,363  

Communications Equipment — 0.6%

 

Avaya, Inc., 6.13%, 09/15/28(b)(f)

       606       647,366  

CommScope Technologies LLC(b)

      

6.00%, 06/15/25

       360       368,100  

5.00%, 03/15/27

       240       236,400  

CommScope, Inc.(b)

      

5.50%, 03/01/24(f)

       749       772,219  

6.00%, 03/01/26

       358       377,189  

8.25%, 03/01/27

       39       41,632  

7.13%, 07/01/28

       35       37,275  

Nokia OYJ

      

3.38%, 06/12/22

       106       109,545  

4.38%, 06/12/27

       149       162,503  

ViaSat, Inc.(b)(f)

      

5.63%, 04/15/27

       545       572,250  

6.50%, 07/15/28

       477       516,214  
   

 

 

  
        3,840,693  

Construction & Engineering — 0.1%

 

frontdoor, Inc., 6.75%, 08/15/26(b)(f)

       473       504,336  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   57

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Construction & Engineering (continued)

      

KBR, Inc., 4.75%, 09/30/28(b)

     USD       186     $ 193,905  

SPIE SA, 2.63%, 06/18/26

     EUR       100       127,785  
   

 

 

  
        826,026  

Construction Materials(b) — 0.9%

      

American Builders & Contractors Supply Co., Inc.

      

5.88%, 05/15/26

     USD       412       426,935  

4.00%, 01/15/28(f)

       375       388,125  

Core & Main LP, 6.13%, 08/15/25(f)

       1,743       1,801,826  

H&E Equipment Services, Inc., 3.88%, 12/15/28

       128       129,370  

IAA, Inc., 5.50%, 06/15/27

       372       394,320  

KAR Auction Services, Inc., 5.13%, 06/01/25(f)

       380       391,031  

Picasso Finance Sub, Inc., 6.13%, 06/15/25(f)

       499       533,930  

Williams Scotsman International, Inc., 4.63%, 08/15/28

       243       251,505  

Winnebago Industries, Inc., 6.25%, 07/15/28

       137       147,275  

Wolverine Escrow LLC

      

8.50%, 11/15/24(f)

       256       244,232  

9.00%, 11/15/26

       913       864,200  
   

 

 

  
            5,572,749  

Consumer Discretionary — 0.2%

      

Carnival Corp.

      

11.50%, 04/01/23(b)

       281       325,038  

10.13%, 02/01/26

     EUR       100       141,031  

9.88%, 08/01/27(b)

     USD       172       197,800  

Nielsen Finance LLC/Nielsen Finance Co.(b)

      

5.63%, 10/01/28

       479       520,457  

5.88%, 10/01/30

       239       270,369  
   

 

 

  
        1,454,695  

Consumer Finance — 1.6%

      

Equifax, Inc., 2.60%, 12/15/25

       59       63,684  

MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b)(f)

       723       710,564  

Muthoot Finance Ltd.

      

6.13%, 10/31/22(b)

       427       446,749  

4.40%, 09/02/23

       200       203,625  

Navient Corp.

      

7.25%, 09/25/23

       129       141,381  

6.13%, 03/25/24

       86       91,805  

5.88%, 10/25/24

       82       87,125  

5.00%, 03/15/27

       258       260,258  

OneMain Finance Corp.

      

6.13%, 05/15/22

       70       74,200  

6.88%, 03/15/25

       226       262,442  

7.13%, 03/15/26

       374       442,255  

6.63%, 01/15/28

       221       262,437  

5.38%, 11/15/29

       78       87,750  

4.00%, 09/15/30

       100       103,761  

PayPal Holdings, Inc., 1.65%, 06/01/25

       162       169,255  

Refinitiv US Holdings, Inc.(b)

      

4.50%, 05/15/26

     EUR       400       513,704  

6.25%, 05/15/26(f)

     USD       1,444       1,541,470  

8.25%, 11/15/26(f)

       972       1,060,695  

Sabre GLBL, Inc.(b)

      

5.25%, 11/15/23

       43       43,538  

9.25%, 04/15/25

       227       270,130  

7.38%, 09/01/25

       252       273,420  
Security         

Par

(000)

     Value  

Consumer Finance (continued)

      

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)

     USD       284     $ 295,360  

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

       1,758       1,905,232  

WEX, Inc., 4.75%, 02/01/23(b)

       203       203,254  
   

 

 

  
            9,514,094  

Containers & Packaging — 0.4%

      

Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30

       200       225,625  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

       196       216,021  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26

       424       439,900  

Graham Packaging Co., Inc., 7.13%, 08/15/28(b)

       60       66,300  

Graphic Packaging International LLC(b)

      

4.75%, 07/15/27

       89       98,568  

3.50%, 03/15/28

       68       70,465  

3.50%, 03/01/29

       109       111,452  

Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b)

       162       166,455  

Intertape Polymer Group, Inc., 7.00%,
10/15/26(b)

       201       213,163  

LABL Escrow Issuer LLC(b)

      

6.75%, 07/15/26(f)

       380       411,529  

10.50%, 07/15/27

       176       198,220  

Sealed Air Corp.(b)

      

5.13%, 12/01/24

       46       50,140  

6.88%, 07/15/33

       44       58,080  

Suzano Austria GmbH, 3.75%, 01/15/31

       105       111,300  
   

 

 

  
        2,437,218  

Diversified Consumer Services — 0.9%

      

Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(f)

      

6.63%, 07/15/26

       1,998       2,130,467  

9.75%, 07/15/27

       623       679,070  

Ascend Learning LLC(b)

      

6.88%, 08/01/25(f)

       690       709,837  

6.88%, 08/01/25

       317       325,718  

Garda World Security Corp.(b)

      

4.63%, 02/15/27

       284       286,840  

9.50%, 11/01/27(f)

       191       211,533  

Graham Holdings Co., 5.75%, 06/01/26(b)

       140       147,000  

Laureate Education, Inc., 8.25%, 05/01/25(b)

       114       120,840  

Service Corp. International

      

5.13%, 06/01/29

       238       263,585  

3.38%, 08/15/30(f)

       263       273,575  

Sotheby’s, 7.38%, 10/15/27(b)(f)

       451       483,134  
   

 

 

  
        5,631,599  

Diversified Financial Services — 2.0%

      

Ally Financial, Inc., 8.00%, 11/01/31(f)

       1,543       2,264,923  

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

     GBP       100       136,187  

Barclays PLC(f)

      

3.65%, 03/16/25

     USD       3,600       3,960,490  

5.20%, 05/12/26

       200       232,544  

Central Garden & Pet Co., 4.13%, 10/15/30

       188       195,990  

Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(a)(i)

       155       159,069  

Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(i)

       200       200,980  
 

 

 

58  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Diversified Financial Services (continued)

 

Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(g)

     USD       216     $ 192,369  

Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(a)(f)(i)

       730       772,282  

HSBC Holdings PLC, 4.38%, 11/23/26(f)

       395       455,761  

Intrum AB, 3.00%, 09/15/27

     EUR       100       117,095  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b)

      

5.25%, 03/15/22

     USD       23       23,115  

4.25%, 02/01/27(f)

       315       309,488  

Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(f)(i)

       450       504,562  

Manappuram Finance Ltd., 5.90%, 01/13/23

       200       206,688  

Morgan Stanley, 4.00%, 07/23/25(f)

       965       1,104,319  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)

       300       311,812  

Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22

       420       430,106  

Spectrum Brands, Inc.(b)

      

5.00%, 10/01/29

       178       191,154  

5.50%, 07/15/30

       154       165,935  
   

 

 

  
            11,934,869  

Diversified Telecommunication Services — 3.1%

 

Axtel SAB de CV, 6.38%, 11/14/24(b)

       200       208,437  

CenturyLink, Inc.

      

5.13%, 12/15/26(b)(f)

       1,047       1,105,590  

4.00%, 02/15/27(b)(f)

       349       360,342  

4.50%, 01/15/29(b)

       630       641,025  

Series P, 7.60%, 09/15/39(f)

       322       391,230  

Series U, 7.65%, 03/15/42(f)

       447       540,870  

Series W, 6.75%, 12/01/23(f)

       512       570,240  

Series Y, 7.50%, 04/01/24(f)

       516       584,370  

Cincinnati Bell, Inc.(b)

      

7.00%, 07/15/24

       144       149,760  

8.00%, 10/15/25

       67       71,439  

Consolidated Communications, Inc., 6.50%, 10/01/28(b)(f)

       471       503,970  

Frontier Communications Corp.(b)

      

5.88%, 10/15/27(f)

       462       499,537  

5.00%, 05/01/28

       674       702,645  

6.75%, 05/01/29

       418       447,260  

Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b)(f)

       476       487,305  

Level 3 Financing, Inc.

      

5.38%, 05/01/25

       90       92,561  

4.63%, 09/15/27(b)

       111       115,932  

4.25%, 07/01/28(b)(f)

       820       842,550  

3.63%, 01/15/29(b)

       432       430,920  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g)

       206       219,326  

SoftBank Group Corp.

      

4.50%, 04/20/25

     EUR       100       130,717  

4.75%, 07/30/25

       100       132,952  

5.00%, 04/15/28

       100       136,031  

Sprint Capital Corp.(f)

      

6.88%, 11/15/28

     USD       1,245       1,641,508  

8.75%, 03/15/32

       659       1,043,444  

Switch Ltd., 3.75%, 09/15/28(b)

       316       320,740  

Telecom Italia Capital SA

      

6.38%, 11/15/33

       222       273,060  
Security         

Par

(000)

     Value  

Diversified Telecommunication Services (continued)

 

Telecom Italia Capital SA (continued)

      

6.00%, 09/30/34

     USD       432     $ 526,215  

7.20%, 07/18/36

       98       132,219  

7.72%, 06/04/38

       173       240,470  

Telecom Italia SpA

      

4.00%, 04/11/24

     EUR       150       197,970  

5.30%, 05/30/24(b)(f)

     USD       400       435,000  

Verizon Communications, Inc., 3.38%, 02/15/25(f)

       156       173,259  

Zayo Group Holdings, Inc.(b)(f)

      

4.00%, 03/01/27

       2,639       2,645,597  

6.13%, 03/01/28

       1,349       1,426,567  
   

 

 

  
            18,421,058  

Education — 0.0%

 

Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22

       200       207,000  
   

 

 

  

Electric Utilities — 0.7%

 

Black Hills Corp., 3.15%, 01/15/27(f)

       305       331,784  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b)

       275       294,336  

Enel Finance International NV, 3.63%, 05/25/27(b)(f) .

       900       1,021,247  

Energuate Trust, 5.88%, 05/03/27(b)

       200       211,125  

Exelon Corp., 3.40%, 04/15/26(f)

       140       157,689  

FirstEnergy Corp.

      

2.65%, 03/01/30

       26       26,083  

Series B, 3.90%, 07/15/27

       95       104,718  

Series B, 2.25%, 09/01/30

       21       20,313  

Series C, 4.85%, 07/15/47

       461       573,712  

Series C, 3.40%, 03/01/50

       189       181,030  

FirstEnergy Transmission LLC(b)

      

5.45%, 07/15/44

       298       378,121  

4.55%, 04/01/49

       144       168,168  

NextEra Energy Operating Partners LP(b)

      

4.25%, 07/15/24(f)

       361       386,270  

4.25%, 09/15/24

       9       9,630  

PG&E Corp., 5.25%, 07/01/30

       339       372,900  

Pike Corp., 5.50%, 09/01/28(b)

       250       264,063  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(c)(e)(h)

      

11.50%, 10/01/20

       300       —  

Term Loan, 1.00%, 11/10/21(a)

       780       —  
   

 

 

  
        4,501,189  

Electrical Equipment(b) — 0.1%

 

Gates Global LLC/Gates Corp., 6.25%, 01/15/26

       352       369,600  

GrafTech Finance, Inc., 4.63%, 12/15/28

       136       137,530  
   

 

 

  
        507,130  

Electronic Equipment, Instruments & Components — 0.3%

 

BWX Technologies, Inc.(b)

      

5.38%, 07/15/26

       209       217,099  

4.13%, 06/30/28

       251       261,354  

CDW LLC/CDW Finance Corp.

      

4.13%, 05/01/25

       188       196,682  

3.25%, 02/15/29(f)

       397       404,821  

Energizer Holdings, Inc.(b)

      

4.75%, 06/15/28

       256       269,440  

4.38%, 03/31/29

       19       19,675  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   59

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

     Value  

Electronic Equipment, Instruments & Components (continued)

 

Itron, Inc., 5.00%, 01/15/26(b)

     USD       25     $ 25,531  

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

       203       204,522  
   

 

 

  
        1,599,124  

Energy Equipment & Services — 0.3%

 

Archrock Partners LP/Archrock Partners Finance Corp.(b)

      

6.88%, 04/01/27

       213       229,241  

6.25%, 04/01/28

       206       214,438  

ChampionX Corp., 6.38%, 05/01/26

       239       241,390  

Halliburton Co., 3.80%, 11/15/25(f)

       7       7,851  

Pioneer Energy Services Corp.(b)(c)(g)

      

(11.00% Cash), 11.00%, 05/15/25

       111       88,754  

(5.00% PIK), 5.00%, 11/15/25

       78       42,021  

USA Compression Partners LP/USA Compression Finance Corp.

      

6.88%, 04/01/26

       336       351,120  

6.88%, 09/01/27(f)

       570       608,520  
   

 

 

  
        1,783,335  

Environmental, Maintenance, & Security Service — 0.5%

 

Clean Harbors, Inc.(b)(f)

      

4.88%, 07/15/27

       250       260,828  

5.13%, 07/15/29

       172       187,910  

Covanta Holding Corp., 5.00%, 09/01/30

       91       97,364  

GFL Environmental, Inc.(b)

      

4.25%, 06/01/25

       86       89,225  

3.75%, 08/01/25

       266       272,650  

5.13%, 12/15/26(f)

       563       598,891  

8.50%, 05/01/27

       233       258,630  

4.00%, 08/01/28

       337       339,527  

3.50%, 09/01/28

       324       329,873  

Stericycle Inc., 3.88%, 01/15/29(b)

       162       166,455  

Tervita Corp., 11.00%, 12/01/25(b)

       113       121,593  

Waste Pro USA, Inc., 5.50%, 02/15/26(b)(f)

       471       481,597  
   

 

 

  
            3,204,543  

Equity Real Estate Investment Trusts (REITs) — 1.6%

 

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

       141       138,885  

ERP Operating LP, 3.38%, 06/01/25(f)

       1,015       1,121,792  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%,
12/15/27(b)

       273       281,459  

Iron Mountain, Inc.(b)

      

4.88%, 09/15/29

       32       33,760  

5.25%, 07/15/30(f)

       654       706,320  

5.63%, 07/15/32(f)

       469       517,073  

LMIRT Capital Pte Ltd., 7.25%, 06/19/24

       229       228,857  

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

      

5.63%, 05/01/24(f)

       1,334       1,448,924  

4.63%, 06/15/25(b)

       455       487,305  

4.50%, 09/01/26(f)

       637       685,348  

5.75%, 02/01/27

       27       30,291  

4.50%, 01/15/28

       432       459,596  

3.88%, 02/15/29(b)

       426       435,585  

MPT Operating Partnership LP/MPT Finance Corp.(f)

      

5.00%, 10/15/27

       139       147,861  

4.63%, 08/01/29

       399       426,431  
Security         

Par

(000)

     Value  

Equity Real Estate Investment Trusts (REITs) (continued)

 

MPT Operating Partnership LP/MPT Finance Corp.(f) (continued)

      

3.50%, 03/15/31

     USD       463     $ 478,048  

RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27(f)

       604       625,140  

Starwood Property Trust, Inc., 5.00%, 12/15/21

       234       237,924  

Trust Fibra Uno, 6.95%, 01/30/44

       200       244,438  

Ventas Realty LP, 4.13%, 01/15/26(f)

       650       747,708  
   

 

 

  
            9,482,745  

Food & Staples Retailing — 1.6%

 

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC

      

5.75%, 03/15/25

       11       11,330  

3.25%, 03/15/26(b)(f)

       582       590,730  

7.50%, 03/15/26(b)(f)

       107       119,738  

4.63%, 01/15/27(b)(f)

       766       814,832  

5.88%, 02/15/28(b)

       320       348,221  

4.88%, 02/15/30(b)

       211       232,497  

BRF GmbH, 4.35%, 09/29/26

       200       210,750  

Cydsa SAB de CV, 6.25%, 10/04/27(b)

       252       265,230  

Grupo KUO SAB de CV, 5.75%, 07/07/27(b)

       200       210,438  

Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24

       200       208,313  

Kraft Heinz Foods Co.

      

4.25%, 03/01/31(b)(f)

       709       790,576  

5.00%, 07/15/35

       127       153,955  

6.88%, 01/26/39(f)

       233       322,858  

4.63%, 10/01/39(b)

       77       85,975  

6.50%, 02/09/40

       155       209,515  

5.00%, 06/04/42

       129       151,352  

5.20%, 07/15/45

       351       417,358  

4.38%, 06/01/46(f)

       377       407,893  

4.88%, 10/01/49(b)(f)

       1,062       1,238,954  

5.50%, 06/01/50(b)(f)

       1,247       1,570,911  

Lamb Weston Holdings, Inc., 4.88%,
05/15/28(b)(f)

       313       349,386  

Picard Groupe SAS, (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(a)

     EUR       100       121,860  

Post Holdings, Inc.(b)

      

5.75%, 03/01/27

     USD       253       267,864  

5.63%, 01/15/28

       73       77,745  

5.50%, 12/15/29(f)

       230       250,987  

4.63%, 04/15/30(f)

       325       341,887  
   

 

 

  
        9,771,155  

Food Products(b) — 0.9%

 

Aramark Services, Inc.(f)

      

5.00%, 04/01/25

       623       641,690  

6.38%, 05/01/25

       243       259,706  

5.00%, 02/01/28

       658       693,367  

Chobani LLC/Chobani Finance Corp., Inc.(f)

      

7.50%, 04/15/25

       512       536,883  

4.63%, 11/15/28

       269       273,035  

Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(i)

       200       214,625  

JBS USA LUX SA/JBS USA Finance, Inc.

      

5.75%, 06/15/25(f)

       1,006       1,037,940  

6.75%, 02/15/28

       361       403,982  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29(f)

       492       572,737  

MHP Lux SA, 6.25%, 09/19/29

       200       204,063  
 

 

 

60  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food Products (continued)  

Minerva Luxembourg SA, 6.50%, 09/20/26

     USD       200     $ 209,688  

Simmons Foods, Inc., 7.75%, 01/15/24

       270       281,138  
   

 

 

  
        5,328,854  
Health Care Equipment & Supplies(b) — 0.5%  

Avantor Funding, Inc., 4.63%, 07/15/28(f)

       959       1,014,142  

Hologic, Inc.

 

4.63%, 02/01/28

       206       218,618  

3.25%, 02/15/29

       146       148,555  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical
Diagnostics SA(f)

 

7.38%, 06/01/25

       589       627,285  

7.25%, 02/01/28

       1,224       1,291,320  
   

 

 

  
        3,299,920  
Health Care Providers & Services — 3.7%  

Acadia Healthcare Co., Inc.

 

5.63%, 02/15/23

       33       33,083  

5.50%, 07/01/28(b)

       204       219,106  

5.00%, 04/15/29(b)

       171       182,543  

AdaptHealth LLC, 6.13%, 08/01/28(b)

       147       157,841  

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

       353       389,624  

Centene Corp.

 

5.38%, 06/01/26(b)(f)

       336       354,383  

5.38%, 08/15/26(b)

       278       293,637  

4.25%, 12/15/27(f)

       517       548,020  

4.63%, 12/15/29(f)

       1,535       1,704,172  

3.00%, 10/15/30

       258       273,454  

CHS/Community Health Systems, Inc.(b)

 

8.63%, 01/15/24(f)

       680       708,900  

6.63%, 02/15/25(f)

       499       525,188  

8.00%, 03/15/26(f)

       1,331       1,434,152  

5.63%, 03/15/27

       824       886,006  

6.00%, 01/15/29

       604       652,477  

Encompass Health Corp., 4.63%, 04/01/31

       102       109,140  

HCA, Inc.

 

5.38%, 02/01/25(f)

       490       551,020  

5.88%, 02/15/26

       46       52,900  

5.38%, 09/01/26(f)

       430       494,242  

5.63%, 09/01/28(f)

       692       816,560  

5.88%, 02/01/29(f)

       516       620,996  

3.50%, 09/01/30(f)

       895       951,006  

5.50%, 06/15/47(f)

       650       868,212  

Legacy LifePoint Health LLC(b)

 

6.75%, 04/15/25

       190       204,024  

4.38%, 02/15/27

       217       217,271  

LifePoint Health, Inc., 5.38%, 01/15/29(b)

       151       150,675  

Molina Healthcare, Inc.(b)

 

4.38%, 06/15/28

       258       271,545  

3.88%, 11/15/30

       231       247,747  

Providence Service Corp., 5.88%, 11/15/25(b)

       71       75,083  

RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b)

       53       58,300  

Surgery Center Holdings, Inc.(b)(f)

 

6.75%, 07/01/25

       611       621,692  

10.00%, 04/15/27

       434       479,570  

Teleflex, Inc.

 

4.88%, 06/01/26

       87       90,592  

4.63%, 11/15/27

       58       62,333  

4.25%, 06/01/28(b)(f)

       368       390,080  

Tenet Healthcare Corp.
4.63%, 07/15/24(f)

       514       526,860  

 

Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

Tenet Healthcare Corp. (continued)

 

4.63%, 09/01/24(b)(f)

     USD       367     $ 378,927  

7.50%, 04/01/25(b)

       163       178,078  

4.88%, 01/01/26(b)(f)

       1,596       1,669,592  

6.25%, 02/01/27(b)(f)

       169       179,140  

5.13%, 11/01/27(b)(f)

       959       1,015,341  

4.63%, 06/15/28(b)

       81       84,848  

6.13%, 10/01/28(b)(f)

       430       448,051  

UnitedHealth Group, Inc., 3.75%, 07/15/25(f)

       1,470       1,674,824  

Vizient, Inc., 6.25%, 05/15/27(b)

       407       437,525  
   

 

 

  
            22,288,760  
Health Care Technology — 0.7%  

Catalent Pharma Solutions, Inc.

 

4.88%, 01/15/26(b)

       324       330,480  

5.00%, 07/15/27(b)(f)

       365       385,491  

2.38%, 03/01/28

     EUR       100       122,426  

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

     USD       791       806,820  

Charles River Laboratories International, Inc.(b)

 

5.50%, 04/01/26(f)

       207       216,812  

4.25%, 05/01/28

       159       166,553  

IQVIA, Inc.

 

3.25%, 03/15/25

     EUR       148       182,612  

5.00%, 10/15/26(b)(f)

     USD       463       483,835  

5.00%, 05/15/27(b)(f)

       637       677,147  

Mednax, Inc.(b)

 

5.25%, 12/01/23

       168       170,066  

6.25%, 01/15/27

       245       262,753  

Syneos Health, Inc., 3.63%, 01/15/29(b)(f)

       465       466,286  

Synlab Bondco PLC, (3 mo. EURIBOR +
4.75%), 4.75%, 07/01/25(a)

     EUR       100       124,578  
   

 

 

  
        4,395,859  
Hotels, Restaurants & Leisure — 4.7%  

1011778 BC ULC/New Red Finance, Inc.(b)

 

5.75%, 04/15/25

     USD       207       221,490  

3.88%, 01/15/28

       423       429,671  

4.38%, 01/15/28

       302       311,060  

3.50%, 02/15/29

       97       96,879  

4.00%, 10/15/30

       62       62,833  

Accor SA, 0.70%, 12/07/27

     EUR       47       29,881  

Boyd Gaming Corp.

 

8.63%, 06/01/25(b)

     USD       97       107,882  

6.38%, 04/01/26

       146       151,666  

6.00%, 08/15/26

       112       116,200  

4.75%, 12/01/27

       179       185,936  

Boyne USA, Inc., 7.25%, 05/01/25(b)(f)

       254       266,382  

Caesars Entertainment, Inc.(b)(f)

 

6.25%, 07/01/25

       1,466       1,561,290  

8.13%, 07/01/27

       1,045       1,156,839  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(f)

       478       506,478  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b)(f)

       504       525,420  

Churchill Downs, Inc.(b)

 

5.50%, 04/01/27(f)

       899       951,816  

4.75%, 01/15/28

       358       376,795  

Cirsa Finance International Sarl, 4.75%, 05/22/25

     EUR       100       118,867  

Fortune Star BVI Ltd.
5.95%, 01/29/23

     USD       200       205,250  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   61

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  

Hotels, Restaurants & Leisure (continued)

 

Fortune Star BVI Ltd. (continued)

        

6.75%, 07/02/23

     USD        250      $ 263,047  

5.95%, 10/19/25

        475        496,969  

GLP Capital LP/GLP Financing II, Inc.

        

5.25%, 06/01/25(f)

        333        374,652  

5.38%, 04/15/26

        174        199,695  

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

        1,462        1,451,503  

Hilton Domestic Operating Co., Inc.

        

5.38%, 05/01/25(b)

        145        154,062  

5.13%, 05/01/26(f)

        650        671,125  

5.75%, 05/01/28(b)

        99        107,662  

4.88%, 01/15/30(f)

        1,042        1,138,385  

4.00%, 05/01/31(b)

        411        433,650  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 06/01/26(b)(f)

        368        381,800  

Las Vegas Sands Corp.

        

2.90%, 06/25/25

        52        54,415  

3.50%, 08/18/26

        47        50,294  

3.90%, 08/08/29

        43        46,244  

Marriott International, Inc., Series EE, 5.75%, 05/01/25

        178        208,207  

Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26

        40        41,800  

McDonald’s Corp., 3.70%, 01/30/26(f)

        405        461,331  

Melco Resorts Finance Ltd., 5.25%, 04/26/26

        250        261,250  

MGM China Holdings Ltd., 5.88%, 05/15/26

        250        263,410  

MGM Resorts International

        

7.75%, 03/15/22(f)

        575        612,375  

6.00%, 03/15/23(f)

        416        446,680  

5.75%, 06/15/25

        29        32,064  

Powdr Corp., 6.00%, 08/01/25(b)

        212        223,130  

Scientific Games International, Inc.

        

8.63%, 07/01/25(b)

        203        222,285  

5.00%, 10/15/25(b)(f)

        867        894,649  

3.38%, 02/15/26

     EUR        100        121,096  

8.25%, 03/15/26(b)(f)

     USD        565        608,844  

7.00%, 05/15/28(b)

        174        187,087  

7.25%, 11/15/29(b)

        51        55,972  

Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(f)

        753        813,240  

Spirit Issuer PLC, Series A5, 5.47%, 12/28/34

     GBP        4,500        6,377,184  

Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25

        100        138,459  

Studio City Finance Ltd., 7.25%, 02/11/24

     USD        250        260,156  

Vail Resorts, Inc., 6.25%, 05/15/25(b)

        154        164,395  

Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b)

        158        164,170  

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

        192        197,904  

Wynn Macau Ltd., 5.50%, 10/01/27

        200        206,875  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)

        

7.75%, 04/15/25

        239        259,016  

5.13%, 10/01/29(f)

        584        611,740  

Yum! Brands, Inc.

        

7.75%, 04/01/25(b)(f)

        395        437,462  

4.75%, 01/15/30(b)(f)

        358        392,547  

 

Security           Par
(000)		      Value  

Hotels, Restaurants & Leisure (continued)

 

Yum! Brands, Inc. (continued)

        

3.63%, 03/15/31

     USD        130      $ 131,408  

5.35%, 11/01/43

        71        80,230  
       

 

 

  
          28,081,104  

Household Durables — 0.7%

 

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.(b)

 

   

6.25%, 09/15/27

        217        230,834  

4.88%, 02/15/30

        412        425,905  

CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b)

        232        247,950  

Controladora Mabe SA de CV, 5.60%, 10/23/28(b)

        200        235,750  

K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b)

        307        322,350  

Lennar Corp.

        

4.75%, 05/30/25

        4        4,570  

5.25%, 06/01/26

        28        33,180  

4.75%, 11/29/27(f)

        137        161,907  

Mattamy Group Corp., 4.63%, 03/01/30(b)

 

      233        246,980  

MDC Holdings, Inc., 6.00%, 01/15/43

        203        272,131  

Meritage Homes Corp., 5.13%, 06/06/27

        50        55,875  

NCR Corp.(b)

        

5.75%, 09/01/27

        220        233,750  

5.00%, 10/01/28

        110        116,050  

6.13%, 09/01/29

        92        101,890  

5.25%, 10/01/30

        111        119,047  

PulteGroup, Inc.

        

5.00%, 01/15/27

        24        28,320  

7.88%, 06/15/32

        21        31,421  

6.38%, 05/15/33(f)

        469        642,577  

Taylor Morrison Communities, Inc.(b)

        

5.88%, 06/15/27

        245        277,663  

5.13%, 08/01/30

        149        166,880  

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

        180        187,326  

Toll Brothers Finance Corp., 4.35%, 02/15/28

        12        13,320  

TRI Pointe Group, Inc., 5.25%, 06/01/27

        15        16,312  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24

        11        12,007  
       

 

 

  
          4,183,995  

Household Products — 0.0%

 

ACCO Brands Corp., 5.25%, 12/15/24(b)

 

      85        87,338  

Berkline Benchcraft LLC, 4.50%, 06/01/21(a)(c)(e)(h)

        200        —  

Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(b)

        72        75,111  
       

 

 

  
          162,449  

Independent Power and Renewable Electricity Producers — 1.4%

 

Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24

        200        221,187  

Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24

        200        212,875  

Calpine Corp.(b)

        

5.25%, 06/01/26(f)

        481        497,594  

4.50%, 02/15/28(f)

        581        604,240  

5.13%, 03/15/28(f)

        1,275        1,341,262  

4.63%, 02/01/29(f)

        359        369,153  

5.00%, 02/01/31

        373        389,785  

3.75%, 03/01/31

        241        238,670  
 

 

 

62  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Independent Power and Renewable Electricity Producers (continued)  

Clearway Energy Operating LLC

 

5.75%, 10/15/25

     USD       214     $ 225,235  

4.75%, 03/15/28(b)(f)

       287       307,807  

ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21

       200       200,500  

Greenko Dutch BV, 5.25%, 07/24/24

       200       207,500  

Greenko Mauritius Ltd., 6.25%, 02/21/23

       200       207,500  

Greenko Solar Mauritius Ltd., 5.95%, 07/29/26

       200       215,187  

India Green Energy Holdings
5.38%, 04/29/24(b)

       250       262,812  

5.38%, 04/29/24

       250       262,812  

NRG Energy, Inc.
6.63%, 01/15/27(f)

       745       786,750  

5.75%, 01/15/28

       63       68,828  

5.25%, 06/15/29(b)(f)

       253       278,300  

3.63%, 02/15/31(b)

       396       407,405  

ReNew Power Pvt Ltd., 5.88%, 03/05/27

       200       212,063  

ReNew Power Synthetic, 6.67%, 03/12/24

       200       210,938  

TerraForm Power Operating LLC(b)
4.25%, 01/31/23

       106       109,578  

5.00%, 01/31/28

       96       107,870  

4.75%, 01/15/30

       186       199,020  
   

 

 

  
        8,144,871  
Insurance — 1.8%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%,
02/15/24(b)

       63       66,699  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(f)
4.25%, 10/15/27

       1,112       1,137,020  

6.75%, 10/15/27

 

     1,882       2,013,740  

Allied World Assurance Co. Holdings Ltd.,
4.35%, 10/29/25(f) 360 391,035

 

AmWINS Group, Inc., 7.75%, 07/01/26(b)

       297       318,948  

Aon PLC, 3.88%, 12/15/25(f)

       1,115       1,271,166  

Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(i)

       306       328,345  

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

     EUR       100       150,294  

AssuredPartners, Inc., 5.63%, 01/15/29(b)

     USD       267       278,681  

Global Atlantic Fin Co., 8.63%, 04/15/21(b)(f)

       750       762,618  

GTCR AP Finance, Inc., 8.00%, 05/15/27(b)

       355       385,512  

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

       1,418       1,482,930  

Lincoln National Corp., 3.35%, 03/09/25(f)

       845       927,336  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41(a)

     EUR       400       499,787  

Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b)(f)

     USD       595       650,709  

Unipol Gruppo SpA, 3.25%, 09/23/30

     EUR       100       129,283  
   

 

 

  
        10,794,103  
Interactive Media & Services — 0.7%  

21Vianet Group, Inc., 7.88%, 10/15/21

     USD       200       204,000  

Arches Buyer, Inc., 4.25%, 06/01/28(b)

       110       111,397  

Cablevision Lightpath LLC(b)
3.88%, 09/15/27

       200       201,250  

5.63%, 09/15/28

       400       418,500  
Netflix, Inc.  

3.63%, 06/15/25(b)

       96       102,791  

4.88%, 04/15/28

       109       122,919  
Security          Par
(000)		     Value  
Interactive Media & Services (continued)  
Netflix, Inc. (continued)  

5.88%, 11/15/28(f)

     USD       730     $ 875,088  

5.38%, 11/15/29(b)(f)

       793       934,749  

3.63%, 06/15/30

     EUR       100       138,691  

4.88%, 06/15/30(b)(f)

     USD       507       583,050  

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

       129       137,385  

United Group BV, 4.00%, 11/15/27

     EUR       100       121,891  
   

 

 

  
        3,951,711  
Internet Software & Services(b) — 0.7%  

Expedia Group, Inc.

      

3.60%, 12/15/23

     USD       325       346,354  

6.25%, 05/01/25(f)

       1,067       1,236,760  
Go Daddy Operating Co. LLC/GD Finance Co., Inc.,  

5.25%, 12/01/27

       303       318,907  

Match Group Holdings II LLC

      

4.63%, 06/01/28

       157       164,556  

5.63%, 02/15/29

       177       192,930  

4.13%, 08/01/30

       230       239,200  

TripAdvisor, Inc., 7.00%, 07/15/25

       44       47,520  
Uber Technologies, Inc.(f)  

7.50%, 05/15/25

       724       782,079  

8.00%, 11/01/26

       280       305,584  

7.50%, 09/15/27

       448       492,800  

6.25%, 01/15/28

       318       345,825  
   

 

 

  
        4,472,515  
IT Services(b) — 1.3%  

Austin BidCo, Inc., 7.13%, 12/15/28

       72       75,150  

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

       1,667       1,800,610  

Booz Allen Hamilton, Inc., 3.88%, 09/01/28(f)

       363       373,890  

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

       623       650,256  

Castle U.S. Holding Corp., 9.50%, 02/15/28

       534       534,000  
Dun & Bradstreet Corp.(f)  

6.88%, 08/15/26

       597       641,775  

10.25%, 02/15/27

       297       334,867  

Fair Isaac Corp., 4.00%, 06/15/28

       169       177,873  
Gartner, Inc.  

4.50%, 07/01/28

       296       312,280  

3.75%, 10/01/30(f)

       427       449,956  

Presidio Holdings, Inc., 4.88%, 02/01/27

       329       348,997  

Rackspace Technology Global, Inc., 5.38%,

      

12/01/28

       426       446,320  
Science Applications International Corp., 4.88%,  

04/01/28(f)

       254       269,240  
Tempo Acquisition LLC/Tempo Acquisition Finance  

Corp.

      

5.75%, 06/01/25

       243       258,187  

6.75%, 06/01/25(f)

       934       965,336  
   

 

 

  
        7,638,737  
Leisure Products — 0.2%  
Mattel, Inc.  

6.75%, 12/31/25(b)(f)

       654       690,277  

5.88%, 12/15/27(b)

       293       325,596  

6.20%, 10/01/40

       67       78,223  

5.45%, 11/01/41

       167       183,759  
   

 

 

  
          1,277,855  
Machinery — 0.7%  
ATS Automation Tooling Systems, Inc., 4.13%,  

12/15/28(b)

       108       109,890  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   63

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  
Machinery (continued)  

Colfax Corp.(b)

        

6.00%, 02/15/24(f)

     USD        432      $ 447,669  

6.38%, 02/15/26

        170        181,475  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(g)

 

      558        606,825  

Mueller Water Products, Inc., 5.50%, 06/15/26(b)

        336        348,180  

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

        353        359,619  

Stevens Holding Co., Inc., 6.13%, 10/01/26(b)

        167        180,360  

Terex Corp., 5.63%, 02/01/25(b)(f)

        324        333,760  

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

        727        756,080  

Vertical Holdco GmbH, 7.63%, 07/15/28(b)

        400        436,000  

Vertical Midco GmbH, 4.38%, 07/15/27

     EUR        100        128,548  

Vertical US Newco, Inc., 5.25%, 07/15/27(b)(f)

     USD        394        417,640  
    

 

 

  
              4,306,046  
Media — 8.4%  

Altice Financing SA

        

7.50%, 05/15/26(b)(f)

        1,143        1,206,208  

3.00%, 01/15/28

     EUR        100        117,453  

5.00%, 01/15/28(b)(f)

     USD        378        387,312  

Altice France Holding SA(b)

        

10.50%, 05/15/27(f)

        1,473        1,653,442  

6.00%, 02/15/28

        382        386,775  

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

        222        229,259  

Block Communications, Inc., 4.88%, 03/01/28(b)

        128        131,840  

Cable Onda SA, 4.50%, 01/30/30

        215        237,172  

Cable One, Inc., 4.00%, 11/15/30(b)

        245        254,494  

CCO Holdings LLC/CCO Holdings Capital Corp.(b)

        

5.13%, 05/01/27(f)

        680        721,609  

5.88%, 05/01/27(f)

        349        362,524  

5.00%, 02/01/28

        34        35,955  

5.38%, 06/01/29(f)

        1,202        1,317,692  

4.75%, 03/01/30

        132        142,428  

4.50%, 08/15/30(f)

        1,300        1,379,625  

4.25%, 02/01/31(f)

        860        906,320  

4.50%, 05/01/32(f)

        1,188        1,268,451  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(f)

        2,425        2,816,511  

Clear Channel International BV, 6.63%, 08/01/25(b)

       384        405,120  

Clear Channel Worldwide Holdings, Inc.(f)
9.25%, 02/15/24

        811        821,137  

5.13%, 08/15/27(b)

        1,880        1,898,800  

Comcast Corp., 3.95%, 10/15/25(f)

        3,000        3,446,640  

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

        2,066        2,225,495  

CSC Holdings LLC

        

6.75%, 11/15/21

        187        195,415  

5.25%, 06/01/24

        123        133,135  

6.50%, 02/01/29(b)(f)

        865        976,628  

5.75%, 01/15/30(b)(f)

        660        723,525  

4.13%, 12/01/30(b)(f)

        397        415,103  

4.63%, 12/01/30(b)

        1,648        1,720,100  

3.38%, 02/15/31(b)(f)

        665        652,531  

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

 

      590        479,375  

Discovery Communications LLC(f) 3.25%, 04/01/23

        1,490        1,568,731  

3.45%, 03/15/25

        170        186,594  
Security           Par
(000)		      Value  
Media (continued)  

DISH DBS Corp.

        

6.75%, 06/01/21(f)

     USD        627      $ 639,672  

5.88%, 07/15/22(f)

        1,396        1,458,820  

5.00%, 03/15/23

        358        369,635  

7.75%, 07/01/26(f)

        528        591,365  

DISH Network Corp.(k)

        

2.38%, 03/15/24

        312        290,762  

3.38%, 08/15/26

        385        366,994  

Entercom Media Corp., 6.50%,
05/01/27(b)

        286        290,647  

GCI LLC, 4.75%, 10/15/28(b)

        89        94,923  

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

        177        195,364  

iHeartCommunications, Inc.

        

6.38%, 05/01/26

        264        282,663  

5.25%, 08/15/27(b)

        122        128,100  

4.75%, 01/15/28(b)

        78        80,048  

Lamar Media Corp.

        

5.75%, 02/01/26

        124        127,875  

4.00%, 02/15/30

        126        130,725  

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

        600        645,750  

Liberty Broadband Corp.(b)(k)

        

1.25%, 09/30/50

        256        258,435  

2.75%, 09/30/50

        825        882,554  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(g)

        435        421,950  

Lions Gate Capital Holdings LLC(b)

        

6.38%, 02/01/24

        25        25,625  

5.88%, 11/01/24

        171        173,565  

Live Nation Entertainment, Inc.(b)

        

4.88%, 11/01/24

        31        31,388  

2.00%, 02/15/25(k)

        146        154,503  

6.50%, 05/15/27(f)

        966        1,080,490  

4.75%, 10/15/27

        91        93,268  

3.75%, 01/15/28(j)

        189        190,966  

Meredith Corp., 6.88%, 02/01/26

        56        54,600  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b)

        177        184,965  

Network i2i Ltd., (5 year CMT + 4.27%),
5.65%(a)(i)

 

      250        266,641  

Outfront Media Capital LLC/ Outfront Media Capital Corp., 5.00%,
08/15/27(b)(f)

 

      413        420,227  

Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(b)

        295        300,900  

Radiate Holdco LLC/Radiate Finance, Inc.(b)(f)

        

4.50%, 09/15/26

        919        947,719  

6.50%, 09/15/28

        1,644        1,732,365  

Sable International Finance Ltd.

        

5.75%, 09/07/27

        270        287,550  

5.75%, 09/07/27(b)

        200        212,750  

Scripps Escrow II, Inc.(b)

        

3.88%, 01/15/29

        94        97,691  

5.38%, 01/15/31

        169        176,182  

Sinclair Television Group, Inc., 4.13%, 12/01/30(b)

        442        452,268  

Sirius XM Radio, Inc.(b)

        

5.00%, 08/01/27

        170        180,627  

5.50%, 07/01/29(f)

        887        975,977  

4.13%, 07/01/30(f)

        325        345,922  

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

     EUR        100        128,670  

TEGNA, Inc., 5.50%, 09/15/24(b)

     USD        28        28,455  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b)

        200        213,300  

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

        332        343,620  
 

 

 

64  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  
Media (continued)  

Terrier Media Buyer, Inc., 8.88%, 12/15/27(b)(f)

     USD        654      $ 721,035  

Univision Communications, Inc.(b)

        

5.13%, 02/15/25

        133        133,998  

6.63%, 06/01/27

        132        141,775  

Videotron Ltd., 5.13%, 04/15/27(b)

        439        465,889  

Virgin Media Secured Finance PLC(b)

        

5.50%, 08/15/26

        200        207,750  

5.50%, 05/15/29(f)

        400        433,500  

4.50%, 08/15/30(f)

        346        361,570  

Virgin Media Vendor Financing Notes IV DAC, 5.00%,
07/15/28(b)(f)

        754        784,160  

WMG Acquisition Corp.(b)

        

5.50%, 04/15/26

        166        172,017  

3.88%, 07/15/30

        171        181,734  

3.00%, 02/15/31

        66        64,680  

Ziggo Bond Co. BV(b)

        

6.00%, 01/15/27

        199        210,297  

5.13%, 02/28/30

        225        237,442  

Ziggo BV

        

4.25%, 01/15/27

     EUR        80        102,071  

5.50%, 01/15/27(b)(f)

     USD        599        625,206  

4.88%, 01/15/30(b)(f)

        200        210,250  
    

 

 

  
              50,813,289  
Metals & Mining — 2.0%                    

ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24

        250        268,125  

Allegheny Technologies, Inc., 7.88%, 08/15/23

        68        74,415  

Arconic Corp.(b)

        

6.00%, 05/15/25

        332        354,410  

6.13%, 02/15/28

        222        239,344  

Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(f)

        937        1,011,960  

Constellium SE(b)

        

5.75%, 05/15/24(f)

        506        516,333  

6.63%, 03/01/25(f)

        1,269        1,295,966  

5.88%, 02/15/26(f)

        588        605,640  

5.63%, 06/15/28

        250        269,375  

Freeport-McMoRan, Inc.

        

4.38%, 08/01/28

        433        460,062  

4.63%, 08/01/30

        507        556,432  

5.40%, 11/14/34

        161        201,451  

5.45%, 03/15/43

        1,336        1,663,320  

Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b)

        200        219,687  

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

        371        376,565  

HTA Group Ltd., 7.00%,
12/18/25(b)

        200        215,125  

JSW Steel Ltd., 5.95%, 04/18/24

        200        211,938  

Kaiser Aluminum Corp.(b)

        

6.50%, 05/01/25

        103        110,210  

4.63%, 03/01/28

        66        68,475  

New Gold, Inc., 7.50%,
07/15/27(b)(f)

        507        560,235  

Nexa Resources SA, 5.38%,
05/04/27(b)

        237        263,811  

Novelis Corp.(b)(f)

        

5.88%, 09/30/26

        502        524,590  

4.75%, 01/30/30

        881        949,159  

Periama Holdings LLC, 5.95%, 04/19/26

        200        212,500  

thyssenkrupp AG

        

1.88%, 03/06/23

     EUR        43        52,430  

2.88%, 02/22/24

        84        103,157  
Security           Par
(000)		      Value  
Metals & Mining (continued)  

Usiminas International Sarl, 5.88%, 07/18/26(b)

     USD        200      $ 216,938  

Vale Overseas Ltd.

        

6.25%, 08/10/26

        63        78,081  

3.75%, 07/08/30

        155        172,195  

Vedanta Resources Finance II PLC

        

8.00%, 04/23/23

        313        261,746  

13.88%, 01/21/24

        200        210,125  
    

 

 

  
              12,323,800  
Multi-line Retail — 0.1%  

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

     EUR        100        114,194  

Future Retail Ltd., 5.60%, 01/22/25

     USD        200        169,312  

Nordstrom, Inc., 8.75%, 05/15/25(b)

        136        152,327  
    

 

 

  
          435,833  
Offshore Drilling & Other Services — 0.1%  

Applied Materials, Inc., 3.90%, 10/01/25(f)

        285        325,656  

Entegris, Inc.(b)

        

4.63%, 02/10/26

        190        197,125  

4.38%, 04/15/28

        231        246,304  
    

 

 

  
          769,085  
Oil, Gas & Consumable Fuels — 8.1%  

Apache Corp.

        

4.88%, 11/15/27

        211        223,660  

5.10%, 09/01/40

        237        252,701  

5.25%, 02/01/42

        30        32,335  

4.75%, 04/15/43

        321        332,834  

4.25%, 01/15/44

        184        181,540  

5.35%, 07/01/49

        72        73,874  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b)

        

9.00%, 11/01/27

        225        249,750  

8.25%, 12/31/28

        115        114,713  

Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(l)

        148        112,092  

Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b)

        168        178,920  

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

        498        508,582  

Buckeye Partners LP

        

4.13%, 03/01/25(b)(f)

        262        265,275  

4.50%, 03/01/28(b)(f)

        362        372,860  

5.85%, 11/15/43

        145        142,671  

5.60%, 10/15/44

        166        159,568  

Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31

     EUR        100        117,490  

Cenovus Energy, Inc.

        

3.00%, 08/15/22

     USD        84        85,833  

3.80%, 09/15/23

        48        49,859  

5.38%, 07/15/25(f)

        327        368,676  

5.40%, 06/15/47

        113        132,651  

Centennial Resource Production LLC, 6.88%, 04/01/27(b)(f)

        255        182,962  

Cheniere Energy Partners LP

        

5.63%, 10/01/26

        173        179,920  

4.50%, 10/01/29(f)

        529        559,566  

5.25%, 10/01/25

        48        49,260  

Cheniere Energy, Inc., 4.63%,
10/15/28(b)

        1,311        1,376,550  

Citgo Holding, Inc., 9.25%, 08/01/24(b)

        228        209,760  

CNX Resources Corp.(b) 7.25%, 03/14/27

        216        231,120  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   65

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

CNX Resources Corp.(b) (continued)

        

6.00%, 01/15/29

     USD        261      $ 267,391  

Comstock Resources, Inc.

        

7.50%, 05/15/25(b)(f)

        466        477,459  

9.75%, 08/15/26

        543        584,737  

Continental Resources, Inc.

        

5.00%, 09/15/22

        157        157,236  

4.50%, 04/15/23

        29        29,902  

5.75%, 01/15/31(b)

        247        274,165  

4.90%, 06/01/44

        233        230,439  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.

        

6.25%, 04/01/23

        21        21,053  

5.63%, 05/01/27(b)

        249        246,510  

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

        1,188        1,213,221  

CVR Energy, Inc.(b)

        

5.25%, 02/15/25

        148        142,820  

5.75%, 02/15/28

        77        72,958  

DCP Midstream Operating LP

        

5.38%, 07/15/25(f)

        188        206,578  

5.63%, 07/15/27

        201        223,110  

5.13%, 05/15/29

        99        109,803  

6.45%, 11/03/36(b)

        226        244,080  

6.75%, 09/15/37(b)(f)

        392        423,360  

Diamondback Energy, Inc., 3.50%, 12/01/29(f)

        440        470,059  

Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(b)

        241        255,552  

eG Global Finance PLC

        

6.75%, 02/07/25(b)

        396        407,880  

6.25%, 10/30/25

     EUR        142        178,140  

8.50%, 10/30/25(b)

     USD        339        361,214  

Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(f)

        1,565        1,711,598  

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

        

6.63%, 07/15/25

        192        205,440  

5.50%, 01/30/26(f)

        815        836,312  

5.75%, 01/30/28

        386        416,378  

Energy Transfer Operating LP

        

5.15%, 03/15/45

        63        68,273  

6.13%, 12/15/45

        293        346,120  

6.00%, 06/15/48

        136        160,253  

5.00%, 05/15/50

        230        249,065  

EnLink Midstream LLC

        

5.63%, 01/15/28(b)

        174        177,515  

5.38%, 06/01/29

        82        79,745  

EnLink Midstream Partners LP

        

4.40%, 04/01/24

        240        236,825  

4.15%, 06/01/25

        17        16,575  

4.85%, 07/15/26

        99        96,658  

5.60%, 04/01/44

        205        164,513  

5.05%, 04/01/45

        56        44,626  

EQM Midstream Partners LP

        

6.00%, 07/01/25(b)(f)

        255        279,225  

4.13%, 12/01/26

        100        100,750  

6.50%, 07/01/27(b)(f)

        364        409,877  

EQT Corp.

        

3.90%, 10/01/27

        325        322,871  

5.00%, 01/15/29

        139        146,550  

8.75%, 02/01/30

        176        215,600  
Security          

Par

(000)

     Value  
Oil, Gas & Consumable Fuels (continued)  

Extraction Oil & Gas, Inc.(b)(e)(h)

 

7.38%, 05/15/24

     USD        302     $ 54,360  

5.63%, 02/01/26

        572       102,960  

Genesis Energy LP/Genesis Energy
Finance Corp.

 

5.63%, 06/15/24

        169       164,775  

6.50%, 10/01/25

        46       44,735  

7.75%, 02/01/28

        118       112,985  

Geopark Ltd., 6.50%, 09/21/24(b)

        200       207,187  

GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27

        200       191,125  

Great Western Petroleum LLC/Great Western

 

Finance Corp., 9.00%, 09/30/21(b)

        484       280,720  

Harvest Midstream I LP, 7.50%, 09/01/28(b)

        295       313,806  

Hess Corp., 4.30%, 04/01/27

        50       55,124  

Hess Midstream Operations LP, 5.63%, 02/15/26(b) .

        210       218,400  

Hilong Holding Ltd., 8.25%,
09/26/22(e)(h)

        200       155,000  

HPCL-Mittal Energy Ltd., 5.45%, 10/22/26

        200       207,812  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(c)

        1,435       1,511,727  

Indigo Natural Resources LLC, 6.88%, 02/15/26(b)(f).

        569       581,802  

Leviathan Bond Ltd., 5.75%, 06/30/23(b)

        283       301,248  

Matador Resources Co., 5.88%, 09/15/26(f)

        563       551,740  

Medco Bell Pte Ltd., 6.38%, 01/30/27

        250       254,844  

MEG Energy Corp.(b)

       

7.00%, 03/31/24

        293       295,930  

6.50%, 01/15/25(f)

        635       654,082  

7.13%, 02/01/27

        6       6,195  

MPLX LP, 4.25%, 12/01/27

        185       217,222  

Murphy Oil Corp.

       

5.75%, 08/15/25

        119       117,810  

6.38%, 12/01/42

        29       25,556  

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

        146       155,308  

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

        200       197,854  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(b)

        74       75,850  

New Fortress Energy, Inc., 6.75%, 09/15/25(b)(f)

        1,108       1,176,895  

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

        227       306,899  

NuStar Logistics LP

       

6.00%, 06/01/26

        163       176,286  

6.38%, 10/01/30

        25       28,320  

Occidental Petroleum Corp.

       

2.70%, 08/15/22(f)

        443       443,554  

2.70%, 02/15/23

        239       238,773  

6.95%, 07/01/24

        63       68,040  

2.90%, 08/15/24(f)

        354       340,725  

5.50%, 12/01/25

        136       141,795  

3.40%, 04/15/26

        68       64,832  

3.20%, 08/15/26

        16       14,960  

3.00%, 02/15/27

        4       3,560  

8.88%, 07/15/30

        34       39,908  

6.13%, 01/01/31

        477       510,485  

4.30%, 08/15/39(f)

        482       407,541  

6.20%, 03/15/40(f)

        748       740,520  

4.50%, 07/15/44

        196       166,110  

4.63%, 06/15/45(f)

        498       434,072  

6.60%, 03/15/46

        26       26,382  

4.40%, 04/15/46(f)

        432       376,473  

4.10%, 02/15/47

        48       39,238  

4.20%, 03/15/48(f)

        296       241,240  

4.40%, 08/15/49

        104       87,651  

Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%,
12/01/26(b)(g)

        — (m)      17  
 

 

 

66  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

Ovintiv Exploration, Inc., 5.75%, 01/30/22

     USD       89     $ 92,440  

Parsley Energy LLC/Parsley Finance Corp.(b)

      

5.38%, 01/15/25

       251       258,128  

5.25%, 08/15/25

       59       61,449  

5.63%, 10/15/27

       271       296,609  

4.13%, 02/15/28

       281         295,050  

PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b)

       611       602,385  

PDC Energy, Inc.

      

1.13%, 09/15/21(k)

       922       895,797  

6.13%, 09/15/24

       151       155,169  

6.25%, 12/01/25

       122       120,475  

5.75%, 05/15/26

       235       242,637  

Pertamina Persero PT, 3.65%, 07/30/29

       202       225,230  

Petrobras Global Finance BV

      

5.30%, 01/27/25(f)

       500       564,687  

5.60%, 01/03/31

       321       367,545  

Petroleos Mexicanos

      

6.35%, 02/12/48

       41       36,836  

6.95%, 01/28/60

       125       117,331  

Puma International Financing SA, 5.13%,

      

10/06/24(b)

       200       198,500  

QEP Resources, Inc.

      

5.38%, 10/01/22

       182       189,507  

5.25%, 05/01/23

       161       169,452  

5.63%, 03/01/26

       123       134,876  

Range Resources Corp.

      

5.88%, 07/01/22

       44       44,000  

5.00%, 08/15/22

       252       249,480  

5.00%, 03/15/23(f)

       189       184,275  

4.88%, 05/15/25

       14       13,224  

Rattler Midstream LP, 5.63%, 07/15/25(b)

       239       252,444  

Sabine Pass Liquefaction LLC, 4.50%,
05/15/30(b)(f).

       275       325,951  

Saudi Arabian Oil Co., 2.25%, 11/24/30(b)

       442       448,077  

SM Energy Co.

      

6.13%, 11/15/22

       19       18,335  

10.00%, 01/15/25(b)(f)

       683       734,225  

Southwestern Energy Co.

      

4.10%, 03/15/22

       252       253,260  

6.45%, 01/23/25

       125       130,000  

7.50%, 04/01/26

       74       77,626  

8.38%, 09/15/28

       137       148,645  

Sunoco Logistics Partners Operations LP

      

3.90%, 07/15/26(f)

       235       257,505  

5.30%, 04/01/44

       315       340,397  

5.35%, 05/15/45

       100       110,161  

5.40%, 10/01/47

       136       151,958  

Sunoco LP/Sunoco Finance Corp.

      

4.88%, 01/15/23

       213       215,684  

5.50%, 02/15/26

       33       33,825  

6.00%, 04/15/27

       63       66,970  

5.88%, 03/15/28

       124       133,920  

4.50%, 05/15/29(b)

       176       183,040  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24(b)(f)

       462       470,085  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

      

5.13%, 02/01/25

       118       120,950  

5.88%, 04/15/26

       304       322,307  
Security     Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)        

Targa Resources Partners LP/Targa Resources Partners Finance Corp. (continued)

      

5.38%, 02/01/27

     USD       2     $ 2,101  

6.50%, 07/15/27

       195       211,575  

5.00%, 01/15/28

       359       378,946  

6.88%, 01/15/29(f)

       595       670,119  

5.50%, 03/01/30

       364       395,195  

4.88%, 02/01/31(b)

       303       330,146  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(f)

       280       323,103  

Transocean, Inc., 11.50%, 01/30/27(b)

       171       122,265  

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

       215       224,675  

Western Midstream Operating LP

      

3.95%, 06/01/25

       181       184,620  

4.75%, 08/15/28

       37       38,480  

5.45%, 04/01/44

       329       332,708  

5.30%, 03/01/48

       372       368,637  

5.50%, 08/15/48

       63       61,840  

6.25%, 02/01/50

       620       682,000  

WPX Energy, Inc.

      

8.25%, 08/01/23

       100       113,812  

5.25%, 09/15/24

       102       111,106  

5.75%, 06/01/26

       61       64,126  

5.25%, 10/15/27

       104       110,200  

5.88%, 06/15/28

       204       222,366  

4.50%, 01/15/30(f)

       394       417,640  

YPF SA

      

8.75%, 04/04/24(b)

       400       352,500  

8.50%, 07/28/25

       250       192,422  
   

 

 

  
          48,978,920  
Personal Products — 0.0%                  

Coty, Inc., 4.00%, 04/15/23

     EUR       100       117,279  

Edgewell Personal Care Co., 5.50%,
06/01/28(b)

     USD       147       157,981  
   

 

 

  
        275,260  
Pharmaceuticals — 1.5%                  

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

       973       1,082,141  

Bausch Health Cos., Inc.(b)

      

6.13%, 04/15/25(f)

       89       91,729  

9.00%, 12/15/25(f)

       300       331,185  

5.75%, 08/15/27

       145       155,512  

7.00%, 01/15/28

       366       402,307  

5.00%, 01/30/28

       214       220,536  

5.00%, 02/15/29

       523       537,749  

6.25%, 02/15/29(f)

       529       574,626  

7.25%, 05/30/29(f)

       498       559,807  

5.25%, 01/30/30

       937       983,850  

5.25%, 02/15/31

       292       305,058  

CVS Health Corp., 4.75%, 12/01/22(f)

       165       176,648  

Elanco Animal Health, Inc., 5.90%, 08/28/28

       156       184,080  

Endo Dac/Endo Finance LLC/Endo Finco,
Inc.(b)

      

9.50%, 07/31/27

       267       298,039  

6.00%, 06/30/28

       182       154,700  

Jaguar Holding Co. II/PPD Development LP(b)(f)

      

4.63%, 06/15/25

       425       448,209  

5.00%, 06/15/28

       555       592,462  

Nidda BondCo GmbH, 7.25%, 09/30/25

     EUR       100       126,441  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   67

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Pharmaceuticals (continued)                  

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

     EUR       100     $ 121,970  

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

     USD       1,297       1,407,245  
   

 

 

  
            8,754,294  
Producer Durables: Miscellaneous — 0.0%  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(b)

       200       200,480  
   

 

 

  
Real Estate — 0.1%                  

Prologis LP, 3.75%, 11/01/25(f)

       255       289,501  
   

 

 

  
Real Estate Management & Development — 4.2%  

ADLER Real Estate AG, 3.00%, 04/27/26

     EUR       100       128,444  

Agile Group Holdings Ltd.

      

6.05%, 10/13/25

     USD       200       205,125  

(5 year CMT + 11.08%), 7.75%(a)(i)

       400       413,000  

(5 year CMT + 11.29%), 7.88%(a)(i)

       200       209,312  

Central China Real Estate Ltd.

      

6.88%, 08/08/22

       200       204,500  

7.25%, 04/24/23

       200       204,500  

7.65%, 08/27/23

       245       252,656  

7.25%, 07/16/24

       200       201,000  

CFLD Cayman Investment Ltd.

      

8.63%, 02/28/21

       200       196,375  

8.75%, 09/28/22

       200       182,500  

6.90%, 01/13/23

       200       173,813  

8.60%, 04/08/24

       200       172,500  

China Aoyuan Group Ltd.

      

7.50%, 05/10/21

       200       201,992  

7.95%, 02/19/23

       450       476,437  

6.35%, 02/08/24

       400       417,500  

China Evergrande Group

      

8.25%, 03/23/22

       200       188,000  

9.50%, 04/11/22

       200       190,125  

11.50%, 01/22/23

       450       427,641  

12.00%, 01/22/24

       250       237,266  

China SCE Group Holdings Ltd.

      

7.25%, 04/19/23

       200       209,625  

7.38%, 04/09/24

       400       424,625  

7.00%, 05/02/25

       255       268,069  

CIFI Holdings Group Co. Ltd.

      

6.55%, 03/28/24

       200       214,062  

6.45%, 11/07/24

       200       215,437  

6.00%, 07/16/25

       200       213,312  

5.25%, 05/13/26

       335       349,237  

Consus Real Estate AG, 9.63%, 05/15/24

     EUR       100       130,990  

Country Garden Holdings Co. Ltd.

      

6.50%, 04/08/24

     USD       200       215,500  

6.15%, 09/17/25

       200       221,750  

5.13%, 01/14/27

       200       215,000  

Cushman & Wakefield US Borrower LLC,
6.75%, 05/15/28(b)

       322       355,005  

Easy Tactic Ltd.

      

8.75%, 01/10/21

       200       199,720  

9.13%, 07/28/22

       400       384,000  

8.13%, 02/27/23

       200       182,000  

8.63%, 02/27/24

       200       176,438  

Fantasia Holdings Group Co. Ltd.

      

8.38%, 03/08/21

       200       200,813  

11.75%, 04/17/22

       200       210,750  

11.88%, 06/01/23

       200       214,125  

9.25%, 07/28/23

       200       201,438  
Security     Par
(000)		     Value  
Real Estate Management & Development (continued)  

Fantasia Holdings Group Co. Ltd. (continued) 9.88%, 10/19/23

     USD       200     $ 203,250  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)

       389       411,776  

Global Prime Capital Pte Ltd., 5.50%, 10/18/23

       200       201,500  

Greenland Global Investment Ltd.

      

5.60%, 11/13/22

       200       188,938  

6.25%, 12/16/22

       200       196,500  

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

       100       101,900  

Heimstaden Bostad AB, (5 year EUR Swap + 3.67%), 3.25%(a)(i)

     EUR       100       125,525  

Hopson Development Holdings Ltd., 7.50%, 06/27/22

     USD       200       203,938  

Howard Hughes Corp.(b)

      

5.38%, 03/15/25

       281         289,781  

5.38%, 08/01/28

       342       367,821  

Kaisa Group Holdings Ltd.

      

11.25%, 04/09/22

       200       208,438  

11.95%, 10/22/22

       200       211,562  

11.50%, 01/30/23

       200       209,250  

10.88%, 07/23/23

       400       417,125  

9.38%, 06/30/24

       400       387,375  

KWG Group Holdings Ltd.

      

7.88%, 08/09/21

       200       204,750  

7.88%, 09/01/23

       200       209,500  

7.40%, 03/05/24

       200       213,562  

Logan Group Co. Ltd.

      

6.50%, 07/16/23

       200       207,750  

6.90%, 06/09/24

       200       213,750  

5.75%, 01/14/25

       200       211,125  

MAF Sukuk Ltd., 4.64%, 05/14/29

       275       309,031  

New Metro Global Ltd.

      

6.50%, 04/23/21

       200       201,312  

6.80%, 08/05/23

       200       211,375  

4.80%, 12/15/24

       280       283,150  

Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22

       200       208,750  

Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(b)

       69       74,915  

Redsun Properties Group Ltd., 9.95%, 04/11/22

       200       209,500  

RKPF Overseas Ltd.

      

Series 2019-A, 6.70%, 09/30/24

       513       542,337  

Series 2019-A, 6.00%, 09/04/25

       200       206,188  

Ronshine China Holdings Ltd.

      

11.25%, 08/22/21

       200       207,750  

10.50%, 03/01/22

       200       210,687  

8.95%, 01/22/23

       200       208,688  

7.35%, 12/15/23

       200       203,188  

Scenery Journey Ltd.

      

11.50%, 10/24/22

       219       202,917  

13.00%, 11/06/22

       200       193,438  

Seazen Group Ltd.

      

6.45%, 06/11/22

       200       205,750  

6.00%, 08/12/24

       202       210,080  

Shimao Group Holdings Ltd., 5.60%, 07/15/26

       200       218,500  

Shui On Development Holding Ltd.

      

5.75%, 11/12/23

       200       203,250  

5.50%, 03/03/25

       209       208,478  

Sunac China Holdings Ltd.

      

7.25%, 06/14/22

       200       206,188  
 

 

 

68  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Real Estate Management & Development (continued)  

Sunac China Holdings Ltd. (continued)

      

7.95%, 10/11/23

     USD       200     $ 212,375  

7.50%, 02/01/24

       400       422,750  

7.00%, 07/09/25

       400       416,000  

Theta Capital Pte Ltd., 8.13%, 01/22/25

       200       201,813  

Times China Holdings Ltd.

      

6.75%, 07/16/23

       313       327,378  

6.75%, 07/08/25

       390       413,887  

Unique Pub Finance Co. PLC

      

Series A4, 5.66%, 06/30/27

     GBP       46       64,700  

Series N, 6.46%, 03/30/32

       100       133,073  

Wanda Group Overseas Ltd., 7.50%, 07/24/22

     USD       400       389,000  

Yango Justice International Ltd.

      

10.00%, 02/12/23

       200       215,937  

7.50%, 02/17/25

       200       205,000  

Yanlord Land HK Co. Ltd.

      

6.75%, 04/23/23

       200       208,000  

6.80%, 02/27/24

       200       210,687  

Yuzhou Group Holdings Co. Ltd.

      

8.63%, 01/23/22

       200       208,500  

8.50%, 02/04/23

       200       215,500  

8.50%, 02/26/24

       400       432,500  

8.38%, 10/30/24

       200       217,062  

7.70%, 02/20/25

       200       214,312  

8.30%, 05/27/25

       200       215,625  

Zhenro Properties Group Ltd.

      

9.15%, 03/08/22

       200       206,750  

8.70%, 08/03/22

       200       208,750  

8.65%, 01/21/23

       200       209,063  

7.88%, 04/14/24

       300       312,375  
   

 

 

  
          25,056,207  
Road & Rail — 0.4%                  

Autostrade per l’Italia SpA, 5.88%, 06/09/24

     EUR       200       278,536  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) .

     USD       1,578       1,909,457  
   

 

 

  
        2,187,993  
Semiconductors & Semiconductor Equipment — 1.5%        

ams AG, 2.13%, 11/03/27

     EUR       100       122,014  

Analog Devices, Inc., 3.90%, 12/15/25(f)

     USD       375       427,680  

Broadcom, Inc.

      

4.70%, 04/15/25

       941       1,078,356  

3.15%, 11/15/25

       271       295,919  

3.46%, 09/15/26(f)

       578       641,324  

4.11%, 09/15/28(f)

       1,594       1,824,310  

Microchip Technology, Inc.

      

1.63%, 02/15/25(k)

       86       260,592  

4.25%, 09/01/25(b)(f)

       941       995,525  

NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(b)

       33       35,518  

ON Semiconductor Corp., 3.88%,
09/01/28(b)

       330       341,550  

Qorvo, Inc., 3.38%, 04/01/31(b)(f)

       353       364,472  

QUALCOMM, Inc., 1.65%, 05/20/32(b)(f)

       1,779       1,781,060  

Sensata Technologies BV(b)(f)

      

5.63%, 11/01/24

       229       255,917  

5.00%, 10/01/25

       324       360,450  

Sensata Technologies, Inc.(b)

      

4.38%, 02/15/30

       190       204,487  

3.75%, 02/15/31

       221       229,084  
   

 

 

  
        9,218,258  
Security     Par
(000)		     Value  
Software — 2.0%                  

ACI Worldwide, Inc., 5.75%, 08/15/26(b)(f)

     USD       696     $ 736,020  

ANGI Group LLC, 3.88%, 08/15/28(b)

       262       266,585  

Black Knight InfoServ LLC, 3.63%, 09/01/28(b)

       386       395,168  

Boxer Parent Co., Inc.

      

6.50%, 10/02/25

     EUR       100       128,977  

7.13%, 10/02/25(b)

     USD       388       421,154  

9.13%, 03/01/26(b)(f)

       678       728,850  

BY Crown Parent LLC, 7.38%, 10/15/24(b)(f)

       758       771,265  

BY Crown Parent LLC/BY Bond Finance, Inc.,

      

4.25%, 01/31/26(b)(f)

       731       749,275  

CDK Global, Inc.

      

4.88%, 06/01/27(f)

       388       409,340  

5.25%, 05/15/29(b)

       119       131,843  

MSCI, Inc.(b)

      

4.00%, 11/15/29

       83       88,395  

3.63%, 09/01/30

       84       87,780  

3.88%, 02/15/31(f)

       526       556,245  

Nuance Communications, Inc., 5.63%, 12/15/26(f)

       237       250,774  

Open Text Corp., 3.88%, 02/15/28(b)(f)

       345       358,800  

Open Text Holdings, Inc., 4.13%, 02/15/30(b)(f)

       311       330,842  

PTC, Inc.(b)

      

3.63%, 02/15/25

       76       78,130  

4.00%, 02/15/28

       187       195,999  

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

       2,213       2,293,221  

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

       1,679       1,793,206  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(f)

       1,421       1,458,301  
   

 

 

  
          12,230,170  
Specialty Retail — 0.5%                  

Gap, Inc., 8.88%, 05/15/27(b)

       160       185,600  

L Brands, Inc.

      

6.88%, 07/01/25(b)

       277       300,761  

6.88%, 11/01/35(f)

       401       450,123  

6.75%, 07/01/36

       71       79,103  

PetSmart, Inc.(b)(f)

      

7.13%, 03/15/23

       243       243,000  

5.88%, 06/01/25

       903       927,833  

Staples, Inc., 7.50%, 04/15/26(b)(f)

       598       624,473  

Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a)

     EUR       100       112,697  
   

 

 

  
        2,923,590  
Technology Hardware, Storage & Peripherals(f) — 0.2%        

Dell International LLC/EMC Corp., 7.13%, 06/15/24(b)

     USD       638       661,686  

Hewlett Packard Enterprise Co., 4.90%, 10/15/25

       375       438,736  
   

 

 

  
        1,100,422  
Textiles, Apparel & Luxury Goods — 0.1%              

Hanesbrands, Inc., 5.38%, 05/15/25(b)

       64       67,713  

Levi Strauss & Co., 5.00%, 05/01/25(f)

       233       238,825  

William Carter Co., 5.63%, 03/15/27(b)

       160       168,400  
   

 

 

  
        474,938  
Thrifts & Mortgage Finance — 0.1%                  

MGIC Investment Corp., 5.25%, 08/15/28

       167       178,690  

Nationstar Mortgage Holdings, Inc.(b)
6.00%, 01/15/27

       214       227,107  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   69

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)		     Value  
Thrifts & Mortgage Finance (continued)              

Nationstar Mortgage Holdings, Inc.(b) (continued)

 

    

5.50%, 08/15/28(f)

     USD       254     $ 266,700  

5.13%, 12/15/30

       139       145,286  
   

 

 

  
        817,783  
Transportation — 0.0%                  

Autostrade per l’Italia SpA, 2.00%, 12/04/28

     EUR       100       122,470  
   

 

 

  
Transportation Infrastructure — 0.2%                  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)

     USD       200       207,938  

Heathrow Finance PLC, 4.65%, 09/01/29

     GBP       100       135,895  

Rumo Luxembourg Sarl, 5.88%, 01/18/25(b)

     USD       241       254,933  

Simpar Europe SA, 7.75%, 07/26/24

       280       295,225  

Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b)(f)

       435       494,976  
   

 

 

  
        1,388,967  
Utilities — 0.5%                  

AES Panama Generation Holdings SRL, 4.38%, 05/31/30(b)

       200       215,937  

Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30(b)

       240       256,500  

ContourGlobal Power Holdings SA, 4.13%, 08/01/25

     EUR       100       124,928  

Genneia SA, 8.75%, 01/20/22(b)

     USD       200       181,094  

Inkia Energy Ltd., 5.88%, 11/09/27(b)(f)

       377       405,511  

Mong Doung Finacial Holdings BV, 5.13%, 05/07/29

       250       261,797  

Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(f)

       519       547,545  

Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%,
10/14/38(b)

       280       312,376  

Star Energy Geothermal Wayang Windu Ltd.,

      

6.75%, 04/24/33

       181       204,869  

Vistra Operations Co. LLC(b)

      

5.50%, 09/01/26

       8       8,338  

5.63%, 02/15/27(f)

       422       448,856  
   

 

 

  
          2,967,751  
Wireless Telecommunication Services — 2.6%              

Altice France SA

      

7.38%, 05/01/26(b)(f)

       2,104       2,214,460  

5.88%, 02/01/27

     EUR       100       129,965  

8.13%, 02/01/27(b)(f)

     USD       707       779,475  

5.50%, 01/15/28(b)(f)

       581       607,441  

4.13%, 01/15/29

     EUR       100       124,486  

5.13%, 01/15/29(b)

     USD       200       207,000  

GLP Capital LP/GLP Financing II, Inc.

      

5.30%, 01/15/29

       45       52,063  

4.00%, 01/15/31

       155       169,139  

Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(b)

       187       200,228  

Kenbourne Invest SA, 6.88%, 11/26/24(b)

       275       298,117  

Millicom International Cellular SA

      

5.13%, 01/15/28

       275       291,844  

4.50%, 04/27/31(b)

       205       220,952  

PPF Telecom Group BV, 3.25%, 09/29/27

     EUR       100       131,022  

Rogers Communications, Inc., 5.00%, 03/15/44(f)

     USD       545       747,178  

SBA Communications Corp.

      

4.88%, 09/01/24(f)

       806       826,738  

3.88%, 02/15/27

       1,248       1,310,400  

Sprint Corp.(f)

      

7.88%, 09/15/23

       177       204,931  
Security     Par
(000)		     Value  
Wireless Telecommunication Services (continued)        

Sprint Corp.(f) (continued)

      

7.13%, 06/15/24

     USD       374     $ 437,580  

7.63%, 03/01/26

       552       685,140  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(b)(f)

       98       98,416  

T-Mobile USA, Inc.

      

6.50%, 01/15/26

       227       234,945  

4.50%, 02/01/26(f)

       498       509,123  

4.75%, 02/01/28(f)

       479       514,872  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23(f)

       486       489,645  

VICI Properties LP/VICI Note Co., Inc.(b)

      

3.50%, 02/15/25

       387       395,814  

4.25%, 12/01/26(f)

       1,188       1,232,134  

3.75%, 02/15/27

       411       420,247  

4.63%, 12/01/29(f)

       498       532,860  

4.13%, 08/15/30(f)

       1,028       1,085,188  

Vmed O2 UK Financing I PLC, 3.25%, 01/31/31

     EUR       100       125,341  

VTR Comunicaciones SpA, 5.13%,
01/15/28(b)

     USD       205       218,197  
   

 

 

  
        15,494,941  
   

 

 

  
Total Corporate Bonds — 79.0%
    (Cost: $448,322,741)		                 476,989,027  
   

 

 

  

Floating Rate Loan Interests(a)

      
Aerospace & Defense — 0.7%                  

Bleriot US Bidco, Inc.

      

Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

       39       38,923  

Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26

       250       249,103  

Dynasty Acquisition Co., Inc.

      

2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

       797       756,447  

2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26

       1,481       1,406,994  

Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25

       2,102       2,057,134  
   

 

 

  
        4,508,601  
Air Freight & Logistics — 0.2%                  

WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

       1,387       1,327,198  
   

 

 

  
Airlines — 0.4%                  

American Airlines, Inc.

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27

       65       55,404  

2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23

       963       863,269  

Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23

       415       372,857  

JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24

       287       294,220  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27

       1,003       1,042,498  
   

 

 

  
        2,628,248  
Auto Components — 0.8%                  

Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26

       2,295       2,283,443  
 

 

 

70  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Auto Components (continued)                  

USI, Inc.

      

2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24

     USD       1,498     $ 1,475,050  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26

       84       83,888  

Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26

       1,062       1,045,290  
   

 

 

  
        4,887,671  
Automobiles — 0.2%                  

Mavis Tire Express Services Corp.

      

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25

       579       567,239  

2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25

       562       563,405  
   

 

 

  
          1,130,644  
Building Materials — 0.2%                  

Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26

       815       810,745  

CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25

       80       79,900  

CP Atlas Buyer, Inc.

      

2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       126       125,657  

2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27

       376       376,971  
   

 

 

  
        1,393,273  
Building Products — 0.4%                  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24

       673       671,968  

MI Windows and Doors LLC, 2020 Term Loan, 12/18/27(n)

       222       222,277  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23

       1,616       1,617,449  
   

 

 

  
        2,511,694  
Capital Markets — 0.7%                  

Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

       2,409       2,409,550  

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27

       574       572,927  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24

       267       263,342  

GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27

       318       319,077  

Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26

       462       458,251  
   

 

 

  
        4,023,147  
Chemicals — 1.4%                  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24

       1,267       1,260,991  

Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26

       1,051       1,053,901  
Security          Par
(000)		     Value  
Chemicals (continued)                  

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24

     USD       725     $ 718,965  

Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25

       341       333,451  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24

       348       339,174  

Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24

       560       555,967  

Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27

       1,104       1,103,461  

Invictus US LLC

      

1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25

       342       335,578  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26

       123       117,057  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26

       796       789,403  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24

       567       558,564  

Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24

       993       979,132  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25

       117       115,716  
   

 

 

  
        8,261,360  
Commercial Services & Supplies — 1.3%        

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 03/11/25

       375       369,000  

Asurion LLC

      

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25

       535       538,801  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23

       154       152,124  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24

       382       378,760  

2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26

       899       888,753  

Creative Artists Agency LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26

       426       420,530  

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25

       845       836,726  

Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24

       715       703,353  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

       188       184,803  

GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 05/30/25

       177       177,440  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23

       160       141,330  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%,
09/19/26(c)

       446       438,130  

Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26

       707       708,431  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   71

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Commercial Services & Supplies (continued)  

US Ecology, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 11/01/26

     USD       156     $ 156,159  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25

       1,080       1,077,965  

West Corp.

      

2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24

       456       440,996  

2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24

       98       93,783  
   

 

 

  
        7,707,084  
Communications Equipment — 0.1%  

Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24

       559       558,674  
   

 

 

  
Construction & Engineering — 0.5%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

       1,478       1,438,677  

Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26

       190       188,726  

Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25

       127       126,750  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25

       1,137       1,117,283  
   

 

 

  
        2,871,436  
Construction Materials — 0.7%                  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24

       1,996       1,984,825  

Filtration Group Corp.

      

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25

       1,134       1,120,954  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25

       509       508,725  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

       477       476,917  

Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(c)

       296       296,000  
   

 

 

  
        4,387,421  
Consumer Discretionary(n) — 0.1%                  

Zaxby’s Operating Company LLC

      

1st Lien Term Loan, 12/10/27

       568       568,000  

2nd Lien Term Loan, 12/08/28(c)

       101       102,010  
   

 

 

  
        670,010  
Containers & Packaging — 0.5%                  

Berry Global, Inc., Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22

       580       578,655  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24

       1,065       1,026,469  

Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23

       1,000       993,630  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26

       138       137,510  

Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27

       331       331,967  
   

 

 

  
        3,068,231  
Security          Par
(000)		     Value  
Distributors — 0.4%  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27

     USD       891     $ 882,424  

TMK Hawk Parent Corp.

      

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24

       402       385,894  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24(c)

       1,334       1,040,322  
   

 

 

  
        2,308,640  
Diversified Consumer Services — 1.1%  

Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27

       203       202,219  

APX Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 12/31/25

       62       61,607  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24

       769       764,498  

Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24

       319       319,733  

BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27

       1,155       1,157,749  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23

       782       773,682  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25

       963       931,198  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

       711       719,937  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24

       410       404,761  

PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27

       299       299,000  

Serta Simmons Bedding LLC

      

2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23

       190       191,471  

2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23

       255       228,602  

Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23

       848       845,724  
   

 

 

  
        6,900,181  
Diversified Financial Services — 1.8%  

Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26

       420       415,872  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(c)

       347       347,998  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24

       1,719       1,697,397  

Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.40%, 11/18/24

       262       262,781  

Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27

       546       545,318  

Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 3.96%, 02/21/23(c)

       35       33,215  
 

 

 

72  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Financial Services (continued)  

Delta TopCo, Inc.

      

2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28

     USD       261     $ 262,631  

2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27

       1,513       1,511,426  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

       520       513,365  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

       689       653,169  

LBM Acquisition LLC(n)

      

Delayed Draw Term Loan, 12/09/27

       87       86,583  

Term Loan B, 12/17/27

       390       389,622  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27

       336       336,705  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

       978       976,367  

SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25

       537       504,297  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25

       147       139,250  

Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27

       285       283,859  

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27

       1,390       1,381,707  

Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28

       600       595,686  
   

 

 

  
        10,937,248  
Diversified Telecommunication Services — 1.1%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27

       230       229,354  

Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27

       488       489,329  

Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21

       621       622,944  

GCI LLC, 2020 Term Loan B, 10/15/25(n)

       479       476,258  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24

       1,262       1,261,103  

Intelsat Jackson Holdings SA

      

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

       145       146,812  

2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22

       50       51,138  

Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26

       724       726,415  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27

       566       556,190  

MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24

       1,001       997,373  
Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27

     USD       367     $ 367,728  

TDC A/S, EUR Term Loan, (6 mo. LIBOR + 3.00%), 3.00%, 06/04/25

     EUR       819       994,255  
   

 

 

  
        6,918,899  
Electric Utilities — 0.1%                  

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27

     USD       571       570,143  
   

 

 

  
Electrical Equipment — 0.2%                  

Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24

       1,206       1,201,594  
   

 

 

  
Electronic Equipment, Instruments & Components — 0.1%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25

       292       291,464  
   

 

 

  
Energy Equipment & Services — 0.1%  

Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25

       436       435,597  
   

 

 

  
Environmental, Maintenance, & Security Service — 0.3%  

Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27

       797       798,501  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27

       1,045       1,048,548  
   

 

 

  
        1,847,049  
Equity Real Estate Investment Trusts (REITs) — 0.1%  

RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/11/24

       246       240,300  

VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24

       580       569,433  
   

 

 

  
        809,733  
Food & Staples Retailing — 0.4%                  

Hearthside Food Solutions LLC

      

2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25

       504       495,466  

2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25

       267       262,434  

US Foods, Inc.

      

2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23

       1,433       1,409,847  

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26

       402       395,198  
   

 

 

  
        2,562,945  
Food Products — 1.1%                  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25

       460       458,719  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26

       163       162,454  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27

       1,404       1,398,570  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   73

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Food Products (continued)  

Froneri International Ltd.

      

2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28(c)

     USD       123     $ 123,743  

2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27

       2,129       2,105,691  

Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.00%, 08/03/25

       425       422,057  

JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26

       114       113,132  

Pathway Vet Alliance LLC

      

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       18       17,513  

2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27

       215       214,409  

Reynolds Group Holdings, Inc.

      

2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23

       803       799,327  

2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26

       258       255,704  

Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27

       251       251,292  
   

 

 

  
        6,322,611  
Health Care Equipment & Supplies — 0.4%  

Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27

       869       869,547  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25

       1,443       1,420,583  
   

 

 

  
        2,290,130  
Health Care Providers & Services — 1.5%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25

       334       334,358  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23

       956       948,658  

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

       544       545,163  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25

       755       627,223  

EyeCare Partners LLC

      

2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       122       118,247  

2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27

       517       502,973  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26

       390       363,462  

Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25

       751       745,564  

HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26

       857       855,557  

HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 1.90%, 03/18/26

       273       272,685  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23

       429       427,074  
Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22

     USD       1     $ 1,347  

Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(c)

       803       803,194  

Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26

       2,231       2,237,314  
   

 

 

  
        8,782,819  
Health Care Services — 0.4%                  

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26

       1,141       1,125,246  

Unified Physician Management LLC, 2020 Term Loan, 12/16/27(c)(n)

       586       581,605  

WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26

       705       703,198  
   

 

 

  
        2,410,049  
Health Care Technology — 0.4%                  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24

       1,486       1,477,533  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 10/10/25

       1,122       1,113,286  
   

 

 

  
        2,590,819  
Hotels, Restaurants & Leisure — 2.6%  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26

       1,003       987,428  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26

       280       263,992  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

       432       432,642  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23

       395       390,980  

Caesars Resort Collection LLC

      

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24

       1,356       1,328,693  

2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25

       1,484       1,484,679  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

       1,552       1,385,717  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23

       551       546,144  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/01/23

       50       47,509  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23

       904       870,531  

Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(c)

       80       90,059  

Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25

       229       230,572  
 

 

 

74  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

IRB Holding Corp.

      

2020 Fourth Amendment Incremental Term Loan, 11/12/27(n)

     USD       1,864     $ 1,864,578  

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

       876       867,348  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25

       498       493,871  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24

       162       148,664  

Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24

       476       478,214  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24

       362       353,010  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25

       521       522,938  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27

       845       831,261  

Travelport Finance (Luxembourg) Sarl
(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25

 

     426       419,221  

2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26

       831       560,412  

Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26

       977       967,401  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 05/30/25

       202       200,869  
   

 

 

  
        15,766,733  
Household Durables — 0.1%                  

Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/04/27

       147       146,401  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27

       500       500,250  
   

 

 

  
        646,651  
Independent Power and Renewable Electricity Producers — 0.3%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25

       892       879,928  

Calpine Corp.

      

2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26

       603       594,337  

Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26

       272       268,764  
   

 

 

  
        1,743,029  
Industrial Conglomerates — 1.0%                  

AVSC Holding Corp.

      

(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25

       1,310       1,112,574  

(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26

       375       429,886  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23(c)

       453       454,997  
Security          Par
(000)		     Value  
Industrial Conglomerates (continued)  

Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27

     USD       742     $ 744,656  

Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27

       3,083       3,061,592  
   

 

 

  
        5,803,705  
Insurance — 1.3%                  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       1,145       1,125,985  

Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25

       286       280,485  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24

       701       699,115  

AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27

       168       167,838  

AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27

       545       535,993  

HUB International Ltd.

      

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25

       1,425       1,397,996  

2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25

       702       703,005  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27

       658       655,881  

Sedgwick Claims Management Services, Inc.

      

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25

       1,134       1,115,164  

2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26

       623       620,483  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

       380       382,466  
   

 

 

  
        7,684,411  
Interactive Media & Services — 0.7%  

Adevinta ASA, USD Term Loan B, 10/13/27(n)

       1,071       1,069,458  

Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26

       1,638       1,636,461  

Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27

       840       842,232  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24

       438       435,478  
   

 

 

  
        3,983,629  
Internet & Direct Marketing Retail — 0.2%  

CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27

       1,093       1,091,120  
   

 

 

  
IT Services — 2.0%                  

Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27

       945       945,472  

Aruba Investments, Inc., 2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27

       341       340,574  

Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26

       1,869       1,859,317  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27

       2,071       2,072,853  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25

       273       170,868  
 

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   75

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  

 

IT Services (continued)

                    

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27

     USD        1,235      $ 1,175,297  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23

        135        135,073  

Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 11/16/26

        799        794,878  

Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25

        2,808        2,797,087  

Virtusa Corp., Term Loan B, 12/01/27(n)

        449        445,633  

WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26

        1,591        1,578,624  
          12,315,676  
Life Sciences Tools & Services — 0.3%  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

        1,137        1,124,688  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(c)

        488        491,798  
          1,616,486  
Machinery — 0.6%  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24

        59        58,344  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24

        715        705,762  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27

        576        567,963  

Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24(c)

        115        113,803  

Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25

        2,340        2,277,324  
          3,723,196  
Media — 4.9%                    

Altice Financing SA

 

2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25

        445        434,888  

USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26

        536        523,298  

Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26

        1,345        1,337,451  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25

        1,370        1,363,608  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26

        2,574        2,472,826  

Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26

        3,157        3,164,458  

CSC Holdings LLC

        

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25

        657        646,411  

2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27

        1,013        1,002,320  

E.W. Scripps Co., 2020 Term Loan B3, 12/15/27(n)

        432        432,000  
Security           Par
(000)		      Value  

 

Media (continued)

                    

Gray Television, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 2.40%, 02/07/24

     USD        684      $ 677,698  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

        1,785        1,606,064  

Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26

        409        410,108  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25

        525        516,847  

Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26

        1,190        1,154,404  

MH Sub I LLC

        

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24

        1,628        1,604,623  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24

        715        711,624  

Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26

        260        259,021  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26

        459        455,369  

Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26

        1,152        1,152,937  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.40%, 01/03/24

        192        189,580  

Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26

        1,020        1,019,116  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(c)

        1,480        1,468,430  

UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26

        276        274,675  

Virgin Media Bristol LLC

        

2020 USD Term Loan Q, 01/31/29(n)

        917        915,514  

USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28

        953        943,384  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25

        1,204        1,105,457  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27

        3,859        3,830,289  
          29,672,400  
Metals & Mining — 0.1%                    

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25

        669        655,497  
Multi-line Retail — 0.0%                    

Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25

        103        109,326  
Oil, Gas & Consumable Fuels — 0.2%  

Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%

        330        357,637  

CITGO Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23

        2        1,817  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25

        437        427,497  
 

 

 

76  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

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

EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25

     USD        248      $ 244,734  

McDermott Technology Americas, Inc.

        

2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(c)

        16        12,621  

2020 Take Back Term Loan, 3.00%, 06/30/25

        109        70,589  
    

 

 

  
          1,114,895  
Paper & Forest Products — 0.3%  

Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27

        1,840        1,847,525  
    

 

 

  
Personal Products — 0.5%  

Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26

        2,782        2,786,739  
    

 

 

  
Pharmaceuticals — 1.2%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25

        855        832,279  

Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26

        985        983,448  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27

        860        851,324  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27

        702        695,269  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22

        1,669        1,667,775  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25

        2,162        2,152,720  
    

 

 

  
          7,182,815  
Professional Services — 0.6%  

Dun & Bradstreet Corp.

        

2020 Add-On Term Loan, 02/06/26(n)

        599        598,748  

Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26

        2,793        2,791,494  

STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27

        470        462,399  
    

 

 

  
          3,852,641  
Real Estate Management & Development — 0.2%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24

        717        706,024  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25

        566        554,741  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25

        83        81,628  
    

 

 

  
          1,342,393  
Road & Rail — 0.1%  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25(c)

        391        357,152  
    

 

 

  
Semiconductors & Semiconductor Equipment — 0.1%  

Cabot Microelectronics Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.19%, 11/17/25

        465        461,183  
    

 

 

  
Security           Par
(000)		      Value  
Software — 6.8%  

Applied Systems, Inc.

        

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24

     USD        1,599      $ 1,596,675  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25

        250        250,620  

Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25

        1,538        1,533,421  

BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25

        861        856,787  

By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26

        1,236        1,233,418  

Cloudera, Inc., Term Loan B, 12/17/27(n)

        263        262,343  

Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27

        469        470,719  

Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24

        1,861        1,854,506  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24

        494        450,307  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23

        489        436,229  

Epicor Software Corp.

        

2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

        850        884,535  

2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27

        1,520        1,527,178  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25

        4,086        4,077,056  

Informatica LLC

        

2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25(b)(o)

        679        689,694  

2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27

        3,240        3,209,322  

McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 09/30/24

        1,441        1,439,624  

Mitchell International, Inc.

        

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24

        734        719,971  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25

        347        335,192  

2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24

        836        835,487  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27

        569        567,697  

Planview Parent, Inc.(c)(n)
Delayed Draw Term Loan, 12/17/27

        144        143,287  

Term Loan, 12/17/27

        615        613,269  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25

        31        30,949  

Sabre GLBL, Inc., 2020 Term Loan B, 12/17/27(n)

        442        442,553  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25

        1,406        1,387,157  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/24

        700        667,121  

Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23

        1,331        1,319,703  

Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27

        2,102        2,103,492  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

   77

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  
Software (continued)  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

     USD        552      $ 544,267  

SS&C Technologies, Inc.

        

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

        714        703,798  

2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25

        265        261,326  

Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26

        2,749        2,726,275  

Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28

        1,429        1,440,997  

Ultimate Software Group, Inc.

        

2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27

        794        814,843  

2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26

        2,221        2,231,273  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26

        2,352        2,348,248  
    

 

 

  
          41,009,339  
Specialty Retail — 1.1%  

Belron Finance US LLC

        

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25

        182        181,824  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26

        416        414,760  

USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24

        739        737,292  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 4.31%, 06/23/25

     GBP        1,000        1,344,787  

IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26

     USD        287        283,912  

MED ParentCo LP

        

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26

        168        164,952  

1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26

        669        657,784  

PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22

        1,877        1,871,696  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

        999        980,596  

WOOF Holdings, Inc., 1st Lien Term Loan, 12/16/27(n)

        230        229,522  
    

 

 

  
          6,867,125  
Technology Hardware, Storage & Peripherals — 0.1%  

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26

        529        449,506  

Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23

        252        251,862  
    

 

 

  
          701,368  
Security           Par
(000)		      Value  
Thrifts & Mortgage Finance — 0.2%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25

     USD        901      $ 898,543  
    

 

 

  
Wireless Telecommunication Services — 0.4%  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25

        1,075        1,061,375  

Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27

        1,620        1,620,460  
    

 

 

  
          2,681,835  
    

 

 

  
Total Floating Rate Loan Interests — 43.6%  

(Cost: $262,134,889)

           263,030,025  
    

 

 

  
Foreign Agency Obligations  
Bahrain — 0.1%  

Bahrain Government International Bond, 6.75%, 09/20/29

        200        229,375  

CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25

        400        463,750  
    

 

 

  
          693,125  
Colombia — 0.3%  

Colombia Government International Bond

 

   

4.50%, 01/28/26(f)

        1,354        1,535,521  

3.88%, 04/25/27

        200        222,300  
    

 

 

  
          1,757,821  
Dominican Republic — 0.2%  

Dominican Republic International Bond

        

5.95%, 01/25/27

        491        572,782  

4.88%, 09/23/32(b)

        185        203,905  

6.40%, 06/05/49

        150        176,109  
    

 

 

  
          952,796  
Egypt — 0.3%  

Egypt Government International Bond

        

5.75%, 05/29/24(b)

        215        230,319  

5.88%, 06/11/25

        335        362,847  

7.60%, 03/01/29

        816        937,125  

8.50%, 01/31/47(b)

        321        363,933  
    

 

 

  
          1,894,224  
Iceland — 0.5%  

Iceland Government International Bond, 5.88%, 05/11/22(f)

        3,030        3,212,904  
    

 

 

  
Indonesia — 0.2%  

Indonesia Government International Bond

        

4.10%, 04/24/28

        650        754,813  

5.35%, 02/11/49

        200        274,125  
    

 

 

  
          1,028,938  
Mexico — 0.2%  

Mexico Government International Bond, 4.15%, 03/28/27(f)

        1,052        1,217,690  
    

 

 

  
Mongolia — 0.0%  

Mongolia Government International Bond, 8.75%, 03/09/24

        250        290,234  
    

 

 

  
 

 

 

78  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)		      Value  
Morocco — 0.1%  

Morocco Government International Bond

        

3.00%, 12/15/32

     USD        300      $ 303,750  

4.00%, 12/15/50

        200        205,750  
    

 

 

  
          509,500  
Panama — 0.1%  

Panama Government International Bond

        

3.16%, 01/23/30(f)

        445        492,698  

4.50%, 04/16/50

        211        271,135  
    

 

 

  
          763,833  
Paraguay — 0.1%  

Paraguay Government International Bond

        

4.95%, 04/28/31

        300        362,250  

5.40%, 03/30/50

        200        252,438  
    

 

 

  
          614,688  
Peru — 0.1%  

Peruvian Government International Bond

        

2.78%, 01/23/31

        354        388,161  

5.63%, 11/18/50

        165        258,555  
    

 

 

  
          646,716  
Portugal — 0.6%  

Portugal Government International Bond, 5.13%,

        

10/15/24(b)(f)

        3,190        3,705,504  
    

 

 

  
Qatar — 0.1%  

Qatar Government International Bond

        

4.00%, 03/14/29(b)(f)

        473        561,096  

4.40%, 04/16/50

        208        270,400  
    

 

 

  
          831,496  
Romania — 0.1%  

Romanian Government International Bond, 3.00%, 02/14/31(b)

        280        299,688  
    

 

 

  
Russia — 0.1%  

Russian Foreign Bond - Eurobond

        

4.75%, 05/27/26

        400        462,200  

4.25%, 06/23/27

        200        228,500  
    

 

 

  
          690,700  
Saudi Arabia — 0.2%  

Saudi Government International Bond, 4.50%, 04/17/30(f)

        795        958,223  
    

 

 

  
South Africa — 0.0%  

Republic of South Africa Government International Bond, 5.88%, 05/30/22

        200        213,500  
    

 

 

  
Sri Lanka — 0.1%  

Sri Lanka Government International Bond

        

6.85%, 03/14/24

        200        121,062  

6.35%, 06/28/24

        200        120,688  

7.85%, 03/14/29

        400        227,625  

7.55%, 03/28/30

        200        113,500  
    

 

 

  
          582,875  
Ukraine — 0.2%  

Ukraine Government International Bond 7.75%, 09/01/22

        118        126,378  
Security           Par
(000)		      Value  
Ukraine (continued)  

Ukraine Government International Bond (continued)

        

8.99%, 02/01/24

     USD        200      $ 226,000  

9.75%, 11/01/28

        236        290,280  

7.25%, 03/15/33(b)

        400        436,000  
    

 

 

  
          1,078,658  
    

 

 

  
Total Foreign Agency Obligations — 3.6%  

(Cost: $20,557,423)

           21,943,113  
    

 

 

  
             Shares          

Investment Companies

        
Fixed Income Funds — 0.6%  

Invesco Senior Loan ETF

        107,601        2,397,350  

iShares iBoxx $ Investment Grade Corporate Bond ETF(p)

        10,000        1,381,300  
    

 

 

  
          3,778,650  
    

 

 

  
Total Investment Companies — 0.6%  

(Cost: $3,664,037)

           3,778,650  
    

 

 

  
             Par
(000)		          

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 0.7%  

Countrywide Alternative Loan Trust

        

Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

     USD        1,425        1,128,095  

Series 2006-J8, Class A5, 6.00%, 02/25/37

        2,151        1,367,930  

Series 2007-19, Class 1A1, 6.00%, 08/25/37

        660        483,087  

Countrywide Home Loan Mortgage Pass-Through Trust

        

Series 2005-17, Class 1A6, 5.50%, 09/25/35

        191        189,526  

Series 2006-17, Class A2, 6.00%, 12/25/36

        821        545,792  

Series 2007-HY5, Class 3A1, 3.13%, 09/25/37(a)

 

      507        494,166  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.00%, 10/25/35(a)

        418        308,389  
    

 

 

  
          4,516,985  
Commercial Mortgage-Backed Securities — 0.9%  

BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%,
04/14/33(a)(b)

 

      4,830        5,181,228  
    

 

 

  
Total Non-Agency Mortgage-Backed Securities — 1.6%  

(Cost: $9,604,972)

           9,698,213  
    

 

 

  
 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   79

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          

Benefical

Interest (000)

      Value  

Other Interests(q)

        
IT Services(c)(e) — 0.0%                    

Millennium Corp.

     USD        918      $ —  

Millennium Lender Claims

        861        —  
    

 

 

  
Total Other Interests — 0.0%         

(Cost:  $ — )

           —  
    

 

 

  
             Par
(000)		          

Preferred Securities

 

Capital Trusts — 5.5%                    
Automobiles — 0.1%                    

General Motors Financial Co., Inc., Series C,
5.70%(a)(i)

     USD        365        402,412  
    

 

 

  
Banks(a) — 0.8%                    

Al Ahli Bank of Kuwait KSCP, 7.25%(i)

        200        213,000  

Banco Mercantil del Norte SA, 6.75%(b)(i)

        396        427,680  

Bank of East Asia Ltd., 5.88%(i)

        250        264,531  

Bankia SA, 6.38%(i)

     EUR        200        261,739  

BBVA Bancomer SA/Texas, 5.13%, 01/18/33

     USD        220        237,600  

Burgan Bank SAK, 5.75%(i)

        250        257,344  

CIT Group, Inc., Series A, 5.80%(i)

        235        239,700  

Nanyang Commercial Bank Ltd., 5.00%(i)

        200        202,687  

Rizal Commercial Banking Corp., 6.50%(i)

        200        202,062  

TMB Bank PCL, 4.90%(i)

        250        243,594  

Wells Fargo & Co.(f)(i)

        

Series S, 5.90%

        1,500        1,591,875  

Series U, 5.88%

        384        435,360  
    

 

 

  
          4,577,172  
Consumer Finance — 0.5%  

Capital One Financial Corp., Series E, 4.03%(a)(f)(i)

 

      3,000        2,973,900  
    

 

 

  
Diversified Financial Services(a)(i) — 2.9%  

Bank of America Corp.(f)

        

Series AA, 6.10%

        1,038        1,176,106  

Series DD, 6.30%

        215        251,013  

Series X, 6.25%

        1,929        2,140,346  

Series Z, 6.50%

        143        163,378  

BNP Paribas SA, 4.50%(b)

 

      205        207,159  

Citigroup, Inc., Series Q, 4.32%

 

      244        242,780  

Credit Suisse Group AG

        

5.10%(b)

        200        208,000  

6.38%(b)(f)

        495        551,306  

6.25%

        200        218,475  

Goldman Sachs Group, Inc., Series M, 4.13%(f)

        1,730        1,726,505  

HSBC Holdings PLC(f)

        

6.25%

        695        728,013  

6.00%

        415        451,831  

JPMorgan Chase & Co.

        

Series FF, 5.00%(f)

        865        910,006  

Series HH, 4.60%

        253        261,223  

Series I, 3.68%(f)

        322        321,341  

Series R, 6.00%(f)

        120        127,200  

Series V, 3.56%(f)

        1,125        1,105,245  
Security           Par
(000)		      Value  
Diversified Financial Services (continued)  

Morgan Stanley, Series H, 3.85%(f)

     USD        2,754      $ 2,734,171  

Natwest Group PLC(f)

        

6.00%

        1,185        1,298,013  

8.63%

        200        207,582  

Societe Generale SA, 5.38%(b)

        2,250        2,385,833  

Woori Bank, 4.25%

        250        259,531  
    

 

 

  
          17,675,057  
Diversified Telecommunication Services(a)(i) — 0.1%  

Telefonica Europe BV

        

5.88%

     EUR        100        137,283  

4.38%

        100        132,548  
    

 

 

  
          269,831  
Electric Utilities(a) — 0.4%                    

Naturgy Finance BV, 3.38%(i)

        100        129,495  

NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(f)

     USD        1,750        2,062,281  
    

 

 

  
          2,191,776  
Electronic Equipment, Instruments & Components — 0.0%  

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

     EUR        100        125,825  
    

 

 

  
Insurance(a) — 0.7%                    

Achmea BV, 4.63%(i)

        200        261,739  

Heungkuk Life Insurance Co. Ltd., 4.48%(i)

     USD        200        201,500  

Voya Financial, Inc., 5.65%, 05/15/53(f)

 

      3,500        3,710,000  
    

 

 

  
          4,173,239  
Oil, Gas & Consumable Fuels — 0.0%  

Abertis Infraestructuras Finance BV, 3.25%(a)(i)

     EUR        100        126,593  
    

 

 

  
Utilities — 0.0%                    

Electricite de France SA, 3.00%(a)(i)

        200        259,881  
    

 

 

  
Wireless Telecommunication Services — 0.0%  

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

        100        126,621  
    

 

 

  
Total Capital Trusts — 5.5%                 32,902,307  
    

 

 

  
             Shares          
Preferred Stocks — 1.7%                    
Banks — 0.0%                    

CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $132,662)(r)

        135,568        1,830  
    

 

 

  
Capital Markets(a)(i) — 1.7%                    

Goldman Sachs Group, Inc., Series J, 5.50%

        202,526        5,535,036  

Morgan Stanley

        

Series F, 6.88%

        120,000        3,420,000  

Series K, 5.85%

        53,253        1,536,349  
    

 

 

  
          10,491,385  
    

 

 

  
Total Preferred Stocks — 1.7%                 10,493,215  
 

 

 

80  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Shares      Value  
Trust Preferred — 0.5%                    
Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2, 6.01%, 02/15/40(a) .

        105,753        $2,860,619  
Total Preferred Securities — 7.7%  

(Cost: $43,488,245)

           46,256,141  
    

 

 

  
             Par
(000)		          

U.S. Government Sponsored Agency Securities

 

Collateralized Mortgage Obligations — 0.2%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.15%, 10/25/29(a)

     USD        1,456        1,471,607  
    

 

 

  
Mortgage-Backed Securities — 0.2%  

Uniform Mortgage-Backed Securities
5.00%, 08/01/23

        16        16,992  

Series K042, Class X1, 1.04%, 12/25/24(a)

        33,301        1,189,756  
    

 

 

  
          1,206,748  
    

 

 

  
Total U.S. Government Sponsored Agency Securities — 0.4%  

(Cost: $2,739,114)

           2,678,355  
    

 

 

  

 

U.S. Treasury Obligations

 

U.S. Treasury Bonds, 2.88%, 05/15/49(f)

        1,350        1,742,977  

U.S. Treasury Notes, 2.75%, 04/30/23 - 08/31/25(f)

 

      14,150        15,321,781  
    

 

 

  
Total U.S. Treasury Obligations — 2.8%  

(Cost: $15,451,984)

           17,064,758  
    

 

 

  
             Shares          

Warrants

        
Metals & Mining — 0.0%                    

AFGlobal Corp. (Expires 06/08/22)(c)(e)

        2,542        —  
    

 

 

  
Oil, Gas & Consumable Fuels(e) — 0.0%  

California Resources Corp. (Expires 10/27/24)(a)

        345        1,380  

SM Energy Co. (Expires 06/30/23)

        12,030        73,503  
    

 

 

  
          74,883  
    

 

 

  
Total Warrants — 0.0%                    

(Cost: $51,609)

           74,883  
    

 

 

  
Total Long-Term Investments — 143.9%  

(Cost: $841,435,564)

           869,256,352  
    

 

 

  
Security   Shares      Value  

Short-Term Securities

     
Money Market Funds — 1.6%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(p)(s)

     9,760,422      $ 9,760,422  
    

 

 

  
Total Short-Term Securities — 1.6%             

(Cost: $9,760,422)

        9,760,422  
    

 

 

  
Options Purchased — 0.3%             

(Cost: $1,794,531)

        1,776,793  
    

 

 

  
Total Investments Before Options Written — 145.8%  

(Cost: $852,990,517)

        880,793,567  
    

 

 

  
Options Written — (0.6)%             

(Premiums Received: $(4,241,790))

        (3,887,571 ) 
    

 

 

  
Total Investments, Net of Options Written — 145.2%  

(Cost: $848,748,727)

        876,905,996  
Liabilities in Excess of Other Assets — (45.2)%      (272,973,389)  
    

 

 

  
Net Assets — 100.0%          $603,932,607  
    

 

 

  

 

(a)   

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b)   

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

(c)   

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

(d)   

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.

(e)   

Non-income producing security.

(f)   

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

(g)   

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

(h)   

Issuer filed for bankruptcy and/or is in default.

(i)   

Perpetual security with no stated maturity date.

(j)   

When-issued security.

(k)   

Convertible security.

(l)   

Zero-coupon bond.

(m)  

Amount is less than 500.

(n)   

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

(o)   

Fixed rate.

(p)   

Affiliate of the Fund.

(q)   

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

(r)   

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,830, representing less than 0.05% of its net assets as of period end, and an original cost of $132,662.

(s)   

Annualized 7-day yield as of period end.

 

 

 

S C H E D U L E   O F  I N V E S T M E N T S

   81

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/19		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
12/31/20		     Shares
Held at
12/31/20		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 1,358,645     $  8,401,777 (a)    $  —     $ —     $ —     $ 9,760,422       9,760,422     $ 19,963     $ —  

iShares iBoxx $ Investment Grade Corporate Bond ETF

     —       2,539,388       (1,380,769 )      111,075       111,606       1,381,300       10,000       29,881       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ 111,075     $ 111,606     $ 11,141,722       $ 49,844     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount 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.

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) 

Barclays Capital, Inc.

     1.25 %(b)      01/21/20       Open     $ 581,819     $ 589,904     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      01/21/20       Open       1,549,082       1,570,608     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      01/21/20       Open       396,664       402,176     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      01/31/20       Open       446,985       449,760     Corporate Bonds     Open/Demand  

Credit Suisse Securities (USA) LLC

     0.30 (b)      03/02/20       Open       222,430       224,347     Foreign Agency Obligations     Open/Demand  

Credit Suisse Securities (USA) LLC

     0.30 (b)      03/02/20       Open       225,000       226,018     Foreign Agency Obligations     Open/Demand  

Goldman Sachs & Co.

     0.25 (b)      03/02/20       Open       288,576       289,508     Corporate Bonds     Open/Demand  

Goldman Sachs & Co.

     0.25 (b)      03/02/20       Open       253,869       254,689     Corporate Bonds     Open/Demand  

Goldman Sachs & Co.

     0.50 (b)      03/02/20       Open       221,038       222,217     Foreign Agency Obligations     Open/Demand  

Goldman Sachs & Co.

     0.55 (b)      03/02/20       Open       531,421       534,479     Corporate Bonds     Open/Demand  

Goldman Sachs & Co.

     0.60 (b)      03/02/20       Open       391,957       394,377     Corporate Bonds     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/23/20       Open       85,000       85,352     Corporate Bonds     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/26/20       Open       118,000       118,480     Capital Trusts     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/26/20       Open       110,000       110,448     Capital Trusts     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/26/20       Open       201,000       201,818     Capital Trusts     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/26/20       Open       194,000       194,790     Corporate Bonds     Open/Demand  

HSBC Securities (USA), Inc.

     0.45 (b)      03/26/20       Open       139,000       139,566     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      04/06/20       Open       120,201       121,324     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      04/15/20       Open       2,897,437       2,918,363     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      04/15/20       Open       2,191,031       2,206,855     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      04/15/20       Open       678,750       683,652     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.10 (b)      04/15/20       Open       182,440       183,890     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      04/20/20       Open       3,110,250       3,137,897     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.45 (b)      04/30/20       Open       506,606       508,158     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      04/30/20       Open       644,831       650,317     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      04/30/20       Open       966,219       974,438     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.65 (b)      05/12/20       Open       578,587       581,032     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       822,429       829,913     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       1,207,860       1,218,852     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       1,366,845       1,379,283     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       1,015,985       1,025,230     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       814,196       821,605     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/12/20       Open       625,625       631,318     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.65 (b)      05/21/20       Open       677,119       679,870     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      05/21/20       Open       461,212       465,248     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.65 (b)      06/01/20       Open       301,394       302,558     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       317,000       319,638     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       412,070       415,499     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       381,769       384,946     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       426,883       430,435     Corporate Bonds     Open/Demand  

 

 

82  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 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.

     1.40 %(b)      06/01/20       Open     $ 328,188     $ 330,919     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       492,240       496,337     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       415,063       418,517     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/01/20       Open       370,178       373,258     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      06/04/20       Open       821,022       827,759     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.55 (b)      06/16/20       Open       571,380       573,117     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.20 (b)      06/16/20       Open       582,167       586,029     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.20 (b)      06/16/20       Open       462,222       465,289     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.20 (b)      06/16/20       Open       617,210       621,304     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.20 (b)      06/16/20       Open       472,937       476,075     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/19/20       Open       792,743       794,868     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     0.60 (b)      06/19/20       Open       1,078,870       1,082,340     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/19/20       Open       472,536       475,070     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/19/20       Open       514,972       517,733     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.55 (b)      06/29/20       Open       637,812       639,615     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     0.90 (b)      06/29/20       Open       956,887       961,313     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       525,140       527,839     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       390,930       392,939     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       402,855       404,925     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       509,375       511,993     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       397,843       399,887     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       668,300       671,734     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      06/29/20       Open       411,446       413,561     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.20 (b)      07/06/20       Open       276,581       278,204     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.60 (b)      07/07/20       Open       866,392       873,208     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/23/20       Open       815,065       818,163     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       474,674       476,266     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       487,040       488,674     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       447,266       448,766     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       466,112       467,676     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       501,562       503,245     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       441,323       442,803     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      07/23/20       Open       459,405       460,946     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       415,069       416,554     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       369,888       371,211     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       419,445       420,946     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       485,985       487,724     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       439,020       440,591     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/23/20       Open       448,628       450,233     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.90 (b)      07/23/20       Open       416,500       418,176     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.95 (b)      07/23/20       Open       732,555       735,667     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/28/20       Open       286,991       287,613     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/29/20       Open       138,353       138,859     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/29/20       Open       437,840       439,442     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/29/20       Open       151,130       151,683     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/29/20       Open       309,690       310,823     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      07/29/20       Open       175,275       175,916     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      08/06/20       Open       1,324,897       1,328,955     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      08/07/20       Open       436,656       437,530     Foreign Agency Obligations     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      08/11/20       Open       406,858       408,222     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.90 (b)      08/12/20       Open       912,350       915,566     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     1.15 (b)      08/12/20       Open       828,550       832,282     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      08/13/20       Open       601,842       602,903     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      08/13/20       Open       1,729,490       1,732,538     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      08/14/20       Open       1,672,260       1,675,186     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/20/20       Open       282,695       283,531     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.65 (b)      08/24/20       Open       494,375       495,535     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       278,958       279,763     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       352,733       353,751     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       295,800       296,655     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       333,660       334,624     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       366,769       367,828     Corporate Bonds     Open/Demand  

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   83

Schedule of Investments  (continued)

December 31, 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.

     0.80 %(b)      08/24/20       Open     $ 717,025     $ 719,096     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       451,750       453,055     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      08/24/20       Open       362,813       363,861     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/24/20       Open       805,014       806,903     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/24/20       Open       621,300       622,758     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/24/20       Open       913,447       915,592     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/24/20       Open       646,085       647,601     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/24/20       Open       703,105       704,755     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      08/24/20       Open       559,550       561,065     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      08/24/20       Open       608,440       610,088     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      08/24/20       Open       829,744       831,991     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/01/20       Open       359,470       360,262     Corporate Bonds     Open/Demand  

BoFA Securities, Inc.

     (1.25 )(b)      09/02/20       Open       110,633       110,168     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/09/20       Open       677,844       678,801     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/09/20       Open       1,509,375       1,511,507     Capital Trusts     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/09/20       Open       1,019,200       1,021,375     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/09/20       Open       2,549,281       2,554,723     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,585,762       1,588,002     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       423,144       423,741     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       435,881       436,497     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       178,500       178,752     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,518,750       1,520,895     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       163,995       164,227     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       412,500       413,083     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       951,750       953,094     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       155,418       155,638     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       452,944       453,584     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,837,500       1,840,095     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       686,562       687,532     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       149,625       149,836     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,065,750       1,067,255     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,208,381       1,210,088     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       1,504,900       1,507,026     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       367,650       368,169     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       310,719       311,158     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       407,813       408,389     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       277,313       277,704     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      09/09/20       Open       312,075       312,516     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.25 (b)      09/10/20       Open       746,415       749,318     Capital Trusts     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       524,700       525,435     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       879,856       881,088     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       1,051,850       1,053,323     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       3,333,750       3,338,417     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       925,062       926,358     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       303,100       303,524     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       3,780,000       3,785,292     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/10/20       Open       171,600       171,840     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/10/20       Open       2,377,897       2,382,928     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/10/20       Open       924,262       926,218     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/10/20       Open       1,980,390       1,984,580     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/10/20       Open       1,102,995       1,105,328     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      09/10/20       Open       887,075       889,145     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.85 (b)      09/10/20       Open       3,614,290       3,623,848     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      09/11/20       Open       1,093,625       1,096,440     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.55 (b)      09/14/20       Open       832,762       834,137     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      09/15/20       Open       662,915       664,590     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      09/15/20       Open       602,650       604,173     Corporate Bonds     Open/Demand  

Goldman Sachs & Co.

     0.60 (b)      09/16/20       Open       1,126,710       1,128,701     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/18/20       Open       396,000       396,763     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/21/20       Open       1,564,901       1,567,096     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/21/20       Open       1,544,375       1,546,541     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/21/20       Open       552,606       553,381     Corporate Bonds     Open/Demand  

 

 

84  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 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.

     0.80 %(b)      09/21/20       Open     $ 1,208,962     $ 1,211,676     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/21/20       Open       2,025,000       2,029,545     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/21/20       Open       1,280,200       1,283,073     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/21/20       Open       365,859       366,680     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/21/20       Open       449,068       450,075     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.48 (b)      09/21/20       Open       299,406       299,809     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.10 (b)      09/21/20       Open       251,501       251,572     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/21/20       Open       514,924       516,152     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/21/20       Open       1,480,080       1,483,610     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/21/20       Open       254,678       255,285     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/21/20       Open       410,670       411,649     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/23/20       Open       760,550       761,596     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/23/20       Open       791,475       792,563     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       421,520       422,447     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       429,709       430,654     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       814,800       816,593     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       1,182,455       1,185,056     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       250,543       251,094     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/23/20       Open       586,380       587,670     Corporate Bonds     Open/Demand  

J.P. Morgan Securities LLC

     0.75 (b)      09/23/20       Open       202,068       202,484     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.40 (b)      09/24/20       Open       405,845       407,392     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/25/20       Open       539,907       541,047     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       543,375       544,307     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       306,400       306,926     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       1,511,617       1,514,210     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       1,538,945       1,541,585     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       274,525       274,996     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       5,608,055       5,617,674     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       778,750       780,086     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       560,065       561,026     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       156,040       156,308     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       697,190       698,386     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       157,000       157,269     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       837,606       839,043     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       854,846       856,313     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       596,850       597,874     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       867,162       868,650     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/25/20       Open       425,163       425,892     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/25/20       Open       860,792       862,337     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/25/20       Open       844,305       845,820     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/25/20       Open       168,768       169,070     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/25/20       Open       699,255       700,547     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/25/20       Open       858,219       859,804     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      09/25/20       Open       790,519       792,083     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      09/25/20       Open       1,587,525       1,590,667     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     1.05 (b)      09/25/20       Open       1,500,463       1,504,621     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/25/20       Open       155,570       155,919     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/25/20       Open       304,780       305,464     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/25/20       Open       286,440       287,082     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/25/20       Open       150,715       151,053     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/25/20       Open       1,706,944       1,710,772     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      09/28/20       Open       738,494       739,458     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      09/28/20       Open       164,428       164,771     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      09/28/20       Open       529,091       530,278     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.45 (b)      09/28/20       Open       946,000       947,112     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       663,810       664,937     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       936,230       937,819     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       232,785       233,180     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       728,495       729,731     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       693,500       694,677     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       662,435       663,559     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       105,261       105,440     Corporate Bonds     Open/Demand  

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   85

Schedule of Investments  (continued)

December 31, 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.

     0.65 %(b)      09/28/20       Open     $ 637,184     $ 638,265     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/28/20       Open       475,874       476,681     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/28/20       Open       661,045       662,219     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/28/20       Open       570,706       571,720     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/28/20       Open       246,488       246,925     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/28/20       Open       1,385,692       1,388,225     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/28/20       Open       580,550       581,611     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/29/20       Open       188,000       188,319     Capital Trusts     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/29/20       Open       1,146,600       1,149,118     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/29/20       Open       619,460       620,820     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      09/29/20       Open       211,563       212,027     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       171,680       172,009     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       305,345       305,930     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       292,264       292,824     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       312,188       312,786     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       306,705       307,293     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       264,600       265,107     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       367,220       367,924     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       225,194       225,625     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      09/30/20       Open       373,405       374,121     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       388,850       389,496     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       653,331       654,416     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       443,520       444,257     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       358,598       359,193     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       1,464,960       1,467,393     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       400,171       400,836     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       483,502       484,306     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       601,027       602,026     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       497,070       497,896     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       522,174       523,041     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       593,206       594,192     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       565,314       566,253     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       337,658       338,218     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       375,725       376,349     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       406,080       406,755     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       350,520       351,102     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       297,745       298,240     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       357,796       358,391     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       503,040       503,876     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       212,220       212,573     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/30/20       Open       274,706       275,163     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       648,115       649,241     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       383,493       384,159     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       538,500       539,436     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       319,290       319,845     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       179,725       180,037     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       463,536       464,342     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       825,772       827,207     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       554,937       555,902     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       675,316       676,490     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       506,196       507,076     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      09/30/20       Open       530,329       531,250     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       439,931       440,718     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       603,750       604,830     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       394,100       394,805     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       108,960       109,155     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       352,063       352,692     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       693,701       694,942     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       819,510       820,976     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       416,233       416,977     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       751,822       753,167     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      09/30/20       Open       633,594       634,727     Corporate Bonds     Open/Demand  

 

 

86  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 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 %(b)      09/30/20       Open     $ 386,750     $ 387,491     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      09/30/20       Open       470,600       471,502     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.80 (b)      10/07/20       Open       374,445       375,152     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      10/07/20       Open       330,006       330,785     Corporate Bonds     Open/Demand  

Goldman Sachs & Co.

     0.55 (b)      10/07/20       Open       192,353       192,602     Capital Trusts     Open/Demand  

BNP Paribas S.A.

     1.40 (b)      10/14/20       Open       848,012       850,585     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      10/22/20       Open       650,925       651,748     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     1.75 (b)      10/28/20       Open       238,453       239,194     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.85 (b)      10/29/20       Open       172,834       173,091     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.45 (b)      10/29/20       Open       7,263       7,268     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      10/29/20       Open       1,288,127       1,290,044     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      10/29/20       Open       266,895       267,292     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      10/29/20       Open       543,097       543,905     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     1.04 (b)      10/29/20       Open       222,956       223,362     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.45 (b)      10/30/20       Open       819,067       819,712     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      10/30/20       Open       526,680       527,371     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      10/30/20       Open       515,280       515,956     Capital Trusts     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      10/30/20       Open       517,252       517,796     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      10/30/20       Open       1,052,837       1,053,943     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      10/30/20       Open       999,410       1,000,459     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      10/30/20       Open       402,050       402,472     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/30/20       Open       786,544       787,411     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/30/20       Open       703,352       704,128     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/30/20       Open       395,931       396,368     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/30/20       Open       502,967       503,522     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/02/20       Open       718,925       719,691     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      11/17/20       Open       78,209       78,274     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/20       Open       935,195       935,921     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     1.00 (b)      11/19/20       Open       1,538,384       1,540,179     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      11/20/20       Open       181,646       181,780     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      11/20/20       Open       286,125       286,342     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      11/23/20       Open       321,080       321,334     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      11/24/20       Open       331,626       331,831     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.68 (b)      11/24/20       Open       1,188,937       1,189,768     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      11/25/20       Open       332,710       332,953     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      11/25/20       Open       372,930       373,217     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      11/25/20       Open       349,196       349,465     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      11/25/20       Open       785,439       786,044     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.15 (b)      11/25/20       Open       1,758,375       1,758,597     U.S. Treasury Obligations     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       356,265       356,503     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       371,018       371,265     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       395,720       395,984     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       621,981       622,397     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       364,800       365,044     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       554,925       555,276     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       197,168       197,292     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       231,371       231,517     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       381,500       381,755     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       348,705       348,938     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       464,400       464,710     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       431,833       432,121     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/25/20       Open       359,100       359,340     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.70 (b)      11/25/20       Open       352,925       353,179     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      11/25/20       Open       147,960       148,068     Corporate Bonds     Open/Demand  

HSBC Securities (USA), Inc.

     0.13 (b)      11/25/20       Open       8,513,000       8,513,993     U.S. Treasury Obligations     Open/Demand  

HSBC Securities (USA), Inc.

     0.13 (b)      11/25/20       Open       6,881,000       6,881,803     U.S. Treasury Obligations     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      11/25/20       Open       668,980       669,533     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/30/20       Open       995,959       996,516     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.55 (b)      11/30/20       Open       1,288,560       1,289,170     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       2,773,750       2,775,458     Capital Trusts     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       1,103,051       1,103,718     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       356,570       356,778     Corporate Bonds     Open/Demand  

 

 

S C H E D U L E  O F  I N V E S T M E N  T S

   87

Schedule of Investments  (continued)

December 31, 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.

     0.75 %(b)      12/03/20       Open     $ 440,368     $ 440,624     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       410,673       410,912     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       1,056,825       1,057,441     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       384,548       384,772     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/03/20       Open       349,440       349,644     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      12/03/20       Open       353,906       354,071     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/03/20       Open       371,700       371,882     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/03/20       Open       332,045       332,208     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/03/20       Open       609,127       609,426     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/03/20       Open       291,563       291,710     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.69 (b)      12/03/20       Open       1,738,497       1,739,464     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.69 (b)      12/03/20       Open       317,411       317,582     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       332,120       332,293     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       450,881       451,116     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       454,990       455,227     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       322,163       322,330     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       274,680       274,823     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       535,350       535,629     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/04/20       Open       377,685       377,882     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       466,785       466,996     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       578,611       578,872     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       1,113,750       1,114,253     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       590,537       590,804     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       538,687       538,931     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       606,937       607,211     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       342,700       342,855     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/04/20       Open       400,431       400,612     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      12/04/20       Open       408,531       408,744     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      12/04/20       Open       352,681       352,865     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      12/04/20       Open       346,133       346,337     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      12/04/20       Open       884,214       884,736     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      12/04/20       Open       1,051,750       1,052,371     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/07/20       Open       264,399       264,531     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/07/20       Open       307,125       307,258     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     1.05 (b)      12/07/20       Open       355,315       355,564     Corporate Bonds     Open/Demand  

RBC Capital Markets LLC

     0.85 (b)      12/07/20       Open       118,671       118,738     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/08/20       Open       398,738       398,929     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/08/20       Open       437,441       437,651     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     1.25 (b)      12/08/20       Open       281,531       281,756     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       281,348       281,476     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       211,739       211,836     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       193,000       193,088     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       231,458       231,564     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       187,000       187,086     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       434,280       434,479     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       324,375       324,524     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       524,380       524,620     Corporate Bonds     Open/Demand  

Barclays Capital, Inc.

     0.75 (b)      12/09/20       Open       227,855       227,959     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      12/09/20       Open       415,543       415,695     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      12/09/20       Open       184,250       184,318     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      12/09/20       Open       196,994       197,066     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.60 (b)      12/09/20       Open       188,750       188,819     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       245,119       245,213     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       242,436       242,530     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       239,078       239,170     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       235,268       235,358     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       235,903       235,993     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/09/20       Open       489,255       489,443     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/09/20       Open       233,163       233,255     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/09/20       Open       319,988       320,115     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.73 (b)      12/09/20       Open       142,800       142,864     Corporate Bonds     Open/Demand  

BNP Paribas S.A.

     0.75 (b)      12/09/20       Open       165,440       165,516     Corporate Bonds     Open/Demand  

 

 

88  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 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.

      0.70 %(b)      12/10/20        Open      $ 1,289,086      $ 1,290,351      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      0.80 (b)      12/11/20        Open        366,988        367,134      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

      0.65 (b)      12/17/20        Open        452,741        452,864      Corporate Bonds      Open/Demand  
          

 

 

     

 

 

        
           $ 274,447,814      $ 275,105,145        
          

 

 

     

 

 

        

 

  (a) 

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

 
  (b) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

 

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

      261          03/22/21        $ 40,810        $ (103,797 ) 

2-Year U.S. Treasury Notes

      512          03/31/21          113,140          108,873  
                 

 

 

  
                    5,076  
                 

 

 

  

Short Contracts

                  

10-Year U.S. Treasury Note

      350          03/22/21          48,327          (70,643 ) 

Long U.S. Treasury Bond

      34          03/22/21          5,888          58,705  

U.S. Treasury Ultra Bond

      64          03/22/21          13,668          3,292  

5-Year U.S. Treasury Note

      334          03/31/21          42,139          (102,532 ) 
                 

 

 

  
                    (111,178 ) 
                 

 

 

  
                  $ (106,102 ) 
                 

 

 

  

 

Forward Foreign Currency Exchange Contracts

Currency Purchased    Currency Sold    Counterparty    Settlement Date      Unrealized
Appreciation
(Depreciation)		  
USD    508,220    EUR    415,000    UBS AG      02/03/21      $ 880  
USD    4,868,501    EUR    3,975,500    UBS AG      02/03/21        8,432  
EUR    3,740,000    USD    4,541,026    Natwest Markets PLC      03/17/21        35,374  
                 

 

 

  
                    44,686  
                 

 

 

  
EUR    415,000    USD    507,877    UBS AG      01/06/21        (877 ) 
EUR    3,975,500    USD    4,865,217    UBS AG      01/06/21        (8,405 ) 
USD    4,897,146    EUR    4,107,500    BNP Paribas S.A.      01/06/21        (120,928 ) 
USD    110,870    EUR    93,000    Deutsche Bank AG      01/06/21        (2,747 ) 
USD    27,870    EUR    23,000    Morgan Stanley & Co. International PLC      01/06/21        (228 ) 
USD    115,984    EUR    96,000    Morgan Stanley & Co. International PLC      01/06/21        (1,298 ) 
USD    120,840    EUR    100,000    Morgan Stanley & Co. International PLC      01/06/21        (1,329 ) 
USD    494,795    EUR    415,000    Standard Chartered Bank      01/06/21        (12,204 ) 
USD    497,002    EUR    415,000    UBS AG      01/06/21        (9,997 ) 
USD    4,919,126    EUR    4,107,500    UBS AG      01/06/21        (98,949 ) 
USD    869,938    GBP    651,000    BNP Paribas S.A.      01/06/21        (20,316 ) 
USD    6,274,941    GBP    4,697,000    Citibank N.A.      01/06/21        (148,284 ) 
USD    1,300,187    GBP    973,000    Standard Chartered Bank      01/06/21        (30,407 ) 
EUR    3,710,000    USD    4,556,027    JPMorgan Chase Bank N.A.      03/17/21        (16,337 ) 
USD    4,557,867    EUR    3,740,000    Bank of America N.A.      03/17/21        (18,532 ) 
                 

 

 

  
                    (490,838 ) 
                 

 

 

  
                  $ (446,152 ) 
                 

 

 

  

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   89

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Exchange-Traded Options Purchased

Description    Number of
Contracts		    Expiration
Date		      Exercise Price    

Notional

Amount (000)

     Value  

Call

                   

90-Day Euro Future

    392      12/13/21        USD        99.75       USD        39,118     $ 68,600  
                  

 

 

  

Put

                   

10-Year U.S. Treasury Note

    90      01/22/21        USD        137.50       USD        12,427       25,312  
                  

 

 

  
                   $     93,912  
                  

 

 

  

OTC Interest Rate Swaptions Purchased

  

 

   Paid by the Fund   Received by the Fund     

 

   Expiration     Exercise    

Notional

       

 

  
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Call

                                                                    

1-Year Interest Rate Swap, 11/27/25

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.82%     Semi-Annual  

JPMorgan Chase Bank N.A.

     11/25/24       0.82 %      USD       11,710     $ 45,150  

1-Year Interest Rate Swap, 12/04/25

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.87%     Semi-Annual  

Bank of America N.A.

     12/02/24       0.87       USD       11,750       48,168  

10-Year Interest Rate Swap, 08/09/35

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.91%     Semi-Annual  

Morgan Stanley & Co. International PLC

     08/07/25       0.91       USD       2,050       50,772  

10-Year Interest Rate Swap, 08/09/35

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.91%     Semi-Annual  

Morgan Stanley & Co. International PLC

     08/07/25       0.91       USD       1,370       33,931  

10-Year Interest Rate Swap, 08/09/40

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.05%     Semi-Annual  

Morgan Stanley & Co. International PLC

     08/07/30       1.05       USD       1,510       56,251  

10-Year Interest Rate Swap, 08/09/50

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.91%     Semi-Annual  

Morgan Stanley & Co. International PLC

     08/07/40       0.91       USD       1,160       53,762  
                   

 

 

  
                      288,034  
                   

 

 

  

Put

                    

10-Year Interest Rate Swap, 08/29/31

     1.20%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     08/27/21       1.20       USD       60,410       750,374  

1-Year Interest Rate Swap, 11/27/25

     0.82%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

JPMorgan Chase Bank N.A.

     11/25/24       0.82       USD       11,710       45,017  

1-Year Interest Rate Swap, 12/04/25

     0.87%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Bank of America N.A.

     12/02/24       0.87       USD       11,750       42,925  

10-Year Interest Rate Swap, 08/09/35

     0.91%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Morgan Stanley & Co. International PLC

     08/07/25       0.91       USD       1,370       116,786  

10-Year Interest Rate Swap, 08/09/35

     0.91%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Morgan Stanley & Co. International PLC

     08/07/25       0.91       USD       2,050       174,753  

10-Year Interest Rate Swap, 08/09/40

     1.05%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Morgan Stanley & Co. International PLC

     08/07/30       1.05       USD       1,510       148,963  

10-Year Interest Rate Swap, 08/09/50

     0.91%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Morgan Stanley & Co. International PLC

     08/07/40       0.91       USD       1,160       116,029  
                   

 

 

  
                      1,394,847  
                   

 

 

  
                    $ 1,682,881  
                   

 

 

  

Exchange-Traded Options Written

Description    Number of
Contracts		    Expiration
Date		      Exercise Price    

Notional

Amount (000)

     Value  

Call

                   

90-Day Euro Future

    224      12/13/21        USD        99.38       USD        22,353     $ (236,600 ) 

90-Day Euro Future

    112      12/13/21        USD        100.00       USD        11,176       (3,500 ) 
                  

 

 

  
                     (240,100 ) 
                  

 

 

  

Put

                   

10-Year U.S. Treasury Note

    90      01/22/21        USD        136.50       USD        12,427       (7,031 ) 
  

 

   

 

 

     

 

 

     

 

 

    

 

 

     

 

 

    

 

 

  
                   $ (247,131 ) 
                  

 

 

  

 

 

90  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

OTC Interest Rate Swaptions Written

  

 

   Paid by the Fund   Received by the Fund     

 

   Expiration     Exercise       

 

     Notional       

 

  
Description   Rate     Frequency   Rate     Frequency   Counterparty   Date     Rate     Amount (000)     Value  

Call

                                                                    

5-Year Interest Rate Swap, 01/21/26

     0.48%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     01/19/21       0.48 %      USD       5,220     $ (15,128 ) 

10-Year Interest Rate Swap, 08/11/31

     0.63%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     08/09/21       0.63       USD       26,780       (151,550 ) 

10-Year Interest Rate Swap, 08/29/31

     0.60%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     08/27/21       0.60       USD       60,410       (326,442 ) 

10-Year Interest Rate Swap, 10/02/31

     0.45%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Bank of America N.A.

     09/30/21       0.45       USD       2,170       (8,396 ) 

10-Year Interest Rate Swap, 08/10/32

     0.72%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     08/08/22       0.72       USD       1,060       (13,453 ) 

5-Year Interest Rate Swap, 08/10/27

     (0.02% )    Annual    
 6-Month
EURIBOR, (0.53%)		  
 		   Semi-Annual  

Barclays Bank PLC

     08/08/22       (0.02 )      EUR       14,580       (369,075 ) 

10-Year Interest Rate Swap, 10/13/32

     1.06%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Deutsche Bank AG

     10/11/22       1.06       USD       1,875       (46,712 ) 

10-Year Interest Rate Swap, 12/17/32

     1.23%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Barclays Bank PLC

     12/15/22       1.23       USD       3,485       (113,069 ) 

10-Year Interest Rate Swap, 12/18/32

     1.23%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Goldman Sachs Bank USA

     12/16/22       1.23       USD       1,742       (57,180 ) 

10-Year Interest Rate Swap, 12/18/32

     1.25%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Goldman Sachs Bank USA

     12/16/22       1.25       USD       1,743       (58,272 ) 

10-Year Interest Rate Swap, 01/01/33

     1.25%     Semi-Annual    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly  

Citibank N.A.

     12/30/22       1.25       USD       1,930       (65,373 ) 
                   

 

 

  
                      (1,224,650 ) 
                   

 

 

  

Put

                    

5-Year Interest Rate Swap, 01/21/26

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.48%     Semi-Annual  

Deutsche Bank AG

     01/19/21       0.48       USD       5,220       (3,869 ) 

10-Year Interest Rate Swap, 08/11/31

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.63%     Semi-Annual  

Deutsche Bank AG

     08/09/21       0.63       USD       26,780       (1,150,746 ) 

10-Year Interest Rate Swap, 08/11/31

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.00%     Semi-Annual  

Deutsche Bank AG

     08/09/21       1.00       USD       14,360       (276,708 ) 

2-Year Interest Rate Swap, 08/11/23

    

 6-Month
EURIBOR,
(0.53%)		  
 
 		   Semi-Annual     (0.25% )    Annual  

Barclays Bank PLC

     08/09/21       (0.25 )      EUR       68,730       (11,081 ) 

5-Year Interest Rate Swap, 09/05/26

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.60%     Semi-Annual  

Deutsche Bank AG

     09/03/21       0.60       USD       6,900       (38,851 ) 

10-Year Interest Rate Swap, 10/02/31

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.45%     Semi-Annual  

Bank of America N.A.

     09/30/21       1.45       USD       4,340       (33,563 ) 

10-Year Interest Rate Swap, 11/06/31

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.15%     Semi-Annual  

Goldman Sachs Bank USA

     11/04/21       1.15       USD       4,885       (86,369 ) 

10-Year Interest Rate Swap, 02/09/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.68%     Semi-Annual  

Deutsche Bank AG

     02/07/22       0.68       USD       7,000       (347,729 ) 

10-Year Interest Rate Swap, 08/10/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     0.72%     Semi-Annual  

Deutsche Bank AG

     08/08/22       0.72       USD       1,060       (60,240 ) 

5-Year Interest Rate Swap, 08/10/27

    

 6-Month
EURIBOR,
(0.53%)		  
 
 		   Semi-Annual     (0.02% )    Annual  

Barclays Bank PLC

     08/08/22       (0.02 )      EUR       14,580       (45,054 ) 

10-Year Interest Rate Swap, 10/13/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.06%     Semi-Annual  

Deutsche Bank AG

     10/11/22       1.06       USD       1,875       (71,543 ) 

10-Year Interest Rate Swap, 12/17/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.23%     Semi-Annual  

Barclays Bank PLC

     12/15/22       1.23       USD       3,485       (114,942 ) 

10-Year Interest Rate Swap, 12/18/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.23%     Semi-Annual  

Goldman Sachs Bank USA

     12/16/22       1.23       USD       1,742       (56,912 ) 

10-Year Interest Rate Swap, 12/18/32

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.25%     Semi-Annual  

Goldman Sachs Bank USA

     12/16/22       1.25       USD       1,743       (55,912 ) 

10-Year Interest Rate Swap, 01/01/33

    
 3-Month
LIBOR, 0.24%		  
 		   Quarterly     1.25%     Semi-Annual  

Citibank N.A.

     12/30/22       1.25       USD       1,930       (62,271 ) 
                   

 

 

  
                      (2,415,790 ) 
                   

 

 

  
                    $ (3,640,440 ) 
                   

 

 

  

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   91

Schedule of Investments  (continued)

December 31, 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.IG.34.V1

      1.00 %       Quarterly        06/20/25      USD 4,942      $ (82,397 )     $ (71,808 )     $ (10,589 ) 

CDX.NA.HY.IG.35.V1

      5.00        Quarterly        12/20/25      USD 6,125        (582,300 )       (361,039 )       (221,261 ) 

CDX.NA.IG.35.V1

      1.00        Quarterly        12/20/25      USD 29,144        (724,429 )       (606,793 )       (117,636 ) 
              

 

 

     

 

 

     

 

 

  
               $ (1,389,126 )     $ (1,039,640 )     $ (349,486 ) 
              

 

 

     

 

 

     

 

 

  

Centrally Cleared Interest Rate Swaps

Paid by the Fund  

Received by the Fund

    Effective      Termination     

Notional

        

 

      Upfront
Premium
Paid		      Unrealized
Appreciation		  
Rate    Frequency   Rate    Frequency    Date      Date      Amount (000)      Value      (Received)      (Depreciation)  
0.24%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      04/06/21 (a)       12/15/22      USD     11,850      $ (13,238 )     $ 53      $ (13,291 ) 
0.26%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      04/06/21 (a)       12/15/22      USD     23,870        (33,001 )       (158 )       (32,843 ) 
(0.41%)    Annual   6-Month EURIBOR, (0.53%)    Semi-Annual      02/16/21 (a)       02/16/23      EUR     4,930        (14,247 )       27        (14,274 ) 
(0.40%)    Annual   6-Month EURIBOR, (0.53%)    Semi-Annual      02/16/21 (a)       02/16/23      EUR     4,920        (14,521 )       28        (14,549 ) 
(0.42%)    Annual   6-Month EURIBOR, (0.53%)    Semi-Annual      08/12/21 (a)       08/14/23      EUR     3,790        (9,136 )       21        (9,157 ) 
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.47%)    Annual      09/13/21 (a)       09/13/23      EUR     1,690        1,775        9        1,766  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.43%)    Annual      N/A        09/22/25      EUR     930        2,332        (340 )       2,672  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.44%)    Annual      N/A        09/23/25      EUR     950        1,679        10        1,669  
0.35%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        10/01/25      USD     1,220        2,946        10        2,936  
3-Month LIBOR,
0.24%		    Quarterly   0.45%    Semi-Annual      N/A        11/12/25      USD     7,030        13,902        66        13,836  
(0.26%)    Annual   6-Month EURIBOR, (0.53%)    Semi-Annual      08/16/22 (a)       08/16/27      EUR     970        (6,972 )       13        (6,985 ) 
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.25%)    Annual      08/16/22 (a)       08/16/27      EUR     1,940        14,918        26        14,892  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.24%)    Annual      08/16/22 (a)       08/16/27      EUR     1,940        15,709        26        15,683  
0.50%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        08/19/27      USD     80        506        1        505  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.28%)    Annual      09/19/22 (a)       09/20/27      EUR     890        4,665        (259 )       4,924  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.40%)    Annual      10/18/22 (a)       10/18/27      EUR     410        (902 )       6        (908 ) 
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.36%)    Annual      10/18/22 (a)       10/18/27      EUR     1,200        336        16        320  
6-Month EURIBOR,
(0.53%)		    Semi-Annual   (0.36%)    Annual      12/12/22 (a)       12/13/27      EUR     970        (488 )       13        (501 ) 
3-Month LIBOR,
0.24%		    Quarterly   0.71%    Semi-Annual      08/14/23 (a)       08/14/28      USD     7,130        (102,539 )       65        (102,604 ) 
3-Month LIBOR,
0.24%		    Quarterly   1.57%    Semi-Annual      N/A        02/11/30      USD     5        347        192        155  
0.96%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      03/31/21 (a)       08/15/30      USD     1,960        (7,274 )       32        (7,306 ) 
0.80%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        10/08/30      USD     1,520        15,219        24        15,195  
0.53%    Quarterly   3-Month LIBOR, 0.24%    Quarterly      N/A        10/21/30      USD     25        358        —        358  
3-Month LIBOR,
0.24%		    Quarterly   0.56%    Quarterly      N/A        10/21/30      USD     25        (387 )       —        (387 ) 
0.90%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        10/28/30      USD     890        606        14        592  
0.90%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        10/28/30      USD     890        781        14        767  
0.88%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        11/04/30      USD     680        1,601        11        1,590  
0.90%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        11/05/30      USD     1,720        1,690        28        1,662  
0.95%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        11/12/30      USD     1,350        (5,162 )       22        (5,184 ) 
0.96%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        11/12/30      USD     2,260        (10,080 )       37        (10,117 ) 
0.93%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        11/18/30      USD     480        (1,006 )       8        (1,014 ) 
0.95%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        12/04/30      USD     890        (2,659 )       14        (2,673 ) 
0.98%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        12/09/30      USD     480        (2,883 )       8        (2,891 ) 
0.96%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        12/11/30      USD     1,100        (4,257 )       18        (4,275 ) 
0.95%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        12/30/30      USD     240        (540 )       4        (544 ) 
0.97%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      N/A        12/30/30      USD     830        (3,262 )       13        (3,275 ) 
0.86%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      10/04/21 (a)       10/06/31      USD     190        3,557        3        3,554  
1.03%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      11/26/21 (a)       11/26/31      USD     620        2,702        10        2,692  
0.80%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      02/08/22 (a)       02/09/32      USD     2,910        85,880        47        85,833  
0.83%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      08/15/22 (a)       08/16/32      USD     16,030        551,234        49,365        501,869  
0.84%    Quarterly   3-Month LIBOR, 0.24%    Quarterly      N/A        10/22/40      USD     11        424        —        424  
3-Month LIBOR,
0.24%		    Quarterly   0.91%    Quarterly      N/A        10/22/40      USD     11        (415 )       —        (415 ) 
3-Month LIBOR,
0.24%		    Quarterly   0.99%    Semi-Annual      N/A        08/22/50      USD     155        (16,047 )       5        (16,052 ) 
3-Month LIBOR,
0.24%		    Quarterly   1.00%    Semi-Annual      N/A        08/22/50      USD     155        (15,625 )       5        (15,630 ) 
0.91%    Quarterly   3-Month LIBOR, 0.24%    Quarterly      N/A        10/21/50      USD     12        760        —        760  

 

 

92  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund  

Received by the Fund

    Effective      Termination     

Notional

        

 

      Upfront
Premium
Paid		      Unrealized
Appreciation		  
Rate    Frequency   Rate    Frequency    Date      Date      Amount (000)      Value      (Received)      (Depreciation)  
3-Month LIBOR,
0.24%		    Quarterly   0.99%    Quarterly      N/A        10/21/50      USD     12      $ (729 )     $ —      $ (729 ) 
1.02%    Semi-Annual   3-Month LIBOR, 0.24%    Quarterly      08/14/23 (a)       08/14/53      USD     1,320        171,195        41        171,154  
                     

 

 

     

 

 

     

 

 

  
                      $ 629,752      $ 49,548      $ 580,204  
                     

 

 

     

 

 

     

 

 

  

 

  (a)

Forward Swap.

 

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)		  
 
 

CMBX.NA.9

      1.00 %      Quarterly    

Citibank N.A.

     06/20/24       BBB-       USD       1,185     $ 18,283     $ (63,545 )    $ 81,828  

Rolls-Royce PLC

      1.00       Quarterly    

Citibank N.A.

     06/20/25       BB-       EUR       6       (610 )      (1,007 )      397  

Rolls-Royce PLC

      1.00       Quarterly    

Citibank N.A.

     06/20/25       BB-       EUR       14       (1,336 )      (2,215 )      879  

GKN Holdings PLC

      1.00       Quarterly    

Citibank N.A.

     12/20/25       BB+       EUR       10       (510 )      (517 )      7  

CMBX.NA.8

      3.00       Monthly    

Barclays Bank PLC

     10/17/57       NR       USD       5,000       (788,668 )      (495,518 )      (293,150 ) 

CMBX.NA.8

      3.00       Monthly    

Credit Suisse International

     10/17/57       NR       USD       2,500       (394,335 )      (245,105 )      (149,230 ) 

CMBX.NA.8

      3.00       Monthly    

Morgan Stanley & Co. International PLC

     10/17/57       NR       USD       4,450       (701,915 )      (578,703 )      (123,212 ) 

CMBX.NA.9

      3.00       Monthly    

Credit Suisse International

     09/17/58       NR       USD       5,000       (590,509 )      (531,063 )      (59,446 ) 

CMBX.NA.9

      3.00       Monthly    

Credit Suisse International

     09/17/58       NR       USD       5,000       (590,509 )      (531,063 )      (59,446 ) 

CMBX.NA.9

      3.00       Monthly    

Credit Suisse International

     09/17/58       NR       USD       5,000       (590,509 )      (525,262 )      (65,247 ) 
                

 

 

    

 

 

    

 

 

  
                 $ (3,640,618 )    $ (2,973,998 )    $ (666,620 ) 
                

 

 

    

 

 

    

 

 

  

 

  (a)

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

 
  (b) 

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

 

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

 

Description   Swap
Premiums
Paid		      Swap
Premiums
Received		     Unrealized
Appreciation		      Unrealized
Depreciation		     Value  

Centrally Cleared Swaps(a)

   $ 50,305      $ (1,040,397 )    $ 845,808      $ (615,090 )    $ —  

OTC Swaps

     —        (2,973,998 )      83,111        (749,731 )      —  

Options Written

     —        —       1,082,797        (728,578 )      (3,887,571 ) 

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized appreciation on futures contracts(a)

    $
 		  
—		  
 		    $
 		  
—		  
 		    $ —      $ —      $ 170,870      $ —      $ 170,870  

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

      —        —        —        44,686        —        —        44,686  

Options purchased

                     

Investments at value —
unaffiliated(b)

      —        —        —        —        1,776,793        —        1,776,793  

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   93

Schedule of Investments  (continued)

December 31, 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  

Swaps — centrally cleared

                     

Unrealized appreciation on centrally cleared swaps(a)

    $ —      $ —      $ —      $ —      $ 845,808      $ —      $ 845,808  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        83,111        —        —        —        —        83,111  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 83,111      $ —      $ 44,686      $ 2,793,471      $ —      $ 2,921,268  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

    $ —      $ —      $ —      $ —      $ 276,972      $ —      $ 276,972  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        490,838        —        —        490,838  

Options written

                     

Options written at value

      —        —        —        —        3,887,571        —        3,887,571  

Swaps — centrally cleared

                     

Unrealized depreciation on centrally cleared swaps(a)

      —        349,486        —        —        265,604        —        615,090  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        3,723,729        —        —        —        —        3,723,729  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 4,073,215      $ —      $ 490,838      $ 4,430,147      $ —      $ 8,994,200  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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).

 
  (b) 

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

 

For the year ended December 31, 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 )       $ —        $ 1,700,332        $ —        $ 1,699,614  

Forward foreign currency exchange contracts

      —          —          —          (811,544 )         —          —          (811,544 ) 

Options purchased(a)

      —          —          —          —          18,559          —          18,559  

Options written

      —          —          —          —          901          —          901  

Swaps

      —          1,348,821          —          —          (708,609 )         —          640,212  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ —        $ 1,348,821        $ (718 )       $ (811,544 )       $ 1,011,183        $ —        $ 1,547,742  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on

                                 

Futures contracts

    $ —        $ —        $ 35        $ —        $ (265,971 )       $ —        $ (265,936 ) 

Forward foreign currency exchange contracts

      —          —          —          3,323          —          —          3,323  

Options purchased(b)

      —          —          —          —          117,924          —          117,924  

Options written

      —          —          —          —          296,896          —          296,896  

Swaps

      —          (3,871,659 )         —          —          580,204          —          (3,291,455 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ —        $ (3,871,659 )       $ 35        $ 3,323        $ 729,053        $ —        $ (3,139,248 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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

 
  (b) 

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

   $ 171,975,004  

Average notional value of contracts — short

   $ 137,984,209  

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

   $ 51,846,554  

Average amounts sold — in USD

   $ 33,396,775  

Options

  

Average value of option contracts purchased

   $ 90,580  

Average value of option contracts written

   $ 160,877  

 

 

94  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)

Average notional value of swaption contracts purchased

   $ 48,025,000  

Average notional value of swaption contracts written

   $ 149,552,109  

Credit default swaps

  

Average notional value — buy protection

   $ 21,338,747  

Average notional value — sell protection

   $ 36,800,913  

Interest rate swaps

  

Average notional value — pays fixed rate

   $ 44,419,002  

Average notional value — receives fixed rate

   $ 19,250,465  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments

      

Futures contracts

    $ 69,093      $ 113,660  

Forward foreign currency exchange contracts

      44,686        490,838  

Options

      1,776,793 (a)       3,887,571  

Swaps — centrally cleared

      —        48,935  

Swaps — OTC(b)

      83,111        3,723,729  
  

 

 

     

 

 

  

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

      1,973,683        8,264,733  
  

 

 

     

 

 

  

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

      (163,005 )       (409,726 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 1,810,678      $ 7,855,007  
  

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 

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) 

Bank of America N.A.

    $ 91,093        $ (60,491 )     $ —        $ —        $ 30,602  

Citibank N.A.

      83,111          (83,111 )       —          —          —  

Deutsche Bank AG

      750,374          (750,374 )       —          —          —  

JPMorgan Chase Bank N.A.

      90,167          (16,337 )       —          —          73,830  

Morgan Stanley & Co. International PLC

      751,247          (704,770 )       —          —          46,477  

Natwest Markets PLC

      35,374          —        —          —          35,374  

UBS AG

      9,312          (9,312 )       —          —          —  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  
   $ 1,810,678        $ (1,624,395 )     $ —        $ —        $ 186,283  
  

 

 

       

 

 

     

 

 

       

 

 

       

 

 

  

 

Counterparty     



 Derivative
Liabilities
Subject to an
MNA by
Counterparty		  
 
 
 
 		       

 Derivatives
Available for
Offset		  
 
(a) 		     

 Non-Cash
Collateral
Pledged		  
 
 		       

 Cash
Collateral
Pledged		  
 
(c) 		     

 Net Amount
of Derivative
Liabilities		  
 
(d) 

Bank of America N.A.

    $ 60,491        $ (60,491 )     $ —        $ —      $ —  

Barclays Bank PLC

      1,441,889          —        —          (1,441,889 )       —  

BNP Paribas S.A.

      141,244          —        —          —        141,244  

Citibank N.A.

      343,212          (83,111 )       —          —        260,101  

Credit Suisse International

      2,165,862          —        —          (2,040,000 )       125,862  

Deutsche Bank AG

      2,505,718          (750,374 )       —          (1,755,344 )       —  

Goldman Sachs Bank USA

      314,645          —        —          —        314,645  

JPMorgan Chase Bank N.A.

      16,337          (16,337 )       —          —        —  

Morgan Stanley & Co. International PLC

      704,770          (704,770 )       —          —        —  

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   95

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Counterparty     

 Derivative

Liabilities

Subject to

an MNA by

Counterparty

  

 

 

 

 

     

 Derivatives

Available

for Offset

  

 

(a) 

     

 Non-Cash

Collateral

Pledged

  

 

 

     

 Cash

Collateral

Pledged

  

 

(c) 

     

 Net Amount

of Derivative

Liabilities

  

 

(d) 

Standard Chartered Bank

    $ 42,611      $ —      $ —      $ —      $ 42,611  

UBS AG

      118,228        (9,312 )       —        —        108,916  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 7,855,007      $   (1,624,395 )     $ —      $   (5,237,233 )     $ 993,379  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 
  (d) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

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

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Asset-Backed Securities

    $ —        $     26,673,450        $        814,296        $     27,487,746  

Common Stocks

                  

Construction & Engineering

               38,748          —          —          38,748  

Consumer Finance

      —          10,993          —          10,993  

Diversified Financial Services

      —          —          5,468          5,468  

Energy Equipment & Services

      —          —          10,601          10,601  

Health Care Management Services

      —          8          —          8  

Household Durables

      —          —          —          —  

Media

      64,203          —          —          64,203  

Metals & Mining

      —          14,018          8,607          22,625  

Oil, Gas & Consumable Fuels

      16,513          —          —          16,513  

Software

      364          —          —          364  

Specialty Retail

      —          85,918          —          85,918  

Corporate Bonds

                  

Aerospace & Defense

      —          13,312,439          —          13,312,439  

Air Freight & Logistics

      —          19,125          —          19,125  

Airlines

      —          9,987,242          —          9,987,242  

Auto Components

      —          5,619,361          —          5,619,361  

Automobiles

      —          10,969,561          —          10,969,561  

Banks

      —          9,952,547          —          9,952,547  

Beverages

      —          7,829,409          —          7,829,409  

Biotechnology

      —          78,698          —          78,698  

Building Materials

      —          5,173,932          —          5,173,932  

Building Products

      —          1,913,732          —          1,913,732  

Capital Markets

      —          3,162,780          —          3,162,780  

Chemicals

      —          9,626,885          —          9,626,885  

Commercial Services & Supplies

      —          3,503,363          —          3,503,363  

Communications Equipment

      —          3,840,693          —          3,840,693  

Construction & Engineering

      —          826,026          —          826,026  

Construction Materials

      —          5,572,749          —          5,572,749  

Consumer Discretionary

      —          1,454,695          —          1,454,695  

Consumer Finance

      —          9,514,094          —          9,514,094  

Containers & Packaging

      —          2,437,218          —          2,437,218  

Diversified Consumer Services

      —          5,631,599          —          5,631,599  

Diversified Financial Services

      —          11,934,869          —          11,934,869  

Diversified Telecommunication Services

      —          18,421,058          —          18,421,058  

Education

      —          207,000          —          207,000  

Electric Utilities

      —          4,501,189          —          4,501,189  

 

 

96  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Corporate Bonds (continued)

                  

Electrical Equipment

    $ —        $ 507,130        $        —        $ 507,130  

Electronic Equipment, Instruments & Components

      —          1,599,124          —          1,599,124  

Energy Equipment & Services

      —          1,652,560                 130,775          1,783,335  

Environmental, Maintenance, & Security Service

      —          3,204,543          —          3,204,543  

Equity Real Estate Investment Trusts (REITs)

      —          9,482,745          —          9,482,745  

Food & Staples Retailing

      —          9,771,155          —          9,771,155  

Food Products

      —          5,328,854          —          5,328,854  

Health Care Equipment & Supplies

      —          3,299,920          —          3,299,920  

Health Care Providers & Services

      —          22,288,760          —          22,288,760  

Health Care Technology

      —          4,395,859          —          4,395,859  

Hotels, Restaurants & Leisure

               29,881          28,051,223          —          28,081,104  

Household Durables

      —          4,183,995          —          4,183,995  

Household Products

      —          162,449          —          162,449  

Independent Power and Renewable Electricity Producers

      —          8,144,871          —          8,144,871  

Insurance

      —          10,794,103          —          10,794,103  

Interactive Media & Services

      —          3,951,711          —          3,951,711  

Internet Software & Services

      —          4,472,515          —          4,472,515  

IT Services

      —          7,638,737          —          7,638,737  

Leisure Products

      —          1,277,855          —          1,277,855  

Machinery

      —          4,306,046          —          4,306,046  

Media

      —          50,813,289          —          50,813,289  

Metals & Mining

      —          12,323,800          —          12,323,800  

Multi-line Retail

      —          435,833          —          435,833  

Offshore Drilling & Other Services

      —          769,085          —          769,085  

Oil, Gas & Consumable Fuels

      117,490          47,349,703          1,511,727              48,978,920  

Personal Products

      —          275,260          —          275,260  

Pharmaceuticals

      —          8,754,294          —          8,754,294  

Producer Durables: Miscellaneous

      —          200,480          —          200,480  

Real Estate

      —          289,501          —          289,501  

Real Estate Management & Development

      —          25,056,207          —          25,056,207  

Road & Rail

      —          2,187,993          —          2,187,993  

Semiconductors & Semiconductor Equipment

      122,014          9,096,244          —          9,218,258  

Software

      —          12,230,170          —          12,230,170  

Specialty Retail

      —          2,923,590          —          2,923,590  

Technology Hardware, Storage & Peripherals

      —          1,100,422          —          1,100,422  

Textiles, Apparel & Luxury Goods

      —          474,938          —          474,938  

Thrifts & Mortgage Finance

      —          817,783          —          817,783  

Transportation

      —          122,470          —          122,470  

Transportation Infrastructure

      —          1,388,967          —          1,388,967  

Utilities

      —          2,967,751          —          2,967,751  

Wireless Telecommunication Services

      —          15,494,941          —          15,494,941  

Floating Rate Loan Interests

      —          255,518,392          7,511,633          263,030,025  

Foreign Agency Obligations

      —          21,943,113          —          21,943,113  

Investment Companies

      3,778,650          —          —          3,778,650  

Non-Agency Mortgage-Backed Securities

      —          9,698,213          —          9,698,213  

Other Interests

      —          —          —          —  

Preferred Securities

                  

Capital Trusts

      —          32,902,307          —          32,902,307  

Preferred Stocks

      10,491,385          —          —          10,491,385  

Trust Preferred

      2,860,619          —          —          2,860,619  

U.S. Government Sponsored Agency Securities

      —          2,678,355          —          2,678,355  

U.S. Treasury Obligations

      —              17,064,758          —          17,064,758  

Warrants

      —          74,883          —          74,883  

Short-Term Securities

                  

Money Market Funds

      9,760,422          —          —          9,760,422  

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   97

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Options Purchased

                  

Interest Rate Contracts

    $ 93,912        $ 1,682,881        $ —        $ 1,776,793  

Unfunded Floating Rate Loan Interests

      —          —          —          —  

Liabilities

                  

Investments

                  

Unfunded Floating Rate Loan Interests

      —          (182 )         —          (182 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $   27,374,201        $   843,424,247        $     9,993,107          880,791,555  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(a)

                     1,830  
                 

 

 

  
                  $   880,793,385  
                 

 

 

  

Derivative Financial Instruments(b)

                  

Assets

                  

Credit Contracts

    $ —        $ 83,111        $ —        $ 83,111  

Foreign Currency Exchange Contracts

      —          44,686          —          44,686  

Interest Rate Contracts

      170,870          845,808          —          1,016,678  

Liabilities

                  

Credit Contracts

      —          (1,099,217 )         —          (1,099,217 ) 

Foreign Currency Exchange Contracts

      —          (490,838 )         —          (490,838 ) 

Interest Rate Contracts

      (524,103 )         (3,906,044 )         —          (4,430,147 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (353,233 )       $ (4,522,494 )       $ —        $ (4,875,727 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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.

 
  (b) 

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

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $275,105,145 are categorized as Level 2 within the disclosure hierarchy.

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

 

      Asset-Backed
Securities		        Common
Stocks		        Corporate
Bonds		       

Floating

Rate Loan

Interests

        Other
Interests		      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

      —          —          —          380,793          —        380,793  

Transfers out of Level 3

      —          —          —          (3,712,401 )         —        (3,712,401 ) 

Accrued discounts/premiums

      (95,400 )         —          4,191          40,882          —        (50,327 ) 

Net realized gain (loss)

      —          (7,400 )         601          (236,809 )         2,164        (241,444 ) 

Net change in unrealized appreciation (depreciation)(a)(b)

      (22,927 )         (386,469 )         (21,208 )         305,400          (10 )       (125,214 ) 

Purchases

      294,000          3,639          135,187          5,178,636          —        5,611,462  

Sales

      (376,980 )         (108,001 )         (37,421 )         (3,419,347 )         (2,164 )       (3,943,913 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

Closing balance, as of December 31, 2020

    $ 814,296        $ 24,676        $ 1,642,502        $ 7,511,633        $ — (c)     $ 9,993,107  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(a)

    $ (22,927 )       $ (363,666 )       $ (21,208 )       $ 283,013        $ —      $ (124,788 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

 
  (c) 

Rounds to less than $1.

 
     

Credit

        Contracts
Assets

                        Total  

Opening Balance as of December 31, 2019

    $ 84,334        $ 84,334  

Transfers in Level 3

      —          —  

Transfers out of Level 3

      (84,334 )         (84,334 ) 

Accrued discounts/premiums

      —          —  

Net realized gain (loss)

      —          —  

Net change in unrealized appreciation (depreciation)

      —          —  

Purchases

      —          —  

 

 

98  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Schedule of Investments  (continued)

December 31, 2020

   

BlackRock Limited Duration Income Trust (BLW)

    

 

     

Credit

        Contracts

Assets

                        Total  

Issues

    $ —        $ —  

Sales

      —          —  
  

 

 

       

 

 

  

Closing Balance, as of December 31, 2020

    $ —        $         —  
  

 

 

       

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020

    $ —        $ —  
  

 

 

       

 

 

  

The Fund’s 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 financial instruments.

See notes to financial statements.

 

 

S C H E D U L E   O F  I N V E S T M E  N T S

   99

Statements of Assets and Liabilities

December 31, 2020

   

    

    

 

    DSU      FRA      BLW  

 

  

ASSETS

        

Investments at value — unaffiliated(a)

   $ 777,750,466      $ 706,961,614      $ 869,651,845  

Investments at value — affiliated(b)

     10,799,670        11,695,920        11,141,722  

Cash

     906,205        3,567,244        2,777,799  

Cash pledged:

        

Collateral — OTC derivatives

     30,000        —        5,610,000  

Futures contracts

     —        —        1,071,470  

Centrally cleared swaps

     —        —        2,866,000  

Foreign currency at value(c)

     197,575        4,623        1,463,080  

Receivables:

        

Investments sold

     2,564,095        2,610,072        2,825,822  

Options written

     —        —        129,312  

Dividends — unaffiliated

     —        —        71,034  

Dividends — affiliated

     73        27        243  

Interest — unaffiliated

     3,596,668        2,367,589        8,844,793  

Variation margin on futures contracts

     —        —        69,093  

Unrealized appreciation on:

        

Forward foreign currency exchange contracts

     4,905        4,534        44,686  

OTC swaps

     13,519        —        83,111  

Prepaid expenses

     4,995        4,545        5,543  

Other assets

     3,111        —        —  
 

 

 

     

 

 

     

 

 

  

Total assets

     795,871,282        727,216,168        906,655,553  
 

 

 

     

 

 

     

 

 

  

LIABILITIES

        

Cash received as collateral for reverse repurchase agreements

     —        —        3,860,681  

Options written at value(d)

     —        —        3,887,571  

Reverse repurchase agreements at value

     —        —        275,105,145  

Payables:

        

Investments purchased

     24,638,250        27,706,046        10,747,991  

Bank borrowings

     229,000,000        208,000,000        —  

Income dividend distributions

     2,818,804        2,356,854        3,498,452  

Interest expense

     229,525        193,060        —  

Investment advisory fees

     358,194        443,124        408,248  

Directors’ and Officer’s fees

     377,818        1,471        468,409  

Options written

     —        —        6,909  

Other accrued expenses

     251,429        284,376        362,196  

Variation margin on futures contracts

     —        —        113,660  

Variation margin on centrally cleared swaps

     —        —        48,935  

Swap premiums received

     30,662        —        2,973,998  

Unrealized depreciation on:

        

Forward foreign currency exchange contracts

     207,597        179,533        490,838  

OTC swaps

     —        —        749,731  

Unfunded floating rate loan interests

     400        453        182  
 

 

 

     

 

 

     

 

 

  

Total liabilities

     257,912,679        239,164,917        302,722,946  
 

 

 

     

 

 

     

 

 

  

NET ASSETS

   $ 537,958,603      $ 488,051,251      $ 603,932,607  
 

 

 

     

 

 

     

 

 

  

 

 

100  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Statements of Assets and Liabilities  (continued)

December 31, 2020

   

    

    

 

         DSU     FRA     BLW  

 

  
NET ASSETS CONSIST OF              

Paid-in capital(e)(f)(g)

    $ 658,028,410     $ 544,777,667     $ 628,685,591  

Accumulated loss

      (120,069,807 )      (56,726,416 )      (24,752,984 ) 
    

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 537,958,603     $ 488,051,251     $ 603,932,607  
    

 

 

    

 

 

    

 

 

  

Net asset value(e)(f)(g)

    $ 11.55     $ 13.81     $ 16.93  
    

 

 

    

 

 

    

 

 

  
(a)    Investments at cost — unaffiliated    $ 795,836,854     $ 711,977,024     $ 841,960,401  
(b)    Investments at cost — affiliated    $ 10,107,553     $ 10,714,081     $ 11,030,116  
(c)    Foreign currency at cost    $ 197,533     $ 4,524     $ 1,440,566  
(d)    Premiums received    $ —       $ —       $ 4,241,790  
(e)    Shares outstanding      46,591,807       35,335,136       35,662,105  
(f)    Shares authorized      400 million       200 million       Unlimited  
(g)    Par value    $ 0.10     $ 0.10     $ 0.001  

See notes to financial statements.

 

 

F I N A N C I A L  S T A T E M E N T  S

   101

Statements of Operations

Year Ended December 31, 2020

   

    

    

 

    DSU     FRA     BLW  

 

  

INVESTMENT INCOME

      

Dividends — unaffiliated

   $ 252,726     $ 757,606     $ 964,975  

Dividends — affiliated

     361,370       472,972       49,844  

Interest — unaffiliated

     36,656,331       30,665,039       41,528,956  

Other income

     568,659       609,616       285,018  

Foreign taxes withheld

     (259 )      —         (3,799 ) 
 

 

 

    

 

 

    

 

 

  

Total investment income

     37,838,827       32,505,233       42,824,994  
 

 

 

    

 

 

    

 

 

  

EXPENSES

      

Investment advisory

     4,133,648       5,064,539       4,562,948  

Professional

     232,783       125,595       143,353  

Transfer agent

     203,332       54,543       76,127  

Accounting services

     106,482       99,462       114,483  

Directors and Officer

     57,525       29,888       61,842  

Custodian

     32,810       32,051       97,660  

Printing and postage

     19,870       12,023       31,580  

Registration

     17,273       12,550       12,524  

Miscellaneous

     61,966       38,815       99,161  
 

 

 

    

 

 

    

 

 

  

Total expenses excluding interest expense

     4,865,689       5,469,466       5,199,678  

Interest expense

     2,991,162       2,573,688       2,785,586  
 

 

 

    

 

 

    

 

 

  

Total expenses

     7,856,851       8,043,154       7,985,264  

Less:

      

Fees waived and/or reimbursed by the Manager

     (48,757 )      (79,422 )      (10,616 ) 
 

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     7,808,094       7,963,732       7,974,648  
 

 

 

    

 

 

    

 

 

  

Net investment income

     30,030,733       24,541,501       34,850,346  
 

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

      

Net realized gain (loss) from:

      

Investments — unaffiliated

     (26,196,236 )      (20,511,695 )      (9,881,333 ) 

Investments — affiliated

     65,135       144,383       111,075  

Foreign currency transactions

     54,038       13,479       81,843  

Forward foreign currency exchange contracts

     (601,720 )      (322,988 )      (811,544 ) 

Futures contracts

     (4,448 )      —       1,699,614  

Options written

     —       —       901  

Swaps

     (596,967 )      517,108       640,212  
 

 

 

    

 

 

    

 

 

  
    (27,280,198 )      (20,159,713 )      (8,159,232 ) 
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

      

Investments — unaffiliated

     (2,804,933 )      (317,976 )      13,809,101  

Investments — affiliated

     692,117       981,839       111,606  

Foreign currency translations

     872       (12,390 )      (5,800 ) 

Forward foreign currency exchange contracts

     (3,005 )      (28,212 )      3,323  

Futures contracts

     228       —       (265,936 ) 

Options written

     —       —       296,896  

Swaps

     242,007       —       (3,291,455 ) 

Unfunded floating rate loan interests

     (167,690 )      (149,781 )      (55,467 ) 
 

 

 

    

 

 

    

 

 

  
    (2,040,404 )      473,480       10,602,268  
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

     (29,320,602 )      (19,686,233 )      2,443,036  
 

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 710,131     $ 4,855,268     $ 37,293,382  
 

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

 

102  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Statements of Changes in Net Assets

   

    

    

 

    DSU     FRA  
          Period from                 Period from        
    Year Ended     03/01/19     Year Ended     Year Ended     09/01/19     Year Ended  
    12/31/20     to 12/31/19     02/28/19     12/31/20     to 12/31/19     08/31/19  

 

  

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

            

Net investment income

   $ 30,030,733     $ 32,028,542     $ 42,457,853     $ 24,541,501     $ 9,182,798     $ 30,775,188  

Net realized loss

     (27,280,198 )      (10,374,472 )      (7,363,476 )      (20,159,713 )      (1,960,481 )      (9,782,691 ) 

Net change in unrealized appreciation (depreciation)

     (2,040,404 )      19,737,256       (16,979,647 )      473,480       8,098,171       (6,388,475 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     710,131       41,391,326       18,114,730       4,855,268       15,320,488       14,604,022  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

            

From net investment income

     (29,156,637 )      (37,103,506 )      (44,243,908 )      (24,834,098 )      (13,875,793 )      (32,025,983 ) 

Return of capital

     (10,264,492 )      (1,264,429 )      —       (8,006,999 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
Decrease in net assets resulting from distributions to shareholders     (39,421,129 )      (38,367,935 )      (44,243,908 )      (32,841,097 )      (13,875,793 )      (32,025,983 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

            

Redemption of shares resulting from share repurchases (including transaction costs)

     (28,570,553 )      (39,003,259 )      (74,855,117 )      (6,507,629 )      (5,346,886 )      (11,500,788 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

            

Total decrease in net assets

     (67,281,551 )      (35,979,868 )      (100,984,295 )      (34,493,458 )      (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

   $   537,958,603     $   605,240,154     $   641,220,022     $   488,051,251     $   522,544,709     $   526,446,900  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)  

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

See notes to financial statements.

 

 

F I N A N C I A L  S T A T E M E N T  S

   103

Statements of Changes in Net Assets  (continued)

   

    

    

 

    BLW  
   

Year Ended

12/31/20

    

Period from

09/01/19

to 12/31/19

    

Year Ended

08/31/19

  

 

  

INCREASE (DECREASE) IN NET ASSETS

      

OPERATIONS

      

Net investment income

   $ 34,850,346     $ 10,824,978     $ 34,113,194  

Net realized loss

     (8,159,232 )      (1,710,596 )      (4,073,290 ) 

Net change in unrealized appreciation

     10,602,268       8,611,334       14,386,640  
 

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     37,293,382       17,725,716       44,426,544  
 

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

      

From net investment income

     (36,735,203 )      (16,909,431 )      (34,575,364 ) 

Return of capital

     (5,328,251 )      —       —  
 

 

 

    

 

 

    

 

 

  

Decrease in net assets resulting from distributions to shareholders

     (42,063,454 )      (16,909,431 )      (34,575,364 ) 
 

 

 

    

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

      

Redemption of shares resulting from share repurchase program (including transaction costs)

     (2,364,913 )      —       (11,648,172 ) 
 

 

 

    

 

 

    

 

 

  

NET ASSETS

      

Total increase (decrease) in net assets

     (7,134,985 )      816,285       (1,796,992 ) 

Beginning of period

     611,067,592       610,251,307       612,048,299  
 

 

 

    

 

 

    

 

 

  

End of period

   $ 603,932,607     $ 611,067,592     $ 610,251,307  
 

 

 

    

 

 

    

 

 

  

 

(a) 

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

See notes to financial statements.

 

 

104  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Statements of Cash Flows

Year Ended December 31, 2020

   

    

    

 

    DSU     FRA     BLW  

 

  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

      

Net increase in net assets resulting from operations

   $ 710,131     $ 4,855,268     $ 37,293,382  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities

      

Proceeds from sales of long-term investments and principal paydowns/payups

     584,855,008       467,458,162       536,553,434  

Purchases of long-term investments

     (511,472,552 )      (443,298,512 )      (582,806,393 ) 

Net proceeds from sales (purchases) of short-term securities

     674,733       432,271       (8,054,328 ) 

Amortization of premium and accretion of discount on investments and other fees

     (1,180,154 )      (1,053,355 )      38,150  

Paid-in-kind income

     (665,016 )      (648,515 )      (239,924 ) 

Premiums paid on closing options written

     —       —       (509,067 ) 

Premiums received from options written

     —       —       4,606,767  

Net realized loss on investments and options written

     26,141,566       20,395,373       9,779,573  

Net unrealized (appreciation) depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

     2,041,504       (485,870 )      (9,957,590 ) 

(Increase) Decrease in Assets

      

Receivables

      

Dividends — affiliated

     1,965       1,427       5,011  

Dividends — unaffiliated

     —       —       4  

Interest — unaffiliated

     32,765       (711,260 )      (1,243,956 ) 

Variation margin on futures contracts

     —       —       94,453  

Variation margin on centrally cleared swaps

     —       —       7,859  

Swap premiums paid

     6,417       —       5,483  

Prepaid expenses

     (234 )      (595 )      (918 ) 

Other assets

     5,516       —       —  

Increase (Decrease) in Liabilities

      

Cash received

      

Collateral — reverse repurchase agreements

     —       —       3,801,393  

Payables

      

Interest expense

     (310,040 )      (250,468 )      (1,069,785 ) 

Investment advisory fees

     (420,101 )      (460,787 )      (338,191 ) 

Directors’ and Officer’s fees

     15,120       904       14,005  

Other accrued expenses

     (126,033 )      (80,856 )      (55,294 ) 

Variation margin on futures contracts

     —       —       73,125  

Variation margin on centrally cleared swaps

     —       —       48,935  

Swap premiums received

     (22,935 )      —       (1,009,285 ) 

Other liabilities

     (575,071 )      (568,672 )      (205,327 ) 
 

 

 

    

 

 

    

 

 

  

Net cash provided by (used for) operating activities

     99,712,589       45,584,515       (13,168,484 ) 
 

 

 

    

 

 

    

 

 

  

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

      

Cash dividends paid to shareholders

     (40,115,790 )      (33,313,561 )      (42,080,186 ) 

Payments for bank borrowings

     (354,000,000 )      (314,000,000 )      —  

Net payments on redemption of capital shares

     (28,570,553 )      (6,507,629 )      (2,364,913 ) 

Proceeds from bank borrowings

     321,000,000       308,000,000       —  

Net borrowing of reverse repurchase agreements

     —       —       62,775,484  
 

 

 

    

 

 

    

 

 

  

Net cash provided by (used for) for financing activities

     (101,686,343 )      (45,821,190 )      18,330,385  
 

 

 

    

 

 

    

 

 

  

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

      

Cash impact from foreign exchange fluctuations

     (1,749 )      (12,384 )      (9,654 ) 
 

 

 

    

 

 

    

 

 

  

CASH AND FOREIGN CURRENCY

      

Net increase (decrease) in restricted and unrestricted cash and foreign currency

     (1,975,503 )      (249,059 )      5,152,247  

Restricted and unrestricted cash and foreign currency at beginning of year

     3,109,283       3,820,926       8,636,102  
 

 

 

    

 

 

    

 

 

  

Restricted and unrestricted cash and foreign currency at end of year

   $ 1,133,780     $ 3,571,867     $ 13,788,349  
 

 

 

    

 

 

    

 

 

  

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

      

Cash paid during the year for interest expense

   $ 3,301,202     $ 2,824,156     $ 3,855,371  
 

 

 

    

 

 

    

 

 

  

 

 

F I N A N C I A L  S T A T E M E N T  S

   105

Statements of Cash Flows  (continued)

Year Ended December 31, 2020

   

    

    

 

    DSU      FRA      BLW  

 

  

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

        

Cash

   $ 906,205      $ 3,567,244      $ 2,777,799  

Cash pledged

        

Collateral — OTC derivatives

     30,000        —        5,610,000  

Futures contracts

     —        —        1,071,470  

Centrally cleared swaps

     —        —        2,866,000  

Foreign currency at value

     197,575        4,623        1,463,080  
 

 

 

     

 

 

     

 

 

  
  $     1,133,780      $     3,571,867      $     13,788,349  
 

 

 

     

 

 

     

 

 

  

See notes to financial statements.

 

 

106  

2 0 2 0  B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

Financial Highlights

(For a share outstanding throughout each period)

 

    DSU  
 

 

Year Ended
12/31/20

 
 

      

 Period from

03/01/19

to 12/31/19

  

 

 

        Year Ended February 28,     

 

Year Ended
February 29, 2016


(a)(b) 

                  2019        2018 (a)   

 

2017

(a) 

           
                   

Net asset value, beginning of period

   $ 12.25       $ 12.16        $ 12.62      $ 12.70     $ 11.38        $ 12.87  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Net investment income(c)

     0.63         0.64          0.79        0.78       0.73          0.77  

Net realized and unrealized gain (loss)

     (0.50 )        0.21          (0.43 )       (0.04 )      1.34          (1.46 ) 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Net increase (decrease) from investment operations

     0.13         0.85          0.36        0.74       2.07          (0.69 ) 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Distributions(d)

                     

From net investment income

     (0.61 )        (0.73 )         (0.82 )       (0.82 )      (0.75 )         (0.80 ) 

Return of capital

     (0.22 )        (0.03 )         —        —       —          —  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Total distributions

     (0.83 )        (0.76 )         (0.82 )       (0.82 )      (0.75 )         (0.80 ) 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Net asset value, end of period

   $ 11.55       $ 12.25        $ 12.16      $ 12.62     $ 12.70        $ 11.38  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Market price, end of period

   $ 10.45       $ 11.20        $ 10.78      $ 11.47     $ 11.68        $ 9.96  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Total Return(e)

                     

Based on net asset value

     2.57 %        8.03 %(f)         3.86 %       6.60 %(g)      19.57 %         (4.73 )% 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Based on market price

     1.50 %        11.42 %(f)         1.30 %       5.35 %      25.53 %         (6.03 )% 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Ratios to Average Net Assets(h)

                     

Total expenses

     1.48 %        2.21 %(i)(j)         2.23 %       1.86 %      1.36 %         1.18 % 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed

     1.47 %        2.21 %(i)(j)         2.23 %       1.85 %      1.35 %         1.18 % 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.91 %        0.92 %(i)         0.96 %       0.94 %      0.87 %         0.84 % 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Net investment income

     5.65 %        6.25 %(i)         6.40 %       6.12 %      6.04 %         6.29 % 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Supplemental Data

                     

Net assets, end of period (000)

   $ 537,959       $ 605,240        $ 641,220      $ 742,204     $ 780,810        $ 709,236  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Borrowings outstanding, end of period (000)

   $ 229,000       $ 262,000        $ 278,000      $ 338,000     $ 318,000        $ 190,000  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Asset coverage, end of period per $1,000 of bank borrowings

   $ 3,349       $ 3,310        $ 3,308      $ 3,196     $ 3,455        $ 4,733  
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

Portfolio turnover rate

     67 %        53 %         62 %       59 %      55 %         41 % 
 

 

 

      

 

 

       

 

 

     

 

 

    

 

 

       

 

 

  

 

(a) 

Consolidated Financial Highlights through November 30, 2017.

(b) 

Per share operating performance amounts have been adjusted to reflect a one-for-three reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016.

(c) 

Based on average shares outstanding.

(d) 

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

(e)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) 

Aggregate total return.

(g) 

Includes payment from an affiliate, which had no impact on the Fund’s total return.

(h) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

     

Year Ended
12/31/20

             

Period from
03/01/19

to 12/31/19

              Year Ended February 28,          
       2019        2018 (a)       2017 (a)               
 Year Ended
February 29, 2016
(a)(b) 

Investments in underlying funds

               0.02 %                   0.03 %                    — %              — %                0.02 %                   0.01 % 
  

 

 

        

 

 

        

 

 

     

 

 

     

 

 

        

 

 

  

 

(i) 

Annualized.

(j) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

 

 

F I N A N C I A L  H I G H L I G H T  S

   107

Financial Highlights (continued)

(For a share outstanding throughout each period)

        

 

    FRA  
   

Year Ended

12/31/20

    

Period from
09/01/19

to 12/31/19

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

Net asset value, beginning of period

   $ 14.55     $ 14.49     $ 14.92     $ 14.93     $ 14.78     $ 14.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(b)

     0.69       0.25       0.84       0.79       0.76       0.76  

Net realized and unrealized gain (loss)

     (0.51 )      0.19       (0.40 )      (0.06 )      0.20       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase from investment operations

     0.18       0.44       0.44       0.73       0.96       0.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(c)

            

From net investment income

     (0.70 )      (0.38 )      (0.87 )      (0.74 )      (0.81 )      (0.75 ) 

Return of capital

     (0.22 )      —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.92 )      (0.38 )      (0.87 )      (0.74 )      (0.81 )      (0.75 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 13.81     $ 14.55     $ 14.49     $ 14.92     $ 14.93     $ 14.78  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Market price, end of period

   $ 12.11     $ 13.44     $ 12.46     $ 13.80     $ 14.10     $ 13.70  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(d)

            

Based on net asset value

     2.76 %      3.41 %(e)      3.94 %      5.28 %      6.93 %      5.00 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Based on market price

     (2.45 )%      11.08 %(e)      (3.37 )%      3.11 %      8.95 %      12.14 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(f)

            

Total expenses

     1.69 %      2.20 %(g)(h)      2.45 %      2.23 %      1.88 %      1.54 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     1.67 %      2.20 %(g)(h)      2.45 %      2.22 %      1.88 %      1.54 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     1.13 %      1.19 %(g)      1.16 %      1.20 %      1.21 %      1.14 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     5.15 %      5.26 %(g)      5.74 %      5.27 %      5.08 %      5.27 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

            

Net assets, end of period (000)

   $ 488,051     $ 522,545     $ 526,447     $ 555,370     $ 555,972     $ 550,271  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of period (000)

   $ 208,000     $ 214,000     $ 204,000     $ 233,000     $ 237,000     $ 225,000  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Asset coverage, end of period per $1,000 of bank borrowings

   $ 3,346     $ 3,442     $ 3,582     $ 3,385     $ 3,346     $ 3,446  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate

     65 %      16 %      53 %      57 %      64 %      48 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(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) 

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.

(e) 

Aggregate total return.

(f)

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

                                                                                                                 
    

Year Ended

12/31/20

    

Period from
09/01/19

to 12/31/19

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

Investments in underlying funds

     0.03 %      0.04 %      0.03 %      0.01 %      — %      — % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(g) 

Annualized.

(h) 

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.

 

 

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Financial Highlights   (continued)

(For a share outstanding throughout each period)

 

    BLW  
   

Year Ended

12/31/20

    

Period from
09/01/19

to 12/31/19

     Year Ended August 31,  
     2019     2018     2017     2016  
             

Net asset value, beginning of period

   $ 17.05     $ 17.03     $ 16.71     $ 17.02     $ 16.84     $ 17.04  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.98       0.31       0.94       0.95       1.01       1.32  

Net realized and unrealized gain (loss)

     0.08       0.18       0.33       (0.31 )      0.44       (0.22 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase from investment operations

     1.06       0.49       1.27       0.64       1.45       1.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions(b)

            

From net investment income

     (1.03 )      (0.47 )      (0.95 )      (0.95 )      (1.27 )      (1.30 ) 

Return of capital

     (0.15 )      —       —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (1.18 )      (0.47 )      (0.95 )      (0.95 )      (1.27 )      (1.30 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 16.93     $ 17.05     $ 17.03     $ 16.71     $ 17.02     $ 16.84  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Market price, end of period

   $ 15.92     $ 16.39     $ 15.44     $ 15.06     $ 15.99     $ 15.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(c)

            

Based on net asset value

     7.58 %      3.11 %(d)      8.77 %      4.42 %      9.62 %      7.78 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Based on market price

     5.24 %      9.32 %(d)      9.41 %      0.18 %      10.18 %      17.59 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets(e)

            

Total expenses

     1.39 %      1.64 %(f)(g)      1.81 %      1.73 %      1.45 %      1.21 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     1.39 %      1.64 %(f)(g)      1.81 %      1.73 %      1.45 %      1.21 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

     0.90 %      0.89 %(f)      0.84 %      0.89 %      0.89 %      0.89 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     6.07 %      5.32 %(f)      5.69 %      5.60 %      6.00 %      8.04 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

            

Net assets, end of period (000)

   $ 603,933     $ 611,068     $ 610,251     $ 612,048     $ 629,728     $ 623,219  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of period (000)

   $ 275,105     $ 213,399     $ 202,539     $ 234,622     $ 252,280     $ 263,445  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate(h)

     65 %      14 %      50 %      50 %      55 %      54 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

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

(c) 

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.

(d) 

Aggregate total return.

(e) 

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

                                                                                                                             
     

 Year Ended

12/31/20

  

 

    

 Period from
09/01/19

to 12/31/19

  
 

 

     Year Ended August 31,  
      2019       2018       2017       2016  

Investments in underlying funds

     0.01 %      0.02 %      0.02 %      — %      — %      — % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(f) 

Annualized.

(g) 

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%.

(h) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

                                                                                                                             
     

 Year Ended

12/31/20

  

 

    

 Period from
09/01/19

to 12/31/19

  
 

 

     Year Ended August 31,  
      2019       2018       2017       2016  

Portfolio turnover rate (excluding MDRs)

     58 %      14 %      50 %      50 %      55 %      54 % 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

 

F I N A N C I A L  H I G H L I G H T  S

   109

Notes to Financial Statements  

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name    Herein Referred To As        Organized       

Diversification

Classification

  

BlackRock Debt Strategies Fund, Inc.

      DSU          Maryland          Diversified  

BlackRock Floating Rate Income Strategies Fund, Inc.

      FRA          Maryland          Diversified  

BlackRock Limited Duration Income Trust

      BLW          Delaware          Diversified  

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

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of 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 using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 daily 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 effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments 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.

Foreign Taxes: Certain Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Statements of Assets and Liabilities.

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.

 

 

110  

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Notes to Financial Statements   (continued)   

 

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 Income Tax Information note 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 each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, 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: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its 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 that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. 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.

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.

 

  •  

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price 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), market data, 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.

 

  •  

Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds 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 (including money market funds) are valued at that day’s published NAV.

 

  •  

Futures contracts are valued 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.

 

 

N O T E S  T O  F I N A N C I A L  S  T A T E M E N T S

   111

Notes to Financial Statements  (continued)        

 

  •  

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

  •  

Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 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 applicable to 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 financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting 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); and

 

  •  

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 financial instruments).

 

 

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Notes to Financial Statements  (continued)   

 

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 that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2020, certain investments of BLW were fair valued using NAV as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

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

 

 

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Notes to Financial Statements  (continued)        

 

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 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

    Precision Medicine Group LLC      $   227,084        $ 227,084        $     227,084        $ —  
   Therma Intermediate LLC        120,176          120,176          119,776          (400 ) 

FRA

    Precision Medicine Group LLC        256,788          256,788          256,788          —  
   Therma Intermediate LLC        135,924          135,924          135,471          (453 ) 

BLW

    Precision Medicine Group LLC        104,764          104,764          104,764          —  
     Therma Intermediate LLC        54,771          54,771          54,589          (182 ) 

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

 

 

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Notes to Financial Statements  (continued)   

 

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.

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 a fund realizes 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 year ended December 31, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $255,572,627 and 1.09%, 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		  
(a) 		     Net Amount (b) 

Barclays Capital, Inc.

   $ (90,366,881 )    $ 90,366,881     $ —     $ —  

BNP Paribas S.A.

     (132,071,237 )      132,071,237       —       —  

BoFA Securities, Inc.

     (110,168 )      110,168       —       —  

Credit Suisse Securities (USA) LLC

     (450,365 )      450,365       —       —  

Goldman Sachs & Co.

     (3,016,573 )      3,016,573       —       —  

HSBC Securities (USA), Inc.

     (16,246,250 )      15,924,293       —       (321,957 ) 

J.P. Morgan Securities LLC

     (202,484 )      202,484       —       —  

RBC Capital Markets LLC

     (32,641,187 )      32,641,187       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

  
  $ (275,105,145 )    $ 274,783,188     $ —     $ (321,957 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Net collateral, including accrued interest, with a value of $320,148,184 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

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

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

 

 

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Notes to Financial Statements  (continued)        

 

Futures Contracts: 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 exchange-traded 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 rates, 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 contracts are traded OTC and not on an organized exchange.

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

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.

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.

 

 

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Notes to Financial Statements  (continued)   

 

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 CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is 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, each Fund agrees 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 are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

 

  •  

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 its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a 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, a 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against 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 the counterparties are not fully collateralized, each Fund bears 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, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

 

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Notes to Financial Statements  (continued)        

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, 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” mean 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.

Distribution Fees: FRA had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of December 31, 2020, FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the Distribution Agreement, FRA will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2020 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2022. 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 a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2020, the amounts waived were as follows:

 

Fund Name   Amounts Waived  

DSU

   $ 1,559  

FRA

     915  

BLW

     4,173  

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, 2022. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2020, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

Fund Name   Amounts Waived  

DSU

   $ 47,198  

FRA

     78,507  

BLW

     6,443  

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

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended December 31, 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:

 

Fund Name    Purchases      Sales      Net Realized
Gain (Loss)		  

DSU

    $  114,109      $  7,365,717      $ (175,340 ) 

FRA

      —        623,665        (93,730 ) 

BLW

      1,769,374        1,856,170        74,614  

 

 

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Notes to Financial Statements  (continued)

 

7.

PURCHASES AND SALES

For the year ended December 31, 2020, purchases and sales of investments, including paydowns/payups and excluding short-term investments, were as follows:

 

     U.S. Government
Securities		      Other Securities  
Fund Name   Purchases      Sales      Purchases      Sales  

DSU

   $ —      $ —      $  516,395,797      $  580,226,575  

FRA

     —        —        456,569,766        462,027,347  

BLW

     —        1,600,000        585,926,923        537,004,068  

For the year ended December 31, 2020, purchases and sales related to mortgage dollar rolls were as follows:

 

Fund Name   Purchases      Sales  

    BLW

   $  53,749,990      $  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 a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 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.

The tax character of distributions paid was as follows:

 

     Period      DSU      FRA      BLW  

Ordinary income

     12/31/2020      $  29,156,637      $  24,834,098      $  36,735,203  
    12/31/2019        37,103,506        13,875,793        16,909,431  
    8/31/2019        —        32,025,983        34,575,364  
    2/28/2019        44,243,908        —        —  

Return of Capital

     12/31/2020        10,264,492        8,006,999        5,328,251  
    12/31/2019        1,264,429        —        —  
    8/31/2019        —        —        —  
    2/28/2019        —        —        —  
    

 

 

     

 

 

     

 

 

  

Total

     12/31/2020      $ 39,421,129      $ 32,841,097      $ 42,063,454  
    

 

 

     

 

 

     

 

 

  
    12/31/2019      $ 38,367,935      $ 13,875,793      $ 16,909,431  
    

 

 

     

 

 

     

 

 

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

 

 

     

 

 

     

 

 

  
    2/28/2019      $ 44,243,908      $ —      $ —  
    

 

 

     

 

 

     

 

 

  

As of period end, the tax components of accumulated earnings (loss) were as follows:

 

     DSU     FRA     BLW  

Non-expiring capital loss carryforwards(a)

   $ (97,616,259 )    $ (49,137,928 )    $ (45,910,589 ) 

Net unrealized gains (losses)(b)

     (22,348,387 )      (7,342,958 )      21,869,125  

Qualified late-year losses(c)

     (105,161 )      (245,530 )      (711,520 ) 
 

 

 

    

 

 

    

 

 

  
  $ (120,069,807 )    $ (56,726,416 )    $ (24,752,984 ) 
 

 

 

    

 

 

    

 

 

  

 

  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the classification of investments, dividends recognized for tax purposes, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the timing of distributions, amortization methods for premiums on fixed income securities, the accounting for swap agreements and the deferral of compensation to directors.

 
  (c) 

The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

 

As of December 31, 2020, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

     DSU      FRA      BLW  

Tax cost

   $  807,339,066      $  723,513,533      $  854,123,932  
 

 

 

     

 

 

     

 

 

  

 

 

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Notes to Financial Statements  (continued)        

 

     DSU     FRA     BLW  

Gross unrealized appreciation

   $ 14,839,333     $ 9,762,825     $ 43,956,327  

Gross unrealized depreciation

     (33,588,620 )      (14,618,824 )      (17,329,515 ) 
 

 

 

    

 

 

    

 

 

  

Net unrealized appreciation (depreciation)

   $ (18,749,287 )    $ (4,855,999 )    $ 26,626,812  
 

 

 

    

 

 

    

 

 

  

 

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:

 

Fund Name   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 year ended December 31, 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:

 

Fund Name   Average Amount
Outstanding		      Daily Weighted Average
Interest Rate		  

DSU

   $ 220,721,311        1.36 % 

FRA

     198,650,273        1.30  

 

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 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.

Market Risk: 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.

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.

 

 

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Notes to Financial Statements  (continued)

 

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. 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.

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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within certain Fund’s portfolio are disclosed in its Schedule of Investments.

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.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

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.

The Funds participate in an open market share repurchase program (the “Repurchase Program”). 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.

 

 

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Notes to Financial Statements  (continued)        

 

On September 28, 2020, each Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2020, each Fund may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, 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 Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     DSU      FRA      BLW  
     Shares      Amount      Shares      Amount      Shares      Amount  

Year Ended December 31, 2020

     353,230      $ 3,364,037        569,915      $ 6,507,629        170,552      $ 2,364,913  

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        45.0 %      5,879,192        10.0 %    $ 12.4068      $ 72,941,959  

March 15, 2019

   April 15, 2019      21,792,955        41.0       2,636,959        5.0       11.9854        31,605,008  

March 17, 2020

   April 16, 2020      17,034,684        34.0       2,470,791        5.0       10.2018        25,206,516  

 

  (a) 

Date the tender offer period began.

 

Tendered share amounts are shown as redemption of shares resulting from share repurchases (including transaction costs) in the Statements of Changes in Net Assets.

 

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:

 

     Dividend Per Common Share  
Fund Name     Paid (a)      Declared (b) 

DSU

   $  0.060500     $  0.060500  

FRA

     0.066700       0.066700  

BLW

     0.098100       0.098100  

 

  (a) 

Net investment income dividend paid on January 11, 2021 to Common Shareholders of record on December 31, 2020.

 
  (b) 

Net investment income dividend declared on February 1, 2021, payable to Common Shareholders of record on February 16, 2021.

 

 

 

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Report of Independent Registered Public Accounting Firm

        

 

To the Shareholders and Board of Trustees/Directors of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2020, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2020, and the results of their operations and their cash flows for the year then ended, the changes in their net assets and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

 

Fund   Statements of Changes in Net Assets    Financial Highlights
BlackRock Debt Strategies Fund, Inc.   For the year ended December 31, 2020, for the period from March 1, 2019 through December 31, 2019, and for the year ended February 28, 2019    For the year ended December 31, 2020, for the period from March 1, 2019 through December 31, 2019, and for each of the four years in the period ended February 28, 2019. The presented financial highlights were consolidated through November 30, 2017.
BlackRock Floating Rate Income Strategies Fund, Inc.   For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019    For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for each of the four years in the period ended August 31, 2019. The presented financial highlights were consolidated through November 30, 2017.
BlackRock Limited Duration Income Trust   For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019    For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for each of the four years in the period ended August 31, 2019.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2021

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

 

 

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Important Tax Information  (unaudited)

   

    

    

 

For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended December 31, 2020 that qualified for the dividends-received deduction were as follows:

 

Fund Name    Dividends-Received
Deduction		  

DSU

      0.83 % 

BLW

      6.39  

The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2020:

 

Fund Name    Qualified Dividend
Income		  

DSU

    $ 366,987  

BLW

      2,783,847  

For the fiscal year ended December 31, 2020, the Funds hereby designate the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

 

Fund Name    Interest-Related
Dividends		  

DSU

    $ 21,442,980  

FRA

      18,357,609  

BLW

      23,141,303  

The Funds hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended December 31, 2020:

 

Fund Name    Federal Obligation
Interest		  

BLW

    $ 407,029  

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

 

 

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Investment Objectives, Policies and Risks

   

    

    

 

Recent Changes

The following information is a summary of certain changes since December 31, 2019. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

During each Fund’s most recent fiscal year, there were no material changes in the Fund’s investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Fund.

Investment Objectives and Policies

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

The Fund’s investment objective is to provide stockholders 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 (“floating rate debt securities”). The Fund’s investment objective is a fundamental policy and may not be changed without stockholder approval.

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). “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes). 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 BlackRock Advisors, LLC (the “Manager”) to be of comparable quality. Secured loans may be either wholly or partially secured at the time of investment. In addition to senior loans, floating rate debt securities may include, without limitation, instruments such as catastrophe and other event linked bonds, bank capital securities, corporate bonds, notes, money market instruments and certain types of mortgage related and other asset backed securities. Due to their floating or variable rate features, these instruments will generally pay higher levels of income in a rising interest rate environment and lower levels of income as interest rates decline. For the same reason, the market value of a floating rate debt security is generally expected to have less sensitivity to fluctuations in market interest rates than a fixed rate debt instrument, although the value of a floating rate debt security may nonetheless decline as interest rates rise and due to other factors, such as real or perceived changes in credit quality or financial condition of the issuer or borrower, volatility in the capital markets or other adverse market conditions.

The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

The Fund’s policy to invest, under normal market conditions, at least 80% of its Managed Assets in floating rate debt securities, as described above, is a non-fundamental policy and may be changed by the Board of Directors of the Fund provided that stockholders are provided with at least 60 days’ prior notice of any change, unless such change was previously approved by shareholders, as required by the rules under the 1940 Act.

The Fund may invest up to 20% of its total assets in securities other than floating rate debt securities, including, but not limited to, fixed rate debt securities such as convertible securities, bonds, notes, fixed rate loans and mortgage related and other asset backed securities issued on a public or private basis, collateralized debt obligations, preferred securities, commercial paper, U.S. government securities, structured notes, credit linked notes, credit linked trust certificates and other hybrid instruments.

To a limited extent, incidental to and in connection with its investment activities or pursuant to a convertible feature in a security, the Fund may acquire warrants and other debt and equity securities. The Fund may also acquire other debt and equity securities of a borrower or issuer in connection with an amendment, waiver, conversion or exchange of a senior loan or other debt security or in connection with a bankruptcy or workout of the borrower or issuer.

The Fund may invest without limit, and generally intends to invest a substantial portion of its assets, in high yield securities, including senior loans and other floating or fixed rate debt securities, that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or, if unrated, are considered by the Manager to be of comparable quality. High yield bonds commonly are referred to as “junk” bonds. The high yield securities in which the Fund invests may include credit linked notes, structured notes, credit linked trust certificates or other instruments evidencing interests in special purpose vehicles or trusts that hold interests in high yield securities. Other than with respect to Distressed Securities (which are discussed below), the high yield securities in which the Fund may invest do not include securities which, at the time of investment, are in default or the issuers of which are in bankruptcy. The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Manager.

The Fund may not invest more than 10% of its total assets (at the time of investment) in securities that are rated Caa1 or lower (if rated by Moody’s) or CCC+ or lower (if rated by S&P) by each agency rating such security or, if unrated, are considered by the Manager to be of comparable quality or are otherwise considered to be distressed securities (“Distressed Securities”).

The Fund may invest without limitation in debt securities of issuers domiciled outside the United States. The Fund, however, will not invest more than 10% of its total assets in debt securities of issuers located in emerging market countries. Emerging market countries generally include every nation in the world (including countries that may be considered “frontier” markets) except the United States, Canada, Japan, Australia, New Zealand and most countries located in Western Europe. The Fund will invest primarily in U.S. dollar denominated debt securities. The Fund will not invest more than 10% of its total assets in debt securities denominated in currencies other than the U.S. dollar or that do not provide for payment to the Fund in U.S. dollars, including obligations of non-U.S. governments and their respective subdivisions, agencies and government sponsored enterprises.

 

 

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Investment Objectives, Policies and Risks  (continued)   

    

    

 

Investment Objectives and Policies (continued)

The Fund may invest in bonds of varying maturities issued by U.S. and non-U.S. corporations and other business or governmental entities. Bonds can be variable or fixed rate debt obligations, including bills, notes, debentures, money market instruments and similar instruments and securities. The Fund may also invest in catastrophe or other “event linked” bonds. The Fund may invest in securities of any maturity.

The Fund may invest in preferred securities, including preferred securities that may be converted into common stock or other securities of the same or a different issuer. The types of preferred securities in which the Fund may invest include trust preferred securities.

The Fund may invest in convertible securities. A convertible security is a bond, debenture, note, preferred security or other security that may be converted into or exchanged for a prescribed amount of common stock or other equity security of the same or a different issuer within a particular period of time at a specified price or formula.

The Fund may invest without limit in illiquid securities, which are floating rate debt securities, senior loans, high yield securities and other securities that lack a secondary trading market or are otherwise considered illiquid

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. At times, the Fund could utilize leverage through borrowings, the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also leverage through the use of reverse repurchase agreements. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

BlackRock Limited Duration Income Trust (BLW)

The Fund’s investment objective is to provide current income and capital appreciation. The Fund pursues its objective by investing primarily in three distinct asset classes:

 

  •  

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

 

  •  

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

 

  •  

U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

The Fund may invest directly in such securities or synthetically through the use of derivatives. BlackRock Advisors, LLC (the “Manager”) has broad discretion to allocate the Fund’s assets among these three principal asset classes.

The Fund’s investment objective may be changed by the Board of Trustees of the Fund without prior shareholder approval.

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. In comparison to maturity (which is the date on which the issuer of a debt instrument is obligated to repay the principal amount), duration is a measure of the price volatility of a debt instrument as a result in changes in market rates of interest, based on the weighted average timing of the instrument’s expected principal and interest payments. Specifically, duration measures the anticipated percentage change in net asset value that is expected for every percentage point change in interest rates. The two have an inverse relationship. Duration differs from maturity in that it takes into account a security’s yield, coupon payments and its principal payments in addition to the amount of time until the security finally matures. As the value of a security changes over time, so will its duration. Prices of securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. In general, a portfolio of securities with a longer duration can be expected to be more sensitive to interest rate changes than a portfolio with a shorter duration.

The Fund is intended to have a relatively low level of interest rate risk compared to investment portfolios of similar credit quality but with longer durations. Certain of the Fund’s other strategies, however, may result in an above average amount of risk and volatility or loss of principal.

The Fund may invest in corporate bonds.

The Fund anticipates that, under normal market conditions, a significant portion of its Managed Assets will be invested in securities rated below investment grade, such as those rated (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or securities comparably rated by other rating agencies or in unrated securities determined by the Manager to be of comparable quality. High yield securities commonly are referred to as “junk” bonds. The Fund may invest in individual securities of any credit quality. “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes).

The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Manager. When the Manager believes it to be in the best interests of the Fund’s shareholders, the Fund will reduce its investment in lower grade securities and, in certain market conditions, the Fund may invest none of its assets in lower grade securities.

The Fund may invest without limitation in U.S. dollar denominated securities of non-U.S. issuers and, to a limited extent, non-U.S. dollar-denominated securities of non-U.S. issuers (“Non-U.S. Securities”), including up to 20% of its Managed Assets in issuers located in emerging market countries. The Fund can hold no more than 10% of its Managed Assets in non-U.S. dollar-denominated Non-U.S. Securities.

Non-U.S. Securities may include debt securities issued by foreign governments and other sovereign entities and debt securities issued by foreign corporations or supranational entities and securities denominated in U.S. dollars or, to a limited extent (as described above), in foreign currencies or multinational currency units. The Fund may invest in Brady Bonds and other sovereign debt of countries that have restructured their debt pursuant to the Brady Plan, which are viewed as speculative investments. The Fund may

 

 

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Investment Objectives, Policies and Risks  (continued)

   

    

    

 

Investment Objectives and Policies (continued)

also purchase debt securities of supranational organizations such as the European Coal and Steel Community, the European Economic Community and the World Bank, which are chartered to promote economic development.

The Fund may invest in debt securities issued or guaranteed by the U.S. government, its agencies or instrumentalities including but not limited to: (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance, such as U.S. Treasury bills (maturity of one year or less), U.S. Treasury notes (maturity of one to ten years), and U.S. Treasury bonds (generally maturities of greater than ten years), including the principal components or the interest components issued by the U.S. government under the separate trading of registered interest and principal securities program (i.e., “STRIPS”), all of which are backed by the full faith and credit of the United States; and (2) obligations issued or guaranteed by U.S. government agencies or instrumentalities, including government guaranteed mortgage-related securities, some of which are backed by the full faith and credit of the U.S. Treasury, some of which are supported by the right of the issuer to borrow from the U.S. government and some of which are backed only by the credit of the issuer itself.

The Fund may invest in mortgage-related securities, which include collateralized mortgage obligations, stripped mortgage-backed securities, mortgage pass-through securities, interests in real estate mortgage investment conduits, real estate investment trusts (“REITs”), including debt and preferred stock issued by REITs, as well as other real estate-related securities. The mortgage-related securities in which the Fund may invest include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in a specified index of interest rates and those with interest rates that change inversely to changes in interest rates, as well as those that do not bear interest. The Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, including subordinated mortgage-related securities. Although the Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, the Fund expects that most of such investments will be limited to commercial mortgage-related securities, in which the Fund will not invest more than 15% of its Managed Assets.

Asset-backed securities are a form of structured debt obligations. The securitization techniques used for asset-backed securities are similar to those used for mortgage-related securities. The collateral for these securities may include home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Fund may invest in these and other types of asset-backed securities that may be developed in the future.

In addition to senior, secured floating rate loans made to corporate and other business entities, the Fund may also purchase unsecured loans, other floating rate debt securities, and credit-linked notes.

A senior loan is typically originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Fund may purchase “Assignments” from the Agent or other Loan Investors. The Fund also may invest in “Participations.” Participations by the Fund in a Loan Investor’s portion of a senior loan typically will result in the Fund having a contractual relationship only with such Loan Investor, not with the borrower, whereas the Fund, as a purchaser of an Assignment, would typically succeed to all the rights and obligations under the loan agreement of the assigning Loan Investor and become a Loan Investor under the loan agreement with the same rights and obligations as the assigning Loan Investor. The Fund will only acquire Participations if the Loan Investor selling the Participation, and any other persons interpositioned between the Fund and the Loan Investor, are believed by the Manager to be creditworthy at the time they enter into such transactions.

The Fund may also acquire equity securities or debt securities (including non-dollar denominated debt securities) issued in exchange for a senior loan or issued in connection with the debt restructuring or reorganization of a borrower, or if such acquisition, in the judgment of the Manager, may enhance the value of a senior loan or would otherwise be consistent with the Fund’s investment policies.

The Fund may invest in collateralized bond obligations (“CBOs”), which are structured securities backed by a diversified pool of high yield, public or private fixed income securities. Under normal market conditions, the Fund expects to invest in the lower tranches of CBOs.

The Fund may purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and over-the-counter put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques. The Fund also may purchase derivative instruments that combine features of these instruments.

The Fund may invest up to 10% of its Managed Assets in securities of other open- or closed-end investment companies that invest primarily in bonds of the types in which the Fund may invest directly. The Fund generally expects to invest in other investment companies either during periods when it has large amounts of uninvested cash, such as the period shortly after the Fund receives the proceeds of the offering of its common shares, or during periods when there is a shortage of attractive opportunities in the fixed income market.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of reverse repurchase agreements. The Fund may borrow from banks and other financial institutions and may also borrow additional funds using such investment techniques as the Manager may from time to time determine. Of these investment techniques, the Fund expects primarily to use reverse repurchase agreements and dollar rolls.

The Fund also has the ability to utilize leverage through the issuance of preferred shares. The Fund does not currently anticipate issuing any preferred shares.

The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to shareholders than that obtainable over time with an unleveraged capital structure. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

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Investment Objectives, Policies and Risks  (continued)

   

    

    

 

Investment Objectives and Policies (continued)

The Fund’s 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 (as defined below), which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s Investor’s Service (“Moody’s”) or BBB or lower by S&P Global Ratings (“S&P”)) or unrated debt instruments which are in the judgment of BlackRock Advisors, LLC (the “Manager”) of equivalent quality. Such investments generally involve greater volatility of price and risks to principal and income than securities in the higher rating categories. As a secondary objective, the Fund will seek to provide capital appreciation. The Fund’s investment objectives are fundamental policies and may not be changed without the approval of a majority of the outstanding voting securities of the Fund (as defined in the 1940 Act).

Under normal market conditions, at least 80% of the Fund’s total assets will be invested in debt instruments. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund has no restrictions on portfolio maturity or duration of the debt securities in which it may invest.

The Fund’s investment policies permit investment in the following asset classes which are described in greater detail below: (i) senior and subordinated corporate loans, both secured and unsecured (“Corporate Loans”), issued either directly by the borrower or in the form of participation interests in Corporate Loans made by banks and other financial institutions; (ii) publicly offered and privately placed high-yield debt securities, senior and subordinated, both secured and unsecured; and (iii) convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and nonconvertible preferred stock. The debt securities and Corporate Loans in which the Fund invests may pay interest at fixed rates or at rates that float at a margin above a generally recognized base lending rate such as the prime rate of a designated U.S. bank, or that adjust periodically at a margin above the CD rate or LIBOR.

In connection with its investments in corporate debt securities, or restructuring of investments owned by the Fund, the Fund may receive warrants or other non-income producing debt or equity securities. The Fund may retain such securities until the Manager determines it is appropriate in light of current market conditions to effect a disposition of such securities.

The Fund will not invest in Corporate Loans that would require the Fund to make any additional investments in connection with its obligation to make future advances to a borrower in connection with revolving credit facilities if such commitments would exceed 20% of the Fund’s total assets or would cause the Fund to fail to meet the diversification requirements described herein.

The Fund may invest in high-yield corporate debt securities, including Corporate Loans, which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s and BBB or lower by S&P Global Ratings), or in unrated securities considered by the Manager to be of comparable quality. Securities rated below Baa or lower by Moody’s or BBB or lower by S&P and unrated securities of comparable quality, are commonly known as “junk bonds.” Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in Distressed Securities (defined below), which includes publicly offered or privately placed debt securities and Corporate Loans which, at the time of investment, are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest or are rated in the lowest rating categories (Ca or lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the judgment of the Manager of equivalent quality (“Distressed Securities”). Although the Fund will invest primarily in lower-rated securities, other than with respect to Distressed Securities (which are discussed below) it will not invest in securities in the lowest rating categories (Ca or below by Moody’s and CC or below by S&P) unless the Manager believes that the financial condition of the issuer or the protection afforded to the particular securities is stronger than would otherwise be indicated by such low ratings. Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in financial instruments of issuers domiciled outside the United States or that are denominated in various foreign currencies and multinational foreign currency units, provided that the foreign issuers of any non-U.S. dollar denominated instruments purchased by the Fund are domiciled in a country that is a member of the Organisation for Economic Co-operation and Development (OECD).

Up to 20% of the Fund’s total assets can be invested in convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and non-convertible preferred stock. The types of preferred securities in which the Fund may invest include trust preferred securities.

As a result of conversions of convertible securities or upon an exchange offer or bankruptcy plan of reorganization, a significant portion of the Fund’s total assets may be invested in common stock at certain points in time.

The Fund may engage in various portfolio strategies to seek to increase its return and to hedge its portfolio against movements in interest rates or foreign currencies through the use of interest rate or foreign currency swap transactions, the purchase of call and put options on securities, the sale of covered call and put options on its portfolio securities and transactions in financial futures and related options on such futures. There can be no assurance that the Fund will employ these strategies or that, if employed, they will be effective.

The Fund may make short sales of securities, provided that the market value of all securities sold short does not exceed 10% of its total assets. The Fund may make short sales both as a form of hedging to offset potential declines in long positions in similar securities and in order to seek to enhance return. The Fund’s obligation to replace the borrowed security will be secured by collateral deposited with the broker dealer, usually cash, U.S. government securities or other liquid securities similar to those borrowed. The Fund also will be required to segregate similar collateral with its custodian or designate such collateral on its books and records to the extent, if any, necessary so that the value of both collateral amounts in the aggregate is at all times equal to at least 100% of the current market value of the security sold short. The Fund also may make short sales “against the box.” Short sales “against the box” are not subject to the foregoing 10% limitation.

Subject to other investment restrictions applicable to the Fund, up to 10% of the Fund’s assets may be invested in debt instruments, including Corporate Loans, of investment companies (which may or may not be registered under the 1940 Act) whose portfolio securities consist entirely of (i) corporate debt or equity securities acceptable to the Manager or (ii) money market instruments.

 

 

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Investment Objectives and Policies (continued)

The Fund has no limitation on the amount of its investments that are not readily marketable or are subject to restrictions on resale.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to common stockholders than that obtainable if the common stock were unleveraged for any significant amount of time. At times, the Fund could utilize leverage through borrowings, including the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also utilize leverage through the use of reverse repurchase agreements.

The Fund may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which may otherwise require untimely dispositions of Fund securities. The Fund at times may borrow from affiliates of the Manager, provided that the terms of such borrowings are no less favorable than those available from comparable sources of funds in the marketplace.

There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

Risk Factors

This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical.

Investment and Market Discount Risk: An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.

Debt Securities Risk: Debt securities, such as bonds, involve interest rate risk, credit risk, extension risk, and prepayment risk, among other things.

 

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Interest rate risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. 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 Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.

To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.

These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.

A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.

 

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Credit risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.

 

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Extension risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.

 

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Prepayment risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.

 

 

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U.S. Government Obligations Risk: Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States.

U.S. Government Mortgage-Related Securities Risk (FRA and BLW): 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. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and 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 Treasury.

Mortgage- and Asset-Backed Securities Risks (FRA and BLW): Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.

Senior Loans Risk: There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher non-payment rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.

Risks of Loan Assignments and Participations (BLW) —  As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

Corporate Loans Risk (DSU): Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.

Variable and Floating Rate Instrument Risk: Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time

Junk Bonds Risk: Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.

Distressed Securities Risk (FRA and DSU): Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.

Collateralized Bond Obligations Risk (BLW): The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates

Collateralized Debt Obligations Risk (FRA) —  In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized

 

 

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Risk Factors (continued)

statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.

Sovereign Debt Risk (FRA and BLW): Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.

Brady Bonds Risk (BLW): Brady Bonds involve various risk factors described above associated with investing in non-U.S. securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.

Supranational Entities Risk (BLW): The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.

Foreign Securities Risk: Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:

 

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The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.

 

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Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.

 

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The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.

 

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The governments of certain countries may prohibit or impose substantial restrictions on foreign investments in their capital markets or in certain industries.

 

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Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.

 

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Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.

 

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The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.

Emerging Markets Risk (FRA and BLW): Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

Equity Securities Risk —Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.

Preferred Securities Risk: Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.

Convertible Securities Risk (FRA and DSU): The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock.

Warrants Risk (FRA and DSU): If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially 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.

Real Estate-Related Securities Risk (BLW): The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, tenant bankruptcies, the ability to re-lease space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the

 

 

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costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities.

REIT Investment Risk (BLW): Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.

Derivatives Risk: The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:

 

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Volatility Risk: Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.

 

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Counterparty Risk: Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation.

 

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Market and Illiquidity Risk: The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.

 

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Valuation Risk: Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.

 

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Hedging Risk: Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.

 

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Tax Risk: Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.

 

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Regulatory Risk: Derivative contracts, including, without limitation, swaps, currency forwards and non-deliverable forwards, are subject to regulation under the Dodd- Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) in the United States and under comparable regimes in Europe, Asia and other non- U.S. jurisdictions. Under the Dodd-Frank Act, certain derivatives are subject to margin requirements and swap dealers are required to collect margin from the Fund with respect to such derivatives. Specifically, regulations are now in effect that require swap dealers to post and collect variation margin (comprised of specified liquid instruments and subject to a required haircut) in connection with trading of OTC swaps with the Fund. Shares of investment companies (other than certain money market funds) may not be posted as collateral under these regulations. Requirements for posting of initial margin in connection with OTC swaps will be phased-in through at least 2021. In addition, regulations adopted by global prudential regulators that are now in effect require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Fund, to terminate such contracts, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Fund of trading in these instruments and, as a result, may affect returns to investors in the Fund.

 

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On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the Investment Company Act of 1940, as amended (the “Investment Company Act”), treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Structured Notes Risk (FRA): Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.

Leverage Risk: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility or reverse repurchase agreements, as applicable. The Fund also utilizes leverage for investment purposes by entering into derivatives with leverage embedded in them and, if applicable, dollar rolls. The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.

The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful. Leverage involves risks and special considerations for common shareholders, including:

 

 

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Risk Factors (continued)

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the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;

 

  •  

the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;

 

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the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;

 

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leverage may increase operating costs, which may reduce total return.

Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.

Reverse Repurchase Agreements Risk: Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.

Dollar Rolls Risk (BLW): Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.

Short Sales Risk (DSU): Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.

Illiquid Investments Risk: The 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. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. 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.

Investment Companies and ETFs Risk (BLW and DSU): Subject to the limitations set forth in the Investment Company Act, or as otherwise limited by the SEC, the Fund may acquire shares in other investment companies and in exchange-traded funds (“ETFs”), some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).

The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.

As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.

Market Risk and Selection Risk: Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.

A recent outbreak of an infectious coronavirus has developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.

 

 

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Automatic Dividend Reinvestment Plan

   

    

    

 

Pursuant to DSU, FRA and BLW’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After DSU, FRA and BLW declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. Participants in that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

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Director and Officer Information

 

Independent Directors(a)

Name

Year of Birth(b)

   

Position(s) Held

(Length of Service)(c)

  

Principal Occupation(s)

During Past Five Years

  

Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

  

Public Company

and Other

Investment

Company

Directorships Held

During

Past Five Years

Richard E. Cavanagh

1946

   

Co-Chair of the Board and Director

(Since 2007)

   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.   84 RICs consisting of 108 Portfolios   None

Karen P. Robards

1950

    Co-Chair of the Board and Director (Since 2007)   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.   84 RICs consisting of 108 Portfolios   Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

    Director (Since 2011)   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and from 2017 to September 2020; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) from 2015 to July 2020.   84 RICs consisting of 108 Portfolios   None

Cynthia L. Egan

1955

    Director (Since 2016)   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.   84 RICs consisting of 108 Portfolios   Unum (insurance); The Hanover Insurance Group (Board Chair) (insurance); Huntsman Corporation (chemical products); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi(d)

1948

    Director (Since 2007)   Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year.   85 RICs consisting of 109 Portfolios   None

 

 

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Director and Officer Information   (continued)

 

Independent Directors(a) (continued)

Name

Year of Birth(b)

  

Position(s) Held

(Length of Service)(c)

  

Principal Occupation(s)

During Past Five Years

  

Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

  

Public Company

and Other

Investment

Company

Directorships Held

During

Past Five Years

R. Glenn Hubbard

1958

  

Director

(Since 2007)

   Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.   84 RICs consisting of 108 Portfolios   ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014

W. Carl Kester(d)

1951

  

Director

(Since 2007)

   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.   85 RICs consisting of 109 Portfolios   None

Catherine A. Lynch(d)

1961

  

Director

(Since 2016)

   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.   85 RICs consisting of 109 Portfolios   None
Interested Directors(a)(e)

Name

Year of Birth(b)

  

Position(s) Held

(Length of Service)(c)

   Principal Occupation(s) During Past Five Years  

Number of BlackRock-Advised

Registered Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen

   Public Company
and Other
Investment
Company
Directorships Held
During Past Five
Years

Robert Fairbairn

1965

  

Director

(Since 2018)

   Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.   117 RICs consisting of 267 Portfolios   None

John M. Perlowski(d)

1964

  

Director

(Since 2015);

President and Chief Executive Officer

(Since 2010)

   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.   118 RICs consisting of 268 Portfolios   None

 

(a)

The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) 

Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

 

 

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Director and Officer Information  (continued)

 

(c) 

Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

(d) 

Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund.

(e) 

Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

 

Officers Who Are Not Directors(a)

Name

Year of Birth(b)

  

Position(s) Held

(Length of Service)

   Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

  

Vice President

(Since 2015)

   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.

Neal J. Andrews

1966

  

Chief Financial Officer

(Since 2007)

   Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife

1970

  

Treasurer

(Since 2007)

   Managing Director of BlackRock, Inc. since 2007.

Charles Park

1967

  

Chief Compliance Officer

(Since 2014)

   Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

  

Secretary

(Since 2012)

   Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.
(a) 

The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) 

Officers of the Fund serve at the pleasure of the Board.

 

Neal J. Andrews retired as the Chief Financial Officer effective December 31, 2020, and Trent Walker was elected as the Chief Financial Officer effective January 1, 2021.

Effective October 15, 2020, BLW’s portfolio managers are Scott MacLellan, James Keenan, Mitch Garfin, David Delbos and Akiva Dickstein. Mr. Dickstein has been a Managing Director of BlackRock since 2009.

 

 

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   137

Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 27, 2020 for shareholders of record on May 29, 2020, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class I Directors as follows:

 

 

  
    Michael J. Castellano      R. Glenn Hubbard      John M. Perlowski      W. Carl Kester  
 Fund Name   Votes For      Votes Withheld      Votes For      Votes Withheld      Votes For      Votes Withheld      Votes For      Votes Withheld  

 

  

 BLW

     29,864,079        1,553,640        29,230,877        2,186,842        29,882,614        1,535,105        29,872,580        1,545,139  

 

  

For the Fund listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Catherine A. Lynch, Karen P. Robards and Frank J. Fabozzi.

Shareholders elected the Class I Directors as follows:

 

 

  
    Cynthia L. Egan      Michael J. Castellano      Catherine A. Lynch  
 Fund Name   Votes For      Votes Withheld      Votes For      Votes Withheld      Votes For      Votes Withheld  

 

  

 DSU

     37,336,033        3,148,025        32,815,644        7,668,414        32,525,012        7,959,046  

 FRA

     23,419,704        6,385,871        22,780,552        7,025,023        23,207,980        6,597,595  

 

  

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Robert Fairbairn, R. Glenn Hubbard, John M. Perlowski, Karen P. Robards, Frank J. Fabozzi and W. Carl Kester.

Fund Certification

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

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by the third quarter of 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Environmental, Social and Governance (“ESG”) Integration

Although a Fund does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Fund management will consider ESG characteristics as part of the investment process for actively managed Funds. These considerations will vary depending on a Fund’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Fund management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Fund. The ESG characteristics utilized in a Fund’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Fund. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Fund may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Fund’s exposure to certain companies or industries and a Fund may forego certain investment opportunities. While Fund management views ESG considerations as having the potential to contribute to a Fund’s long-term performance, there is no guarantee that such results will be achieved.

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 a Fund for any particular month may be more or less than the amount of net investment income earned by a Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a 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. Each 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

 

 

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Additional Information  (continued)

 

Dividend Policy (continued)

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 each Fund’s Statement of Additional Information may have become outdated.

The following information is a summary of certain changes since December 31, 2019. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

Effective October 19, 2020, each of DSU and FRA has elected to be subject to the Maryland Control Share Acquisition Act (the “MCSAA”). In general, the MCSAA limits the ability of holders of “control shares” to vote those shares above various threshold levels that start at 10% unless the other stockholders of DSU and FRA, as applicable, reinstate those voting rights at a meeting of stockholders as provided in the MCSAA. “Control shares” are generally defined in the MCSAA as shares of stock that, if aggregated with all other shares of stock that are either (i) owned by a person or (ii) as to which that person is entitled to exercise or direct the exercise of voting power, except solely by virtue of a revocable proxy, would entitle that person to exercise voting power in electing directors above various thresholds of voting power starting at 10%. DSU’s and FRA’s Bylaws also provide that the provisions of the MCSAA shall not apply to the voting rights of the holders of any shares of preferred stock of DSU and FRA, but the MCSAA would apply to any common stock held by the same holder.

Except if noted otherwise herein, there were no changes 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. Except if noted otherwise herein, 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 adviser. 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, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

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.

 

 

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Additional Information  (continued)

 

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.

 

 

140  

2 0 2 0  B L A C K R O C K   A N N U A L  R E P O R T  T O  S H A R E H O L D E R  S

Additional Information  (continued)

 

(continued)  
Fund and Service Providers  
Investment Adviser   Transfer Agent

BlackRock Advisors, LLC

  

Computershare Trust Company, N.A.

Wilmington, DE 19809

  

Canton, MA 02021

Sub-Adviser   Independent Registered Public Accounting Firm

BlackRock International Limited

  

Deloitte & Touche LLP

Edinburgh, EH3 8BL

  

Boston, MA 02116

United Kingdom

  
  Legal Counsel

BlackRock (Singapore) Limited(a)

  

Willkie Farr & Gallagher LLP

079912 Singapore

  

New York, NY 10019

Accounting Agent and Custodian   Address of the Funds

State Street Bank and Trust Company

  

100 Bellevue Parkway

Boston, MA 02111

  

Wilmington, DE 19809

(a) For BLW.

  

 

 

A D D I T I O N A L  I N F O R M A T I O  N

   141

Glossary of Terms Used in this Report

 

Currency Abbreviation

EUR

  

Euro

GBP

  

British Pound

USD

  

United States Dollar

Portfolio Abbreviation

ABS

  

Asset-Backed Security

CLO

  

Collateralized Loan Obligation

CMT

  

Constant Maturity Treasury

CR

  

Custodian Receipt

DAC

  

Designated Activity Company

DIP

  

Debtor-In-Possession

ETF

  

Exchange-Traded Fund

EURIBOR

  

Euro Interbank Offered Rate

LIBOR

  

London Interbank Offered Rate

MSCI

  

Morgan Stanley Capital International

MTN

  

Medium-Term Note

PCL

  

Public Company Limited

PIK

  

Payment-in-Kind

PJSC

  

Public Joint Stock Company

REIT

  

Real Estate Investment Trust

S&P

  

Standard & Poor’s

SAB

  

Special Assessment Bonds

SCA

  

Svenska Celluosa Aktiebolaget

SPDR

  

Standard & Poor’s Depository Receipt

 

 

142  

2 0 2 0  B L A C K R O C K   A N N U A L  R E P O R T  T O  S H A R E H O L D E R  S

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. Statements and other information herein are as dated and are subject to change.

CEFT-BK3-12/20-AR

 

 

 

LOGO

  LOGO

(b) Not Applicable

 

Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization. Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

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

 

2

     (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2    (d) All Other Fees
Entity Name  

Current

Fiscal Year
End

    Previous  
Fiscal Year
End3		    Current  
Fiscal Year
End		    Previous  
Fiscal Year
End3		    Current  
Fiscal Year
End		    Previous  
Fiscal Year
End3		    Current  
Fiscal Year
End 		   Previous  
Fiscal  Year
End3
BlackRock Floating Rate Income Strategies Fund, Inc.   $72,624    $65,362    $0    $0    $12,700    $6,550    $0    $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

     Current Fiscal Year End   Previous Fiscal Year End3
(b) Audit-Related Fees1   $0   $0
(c) Tax Fees2   $0   $0
(d) All Other Fees4   $1,984,000   $2,050,500

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

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

3 The registrant changed its fiscal year end from August 31 to December 31 effective December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.

4 Non-audit fees of $1,984,000 and $2,050,500 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

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

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

 

3

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

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

(f) Not Applicable

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

 

Entity Name  

Current Fiscal Year

End

  

Previous Fiscal Year

End1

BlackRock Floating Rate Income Strategies Fund, Inc.

   $12,700   $6,550

1 The registrant changed its fiscal year end from August 31 to December 31 effective December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.

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

 

Current Fiscal

Year End

  

Previous Fiscal

Year End1

$1,984,000

   $2,050,500

1 The registrant changed its fiscal year end from August 31 to December 31 effective December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.

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

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

 

Item 5 –

Audit Committee of Listed Registrant

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

 

4

Michael Castellano

Frank J. Fabozzi

Catherine A. Lynch

Karen P. Robards

(b) Not Applicable

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL, a copy of the Fund’s Global Corporate Governance  & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Fund’s Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as Exhibit 99.US.CORP.GOV. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item

8 – Portfolio Managers of Closed-End Management Investment Companies

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

The registrant is managed by a team of investment professionals comprised of David Delbos, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock, Carly Wilson, Managing Director at BlackRock, and Abigail Apistolas, Vice President at

 

5

BlackRock. Each is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas have been members of the registrant’s portfolio management team since 2018.

 

Portfolio Manager       Biography
David Delbos   Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006.
Mitchell Garfin   Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 to 2008.
Carly Wilson   Managing Director of BlackRock, Inc. since 2019; Director of BlackRock, Inc. from 2016 to 2018; Vice President of BlackRock, Inc. from 2011 to 2015; Associate at BlackRock, Inc. from 2009 to 2010; Associate at R3 Capital Partners from 2008 to 2009; Associate at Lehman Brothers from 2004 to 2008.
Abigail Apistolas   Vice President of BlackRock, Inc. since 2019; Associate of BlackRock, Inc. from 2016 to 2018; Associate at Morgan Stanley from 2012 to 2016; Analyst at Morgan Stanley from 2012 to 2014.

(a)(2) As of December 31, 2020:

 

    

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

David Delbos

   24   21   54   0   $0   5
    $41.39 Billion   $14.75 Billion   $16.49 Billion   $0   0   $1.25 Billion

Mitchell Garfin

   24   23   55   0   $0   5
    $44.80 Billion   $14.70 Billion   $16.26 Billion   $0   0   $1.25 Billion

Carly Wilson

   10   13   4   0   $0   $0
    $9.02 Billion   $2.87 Billion   $593.2 Million   $0   0   0

Abigail Apistolas

   9   10   4   0   $0   $0
    $7.48 Billion   $2.71 Billion   $593.2 Million   $0   0   0

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with

 

6

applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Delbos and Garfin and Mses. Wilson and Apistolas may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of December 31, 2020:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2020.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

 

7

Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

  Portfolio Manager   Benchmarks
  Carly Wilson   A combination of market-based indices (e.g. ICE BofAML 3-Month U.S. Treasury Bill Index)
  David Delbos Mitchell Garfin   A combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.
  Abigail Apistolas   A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

 

8

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($285,000 for 2020). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2020.

 

Portfolio Manager    Dollar Range of Equity Securities
of the Fund Beneficially Owned

David Delbos

    $100,001 - $500,000

Mitchell Garfin

    $50,001 - $100,000  

Carly Wilson

    $10,001 - $50,000  

Abigail Apistolas

    $1 - $10,000  

(b) Not Applicable

 

Item 9 –

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

 

Period   (a) Total
Number of
Shares
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

July 1 - 31, 2020

   102,814    $11.2883    102,814    1,571,433

August 1 - 31, 2020

   93,038    $11.7013    93,038    1,478,395

September 1 - 30, 2020

   115,153    $11.6717    115,153    1,363,242

October 1 - 31, 2020

   0    $0    0    1,363,242

November 1 - 30, 2020

   0    $0    0    1,363,242

December 1 - 31, 2020

   35,090    $12.1103    35,090    1,733,421

Total:

   346,095    $11.6102    346,095    1,733,421

 

9

1 On 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. On September 28, 2020, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2020, the Fund may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions.

 

Item 10 –

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

 

Item 11 –

Controls and Procedures

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

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

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

 

Item 13 –

Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) 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

 

10

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: March 5, 2021

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: March 5, 2021

 

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

Date: March 5, 2021

 

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