0001193125-23-227178.txt : 20230901 0001193125-23-227178.hdr.sgml : 20230901 20230901105554 ACCESSION NUMBER: 0001193125-23-227178 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 8 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230901 DATE AS OF CHANGE: 20230901 EFFECTIVENESS DATE: 20230901 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. CENTRAL INDEX KEY: 0001259708 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21413 FILM NUMBER: 231231163 BUSINESS ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 800-441-7762 MAIL ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 FORMER COMPANY: FORMER CONFORMED NAME: BLACKROCK FLOATING RATE INCOME STRATEGIES FUND INC DATE OF NAME CHANGE: 20061020 FORMER COMPANY: FORMER CONFORMED NAME: FLOATING RATE INCOME STRATEGIES FUND INC DATE OF NAME CHANGE: 20030813 N-CSRS 1 d448008dncsrs.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., 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 12/31/2023

Date of reporting period: 06/30/2023

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

 

 

LOGO

  JUNE 30, 2023

 

 

  

2023 Semi-Annual Report

(Unaudited)

 

 

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Income Trust, Inc. (BKT)

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

June 30, 2023

 

             

Total Cumulative Distributions

for the Fiscal Period

    

% Breakdown of the Total Cumulative

Distributions for the Fiscal Period

        
   

 

 

    

 

 

    
    Fund Name   Net
Income		     Net Realized
Capital Gains
Short-Term		     Net Realized
Capital Gains
Long-Term		     Return of   
Capital(a)		     Total Per
Common
Share		     Net
Income		     Net Realized
Capital Gains
Short-Term		     Net Realized
Capital Gains
Long-Term		     Return of
Capital		     Total Per
Common
Share		        
 

DSU

   $ 0.469843     $ —     $ —     $ 0.022607         $ 0.492450       95 %      — %      — %      5 %      100 %   
 

FRA

     0.609537       —       —       0.003083           0.612620       99       —       —       1       100               
 

BKT

     0.210531       —       —       0.318669           0.529200       40       —       —       60       100    
 

BLW

     0.494695       —       —       0.093905           0.588600       84       —       —       16       100    

 

  (a) 

Each Fund estimates that it has distributed more than its net 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

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”), 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 has 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, the Funds currently distribute the following fixed amounts per share on a monthly basis:

 

Fund Name    Amount Per
Common Share		  

DSU

    $ 0.091050  

FRA

      0.117020  

BLW

      0.098100  

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 net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net 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 a 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. Please refer to DSU’s and BLW’s prospectus for a more complete description of each Fund’s risks.

Managed Distribution Plan

BKT, with the approval of BKT’s Board of Directors (the “Board”), 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 Plan, BKT currently distributes a fixed amount of $0.088200 per share on a monthly basis.

The fixed amount distributed per share is subject to change at the discretion of the Board. BKT is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, BKT 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, BKT 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

 

 

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Supplemental Information (unaudited) (continued)   

 

expected to be at the fixed amount established by the Board; however, BKT 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 1940 Act.

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

The Board may amend, suspend or terminate the Plan at any time without prior notice to BKT’s shareholders if it deems such actions to be in the best interests of BKT or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if BKT’s stock is trading at or above net asset value) or widening an existing trading discount. BKT is subject to risks that could have an adverse impact on its 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. Please refer to BKT’s prospectus for a more complete description of BKT’s risks.

 

 

S U P P L E M E N T A L   I N F O R M A T I O N

   3

The Markets in Review

Dear Shareholder,

Despite an uncertain economic landscape during the 12-month reporting period ended June 30, 2023, the resilience of the U.S. economy in the face of ever tighter financial conditions provided an encouraging backdrop for investors. Inflation remained elevated as labor costs grew rapidly and unemployment rates reached the lowest levels in decades. However, inflation moderated substantially as the period continued, while ongoing strength in consumer spending backstopped the economy.

Equity returns were strong, as continued job growth eased investors’ concerns about the economy’s durability. The U.S. economy resumed growth in the third quarter of 2022 and continued to expand thereafter. Most major classes of equities advanced significantly, including large- and small-capitalization U.S. stocks and international equities from developed markets. Emerging market equities also gained, although at a substantially slower pace, pressured by high interest rates and falling commodities prices.

The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. However, the Fed declined to raise interest rates at its June 2023 meeting, which made it the first meeting without a rate increase since the tightening cycle began in early 2022.

Supply constraints have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population exacerbate these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and most recently opted for a pause, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt.

While we favor an overweight to developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on emerging market stocks in the near-term as growth trends for emerging markets appear brighter. We also believe that stocks with an A.I. tilt should benefit from an investment cycle that is set to support revenues and margins. We are neutral on credit overall amid tightening credit and financial conditions, however there are selective opportunities in the near term. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, U.S. mortgage-backed securities, and emerging market bonds denominated in local currency.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of June 30, 2023  
    

 

 6-Month 

    

 

 12-Month 

 

  
   

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

     16.89%        19.59%   
   

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

     8.09           12.31      
   

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

     11.67           18.77      
   

Emerging market equities (MSCI Emerging Markets Index)

     4.89           1.75      
   

3-month Treasury bills

(ICE BofA 3-Month U.S. Treasury Bill Index)

     2.25           3.60      
   

U.S. Treasury securities (ICE BofA 10-Year

U.S. Treasury Index)

     1.70           (3.97)     
   

U.S. investment grade bonds

(Bloomberg U.S. Aggregate Bond Index)

     2.09           (0.94)     
   

Tax-exempt municipal bonds

(Bloomberg Municipal Bond Index)

     2.67           3.19      
   

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

     5.38           9.07      
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

4   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

Table of Contents

 

     

Page

 

  

Supplemental Information

      2  

The Markets in Review

      4  

Semi-Annual Report:

   

The Benefits and Risks of Leveraging

      6  

Derivative Financial Instruments

      6  

Fund Summary

      7  

Financial Statements:

   

Schedules of Investments

      15  

Statements of Assets and Liabilities

      111  

Statements of Operations

      113  

Statements of Changes in Net Assets

      114  

Statements of Cash Flows

      116  

Financial Highlights

      118  

Notes to Financial Statements

      122  

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

      136  

Additional Information

      140  

Glossary of Terms Used in this Report

      143  

 

 

  5

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 respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities 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.

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. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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.

 

 

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Fund Summary  as of June 30, 2023    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 senior and subordinated corporate loans, both secured and unsecured, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings (“S&P”) 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. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to seek 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 June 30, 2023 ($9.79)(a)

   11.16%

Current Monthly Distribution per Common Share(b)

   $0.091050

Current Annualized Distribution per Common Share(b)

   $1.092600

Leverage as of June 30, 2023(c)

   22%

 

  (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 is not an indication of 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

 

     06/30/23        12/31/22        Change      High        Low    

Closing Market Price

   $ 9.79        $ 9.20          6.41 %     $ 9.96        $ 9.20    

Net Asset Value

     10.72          10.44          2.68        10.81          10.44    

Performance

Returns for the period ended June 30, 2023 were as follows:

 

          Average Annual Total Returns  
   

 

 

  
     6-month     1 Year     5 Years     10 Years  

Fund at NAV(a)(b)

     8.00 %      15.12 %      4.93 %      5.94 % 

Fund at Market Price(a)(b)

     11.92       17.43       5.30       5.08  

Reference Benchmark(c)

     5.94       9.94       3.77       4.27  

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

     5.38       9.07       3.34       4.43  

Morningstar LSTA Leveraged Loan Index(e)

     6.48       10.71       4.13       4.07  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the Morningstar LSTA Leveraged Loan Index (formerly 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) 

Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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 an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

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

 

 

F U N D   S U M M A R Y

   7

Fund Summary  as of June 30, 2023 (continued)    BlackRock Debt Strategies Fund, Inc. (DSU)

 

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

What factors influenced performance?

Bank loans and high yield bonds performed well in the first half of 2023, as the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.

The Fund’s allocation to bank loans made the largest contribution to performance, followed by its position in high yield bonds.

From a sector perspective, technology, consumer cyclical services, and healthcare were the three largest contributors. On the other hand, allocations to health insurance, metals & mining, and natural gas detracted.

By credit rating, B, BB and CCC rated securities were additive, while C rated issues were modest detractors.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.

Describe recent portfolio activity.

The Fund reduced its weighting in bank loans while modestly adding to high yield bonds and collateralized loan obligations (“CLOs”). The Fund reduced its allocation to B rated securities and added to those rated CCC.

Describe portfolio positioning at period end.

Bank loans remained the largest allocation in the portfolio. The Fund also had weightings of approximately 3% in high yield bonds and 1% allocation in CLOs. The Fund’s largest sector positions were in technology, consumer cyclical services and healthcare. From a credit rating perspective, the Fund’s core positioning remained in BB-rated and B-rated issues, with a higher allocation to the B-rated credit tier. The Fund also had an allocation to 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.

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

   
Asset Type  

Percentage of

Total Investments

  

Floating Rate Loan Interests

     84.4 % 

Corporate Bonds

     14.0  
Other*   1.6  

CREDIT QUALITY ALLOCATION

 

   
Credit Rating(a)(b)  

Percentage of

Total Investments

  

A

     0.1 % 

BBB/Baa

     7.1  

BB/Ba

     29.0  

B

     54.6  

CCC/Caa

     6.7  

N/R(c)

     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 short-term securities.

(c) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments.

*

Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Fund Summary  as of June 30, 2023    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 June 30, 2023 ($12.21)(a)

   11.50%

Current Monthly Distribution per Common Share(b)

   $0.117020

Current Annualized Distribution per Common Share(b)

   $1.404240

Leverage as of June 30, 2023(c)

   23%

 

  (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 is not an indication of 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

 

     06/30/23        12/31/22        Change      High        Low    

Closing Market Price

   $ 12.21        $ 11.26          8.44 %     $ 12.30        $ 11.18    

Net Asset Value

     13.14          12.81          2.58        13.24          12.80    

Performance

Returns for the period ended June 30, 2023 were as follows:

 

          Average Annual Total Returns  
   

 

 

  
     6-month     1 Year     5 Years     10 Years  

Fund at NAV(a)(b)

     7.93 %      15.22 %      4.92 %      5.12 % 

Fund at Market Price(a)(b)

     14.10       17.12       4.74       4.20  

Morningstar LSTA Leveraged Loan Index(c)

     6.48       10.71       4.13       4.07  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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 an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

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?

Bank loans performed well in the first half of 2023, as the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.

 

 

F U N D   S U M M A R Y

   9

Fund Summary  as of June 30, 2023 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

From a sector perspective, healthcare, consumer cyclical services and leisure were the largest contributors to absolute performance. In terms of credit ties, B, BB and CCC rated issues contributed to returns, while CC and C rated securities detracted.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.

Describe recent portfolio activity.

The Fund maintained an overweight in CCCs given market pricing and security-specific opportunities. It also maintained an overweight in B rated debt, but it was underweight in B2s and B3s since yield spreads did not reflect the fundamental headwinds for these cohorts. BBs remained a slight overweight.

The Fund continued to use liquid, index-based derivatives in the loan and high yield markets to manage its positioning.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with a weighting of over 95% of assets held in the category. The rest of the portfolio was allocated to high yield bonds and cash.

The Fund was overweight in B and CCC rated issues. In the CCC space, it focused on avoiding the lowest-quality and most distressed segments of the market.

The Fund’s sector positioning continued to be largely informed by bottom-up security selection. With that said, top-down considerations have become an increasingly important factor in the current market environment. The investment adviser is particularly cautious on sectors and issuers that have high fixed operating costs, above-average economic sensitivity, limited pricing power, and outsized exposure to wage pressures. The Fund maintained its underweights in the healthcare, transportation services and packaging sectors.

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.

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

   
Asset Type  

Percentage of

Total Investments

  

Floating Rate Loan Interests

     96.6 % 

Corporate Bonds

     1.3  

Investment Companies

     1.2  

Other*

     0.9  

CREDIT QUALITY ALLOCATION

 

   
Credit Rating(a)(b)  

Percentage of

Total Investments

  

BBB/Baa

     7.0 % 

BB/Ba

     26.7  

B

     56.9  

CCC/Caa

     5.9  

C

     — (c) 

N/R(d)

     3.5  
 

 

(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 short-term securities.

(c) 

Rounds to less than 0.1% of total investments.

(d) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments.

*

Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Fund Summary  as of June 30, 2023    BlackRock Income Trust, Inc. (BKT)

 

Investment Objective

BlackRock Income Trust, Inc.’s (BKT) (the “Fund”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service, Inc (“Moody’s”). 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

   BKT

Initial Offering Date

       July 22, 1988    

Current Distribution Rate on Closing Market Price as of June 30, 2023 ($ 12.17)(a)

   8.70%

Current Monthly Distribution per Common Share(b)

   $0.088200

Current Annualized Distribution per Common Share(b)

   $1.058400

Leverage as of June 30, 2023(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 is not an indication of 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

 

     06/30/23      12/31/22        Change      High        Low    

Closing Market Price

   $ 12.17      $ 12.34          (1.38 )%     $ 13.27        $ 12.12    

Net Asset Value

     12.74        13.10          (2.75 )       13.74          12.72    

Performance

Returns for the period ended June 30, 2023 were as follows:

 

          Average Annual Total Returns  
   

 

 

  
     6-month     1 Year     5 Years     10 Years  

Fund at NAV(a)(b)

     1.40 %      (4.89 )%      (0.80 )%      0.93 % 

Fund at Market Price(a)(b)

     2.83       (2.94 )      (0.01 )      1.26  

FTSE Mortgage Index(c)

     1.54       (1.63 )      (0.01 )      1.10  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization.

 

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

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

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?

Performance of the Fund benefited over the period from a substantial allocation to agency mortgage-backed security (“MBS”) derivatives, most notably interest-only positions which have provided a strong source of income. The Fund’s overweight to middle coupons within agency MBS also proved additive.

The Fund’s significant allocation to agency collateralized mortgage obligations (“CMOs”) detracted from performance, as spreads widened for these instruments in the wake of bank failures in March 2023. The negative impact was partially offset by the income generated by this position.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights in this report for further information about the distributions.

 

 

F U N D    S U M M A R Y

   11

Fund Summary  as of June 30, 2023 (continued)    BlackRock Income Trust, Inc. (BKT)

 

Describe recent portfolio activity.

The Fund held a substantial allocation to agency MBS derivatives and agency CMOs during the reporting period as high quality sources of income. Exposure to agency MBS interest-only instruments was increased based on attractive valuations. The Fund has also continued to hold a substantial allocation to agency MBS pass-throughs, with a focus on specified pool collateral types that offer protection against both extension and call risks under different interest rate scenarios. The Fund also executed a significant rotation into higher coupons within its MBS position to boost income.

The Fund held derivatives during the period as a part of its investment strategy and can sometimes have notional derivative exposure greater than 20%. Derivatives are used by the investment adviser as a means to hedge and/or take outright views on interest rates and/or credit risk positions in the portfolio. Specifically, the portfolio used Treasury futures to express duration bias and curve bias. The Fund also tactically allocated to mortgage derivatives to gain market exposure to specific collateral stories when relative value opportunities present themselves.

Describe portfolio positioning at period end.

At the end of the period, the Fund held a modest allocation to AAA-rated, floating-rate non-agency commercial mortgage-backed securities (“CMBS”) to enhance income. This allocation is focused on single-asset, single-borrower CMBS, which enables the Fund to be more discerning with respect to the underlying collateral. The Fund continues to hold a substantial allocation to agency CMOs and Agency MBS pass-throughs, with a focus on middle coupons.

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.

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

   
Asset Type(a)  

Percentage of

Total Investments

  

U.S. Government Sponsored Agency Securities

     89.4 % 

Non-Agency Mortgage-Backed Securities

     10.6  

Asset-Backed Securities

     — (b) 

CREDIT QUALITY ALLOCATION

 

   
Credit Rating(a)(c)  

Percentage of

Total Investments

  

AAA/Aaa(d)

     22.4 % 

AA/Aa

     77.2  

CCC/Caa

     — (b) 

N/R

     0.4  
 

 

(a) 

Excludes short-term securities.

(b) 

Rounds to less than 0.1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s 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.

(d) 

Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser.

 

 

12  

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Fund Summary  as of June 30, 2023    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 June 30, 2023 ($12.88)(a)

   9.14%

Current Monthly Distribution per Common Share(b)

   $0.098100

Current Annualized Distribution per Common Share(b)

   $1.177200

Leverage as of June 30, 2023(c)

   33%

 

  (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 is not an indication of 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

 

     06/30/23     12/31/22     Change     High     Low    

Closing Market Price

   $ 12.88     $ 13.07       (1.45 )%    $ 14.10     $ 12.46    

Net Asset Value

     13.64       13.51       0.96       14.26       13.36    

Performance

Returns for the period ended June 30, 2023 were as follows:

 

          Average Annual Total Returns  
   

 

 

  
     6-month     1 Year     5 Years     10 Years  

Fund at NAV(a)(b)

     5.54 %      10.54 %      3.75 %      5.32 % 

Fund at Market Price(a)(b)

     3.01       11.32       4.84       4.63  

Reference Benchmark(c)

     4.43       6.81       3.04       3.37  

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

     5.38       9.07       3.34       4.43  

Morningstar LSTA Leveraged Loan Index(e)

     6.48       10.71       4.13       4.07  

BATS S Benchmark(f)

     1.44       0.72       1.44       1.48  

 

  (a) 

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

 
  (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 U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the Morningstar LSTA Leveraged Loan Index (formerly 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) 

Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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 ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Corporate 1-5 year Index, Bloomberg CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg MBS 15 Yr Index and Bloomberg 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 an indication of future results.

 

 

F U N D   S U M M A R Y

   13

Fund Summary  as of June 30, 2023 (continued)    BlackRock Limited Duration Income Trust (BLW)

 

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

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?

Exposure to a range of credit-oriented sectors including bank loans, high yield corporate bonds, investment grade corporate bonds and emerging market bonds led contributions to the Fund’s performance. Holdings of securitized assets that trade at a yield spread relative to U.S. Treasuries including mortgage-backed securities (“MBS”), asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”) also proved additive.

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

Describe recent portfolio activity.

Over the reporting period, the Fund reduced exposure to riskier assets such as high yield corporate and emerging market bonds in anticipation of a potential economic slowdown. The increased focus on quality was also reflected in increased allocations to investment grade corporate bonds and agency MBS. As interest rate volatility declined late in the reporting period, MBS became more attractive. The Fund continued to favor agency MBS as a high-quality source of income as well as due to more attractive valuations driven by the spike in interest rate volatility in March 2023 and MBS selling by regional banks. The Fund remained cautious on credit risk but opportunistically added senior debt from larger, well-capitalized banks.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.

Describe portfolio positioning at period end.

At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate bonds, bank loans, CMBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt. The Fund was positioned with an overweight to duration and corresponding interest rate sensitivity versus the benchmark on the belief that with inflation moderating the Fed is poised to pause its tightening of monetary policy.

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.

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

   
Asset Type  

Percentage of

Total Investments

  

Corporate Bonds

     47.4 % 

Floating Rate Loan Interests

     37.8  

Asset-Backed Securities

     4.5  

U.S. Government Sponsored Agency Securities

     3.7  

Preferred Securities

     3.3  

Non-Agency Mortgage-Backed Securities

     2.1  

Other*

     1.2  

CREDIT QUALITY ALLOCATION

 

   
Credit Rating(a)(b)  

Percentage of

Total Investments

  

AAA/Aaa(c)

     5.6 % 

AA/Aa

     0.6  

A

     1.5  

BBB/Baa

     11.9  

BB/Ba

     31.6  

B

     39.7  

CCC/Caa

     5.9  

CC

     0.4  

C

     — (d) 

N/R(e)

     2.8  
 

 

(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 short-term securities.

(c) 

Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser.

(d) 

Rounds to less than 0.1% of total investments.

(e) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments.

*

Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

 

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Schedule of Investments (unaudited) 

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  

Asset-Backed Securities

 

Golub Capital Partners CLO 66B Ltd., Series 2023-66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b)

   USD     1,000      $ 998,106  

Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b)

       1,000          1,000,956  

Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b)

       1,000        983,157  

Unique Pub Finance Co. PLC(c)

       

Series A4, 5.66%, 06/30/27

   GBP     32        40,449  

Series N, 6.46%, 03/30/32

                   100        121,685  

Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 9.93%, 04/20/36(a)(b)

   USD     1,000        1,000,292  
      

 

 

  

Total Asset-Backed Securities — 0.8%
(Cost: $4,189,153)

           4,144,645  
      

 

 

  
          Shares          

Common Stocks

 

Construction & Engineering — 0.0%                 

McDermott International Ltd.(d)

       141,483        25,467  
      

 

 

  
Electrical Equipment — 0.0%                 

SunPower Corp.(d)

       1,707        16,728  
      

 

 

  
Energy Equipment & Services — 0.0%                 

Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(e)(f)

       7,288        —  
      

 

 

  
Financial Services — 0.1%                 

NMG Parent LLC

       1,477        182,163  
      

 

 

  
Industrial Conglomerates — 0.0%                 

Ameriforge Group, Inc.

       1,664        17  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%                 

Kcad Holdings I Ltd.(e)

       1,075,282,733        10,752  
      

 

 

  
Semiconductors & Semiconductor Equipment — 0.0%         

Maxeon Solar Technologies Ltd.(d)

       213        5,998  
      

 

 

  

Total Common Stocks — 0.1%
(Cost: $13,610,630)

        241,125  
      

 

 

  
         

Par

(000)

          

Corporate Bonds

 

Aerospace & Defense — 0.6%                 

Bombardier, Inc.(b)

       

7.50%, 03/15/25

   USD     5        5,009  

7.13%, 06/15/26

       380        377,440  

7.88%, 04/15/27

       130        129,665  

6.00%, 02/15/28

       206        194,691  

7.50%, 02/01/29

       119        117,613  

F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)

       200        181,000  

Rolls-Royce PLC, 5.75%, 10/15/27(b)

       200        195,551  
Security       

Par

(000)

      Value  
Aerospace & Defense (continued)                 

Spirit AeroSystems, Inc.(b)

       

7.50%, 04/15/25

   USD     10      $ 9,881  

9.38%, 11/30/29

       161        172,362  

TransDigm, Inc.

       

6.25%, 03/15/26(b)

       929        924,460  

6.38%, 06/15/26

       15        14,805  

7.50%, 03/15/27

       33        33,047  

6.75%, 08/15/28(b)

       603        605,285  

Triumph Group, Inc., 9.00%, 03/15/28(b)

       221        225,650  
      

 

 

  
              3,186,459  
Air Freight & Logistics — 0.0%                 

XPO, Inc., 6.25%, 06/01/28(b)

       36        35,396  
      

 

 

  
Automobile Components — 0.4%                 

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

       618        618,378  

Clarios Global LP/Clarios U.S. Finance Co.

       

6.25%, 05/15/26(b)

       271        269,255  

8.50%, 05/15/27(b)

       613        614,003  

6.75%, 05/15/28

                   200        199,301  

Dana Financing Luxembourg SARL, 8.50%, 07/15/31(c)

   EUR     100        112,557  

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

   USD     12        10,932  

Forvia, 3.75%, 06/15/28(c)

   EUR     100        98,794  

Goodyear Tire & Rubber Co.

       

9.50%, 05/31/25

   USD     22        22,497  

5.00%, 07/15/29

       26        23,445  

5.63%, 04/30/33

       30        26,117  

Titan International, Inc., 7.00%, 04/30/28

       18        16,829  

ZF Finance GmbH, 5.75%, 08/03/26(c)

   EUR     100        109,375  
      

 

 

  
         2,121,483  
Automobiles — 0.3%                 

Asbury Automotive Group, Inc.

       

4.50%, 03/01/28

   USD     35        32,088  

5.00%, 02/15/32(b)

       73        63,561  

Ford Motor Co.

       

4.35%, 12/08/26

         9        8,698  

3.25%, 02/12/32

       115        90,469  

6.10%, 08/19/32

       180        174,448  

Ford Motor Credit Co. LLC

       

3.81%, 01/09/24

       200        197,150  

4.95%, 05/28/27

       255        240,538  

4.87%, 08/03/27

   EUR     100        106,960  

6.80%, 05/12/28

   USD     208        208,191  

7.35%, 03/06/30

       200        204,248  

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

       39        34,301  

LCM Investments Holdings II LLC, 4.88%, 05/01/29(b)

       90        77,017  

Lithia Motors, Inc., 3.88%, 06/01/29(b)

       42        36,492  

MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b)

       59        46,847  

NM Holdings Co. LLC(d)(e)(g)

       

12.00%, 06/01/09

       5,150        —  

Series B, 9.50%, 07/01/05

       5,125        1  

RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(c)

   EUR     100        101,272  

Wabash National Corp., 4.50%, 10/15/28(b)

   USD     70        60,698  
      

 

 

  
         1,682,979  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Banks — 0.1%                 

Banco BPM SpA, (3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28

   EUR     150      $ 162,540  

Banco Espirito Santo SA(d)(g)
2.63%, 05/08/17(c)

                   100        25,098  

4.75%, 01/15/18(a)

       200        50,195  

4.00%, 01/21/19

       100        25,097  

Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34

   USD     105        105,915  
      

 

 

  
                 368,845  
Beverages — 0.4%                 

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

       200        162,029  

Ardagh Metal Packaging Finance USA
LLC/Ardagh Metal Packaging Finance PLC(b)
6.00%, 06/15/27

       200        196,473  

4.00%, 09/01/29

       285        225,718  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.13%, 08/15/26(c)

   EUR     100        96,855  

Ball Corp.
6.00%, 06/15/29

   USD     49        48,633  

3.13%, 09/15/31

       95        78,144  

Mauser Packaging Solutions Holding Co.(b)
7.88%, 08/15/26

       724        719,300  

9.25%, 04/15/27

       22        20,306  

Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b)

       10        9,902  

Trivium Packaging Finance BV, 8.50%,
08/15/27(b)

       247        237,766  
      

 

 

  
         1,795,126  
Broadline Retail — 0.0%                 

NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b)

       38        35,370  
      

 

 

  
Building Materials — 0.3%                 

Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b)

       67        63,315  

Emerald Debt Merger Sub LLC
6.38%, 12/15/30(c)

   EUR     100        108,711  

6.63%, 12/15/30(b)

   USD     647        641,339  

Jeld-Wen, Inc., 4.63%, 12/15/25(b)

       41        39,719  

Masonite International Corp.(b)
Class C, 5.38%, 02/01/28

       45        42,895  

Class C, 3.50%, 02/15/30

       69        57,959  

New Enterprise Stone & Lime Co.,
Inc.(b)
5.25%, 07/15/28

       26        23,661  

9.75%, 07/15/28

       38        36,658  

Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b)

       126        118,823  

Standard Industries, Inc.

       

2.25%, 11/21/26(c)

   EUR     100        96,732  

5.00%, 02/15/27(b)

   USD     45        42,887  

4.75%, 01/15/28(b)

       12        11,175  

4.38%, 07/15/30(b)

       182        157,630  

3.38%, 01/15/31(b)

       31        24,956  

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

       124        117,151  
      

 

 

  
         1,583,611  
Building Products(b) — 0.3%                 

Advanced Drainage Systems, Inc.

       

5.00%, 09/30/27

       29        27,446  
Security       

Par

(000)

      Value  
Building Products (continued)  

Advanced Drainage Systems, Inc. (continued)

 

6.38%, 06/15/30

   USD     95      $ 93,981  

Beacon Roofing Supply, Inc., 4.13%, 05/15/29

       39        34,515  

Foundation Building Materials, Inc., 6.00%, 03/01/29

       24        20,040  

GYP Holdings III Corp., 4.63%, 05/01/29

       109        95,920  

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

       27        25,510  

SRS Distribution, Inc.

       

4.63%, 07/01/28

                   207                  184,804  

6.13%, 07/01/29

       116        100,181  

6.00%, 12/01/29

       168        144,992  

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

       546        494,813  

White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(h)

       75        71,845  
      

 

 

  
         1,294,047  
Capital Markets — 0.3%                 

AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b.

       150        153,745  

Blackstone Private Credit Fund

       

7.05%, 09/29/25

       25        24,935  

3.25%, 03/15/27

       24        20,739  

Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)

       65        56,974  

GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32

       160        129,186  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

       

4.75%, 09/15/24

       101        96,502  

6.25%, 05/15/26

       19        17,292  

5.25%, 05/15/27

       110        94,864  

4.38%, 02/01/29

       87        68,356  

Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a)

       30        29,611  

NFP Corp.(b)

       

4.88%, 08/15/28

       158        141,123  

6.88%, 08/15/28

       427        370,645  

7.50%, 10/01/30

       34        32,919  

Northern Trust Corp., 6.13%, 11/02/32

       52        53,911  

Owl Rock Capital Corp., 3.40%, 07/15/26

       21        18,601  

Owl Rock Core Income Corp.

       

5.50%, 03/21/25

       55        52,925  

3.13%, 09/23/26

       12        10,340  

7.75%, 09/16/27(b)

       58        57,707  
      

 

 

  
         1,430,375  
Chemicals — 0.5%                 

Ashland LLC, 3.38%, 09/01/31(b)

       48        38,340  

Avient Corp., 7.13%, 08/01/30(b)

       39        39,446  

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

       150        127,688  

Chemours Co.(b)

       

5.75%, 11/15/28

       50        45,944  

4.63%, 11/15/29

       24        20,283  

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

       498        434,443  

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

       35        31,151  

Herens Holdco SARL, 4.75%, 05/15/28(b)

       200        155,000  

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

       184        160,330  

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

       23        19,637  

Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(h)

       82        54,120  
 

 

 

16  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Chemicals (continued)                 

LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b)

   USD     42      $ 35,078  

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

       55        50,050  

Olympus Water U.S. Holding Corp., 9.63%, 11/15/28(c)

   EUR                 100                104,755  

Scotts Miracle-Gro Co., 4.38%, 02/01/32

   USD     65        51,180  

SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b)

       154        122,373  

WESCO Distribution, Inc.(b)

       

7.13%, 06/15/25

       49        49,516  

7.25%, 06/15/28

       153        156,069  

WR Grace Holdings LLC(b)

       

4.88%, 06/15/27

       55        51,009  

5.63%, 08/15/29

       974        797,998  

7.38%, 03/01/31

       48        47,039  
      

 

 

  
         2,591,449  
Commercial Services & Supplies(b) — 0.4%         

ADT Security Corp.

       

4.13%, 08/01/29

       9        7,774  

4.88%, 07/15/32

       11        9,405  

AMN Healthcare, Inc., 4.00%, 04/15/29

       28        24,418  

APX Group, Inc.

       

6.75%, 02/15/27

       64        62,719  

5.75%, 07/15/29

       86        74,640  

Fortress Transportation and Infrastructure Investors LLC

       

6.50%, 10/01/25

       146        143,834  

9.75%, 08/01/27

       51        52,671  

5.50%, 05/01/28

       215        196,726  

Garda World Security Corp., 9.50%, 11/01/27

       16        15,457  

Herc Holdings, Inc., 5.50%, 07/15/27

       119        114,019  

Hertz Corp., 5.00%, 12/01/29

       76        62,824  

LABL, Inc., 9.50%, 11/01/28

       117        119,034  

Metis Merger Sub LLC, 6.50%, 05/15/29

       39        33,642  

NESCO Holdings II, Inc., 5.50%, 04/15/29

       74        66,230  

Prime Security Services Borrower LLC/Prime Finance, Inc.

       

5.75%, 04/15/26

       40        39,265  

6.25%, 01/15/28

       353        330,691  

Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29

       202        157,055  

United Rentals North America, Inc., 6.00%, 12/15/29

       383        382,058  

Williams Scotsman International, Inc.

       

6.13%, 06/15/25

       49        48,636  

4.63%, 08/15/28

       74        67,641  
      

 

 

  
         2,008,739  
Communications Equipment(b) — 0.1%         

CommScope Technologies LLC, 6.00%, 06/15/25

       153        142,607  

CommScope, Inc.

       

8.25%, 03/01/27

       35        27,999  

7.13%, 07/01/28

       58        41,180  

4.75%, 09/01/29

       161        126,932  

Viasat, Inc.

       

5.63%, 09/15/25

       132        127,907  

5.63%, 04/15/27

       21        19,607  

Viavi Solutions, Inc., 3.75%, 10/01/29

       81        68,826  
      

 

 

  
         555,058  
Construction Materials(b) — 0.0%             

American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29

       10        8,537  
Security       

Par

(000)

      Value  
Construction Materials (continued)                 

BCPE Empire Holdings, Inc., 7.63%, 05/01/27

   USD     82      $ 76,260  

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

       20        17,316  

Resideo Funding, Inc., 4.00%, 09/01/29

       18        14,933  

Ritchie Bros Holdings, Inc., 6.75%, 03/15/28

       20        20,158  
      

 

 

  
                 137,204  
Consumer Discretionary(b) — 0.6%                 

APi Group DE, Inc.

       

4.13%, 07/15/29

       67        57,787  

4.75%, 10/15/29

       32        28,819  

Carnival Corp.

       

10.50%, 02/01/26

       171        179,757  

7.63%, 03/01/26

       49        47,991  

5.75%, 03/01/27

                   356        327,730  

9.88%, 08/01/27

       99        103,122  

4.00%, 08/01/28

       91        80,673  

6.00%, 05/01/29

       154        137,496  

Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28

       488        533,740  

CoreLogic, Inc., 4.50%, 05/01/28

       185        149,156  

Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26

       52        46,800  

Life Time, Inc.

       

5.75%, 01/15/26

       101        98,428  

8.00%, 04/15/26

       81        79,978  

Lindblad Expeditions LLC, 6.75%, 02/15/27

       100        95,250  

NCL Corp. Ltd.

       

5.88%, 03/15/26

       110        102,912  

8.38%, 02/01/28

       37        38,663  

7.75%, 02/15/29

       14        13,297  

NCL Finance Ltd., 6.13%, 03/15/28

       46        41,401  

Neptune Bidco U.S., Inc., 9.29%, 04/15/29

       88        80,785  

Royal Caribbean Cruises Ltd.

       

11.50%, 06/01/25

       70        74,270  

4.25%, 07/01/26

       24        22,031  

5.50%, 08/31/26

       40        37,924  

5.38%, 07/15/27

       43        40,207  

11.63%, 08/15/27

       56        60,897  

5.50%, 04/01/28

       58        54,087  

8.25%, 01/15/29

       62        65,100  

9.25%, 01/15/29

       113        120,392  

7.25%, 01/15/30

       67        67,861  

Viking Cruises Ltd.

       

5.88%, 09/15/27

       58        53,309  

9.13%, 07/15/31

       153        154,530  

Viking Ocean Cruises Ship VII Ltd.,
5.63%, 02/15/29

       45        41,175  
      

 

 

  
         3,035,568  
Consumer Finance — 0.4%                 

Block, Inc.

       

2.75%, 06/01/26

       175        159,336  

3.50%, 06/01/31

       208        172,270  

Capital One Financial Corp.(a)

       

(1-day SOFR + 2.64%), 6.31%, 06/08/29

       35        34,764  

(1-day SOFR + 2.86%), 6.38%, 06/08/34

       25        24,821  

Discover Financial Services, 6.70%, 11/29/32

       30        30,907  

Global Payments, Inc.

       

3.20%, 08/15/29

       181        157,322  

5.40%, 08/15/32

       28        27,284  

Navient Corp.

       

7.25%, 09/25/23

       3        3,000  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Consumer Finance (continued)                 

Navient Corp. (continued)

       

5.88%, 10/25/24

   USD     77      $ 75,673  

5.50%, 03/15/29

       66        56,270  

9.38%, 07/25/30

       38        37,797  

OneMain Finance Corp.

       

6.88%, 03/15/25

       20        19,803  

7.13%, 03/15/26

       7        6,877  

6.63%, 01/15/28

       8        7,546  

5.38%, 11/15/29

                   139                118,171  

4.00%, 09/15/30

       76        58,520  

Sabre Global, Inc.(b)

       

9.25%, 04/15/25

       10        9,326  

7.38%, 09/01/25

       63        55,919  

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

       167        156,608  

SLM Corp., 3.13%, 11/02/26

       56        48,440  

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

       741        743,291  
      

 

 

  
         2,003,945  
Consumer Staples Distribution & Retail(b) — 0.2%         

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

       

Albertsons LP/Albertsons LLC

       

3.25%, 03/15/26

       12        11,083  

4.63%, 01/15/27

       21        19,898  

5.88%, 02/15/28

       107        103,976  

6.50%, 02/15/28

       38        38,063  

3.50%, 03/15/29

       35        30,297  

4.88%, 02/15/30

       122        112,633  

Darling Ingredients, Inc., 6.00%, 06/15/30

       94        91,806  

Lamb Weston Holdings, Inc.

       

4.88%, 05/15/28

       7        6,704  

4.13%, 01/31/30

       113        100,990  

4.38%, 01/31/32

       90        80,395  

Performance Food Group, Inc., 4.25%, 08/01/29

       146        129,985  

Post Holdings, Inc.

       

5.50%, 12/15/29

       11        10,150  

4.63%, 04/15/30

       36        31,549  

4.50%, 09/15/31

       24        20,497  

U.S. Foods, Inc.

       

6.25%, 04/15/25

       51        50,979  

4.75%, 02/15/29

       73        66,835  

4.63%, 06/01/30

       13        11,651  

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

       26        21,551  
      

 

 

  
         939,042  
Containers & Packaging — 0.1%                 

Clydesdale Acquisition Holdings, Inc.(b)

       

6.63%, 04/15/29

       137        130,657  

8.75%, 04/15/30

       178        157,125  

Crown European Holdings SA, 5.00%, 05/15/28

   EUR     100        110,075  

LABL, Inc., 5.88%, 11/01/28(b)

   USD     68        61,845  

Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31

       59        59,737  

Sealed Air Corp., 4.00%, 12/01/27(b)

       61        55,677  

Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b)

       44        43,676  

Trident TPI Holdings, Inc., 12.75%, 12/31/28

       27        27,999  
      

 

 

  
         646,791  
Security       

Par

(000)

      Value  
Diversified Consumer Services — 0.4%         

Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)

       

6.63%, 07/15/26

   USD     305      $ 289,428  

9.75%, 07/15/27

       118        104,307  

6.00%, 06/01/29

       323        238,343  

Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b)

                   400                337,544  

Brink’s Co., 5.50%, 07/15/25(b)

       15        14,822  

Clarivate Science Holdings Corp.(b)

       

3.88%, 07/01/28

       342        303,164  

4.88%, 07/01/29

       153        135,727  

Garda World Security Corp.(b)

       

4.63%, 02/15/27

       44        40,260  

7.75%, 02/15/28

       140        138,967  

Macquarie Airfinance Holdings Ltd., 8.38%, 05/01/28

       28        28,390  

Rekeep SpA, 7.25%, 02/01/26(c)

   EUR     100        102,004  

Service Corp. International, 3.38%, 08/15/30

   USD     144        120,427  

Sotheby’s, 7.38%, 10/15/27(b)

       200        179,879  
      

 

 

  
         2,033,262  
Diversified REITs — 0.2%                 

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b)

       51        42,950  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)

       35        25,676  

HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(b)

       59        52,878  

Iron Mountain, Inc., 5.63%, 07/15/32(b)

       44        39,361  

MPT Operating Partnership LP/MPT Finance Corp.

       

4.63%, 08/01/29

       178        134,561  

3.50%, 03/15/31

       232        159,852  

RHP Hotel Properties LP/RHP Finance Corp.

       

4.75%, 10/15/27

       23        21,413  

7.25%, 07/15/28

       86        86,880  

4.50%, 02/15/29(b)

       140        123,900  

RLJ Lodging Trust LP, 4.00%, 09/15/29(b)

       74        61,974  

Service Properties Trust, 7.50%, 09/15/25

       25        24,550  

VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b)

       16        14,041  
      

 

 

  
         788,036  
Diversified Telecommunication Services — 0.4%  

British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83

   GBP     100        124,672  

Level 3 Financing, Inc.(b)

       

3.40%, 03/01/27

   USD     235        199,398  

10.50%, 05/15/30

       258        261,775  

Lumen Technologies, Inc., 4.00%, 02/15/27(b)

       276        205,678  

SoftBank Group Corp., 3.13%, 09/19/25(c)

   EUR     100        102,300  

Telecom Italia Capital SA

       

6.38%, 11/15/33

   USD     53        44,961  

6.00%, 09/30/34

       132        106,452  

7.20%, 07/18/36

       10        8,595  

7.72%, 06/04/38

       19        16,800  
 

 

 

18  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Diversified Telecommunication Services (continued)         

Zayo Group Holdings, Inc.(b)

       

4.00%, 03/01/27

   USD                 890      $         628,566  

6.13%, 03/01/28

       372        232,451  
      

 

 

  
         1,931,648  
Electric Utilities — 0.1%                 

Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i)

       100        87,390  

FirstEnergy Transmission LLC(b)

       

5.45%, 07/15/44

       115        106,341  

4.55%, 04/01/49

       21        17,519  

Pacific Gas and Electric Co.

       

6.10%, 01/15/29

       65        63,954  

6.40%, 06/15/33

       90        89,507  

6.75%, 01/15/53

       45        44,410  

Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)

       32        29,227  

Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(e)(g)

       2,375        —  

Vistra Operations Co. LLC(b)

       

5.50%, 09/01/26

       5        4,811  

5.63%, 02/15/27

       41        39,298  

5.00%, 07/31/27

       5        4,680  
      

 

 

  
         487,137  
Electrical Equipment(b) — 0.1%                 

Gates Global LLC/Gates Corp., 6.25%, 01/15/26

       263        258,793  

GrafTech Finance, Inc., 4.63%, 12/15/28

       33        26,813  

Regal Rexnord Corp.

       

6.05%, 02/15/26

       30        30,038  

6.05%, 04/15/28

       184        182,658  

6.30%, 02/15/30

       70        69,793  

6.40%, 04/15/33

       70        69,941  
      

 

 

  
         638,036  
Electronic Equipment, Instruments & Components — 0.2%  

BWX Technologies, Inc.(b)

       

4.13%, 06/30/28

       86        78,462  

4.13%, 04/15/29

       57        51,443  

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

       32        27,419  

Imola Merger Corp., 4.75%, 05/15/29(b)

       186        161,765  

Vertiv Group Corp., 4.13%, 11/15/28(b)

       980        882,954  
      

 

 

  
         1,202,043  
Energy Equipment & Services — 0.2%             

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

       

6.88%, 04/01/27

       225        216,000  

6.25%, 04/01/28

       37        34,738  

Enerflex Ltd., 9.00%, 10/15/27(b)

       83        80,756  

Noble Finance II LLC, 8.00%, 04/15/30

       85        86,418  

USA Compression Partners LP/USA Compression Finance Corp.

       

6.88%, 04/01/26

       111        108,735  

6.88%, 09/01/27

       183        174,746  

Valaris Ltd., 8.38%, 04/30/30

       136        136,457  

Vallourec SA, 8.50%, 06/30/26(c)

   EUR     9        9,811  

Weatherford International Ltd.(b)

       

6.50%, 09/15/28

   USD     57        57,245  

8.63%, 04/30/30

       61        61,930  
      

 

 

  
         966,836  
Security       

Par

(000)

      Value  
Environmental, Maintenance & Security Service — 0.2%         

Clean Harbors, Inc., 6.38%, 02/01/31(b)

   USD     30      $ 30,188  

Covanta Holding Corp.

       

4.88%, 12/01/29(b)

       43        37,195  

5.00%, 09/01/30

       21        17,811  

GFL Environmental, Inc.(b)

       

4.25%, 06/01/25

       4        3,860  

3.75%, 08/01/25

       45        42,812  

5.13%, 12/15/26

                   113                109,021  

4.00%, 08/01/28

       8        7,152  

3.50%, 09/01/28

       53        47,169  

4.75%, 06/15/29

       199        181,809  

4.38%, 08/15/29

       44        39,175  

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

       49        43,507  

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

       25        26,521  

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

       189        175,203  
      

 

 

  
         761,423  
Financial Services — 0.3%                 

Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)

       200        154,797  

Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a)

       113        116,147  

Citigroup, Inc., Series Y, (5-year CMT + 3.00%), 4.15%(a)(i)

       10        8,045  

Enact Holdings, Inc., 6.50%, 08/15/25(b)

       129        126,720  

GGAM Finance Ltd.(b)

       

7.75%, 05/15/26

       11        11,041  

8.00%, 06/15/28

       11        11,006  

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

       26        23,320  

Home Point Capital, Inc., 5.00%, 02/01/26(b)

       199        178,420  

Intrum AB, 4.88%, 08/15/25(c)

   EUR     100        90,098  

Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b)

   USD     200        163,963  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b)

       

5.25%, 10/01/25

       12        11,332  

4.75%, 06/15/29

       22        17,905  

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

       47        44,333  

Nationstar Mortgage Holdings, Inc.(b)

       

6.00%, 01/15/27

       54        50,235  

5.75%, 11/15/31

       70        57,501  

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b)

       184        162,840  

Spectrum Brands, Inc.(b)

       

5.00%, 10/01/29

       8        7,141  

5.50%, 07/15/30

       50        45,625  
      

 

 

  
         1,280,469  
Food Products — 0.2%                 

Aramark International Finance SARL, 3.13%, 04/01/25(c)

   EUR     100        104,630  

Aramark Services, Inc.(b)

       

5.00%, 04/01/25

   USD     15        14,780  

6.38%, 05/01/25

       69        68,936  

5.00%, 02/01/28

       124        116,875  

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

       326        324,374  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Food Products (continued)                 

Chobani LLC/Chobani Finance Corp.,
Inc.(b) (continued)

       

4.63%, 11/15/28

   USD                264      $         240,240  

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b)

       60        48,073  
      

 

 

  
         917,908  
Gas Utilities — 0.0%         

Howard Midstream Energy Partners LLC, 8.88%, 07/15/28

       67        67,335  

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b)

       29        24,277  
      

 

 

  
         91,612  
Health Care Equipment & Supplies(b) — 0.0%         

Avantor Funding, Inc.

       

4.63%, 07/15/28

       114        105,669  

3.88%, 11/01/29

       61        53,407  

Embecta Corp., 6.75%, 02/15/30

       24        21,508  

Garden Spinco Corp., 8.63%, 07/20/30

       64        68,784  
      

 

 

  
         249,368  
Health Care Providers & Services — 0.6%             

Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b)

       64        59,014  

AdaptHealth LLC(b)

       

6.13%, 08/01/28

       24        20,789  

5.13%, 03/01/30

       9        7,290  

AHP Health Partners, Inc., 5.75%, 07/15/29(b)

       105        90,534  

Cano Health LLC, 6.25%, 10/01/28(b)

       25        15,625  

Centene Corp.

       

2.45%, 07/15/28

       57        48,721  

3.00%, 10/15/30

       160        133,328  

2.50%, 03/01/31

       68        54,228  

2.63%, 08/01/31

       2        1,594  

CHS/Community Health Systems, Inc.(b)

       

6.00%, 01/15/29

       164        137,965  

5.25%, 05/15/30

       162        127,612  

4.75%, 02/15/31

       41        30,987  

Encompass Health Corp.

       

4.50%, 02/01/28

       5        4,652  

4.75%, 02/01/30

       137        124,739  

4.63%, 04/01/31

       81        71,803  

HealthEquity, Inc., 4.50%, 10/01/29(b)

       171        150,708  

Legacy LifePoint Health LLC(b)

       

6.75%, 04/15/25

       163        151,398  

4.38%, 02/15/27

       47        36,367  

Medline Borrower LP(b)

       

3.88%, 04/01/29

       116        100,811  

5.25%, 10/01/29

       712        617,802  

ModivCare, Inc., 5.88%, 11/15/25(b)

       81        75,017  

Molina Healthcare, Inc.(b)

       

4.38%, 06/15/28

       24        22,124  

3.88%, 11/15/30

       39        33,507  

3.88%, 05/15/32

       53        44,433  

Surgery Center Holdings, Inc.(b)

       

6.75%, 07/01/25

       73        72,740  

10.00%, 04/15/27

       111        113,498  

Teleflex, Inc.

       

4.63%, 11/15/27

       6        5,655  

4.25%, 06/01/28(b)

       31        28,326  
Security       

Par

(000)

      Value  
Health Care Providers & Services (continued)         

Tenet Healthcare Corp.

       

4.88%, 01/01/26

   USD                 244      $         237,653  

6.25%, 02/01/27

       89        88,089  

5.13%, 11/01/27

       8        7,637  

6.13%, 10/01/28

       55        52,949  

6.13%, 06/15/30

       59        58,156  

6.75%, 05/15/31

       376        376,916  
      

 

 

  
         3,202,667  
Health Care Technology(b) — 0.1%                 

AthenaHealth Group, Inc., 6.50%, 02/15/30

       464        390,521  

Catalent Pharma Solutions, Inc.

       

5.00%, 07/15/27

       85        77,978  

3.13%, 02/15/29

       4        3,252  

3.50%, 04/01/30

       49        39,690  

Charles River Laboratories International, Inc.

       

4.25%, 05/01/28

       46        42,116  

4.00%, 03/15/31

       11        9,554  

Fortrea Holdings, Inc., 7.50%, 07/01/30

       50        51,199  
      

 

 

  
         614,310  
Hotels, Restaurants & Leisure — 1.0%                 

Boyd Gaming Corp.

       

4.75%, 12/01/27

       46        43,584  

4.75%, 06/15/31(b)

       39        34,841  

Boyne USA, Inc., 4.75%, 05/15/29(b)

       109        98,226  

Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b)

       

3.88%, 01/15/28

       41        37,481  

4.38%, 01/15/28

       77        71,084  

4.00%, 10/15/30

       35        29,954  

Caesars Entertainment, Inc.(b)

       

6.25%, 07/01/25

       366        364,305  

8.13%, 07/01/27

       304        311,135  

4.63%, 10/15/29

       438        382,466  

7.00%, 02/15/30

       395        396,675  

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

       45        45,532  

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

       26        25,220  

CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b)

       183        170,340  

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

       

5.50%, 05/01/25(b)

       89        88,329  

6.50%, 10/01/28

       19        18,529  

Churchill Downs, Inc.

       

5.50%, 04/01/27(b)

       155        149,022  

4.75%, 01/15/28(b)

       73        67,700  

6.75%, 05/01/31

       105        103,819  

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b)

       

4.63%, 01/15/29

       113        99,158  

6.75%, 01/15/30

       570        485,091  

Hilton Domestic Operating Co., Inc.(b)

       

5.75%, 05/01/28

       103        101,426  

3.75%, 05/01/29

       46        40,830  

4.00%, 05/01/31

       94        81,637  

3.63%, 02/15/32

       40        33,349  

Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28

       62        62,907  

Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(c)

   EUR     100        109,529  
 

 

 

20  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Hotels, Restaurants & Leisure (continued)         

Melco Resorts Finance Ltd., 5.38%, 12/04/29(b)

   USD                 200      $         164,750  

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

       73        72,346  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b)

       71        62,696  

Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b)

       

5.63%, 09/01/29

       34        25,753  

5.88%, 09/01/31

       37        27,297  

Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b)

       57        53,723  

Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b)

       18        15,840  

Scientific Games International, Inc., 8.63%, 07/01/25(b)

       65        66,381  

Six Flags Entertainment Corp., 7.25%, 05/15/31(b)

       98        95,447  

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

       96        96,480  

Station Casinos LLC(b)

       

4.50%, 02/15/28

       69        61,932  

4.63%, 12/01/31

       35        29,488  

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

       89        89,106  

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

       44        40,181  

Wynn Macau Ltd., 5.63%, 08/26/28(b)

       200        172,500  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)

       

5.13%, 10/01/29

       202        181,031  

7.13%, 02/15/31

       93        92,437  
      

 

 

  
         4,799,557  
Household Durables — 0.2%                 

Ashton Woods USA LLC/Ashton Woods Finance Co.(b)

       

4.63%, 08/01/29

       32        27,271  

4.63%, 04/01/30

       46        39,266  

Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b)

       

5.00%, 06/15/29

       67        53,649  

4.88%, 02/15/30

       56        43,931  

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

       104        96,271  

KB Home, 7.25%, 07/15/30

       21        21,265  

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

       72        62,244  

NCR Corp.(b)

       

5.00%, 10/01/28

       57        50,868  

5.13%, 04/15/29

       69        61,083  

SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)

       389        233,411  

Taylor Morrison Communities, Inc.(b)

       

5.88%, 06/15/27

       2        1,964  

5.13%, 08/01/30

       20        18,466  

Tempur Sealy International, Inc.(b)

       

4.00%, 04/15/29

       67        58,002  

3.88%, 10/15/31

       44        35,845  

Tri Pointe Homes, Inc., 5.70%, 06/15/28

       18        17,388  
      

 

 

  
         820,924  
Household Products — 0.0%                 

Central Garden & Pet Co.

       

5.13%, 02/01/28

       15        14,092  
Security       

Par

(000)

      Value  
Household Products (continued)             

Central Garden & Pet Co. (continued)

       

4.13%, 10/15/30

   USD     59      $ 49,424  

4.13%, 04/30/31(b)

       55        45,345  
      

 

 

  
         108,861  
Independent Power and Renewable Electricity Producers — 0.1%  

Calpine Corp.(b)

       

5.25%, 06/01/26

       28        27,040  

4.63%, 02/01/29

       99        83,525  

5.00%, 02/01/31

       14        11,579  

Clearway Energy Operating LLC(b)

       

4.75%, 03/15/28

       47        43,363  

3.75%, 01/15/32

       82        66,740  

NRG Energy, Inc.

       

5.75%, 01/15/28

       22        20,848  

3.88%, 02/15/32(b)

       18        13,869  

7.00%, 03/15/33(b)

       50        50,414  

Talen Energy Supply LLC, 8.63%, 06/01/30

       34        35,190  

TerraForm Power Operating LLC, 4.75%,

       

01/15/30(b)

       74        65,305  

TransAlta Corp., 7.75%, 11/15/29

       35        36,033  
      

 

 

  
         453,906  
Insurance(b) — 0.5%                 

Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29

       43        37,230  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer

       

4.25%, 10/15/27

                   285                255,757  

6.75%, 10/15/27

       792        744,480  

6.75%, 04/15/28

       140        138,843  

5.88%, 11/01/29

       453        394,074  

AmWINS Group, Inc., 4.88%, 06/30/29

       89        80,366  

GTCR AP Finance, Inc., 8.00%, 05/15/27

       4        3,921  

HUB International Ltd.

       

7.00%, 05/01/26

       345        344,087  

7.25%, 06/15/30

       371        383,095  

Jones Deslauriers Insurance Management, Inc.

       

8.50%, 03/15/30

       126        128,546  

10.50%, 12/15/30

       83        83,256  

Ryan Specialty Group LLC, 4.38%, 02/01/30

       49        43,375  
      

 

 

  
         2,637,030  
Interactive Media & Services — 0.1%                 

Arches Buyer, Inc., 4.25%, 06/01/28(b) iliad SA(c)

       36        31,327  

5.38%, 06/14/27

   EUR     100        107,581  

5.63%, 02/15/30

       100        105,465  

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b)

   USD     92        81,254  
      

 

 

  
         325,627  
Internet Software & Services(b) — 0.3%                 

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

       80        65,320  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29

       71        60,836  

Match Group Holdings II LLC

       

4.63%, 06/01/28

       81        74,407  

3.63%, 10/01/31

       53        43,563  

Uber Technologies, Inc.

       

7.50%, 05/15/25

       108        109,292  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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)

       

8.00%, 11/01/26

   USD                 308      $         313,886  

7.50%, 09/15/27

       282        288,444  

6.25%, 01/15/28

       260        258,716  

4.50%, 08/15/29

       547        503,458  
      

 

 

  
         1,717,922  
IT Services — 0.5%                 

Ahead DB Holdings LLC, 6.63%, 05/01/28(b)

       50        40,664  

Booz Allen Hamilton, Inc.(b)

       

3.88%, 09/01/28

       75        67,835  

4.00%, 07/01/29

       93        83,305  

CA Magnum Holdings, 5.38%, 10/31/26(b)

       201        179,525  

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

       136        128,117  

Dun & Bradstreet Corp., 5.00%, 12/15/29(b)

       143        126,087  

Fair Isaac Corp., 4.00%, 06/15/28(b)

       63        57,797  

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

       1,385        1,243,759  

Gartner, Inc., 4.50%, 07/01/28(b)

       85        79,408  

KBR, Inc., 4.75%, 09/30/28(b)

       68        61,712  

McAfee Corp., 7.38%, 02/15/30(b)

       211        183,469  

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

       12        11,257  

Tempo Acquisition LLC/Tempo

       

Acquisition Finance Corp., 5.75%, 06/01/25(b)

       123        122,867  

Twilio, Inc.

       

3.63%, 03/15/29

       52        44,239  

3.88%, 03/15/31

       129        107,407  

ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)

       186        159,977  
      

 

 

  
         2,697,425  
Leisure Products — 0.0%                 

Mattel, Inc.

       

6.20%, 10/01/40

       60        53,643  

5.45%, 11/01/41

       119        98,655  
      

 

 

  
         152,298  
Machinery — 0.4%                 

ATS Corp., 4.13%, 12/15/28(b)

       35        31,326  

Chart Industries, Inc.(b)

       

7.50%, 01/01/30

       206        210,173  

9.50%, 01/01/31

       30        31,830  

GrafTech Global Enterprises, Inc., 9.88%, 12/15/28

       72        71,460  

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

       126        114,660  

Madison IAQ LLC, 5.88%, 06/30/29(b)

       1,139        922,486  

Mueller Water Products, Inc., 4.00%, 06/15/29(b)

       24        21,295  

OT Merger Corp., 7.88%, 10/15/29(b)

       37        23,126  

Terex Corp., 5.00%, 05/15/29(b)

       102        94,827  

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

       171        155,183  

TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)

       200        181,417  

TK Elevator Midco GmbH, 4.38%, 07/15/27(c)

   EUR     100        97,393  

TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) .

   USD     312        288,248  
      

 

 

  
         2,243,424  
Marine Transportation — 0.0%                 

Huntington Ingalls Industries, Inc., 4.20%, 05/01/30

       57        52,814  
      

 

 

  
Security       

Par

(000)

      Value  
Media — 1.6%                 

Adelphia Communications Corp., 10.50%, 12/31/49(d)(e)(g)

   USD                 400      $ —  

Altice Financing SA

       

2.25%, 01/15/25(c)

   EUR     100                101,482  

5.75%, 08/15/29(b)

   USD     436        337,752  

Altice France Holding SA, 10.50%, 05/15/27(b)

       342        207,091  

AMC Networks, Inc., 4.25%, 02/15/29

       39        20,965  

Cable One, Inc.

       

0.00%, 03/15/26(j)(k)

       28        22,890  

1.13%, 03/15/28(j)

       66        49,665  

4.00%, 11/15/30(b)

       38        29,688  

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

       

5.00%, 02/01/28

       28        25,511  

6.38%, 09/01/29

       385        362,731  

4.50%, 08/15/30

       22        18,319  

7.38%, 03/01/31

       790        769,801  

4.25%, 01/15/34

       181        136,794  

Clear Channel International BV, 6.63%, 08/01/25(b)

       200        198,998  

Clear Channel Outdoor Holdings, Inc.(b)

       

5.13%, 08/15/27

       397        360,433  

7.75%, 04/15/28

       168        131,880  

7.50%, 06/01/29

       63        46,619  

CMG Media Corp., 8.88%, 12/15/27(b)

       79        55,367  

Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)

       338        328,305  

CSC Holdings LLC

       

5.25%, 06/01/24

       398        370,157  

5.50%, 04/15/27(b)

       200        166,398  

4.50%, 11/15/31(b)

       216        150,599  

Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)

       104        94,186  

DISH DBS Corp.

       

7.75%, 07/01/26

       85        52,102  

5.25%, 12/01/26(b)

       205        164,445  

DISH Network Corp., 11.75%, 11/15/27(b)

       201        196,158  

Frontier Communications Holdings LLC(b)

       

5.00%, 05/01/28

       21        18,119  

8.75%, 05/15/30

       523        511,166  

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

       35        29,841  

Iliad Holding SASU(b)

       

6.50%, 10/15/26

       220        207,641  

7.00%, 10/15/28

       200        184,329  

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

       180        168,705  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(h)

       84        31,836  

Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b)

       54        39,107  

Live Nation Entertainment, Inc.(b)

       

4.88%, 11/01/24

       9        8,860  

5.63%, 03/15/26

       4        3,907  

6.50%, 05/15/27

       380        382,023  

4.75%, 10/15/27

       80        74,600  

3.75%, 01/15/28

       35        31,237  

Odeon Finco PLC, 12.75%, 11/01/27(b)

       519        508,506  

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

       108        98,032  
 

 

 

22  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Media (continued)                 

Outfront Media Capital LLC/Outfront Media Capital Corp.(b) (continued)

       

4.25%, 01/15/29

   USD     71      $ 59,666  

4.63%, 03/15/30

       17        14,163  

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

       

4.50%, 09/15/26

                   728                580,409  

6.50%, 09/15/28

       288        168,067  

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

       171        112,005  

Sirius XM Radio, Inc., 5.00%, 08/01/27(b)

       74        68,656  

Stagwell Global LLC, 5.63%, 08/15/29(b)

       32        27,383  

Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(c)(h)

   EUR     118        108,191  

TEGNA, Inc., 4.75%, 03/15/26(b)

   USD     11        10,503  

Univision Communications, Inc.(b)

       

6.63%, 06/01/27

       78        75,391  

7.38%, 06/30/30

       35        33,324  
      

 

 

  
         7,954,003  
Metals & Mining — 0.4%                 

Arconic Corp.(b)

       

6.00%, 05/15/25

       13        13,103  

6.13%, 02/15/28

       111        112,377  

ATI, Inc.

       

5.88%, 12/01/27

       48        46,453  

4.88%, 10/01/29

       32        28,806  

5.13%, 10/01/31

       88        78,400  

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

       285        281,527  

Carpenter Technology Corp.

       

6.38%, 07/15/28

       24        23,520  

7.63%, 03/15/30

       72        72,814  

Constellium SE

       

4.25%, 02/15/26(c)

   EUR     100        106,401  

3.75%, 04/15/29(b)

   USD     250        212,689  

ERO Copper Corp., 6.50%, 02/15/30(b)

       64        55,055  

Kaiser Aluminum Corp.(b)

       

4.63%, 03/01/28

       42        36,732  

4.50%, 06/01/31

       144        114,794  

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

       125        116,723  

Novelis Corp.(b)

       

3.25%, 11/15/26

       110        99,568  

4.75%, 01/30/30

       366        325,267  

3.88%, 08/15/31

       68        55,938  

Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(c)

   EUR     100        95,542  

Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b)

   USD     39        34,940  
      

 

 

  
         1,910,649  
Mortgage Real Estate Investment Trusts (REITs) — 0.0%  

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

      9        8,922  
      

 

 

  

Multi-Utilities — 0.0%

 

AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b)

       69        70,078  
      

 

 

  
Offshore Drilling & Other Services(b) — 0.1%  

Entegris Escrow Corp., 4.75%, 04/15/29

       542        503,153  

Entegris, Inc., 4.38%, 04/15/28

       74        66,968  
      

 

 

  
         570,121  
Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels — 2.2%                 

Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)

   USD                 132      $         129,690  

Antero Midstream Partners LP/Antero Midstream Finance Corp.(b)

       

5.75%, 03/01/27

       34        32,791  

5.75%, 01/15/28

       15        14,299  

5.38%, 06/15/29

       66        61,326  

Antero Resources Corp., 7.63%, 02/01/29(b)

       23        23,336  

Apache Corp.

       

4.25%, 01/15/30

       21        18,705  

5.10%, 09/01/40

       28        22,750  

5.35%, 07/01/49

       41        31,878  

Arcosa, Inc., 4.38%, 04/15/29(b)

       117        104,832  

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

       

9.00%, 11/01/27

       217        269,779  

8.25%, 12/31/28

       220        216,349  

5.88%, 06/30/29

       113        100,812  

Baytex Energy Corp., 8.50%, 04/30/30

       35        34,180  

Buckeye Partners LP

       

5.85%, 11/15/43

       16        11,840  

5.60%, 10/15/44

       1        720  

Callon Petroleum Co.

       

8.25%, 07/15/25

       6        5,955  

6.38%, 07/01/26

       49        47,696  

8.00%, 08/01/28(b)

       163        161,192  

7.50%, 06/15/30(b)

       276        260,509  

Cellnex Finance Co. SA, 2.00%, 02/15/33(c)

   EUR     100        84,730  

Cheniere Energy Partners LP

       

4.50%, 10/01/29

   USD     185        169,785  

3.25%, 01/31/32

       122        100,363  

Chesapeake Energy Corp., 6.75%, 04/15/29(b)

       132        130,975  

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

       163        159,944  

Civitas Resources, Inc.(b)

       

5.00%, 10/15/26

       11        10,372  

8.38%, 07/01/28

       195        197,203  

8.75%, 07/01/31

       162        164,236  

CNX Midstream Partners LP, 4.75%, 04/15/30(b)

       32        27,142  

CNX Resources Corp., 7.38%, 01/15/31(b)

       32        31,134  

Comstock Resources, Inc., 6.75%, 03/01/29(b)

       319        291,868  

CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)

       250        222,978  

Crescent Energy Finance LLC(b)

       

7.25%, 05/01/26

       180        168,932  

9.25%, 02/15/28

       69        66,947  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b)

       

6.00%, 02/01/29

       71        66,296  

8.00%, 04/01/29

       28        28,348  

7.38%, 02/01/31

       27        26,613  

CrownRock LP/CrownRock Finance,
Inc.(b)

       

5.63%, 10/15/25

       171        168,469  

5.00%, 05/01/29

       20        18,725  

DCP Midstream Operating LP(b)

       

6.45%, 11/03/36

       140        143,759  

6.75%, 09/15/37

       6        6,368  

Diamondback Energy, Inc.,
6.25%, 03/15/33

       167        172,756  

DT Midstream, Inc.(b)
4.13%, 06/15/29

       110        96,533  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)         

DT Midstream, Inc.(b) (continued)

       

4.38%, 06/15/31

   USD     79      $ 68,039  

Dycom Industries, Inc., 4.50%, 04/15/29(b)

       37        33,603  

Earthstone Energy Holdings LLC

       

8.00%, 04/15/27(b)

       88        84,991  

9.88%, 07/15/31

       85        84,018  

Energy Transfer LP, Series H, (5-year CMT + 5.69%), 6.50%(a)(i)

                   144                130,798  

EnLink Midstream LLC

       

5.63%, 01/15/28(b)

       103        99,671  

5.38%, 06/01/29

       41        39,061  

6.50%, 09/01/30(b)

       76        75,907  

EnLink Midstream Partners LP

       

4.85%, 07/15/26

       39        37,635  

5.60%, 04/01/44

       82        68,652  

5.45%, 06/01/47

       18        14,796  

EQM Midstream Partners LP

       

6.00%, 07/01/25(b)

       11        10,879  

4.13%, 12/01/26

       17        15,811  

6.50%, 07/01/27(b)

       132        130,188  

7.50%, 06/01/30(b)

       67        67,800  

FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b)

       26        25,535  

Genesis Energy LP/Genesis Energy Finance Corp.

       

6.50%, 10/01/25

       30        29,544  

7.75%, 02/01/28

       15        14,267  

8.88%, 04/15/30

       43        42,011  

Gulfport Energy Corp., 8.00%, 05/17/26(b)

       11        11,554  

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

       20        19,829  

Hess Midstream Operations LP, 4.25%, 02/15/30(b)

       77        67,183  

Hilcorp Energy I LP/Hilcorp Finance
Co.(b)

       

6.25%, 11/01/28

       21        19,767  

5.75%, 02/01/29

       66        59,762  

6.00%, 04/15/30

       5        4,553  

ITT Holdings LLC, 6.50%, 08/01/29(b)

       109        91,830  

Kinetik Holdings LP, 5.88%, 06/15/30(b)

       155        147,326  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b)

       10        9,672  

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

       56        51,667  

Matador Resources Co.

       

5.88%, 09/15/26

       54        52,328  

6.88%, 04/15/28

       74        73,245  

Murphy Oil Corp.

       

5.75%, 08/15/25

       8        7,895  

5.88%, 12/01/27

       20        19,430  

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

       109        100,070  

Nabors Industries Ltd.(b)

       

7.25%, 01/15/26

       66        61,612  

7.50%, 01/15/28

       90        78,755  

Nabors Industries, Inc.

       

5.75%, 02/01/25

       329        318,380  

7.38%, 05/15/27(b)

       116        110,377  

New Fortress Energy, Inc.(b)

       

6.75%, 09/15/25

       300        281,410  

6.50%, 09/30/26

       321        287,198  

NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)

       98        96,517  
Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)         

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

   USD     84      $ 89,546  

Northern Oil and Gas, Inc.

       

8.13%, 03/01/28(b)

                   228                223,440  

8.75%, 06/15/31

       79        77,617  

NuStar Logistics LP

       

6.00%, 06/01/26

       123        119,815  

6.38%, 10/01/30

       2        1,908  

Occidental Petroleum Corp.

       

6.45%, 09/15/36

       66        67,736  

6.20%, 03/15/40

       72        70,962  

4.63%, 06/15/45

       7        5,416  

PDC Energy, Inc.

       

6.13%, 09/15/24

       68        67,966  

5.75%, 05/15/26

       6        5,976  

Permian Resources Operating LLC(b)

       

5.38%, 01/15/26

       32        30,423  

7.75%, 02/15/26

       82        82,349  

6.88%, 04/01/27

       37        36,445  

5.88%, 07/01/29

       140        131,882  

Precision Drilling Corp., 6.88%, 01/15/29(b)

       4        3,614  

Rockcliff Energy II LLC, 5.50%, 10/15/29(b)

       103        95,013  

Rockies Express Pipeline LLC, 4.95%, 07/15/29(b)

       14        12,810  

SM Energy Co.

       

5.63%, 06/01/25

       44        42,996  

6.75%, 09/15/26

       36        35,090  

6.63%, 01/15/27

       7        6,799  

6.50%, 07/15/28

       62        59,520  

Southwestern Energy Co.

       

5.38%, 02/01/29

       85        80,041  

4.75%, 02/01/32

       2        1,763  

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

       

7.50%, 10/01/25

       3        2,994  

6.00%, 03/01/27

       14        13,138  

5.50%, 01/15/28

       11        10,054  

6.00%, 12/31/30

       10        8,810  

6.00%, 09/01/31

       41        35,278  

Tap Rock Resources LLC, 7.00%, 10/01/26(b)

       202        208,060  

Transocean Titan Financing Ltd., 8.38%,

       

02/01/28(b)

       57        58,211  

Transocean, Inc.(b)

       

7.50%, 01/15/26

       212        201,400  

8.75%, 02/15/30

       245        248,675  

Venture Global Calcasieu Pass LLC(b)

       

3.88%, 08/15/29

       292        255,088  

4.13%, 08/15/31

       114        98,036  

3.88%, 11/01/33

       233        190,800  

Venture Global LNG, Inc.(b)

       

8.13%, 06/01/28

       332        337,191  

8.38%, 06/01/31

       506        510,133  

Vermilion Energy, Inc., 6.88%, 05/01/30(b)

       51        47,006  

Western Midstream Operating LP

       

6.15%, 04/01/33

       20        20,158  

5.45%, 04/01/44

       105        88,702  

5.30%, 03/01/48

       39        32,554  
 

 

 

24  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)  

Western Midstream Operating LP (continued)

       

5.50%, 08/15/48

   USD     17      $ 14,216  

5.50%, 02/01/50

       92        75,354  
      

 

 

  
              10,951,666  
Passenger Airlines — 0.6%                 

Air Canada, 3.88%, 08/15/26(b)

                   116        107,515  

Allegiant Travel Co.(b)

       

8.50%, 02/05/24

       1,065        1,062,338  

7.25%, 08/15/27

       37        36,863  

American Airlines, Inc.(b)

       

11.75%, 07/15/25

       400        438,611  

7.25%, 02/15/28

       8        7,952  

American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b)

       

5.50%, 04/20/26

       190        188,237  

5.75%, 04/20/29

       108        105,164  

Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b)

       73        70,746  

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b)

       90        85,188  

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

       219        219,002  

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

       70        70,877  

United Airlines Pass-Through Trust

       

Series 2020-1, Class A, 5.88%, 04/15/29

       161        159,603  

Series 2020-1, Class B, 4.88%, 07/15/27

       14        13,076  

United Airlines, Inc.(b)

       

4.38%, 04/15/26

       57        54,156  

4.63%, 04/15/29

       203        184,967  

VistaJet Malta Finance PLC/Vista Management Holding, Inc.(b)

       

7.88%, 05/01/27

       33        29,649  

6.38%, 02/01/30

       52        41,872  
      

 

 

  
         2,875,816  
Personal Care Products — 0.0%                 

Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 01/15/29(b)

       5        4,610  
      

 

 

  
Pharmaceuticals — 0.2%                 

Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(c)

   EUR     100        99,785  

Gruenenthal GmbH, 4.13%, 05/15/28(c)

       100        100,970  

Option Care Health, Inc., 4.38%, 10/31/29(b)

   USD     79        69,532  

Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 04/30/28(b)

       200        177,506  

PRA Health Sciences, Inc., 2.88%, 07/15/26(b)

       200        181,087  

Prestige Brands, Inc., 3.75%, 04/01/31(b)

       56        46,362  

Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27

   EUR     100        98,402  

Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26

   USD     203        180,797  
      

 

 

  
         954,441  
Security       

Par

(000)

      Value  
Real Estate — 0.0%                 

VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b)

   USD     30      $ 27,564  
      

 

 

  
Real Estate Management & Development — 0.2%         

Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(b)

                   101                    91,405  

Howard Hughes Corp.(b)

       

5.38%, 08/01/28

       46        40,944  

4.38%, 02/01/31

       53        42,296  

Realogy Group LLC/Realogy Co.-Issuer
Corp.(b)

     

5.75%, 01/15/29

       531        397,301  

5.25%, 04/15/30

       43        30,559  

Starwood Property Trust, Inc., 4.38%, 01/15/27(b)

    21        18,086  

VICI Properties LP, 5.13%, 05/15/32

       182        170,287  
      

 

 

  
         790,878  
Semiconductors & Semiconductor Equipment(b) — 0.1%  

Sensata Technologies BV, 4.00%, 04/15/29

       36        32,050  

Sensata Technologies, Inc.

       

4.38%, 02/15/30

       169        151,128  

3.75%, 02/15/31

       30        25,665  

Synaptics, Inc., 4.00%, 06/15/29

       84        70,423  
      

 

 

  
         279,266  
Software — 0.7%                 

Alteryx, Inc., 8.75%, 03/15/28(b)

       61        59,919  

Black Knight InfoServ LLC, 3.63%, 09/01/28(b)

       122        109,190  

Boxer Parent Co., Inc.(b)

       

7.13%, 10/02/25

       148        148,131  

9.13%, 03/01/26

       149        148,255  

Capstone Borrower, Inc., 8.00%, 06/15/30

       78        77,026  

Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)

       173        171,061  

Cloud Software Group, Inc.

       

6.50%, 03/31/29(b)

       834        742,578  

9.00%, 09/30/29

       928        810,547  

Consensus Cloud Solutions, Inc.(b)

       

6.00%, 10/15/26

       23        20,873  

6.50%, 10/15/28

       20        17,100  

Crowdstrike Holdings, Inc., 3.00%, 02/15/29

       16        13,797  

Elastic NV, 4.13%, 07/15/29(b)

       120        103,521  

Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)

       39        33,666  

MicroStrategy, Inc., 6.13%, 06/15/28(b)

       144        129,110  

MSCI, Inc.(b)

       

3.63%, 09/01/30

       7        6,037  

3.88%, 02/15/31

       11        9,532  

3.25%, 08/15/33

       34        27,382  

Open Text Corp., 6.90%, 12/01/27(b)

       214        217,858  

PTC, Inc., 4.00%, 02/15/28(b)

       32        29,459  

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

       245        234,545  

Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)

       188        152,546  
      

 

 

  
         3,262,133  
Specialized REITs — 0.1%                 

Iron Mountain, Inc., 7.00%, 02/15/29

       136        136,229  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b)

       120        119,047  
      

 

 

  
         255,276  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Specialty Retail(b) — 0.1%                 

Arko Corp., 5.13%, 11/15/29

   USD     58      $ 47,135  

PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29

                   253                  251,375  

Staples, Inc., 7.50%, 04/15/26

       54        44,599  
      

 

 

  
         343,109  
Technology Hardware, Storage & Peripherals(b) — 0.1%  

Coherent Corp., 5.00%, 12/15/29

       126        113,729  

Seagate HDD Cayman

       

8.25%, 12/15/29

       92        96,091  

8.50%, 07/15/31

       115        120,599  
      

 

 

  
         330,419  
Textiles, Apparel & Luxury Goods(b) — 0.0%         

Crocs, Inc.

       

4.25%, 03/15/29

       57        48,461  

4.13%, 08/15/31

       13        10,498  

Hanesbrands, Inc.

       

4.88%, 05/15/26

       24        22,405  

9.00%, 02/15/31

       71        71,558  

Kontoor Brands, Inc., 4.13%, 11/15/29

       32        26,721  

Levi Strauss & Co., 3.50%, 03/01/31

       82        67,855  
      

 

 

  
         247,498  
Transportation Infrastructure — 0.0%         

Azzurra Aeroporti SpA, 2.63%, 05/30/27(c)

   EUR     100        97,778  

XPO Escrow Sub LLC, 7.50%, 11/15/27(b)

   USD     27        27,589  
      

 

 

  
         125,367  
Wireless Telecommunication Services — 0.3%         

Altice France SA/France, 8.13%, 02/01/27(b)

       334        289,218  

SBA Communications Corp.

       

3.13%, 02/01/29

       283        239,887  

3.88%, 02/15/27

       7        6,449  

T-Mobile U.S., Inc.

       

3.38%, 04/15/29

       67        60,504  

3.50%, 04/15/31

       26        22,942  

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

       

5.63%, 05/01/24

       18        17,889  

3.50%, 02/15/25

       34        32,487  

4.63%, 06/15/25

       147        142,038  

4.25%, 12/01/26

       34        31,806  

4.63%, 12/01/29

       133        120,747  

4.13%, 08/15/30

       124        109,173  

Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31(b)

       200        166,300  

Vodafone Group PLC, (5-year EUR Swap + 3.49%), 6.50%,
08/30/84(a)(c)

   EUR     100        109,634  
      

 

 

  
         1,349,074  
      

 

 

  

Total Corporate Bonds — 17.8%
(Cost: $103,281,315)

          88,936,920  
      

 

 

  

Floating Rate Loan Interests(a)

 

Aerospace & Defense — 3.6%                 

Atlas CC Acquisition Corp.

       

Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

   USD     2,538        2,196,995  
Security       

Par

(000)

      Value  
Aerospace & Defense (continued)                 

Atlas CC Acquisition Corp. (continued)

       

Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

   USD     516      $ 446,873  

Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26

                   804                  802,339  

Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29

       324        317,190  

Dynasty Acquisition Co., Inc.

       

2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26

       1,165        1,154,299  

2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26

       2,168        2,147,258  

NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26

       758        644,589  

Peraton Corp.

       

2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29

       1,474        1,426,227  

Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28

       5,022        4,924,131  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28

       1,175        1,173,743  

TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28

       2,790        2,787,654  
      

 

 

  
         18,021,298  
Automobile Components — 0.5%                 

Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28

       461        460,741  

Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30

       2,046        2,038,962  
      

 

 

  
         2,499,703  
Automobiles — 0.5%                 

Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27

       2,646        2,633,256  
      

 

 

  
Beverages — 0.9%                 

Naked Juice LLC

       

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30

       1,565        1,232,246  

Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29

       3,507        3,255,601  
      

 

 

  
         4,487,847  
Broadline Retail — 1.6%                 

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28

       1,367        1,362,786  

Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(h)

       2,502        2,164,135  
 

 

 

26  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Broadline Retail (continued)                 

PUG LLC

       

2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(e)

   USD                 321      $ 289,150  

USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       3,363        2,980,860  

Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(e).

       575        573,842  

Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(e)

       480        469,153  
      

 

 

  
                7,839,926  
Building Products — 1.6%                 

AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29

       227        226,585  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28

       311        297,432  

CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27

       1,268        1,190,397  

CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29

       702        697,894  

IPS Corp.

       

2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(e)

       919        716,820  

2021 Delayed Draw Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.00%, 10/02/28

       91        2,740  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28

       524        482,462  

Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.47%, 07/28/28

       716        711,085  

LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28

   EUR     853        792,775  

Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26

   USD     3,007        2,959,047  
      

 

 

  
         8,077,237  
Capital Markets — 2.9%                 

Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26

       909        909,338  

Ascensus Holdings, Inc.

       

2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29

       2,373        2,111,614  

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28

       2,467        2,422,167  

Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29

       985        986,462  

Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26

       840        815,275  

Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26

       1,354        1,345,947  
Security       

Par

(000)

      Value  
Capital Markets (continued)                 

Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27

   USD     650      $ 645,947  

Focus Financial Partners LLC

       

2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28

       1,286        1,269,527  

2023 Term Loan B6, 06/30/28(l)

                   714        708,823  

Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24

       517        516,166  

ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28

       592        579,448  

Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26

       2,299               2,218,859  
      

 

 

  
         14,529,573  
Chemicals — 4.9%                 

Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.20%, 09/30/29

       815        696,825  

Aruba Investments Holdings LLC

       

2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28

       1,275        1,122,000  

2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27

       675        649,800  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. LIBOR US + 4.75%), 9.99%, 08/27/26

       2,885        2,821,953  

CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27

       569        429,634  

Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29

       863        823,873  

Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26

       1,737        1,735,269  

HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30

       264        265,046  

Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27

       1,220        1,208,112  

INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30

       615        610,935  

Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28

       939        791,529  

LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28

       1,644        1,619,022  

Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26

       2,397        2,394,025  

Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28

       1,846        1,797,130  

Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28

       664        656,736  

Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(l)

       612        590,451  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Chemicals (continued)                 

OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24

   USD     1,507      $ 1,477,659  

PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28

       1,515               1,506,792  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27

                   925        910,322  

Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28

       1,429        1,416,462  

Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25

       322        326,077  

W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28

       836        829,143  
      

 

 

  
         24,678,795  
Commercial Services & Supplies — 3.5%  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28

       2,292        2,224,926  

Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(e)

       682        665,057  

Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(e)(l)

       595        594,244  

Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27

       1,726        1,720,802  

Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28

       609        607,817  

Covanta Holding Corp.

       

2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

       75        74,120  

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

       987        977,136  

EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25

       410        402,435  

GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27

       646        645,719  

LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28

       1,398        1,382,144  

PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28

       684        557,946  

Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26

       1,472        1,470,364  

Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28

                4,188                 4,187,876  
Security       

Par

(000)

      Value  
Commercial Services & Supplies (continued)         

TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27

   USD     1,453      $ 1,333,928  

Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28

       684        663,305  
      

 

 

  
              17,507,819  
Communications Equipment — 0.2%                 

Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30

       189        188,527  

ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29

                   861        831,314  
      

 

 

  
         1,019,841  
Construction & Engineering — 0.7%                 

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24

       883        872,918  

Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28

       925        920,070  

USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28

       1,538        1,453,133  
      

 

 

  
         3,246,121  
Construction Materials — 0.8%                 

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27

       1,051        1,046,175  

New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29

       731        614,110  

Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29

       954        930,740  

Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28

       1,404        1,401,735  
      

 

 

  
         3,992,760  
Consumer Staples Distribution & Retail — 0.3%         

U.S. Foods, Inc.

       

2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26

       597        595,917  

2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28

       779        777,863  
      

 

 

  
         1,373,780  
Containers & Packaging — 1.5%                 

Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27

       2,962        2,936,159  

Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26

       1,144        1,139,390  

Pregis TopCo Corp.

       

1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26

                   537                    533,404  

2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26

       614        606,540  
 

 

 

28  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Containers & Packaging (continued)         

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26

   USD     1,275      $ 1,273,725  

Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28

       1,005        987,576  
      

 

 

  
                7,476,794  
Distributors — 0.2%                 

PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27

       867        801,376  
      

 

 

  
Diversified Consumer Services — 2.7%  

2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26

                   839        804,202  

Ascend Learning LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29

       681        576,010  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28

       1,679        1,575,250  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28

       808        804,001  

KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30

       1,271        1,256,701  

Sotheby’s

       

2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27

       1,650        1,605,972  

2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27

       360        350,100  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25

       911        902,857  

Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25

       2,670        2,171,146  

Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26

       2,267        2,245,029  

WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27

       1,043        1,022,384  
      

 

 

  
         13,313,652  
Diversified REITs — 0.2%                 

RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30

       750        749,025  
      

 

 

  
Diversified Telecommunication Services — 5.2%  

Altice Financing SA

       

2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(e)

       643        629,793  

USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26

       1,714        1,681,488  

Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27

       198        190,060  
Security       

Par

(000)

      Value  
Diversified Telecommunication Services (continued)  

Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26

   USD     7,168      $ 7,148,178  

Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27

       712        627,324  

Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26

       1,575               1,574,300  

Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27

       1,544        1,435,060  

Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27

       1,616        1,240,197  

Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28

                   759        607,547  

Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26

       2,388        1,985,821  

Virgin Media Bristol LLC

       

2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29

       1,212        1,205,504  

USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28

       2,578        2,553,096  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.68%, 01/15/27

   GBP     1,400        1,695,998  

Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27

   USD     4,386        3,432,557  
      

 

 

  
         26,006,923  
Electric Utilities — 0.1%                 

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25

       651        650,457  
      

 

 

  
Electrical Equipment — 0.3%                 

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(e)

       1,330        1,293,722  
      

 

 

  
Electronic Equipment, Instruments & Components — 0.3%  

Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29

       1,392        1,387,173  
      

 

 

  
Energy Equipment & Services — 0.6%         

Lealand Finance Co. BV

       

2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24

       46        34,517  

2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(h)

       347        194,298  

Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28

       2,674        2,665,294  
      

 

 

  
         2,894,109  
Entertainment — 4.0%                 

AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26

       1,306        1,016,890  

Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29

       87        87,719  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Entertainment (continued)                 

Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30

   USD                 813      $ 805,345  

City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28

       1,465               1,435,985  

Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28

       1,411        1,406,875  

Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30

       1,104        1,103,448  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24

       3,449        3,194,151  

Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26

       2,239        2,231,274  

Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28

       1,497        1,490,182  

SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25

       1,691        1,685,018  

UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26

       765        763,207  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25

       2,567        2,557,578  

WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28

       2,416        2,407,419  
      

 

 

  
         20,185,091  
Financial Services — 4.4%                 

ABG Intermediate Holdings 2 LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.20%, 12/20/29

       181        167,425  

2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28

       718        714,057  

Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28

       1,726        1,530,452  

Belron Finance U.S. LLC

       

2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25

       1,957        1,955,973  

2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26

       1,122        1,120,421  

2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28

       1,702        1,698,722  

Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29

       426        425,736  

Deerfield Dakota Holding LLC

       

2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27

       5,607        5,430,808  
Security       

Par

(000)

     Value  
Financial Services (continued)                

Deerfield Dakota Holding LLC (continued)

      

2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28

   USD     1,594     $ 1,476,442  

FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25

       — (m)      184  

LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27

                   435                 416,594  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25

       1,503       1,496,285  

Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26

       2,247       2,209,093  

Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(e)(l)

       1,288       783,426  

UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29

       672       656,775  

WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28

       854       852,866  

White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27

       1,083       1,072,261  
     

 

 

  
        22,007,520  
Food Products — 3.0%                

8th Avenue Food & Provisions, Inc.

      

2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25

       1,172       1,073,343  

2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25

       1,328       1,230,426  

Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27

       2,900       2,880,557  

Froneri International Ltd., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27

       3,238       3,216,540  

H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25

       453       396,860  

Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30

       918       914,896  

Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29

       911       910,150  

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28

       1,660       1,639,084  

Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28

       2,055       1,983,016  

UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28

       600       598,328  
     

 

 

  
        14,843,200  
 

 

 

30  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

     Value  
Ground Transportation — 0.7%        

AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28

   USD                 507     $ 489,987  

Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27

       566       558,099  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.80%, 08/04/25

       1,318              1,178,349  

Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30

       1,452       1,454,188  
     

 

 

  
        3,680,623  
Health Care Equipment & Supplies — 1.4%        

Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28

       2,139       2,088,609  

Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26

       624       571,833  

Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28

       671       670,461  

Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28

       3,734       3,688,004  
     

 

 

  
        7,018,907  
Health Care Providers & Services — 2.3%        

CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28

       894       888,934  

CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27

       1,604       1,596,394  

Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28

       1,909       1,898,917  

Envision Healthcare Corp.

      

2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27

       — (m)      495  

2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27

       1,390       293,818  

EyeCare Partners LLC

      

2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27

       1,925       1,410,533  

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29

       508       337,082  

2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28

       465       332,218  

Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28

       1,391       1,335,312  

MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26

       1,182       1,093,502  

Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29

       536       473,690  
Security       

Par

(000)

      Value  
Health Care Providers & Services (continued)         

Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28

   USD                 605      $ 603,485  

PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25

       46        44,768  

Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28

       550                  515,281  

Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26

       509        508,338  

Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29

       291        290,618  
      

 

 

  
         11,623,385  
Health Care Technology — 2.4%                 

AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29

       2,605        2,504,226  

Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28

       4,092        3,757,905  

Verscend Holding Corp.

       

2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(e)

       2,740        2,740,000  

2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25

       3,214        3,209,047  
      

 

 

  
         12,211,178  
Hotels, Restaurants & Leisure — 5.2%  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26

       1,194        1,154,076  

Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(e)

       140        139,650  

Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28

       785        765,835  

Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26

       2,694        2,672,804  

Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30

       1,128        1,127,146  

Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25

       1,550        1,546,958  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28

       1,309        1,295,646  

Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29

       3,245        3,198,997  

Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28

       1,008        1,009,066  

Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29

       2,367        2,369,936  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Hotels, Restaurants & Leisure (continued)         

IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27

   USD     2,127      $ 2,104,798  

Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28

                   818        564,048  

Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29

       1,275               1,269,548  

Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29

       409        407,452  

Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29

       704        702,018  

SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28

       587        584,629  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26

       1,040        1,038,738  

Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27

       1,948        1,940,129  

Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28

       1,976        1,961,703  

Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30

       172        172,496  
      

 

 

  
         26,025,673  
Household Durables — 1.2%                 

ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28

       1,419        1,189,349  

Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29

       2,077        1,965,065  

Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(l)

       412        411,775  

Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28

       720        580,589  

Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27

       2,072        1,814,488  
      

 

 

  
         5,961,266  
Household Products — 0.4%                 

Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28

       1,512        1,509,329  

Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26

       353        346,979  
      

 

 

  
         1,856,308  
Security       

Par

(000)

      Value  
Independent Power and Renewable Electricity Producers — 0.8%  

Calpine Corp.

       

2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26

   USD     1,035      $ 1,032,981  

Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26

       1,874               1,871,071  

Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27

       1,046        1,038,833  
      

 

 

  
         3,942,885  
Industrial Conglomerates — 0.1%                 

Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28

                   951        703,784  
      

 

 

  
Insurance — 4.1%                 

Alliant Holdings Intermediate LLC

       

2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27

       3,266        3,243,782  

2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27

       3,526        3,500,870  

AmWINS Group, Inc.

       

2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28

       2,327        2,303,917  

2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28

       447        445,173  

AssuredPartners, Inc.

       

2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       1,275        1,262,892  

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27

       760        751,675  

HUB International Ltd.

       

2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29

       396        395,400  

2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30

       4,422        4,431,890  

Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27

       1,165        1,162,419  

USI, Inc.

       

2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26

       244        243,811  

2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29

       2,917        2,909,482  
      

 

 

  
         20,651,311  
Interactive Media & Services — 1.3%                 

Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28

       380        374,869  

Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28

       1,143        1,143,051  

Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26

       1,769        1,765,675  
 

 

 

32  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Interactive Media & Services (continued)  

Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26

   USD     1,921      $ 1,916,654  

GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25

       618        616,718  

Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26

                   895        892,895  
      

 

 

  
                6,709,862  
IT Services — 2.9%                 

Asurion LLC

       

2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26

       251        241,344  

2021 2nd Lien Term Loan B3, (1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28

       985        835,734  

2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29

       1,402        1,172,423  

2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28

       1,095        1,039,526  

Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28

       1,886        1,881,681  

Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27

       2,807        2,761,786  

Go Daddy Operating Co. LLC

       

2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27

       1,678        1,674,861  

2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29

       1,269        1,270,338  

Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28

       3,326        3,302,946  

Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29

       566        541,678  
      

 

 

  
         14,722,317  
Leisure Products — 0.4%                 

Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(e)

       849        808,570  

Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27

       296        294,530  

Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30

       1,039        1,037,659  
      

 

 

  
         2,140,759  
Life Sciences Tools & Services — 2.3%  

Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27

       1,342        1,340,202  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28

       1,842        1,799,002  

Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26

       119        102,180  
Security       

Par

(000)

      Value  
Life Sciences Tools & Services (continued)  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27

   USD     1,701      $ 1,632,577  

Fortrea Holdings, Inc., Term Loan B, 06/12/30(l)

       381        380,810  

ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

       2,010        2,008,871  

Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27

       1,287               1,285,669  

Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28

       2,668        2,644,350  

PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

                   501        500,513  
      

 

 

  
         11,694,174  
Machinery — 5.0%                 

Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(e)

       1,724        1,710,899  

Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29

       262        261,525  

Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28

       330        328,420  

Filtration Group Corp.

       

2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28

       1,021        1,016,081  

2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28

       2,088        2,085,714  

Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27

       2,124        2,111,330  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27

       2,464        2,459,105  

Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28

       3,245        3,174,454  

Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29

       1,948        1,938,377  

SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29

       1,728        1,704,523  

Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25

       4,184        4,077,137  

Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27

       1,989        1,969,250  

Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27

       2,126        2,116,233  

Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28

       110        110,044  
      

 

 

  
         25,063,092  
Media — 4.0%                 

AVSC Holding Corp.(l)

       

2020 Term Loan B1, 03/03/25

       865        842,354  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

     Value  
Media (continued)                

AVSC Holding Corp.(l) (continued)

      

2020 Term Loan B3, 10/15/26

   USD     812     $ 843,774  

Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28

                   428       419,267  

Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25

       2,554       2,550,974  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26

       3,087              2,941,846  

CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26

       — (m)      183  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28

       1,377       1,364,825  

CSC Holdings LLC

      

2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25

       872       838,782  

2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27

       1,826       1,590,918  

DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27

       1,954       1,907,678  

E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28

       467       453,188  

ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28

       804       805,609  

Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23

       745       576,508  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26

       912       910,188  

Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(e)

       1,565       1,177,806  

Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(e)

       876       871,769  

Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28

       1,876       1,845,177  
     

 

 

  
        19,940,846  
Oil, Gas & Consumable Fuels — 1.1%  

Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28

       3,251       3,180,134  

M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29

       228       226,136  
Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)  

Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28

   USD     1,664      $ 1,648,494  

Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28

                   563        562,756  
      

 

 

  
                5,617,520  
Passenger Airlines — 2.3%                 

AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28

       1,434        1,462,417  

Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28

       1,784        1,781,824  

American Airlines, Inc.

       

2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27

       146        141,891  

2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28

       2,190        2,147,711  

Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26

       741        717,914  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27

       2,335        2,423,305  

United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28

       2,583        2,577,983  
      

 

 

  
         11,253,045  
Personal Care Products — 1.1%                 

Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26

       5,278        5,242,694  
      

 

 

  
Pharmaceuticals — 1.6%                 

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25

       1,059        1,018,561  

Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28

       774        751,268  

Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27

       954        717,457  

Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27

       1,273        1,248,406  

Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28

       1,904        1,900,990  

Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28

       1,238        1,236,266  

Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(e)

       1,086        1,039,496  

Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28

       133        133,022  
      

 

 

  
         8,045,466  
 

 

 

34  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Professional Services — 3.8%                 

AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28

   USD     1,516      $ 1,511,521  

CoreLogic, Inc.

       

2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29

       1,248               1,001,520  

Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28

       3,061        2,759,091  

Dun & Bradstreet Corp.

       

2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29

                   617        614,873  

Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26

       2,010        2,010,740  

Element Materials Technology Group U.S. Holdings, Inc.

       

2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       527        514,599  

2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       1,141        1,114,966  

Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28

       1,931        1,913,887  

Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(e)

       1,736        1,627,390  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25

       829        827,320  

Trans Union LLC

       

2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26

       1,626        1,620,564  

2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28

       1,963        1,956,835  

VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27

       1,451        1,421,822  
      

 

 

  
         18,895,128  
Real Estate Management & Development — 0.4%         

Cushman & Wakefield U.S. Borrower LLC

       

2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25

       641        635,117  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(e)

       1,617        1,564,138  
      

 

 

  
         2,199,255  
Semiconductors & Semiconductor Equipment — 0.3%  

MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29

       988        987,537  

Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28

       545        537,381  
      

 

 

  
         1,524,918  
Software — 11.4%                 

Applied Systems, Inc.

       

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27

       630        629,609  
Security       

Par

(000)

      Value  
Software (continued)                 

Applied Systems, Inc. (continued)

       

2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26

   USD     680      $ 680,718  

Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29

                   658                  633,525  

Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25

       1,757        1,740,666  

CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28

       1,470        1,464,109  

Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29

       1,218        1,213,666  

Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29

       3,878        3,621,344  

Cloudera, Inc.

       

2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(e)

       676        608,400  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28

       739        719,517  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28

       1,045        972,299  

Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28

       330        300,026  

E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28

       249        247,119  

Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27

       2,777        2,766,713  

Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28

       2,660        2,650,616  

Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28

       636        635,556  

Magenta Buyer LLC

       

2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28

       2,084        1,561,915  

2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29

       1,907        1,229,952  

McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29

       3,019        2,882,354  

MH Sub I LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29

       1,724        1,494,737  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28

       6,856        6,568,165  

NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29

       1,469        1,461,218  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Software (continued)                 

Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28

   USD                 824      $ 725,120  

Proofpoint, Inc.

       

1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28

       2,456               2,401,177  

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29

       1,281        1,239,367  

RealPage, Inc.

       

1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28

       5,401        5,278,407  

2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29

       2,629        2,539,249  

Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25

       1,123        1,121,737  

Sophia LP

       

2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28

       2,509        2,496,455  

2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27

       1,953        1,930,324  

SS&C Technologies, Inc.

       

2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25

       346        345,142  

2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25

       308        308,048  

2018 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25

       1,630        1,628,087  

UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27

       1,216        1,176,252  

Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26

       1,473        1,451,524  

Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28

       287        282,752  

ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30

       191        190,683  
      

 

 

  
         57,196,548  
Specialty Retail — 1.9%                 

EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25

       1,220        1,197,376  

EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26

       499        495,040  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28

       2,630        2,604,017  

PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28

       3,238        3,227,643  
Security       

Par

(000)

     Value  
Specialty Retail (continued)                

Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28

   USD     965     $ 962,714  

Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28

                   747       720,261  

RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28

       205       190,383  
     

 

 

  
               9,397,434  
Technology Hardware, Storage & Peripherals — 0.1%  

Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26

       683       461,255  

Vericast Corp., 2022 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.75%), 13.25%, 06/16/26

       — (m)      1  
     

 

 

  
        461,256  
Textiles, Apparel & Luxury Goods — 0.3%        

Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29

       831       832,011  

Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(e)

       470       470,997  
     

 

 

  
        1,303,008  
Trading Companies & Distributors — 2.2%        

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28

       1,209       1,204,028  

Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28

       3,541       3,518,108  

SRS Distribution, Inc.

      

2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28

       2,397       2,324,732  

2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28

       860       837,496  

TMK Hawk Parent Corp.(e)

      

2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24

       1,014       999,112  

2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24

       3,197       1,933,912  
     

 

 

  
        10,817,388  
Transportation Infrastructure — 0.5%        

Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28

       671       667,117  

KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28

       825       816,527  
 

 

 

36  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Transportation Infrastructure (continued)         

OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26

   USD                 737      $ 689,371  

Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30

       222        207,605  
      

 

 

  
         2,380,620  
Wireless Telecommunication Services — 0.9%         

Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24

       494        452,072  

GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28

       824        821,667  

SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25

       3,283        3,281,908  
      

 

 

  
         4,555,647  
      

 

 

  

Total Floating Rate Loan Interests — 106.9%
(Cost: $549,868,047)

 

      534,353,295  
      

 

 

  
         

    

Shares

          

Investment Companies

       
Equity Funds — 0.1%                 

Janus Henderson AAA CLO ETF

       10,000        498,500  
      

 

 

  
Fixed Income Funds — 0.8%                 

Invesco Senior Loan ETF

       116,200        2,444,848  

iShares iBoxx $ High Yield Corporate Bond ETF(n)

       20,000        1,501,400  
      

 

 

  
         3,946,248  
      

 

 

  

Total Investment Companies — 0.9%
(Cost: $4,445,634)

 

      4,444,748  
      

 

 

  
          Benefical
Interest (000)		          

Other Interests

       
Capital Markets — 0.0%                 

Millennium Lender Claim Trust(e)(o)

   USD     1,156        —  
      

 

 

  
Industrial Conglomerates — 0.0%                 

Millennium Corp. Claim(e)(o)

       1,084        —  
      

 

 

  

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

 

      —  
      

 

 

  
         

Par

(000)

          

Preferred Securities

       
Capital Trusts — 0.3%(a)                 
Automobiles — 0.0%                 

General Motors Financial Co., Inc., Series C, 5.70%(i)

   USD     50        43,892  
      

 

 

  
Banks(i) — 0.1%                 

AIB Group PLC, 5.25%(c)

   EUR     200        203,574  
Security       

Par

(000)

      Value  
Banks (continued)         

Citigroup, Inc., Series P, 5.95%

   USD                 220      $ 210,986  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46%

       10        9,941  

PNC Financial Services Group, Inc.

       

6.25%, 12/31/99

       72        64,638  

Series V, 6.20%

       67        62,454  
      

 

 

  
         551,593  
Diversified Telecommunication Services — 0.0%  

Telefonica Europe BV, 6.14%(c)(i)

   EUR     100        105,164  
      

 

 

  
Electric Utilities — 0.1%                 

Edison International, Series B, 5.00%(i)

   USD     55        47,515  

EDP - Energias de Portugal SA, 5.94%, 04/23/83(c)

   EUR     100        108,030  

Electricite de France SA, 3.38%(c)(i)

       200        167,124  
      

 

 

  
         322,669  
Financial Services — 0.0%         

Barclays PLC, 4.38%(i)

   USD     200        135,880  
      

 

 

  
Independent Power and Renewable Electricity Producers(b)(i) — 0.1%  

NRG Energy, Inc., 10.25%

       112        105,613  

Vistra Corp., 7.00%

       77        67,182  
      

 

 

  
         172,795  
      

 

 

  
         1,331,993  
      

 

 

  
         

    

Shares

          
Preferred Stocks — 0.0%                 
Financial Services — 0.0%                 

Alliant Holdings, Inc.(e)

       83        78,858  
      

 

 

  
         78,858  
      

 

 

  

Total Preferred Securities — 0.3%
(Cost: $1,589,000)

 

      1,410,851  
      

 

 

  

Warrants

       
Consumer Discretionary — 0.0%                 

Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(d)

       3,030        —  
      

 

 

  
Energy Equipment & Services — 0.0%         

Turbo Cayman Ltd.(d)(e)

       1        —  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%         

California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(d)

       1,152        13,663  
      

 

 

  

Total Warrants — 0.0%
(Cost: $ — )

 

      13,663  
      

 

 

  

Total Investments — 126.8%
(Cost: $676,983,779)

 

      633,545,247  

Liabilities in Excess of Other Assets — (26.8)%

 

      (133,795,867 ) 
      

 

 

  

Net Assets — 100.0%

 

    $ 499,749,380  
      

 

 

  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(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) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(d) 

Non-income producing security.

(e) 

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

(f) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0.

(g) 

Issuer filed for bankruptcy and/or is in default.

(h) 

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

(i) 

Perpetual security with no stated maturity date.

(j) 

Convertible security.

(k) 

Zero-coupon bond.

(l) 

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

(m) 

Rounds to less than 1,000.

(n) 

Affiliate of the Fund.

(o) 

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

 

 

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.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/22		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
06/30/23		     Shares
Held at
06/30/23		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

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

   $ 482,274     $ —     $ (482,274 )(b)    $ —     $ —     $ —       —     $ 21,554     $ —  

iShares iBoxx $ High Yield Corporate Bond ETF

     —       4,175,600       (2,611,534 )      (45,666 )      (17,000 )      1,501,400       20,000       38,397       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ (45,666 )    $ (17,000 )    $ 1,501,400       $ 59,951     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

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

 
  (b) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty    Settlement Date                Unrealized
Appreciation
(Depreciation)		  
USD     104,394        EUR      95,000     

BNP Paribas SA

      09/20/23                            $ 334  
USD     520,854        EUR      474,635     

BNP Paribas SA

      09/20/23             952  
USD     3,365,658        EUR      3,067,000     

BNP Paribas SA

      09/20/23             6,150  
USD     295,633        EUR      269,365     

Toronto-Dominion Bank

      09/20/23             578  
USD     1,696,470        GBP      1,323,000     

BNP Paribas SA

      09/20/23             15,903  
                       

 

 

  
                          23,917  
                       

 

 

  
USD     100,805        EUR      93,000     

Bank of America N.A.

      09/20/23             (1,065 ) 
USD     162,197        EUR      150,000     

Bank of America N.A.

      09/20/23             (2,109 ) 
USD     5,379        EUR      5,000     

Barclays Bank PLC

      09/20/23             (98 ) 
USD     126,629        GBP      100,000     

Barclays Bank PLC

      09/20/23             (398 ) 
                       

 

 

  
                          (3,670 ) 
                       

 

 

  
                        $ 20,247  
                       

 

 

  

 

 

38  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index     

 Financing
Rate Received
by the Fund		  
 
 		     
 Payment
Frequency		  
 		     
 Termination
Date		  
 		     
 Credit
Rating		  
(a) 		     
 Notional
Amount (000)		  
(b) 		      Value       


 Upfront
Premium
Paid
(Received)		  
 
 
 		     

 Unrealized
Appreciation
(Depreciation)		  
 
 

CDX.NA.HY.39.V2

      5.00 %       Quarterly        12/20/27        B        USD    4,049      $ 136,225      $ (57,122 )     $ 193,347  
                 

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Fund		     Payment
Frequency		     Counterparty   Termination
Date		     Credit
Rating(a)		  

Notional

Amount (000)(b)

     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Casino, Guichard-Perrachon S.A.

     5.00 %      Quarterly     BNP Paribas SA     12/20/23     CC   EUR     6     $ (6,042 )    $ (298 )    $ (5,744 ) 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly     Bank of America N.A.     06/20/26     BB-   EUR     4       50       (104 )      154  

Jaguar Land Rover Automotive PLC

     5.00       Quarterly     Credit Suisse International     12/20/26     BB-   EUR     1       (7 )      49       (56 ) 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly     Credit Suisse International     12/20/26     BB-   EUR     10       (43 )      306       (349 ) 

CMA CGM SA

     5.00       Quarterly     Credit Suisse International     06/20/27     NR   EUR     8       774       297       477  

Adler Real Estate AG

     5.00       Quarterly     Bank of America N.A.     12/20/27     CCC+   EUR     15       (3,733 )      (3,166 )      (567 ) 

United Group B.V.

     5.00       Quarterly     Bank of America N.A.     12/20/27     B   EUR     5       (446 )      (636 )      190  

United Group B.V.

     5.00       Quarterly    

Morgan Stanley & Co.

    International PLC

     12/20/27     B   EUR     5       (540 )      (832 )      292  

K&S AG

     5.00       Quarterly    

Morgan Stanley & Co.

    International PLC

     06/20/28     BBB-   EUR     5       676       529       147  

Ladbrokes Coral Group Ltd.

     1.00       Quarterly    

Morgan Stanley & Co.

    International PLC

     06/20/28     BB   EUR     14       (497 )      (995 )      498  
               

 

 

    

 

 

    

 

 

  
                $ (9,808 )    $ (4,850 )    $ (4,958 ) 
               

 

 

    

 

 

    

 

 

  

 

  (a) 

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

 
  (b) 

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

 

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

 

Description   

Swap

Premiums

Paid

     

Swap

Premiums

Received

     

Unrealized

Appreciation

     

Unrealized

Depreciation

  

Centrally Cleared Swaps(a)

    $ —      $ (57,122 )     $ 193,347      $ —  

OTC Swaps

      1,181        (6,031 )       1,758        (6,716 ) 

 

  (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.

 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

   $ —      $ —      $ —      $ 23,917      $ —      $ —      $ 23,917  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

     —        193,347        —        —        —        —        193,347  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

     —        2,939        —        —        —        —        2,939  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
  $ —      $ 196,286      $ —      $ 23,917      $ —      $ —      $ 220,203  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $ —      $ —      $ —      $ 3,670      $ —      $ —      $ 3,670  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

     —        12,747        —        —        —        —        12,747  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
  $ —      $ 12,747      $ —      $ 3,670      $ —      $ —      $ 16,417  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

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

 

For the period ended June 30, 2023, 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

    $ —      $ —      $ —      $ (53,804 )     $ —      $ —      $ (53,804 ) 

Swaps

      —        99,148        —        —        —        —        99,148  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 99,148      $ —      $ (53,804 )     $ —      $ —      $ 45,344  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 18,089      $ —      $ —      $ 18,089  

Swaps

      —        134,250        —        —        —        —        134,250  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 134,250      $ —      $ 18,089      $ —      $ —      $ 152,339  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 6,049,542  

Average amounts sold — in USD

    $ 280,340  

Credit default swaps:

   

Average notional value — sell protection

    $ 4,164,004  

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

 

 

40  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

    $ 23,917      $ 3,670  

Swaps — centrally cleared

      29,406        —  

Swaps — OTC(a)

      2,939        12,747  
  

 

 

     

 

 

  

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

      56,262        16,417  
  

 

 

     

 

 

  

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

      (29,406 )       —  
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 26,856      $ 16,417  
  

 

 

     

 

 

  

 

  (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		  
 
 
(b)(c) 

Bank of America N.A.

   $ 344      $ (344 )    $ —      $ —      $ —  

BNP Paribas SA

     23,339        (6,042 )      —        —        17,297  

Credit Suisse International

     1,129        (405 )      —        —        724  

Morgan Stanley & Co. International PLC

     1,466        (1,466 )      —        —        —  

Toronto-Dominion Bank

     578        —       —        —        578  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  
  $ 26,856      $ (8,257 )    $ —      $ —      $ 18,599  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

                                                                                                                                 

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)(d) 

Bank of America N.A.

   $ 7,647      $ (344 )    $ —      $ —      $ 7,303  

Barclays Bank PLC

     496        —       —        —        496  

BNP Paribas SA

     6,042        (6,042 )      —        —        —  

Credit Suisse International

     405        (405 )      —        —        —  

Morgan Stanley & Co. International PLC

     1,827        (1,466 )      —        —        361  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  
  $ 16,417      $ (8,257 )    $ —      $ —      $ 8,160  
 

 

 

     

 

 

    

 

 

     

 

 

     

 

 

  

 

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

  (c) 

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

  (d) 

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 financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments 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

   $ —      $       4,144,645      $     —      $       4,144,645  

Common Stocks

           

Construction & Engineering

                —        25,467        —        25,467  

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fair Value Hierarchy as of Period End (continued)

 

     Level 1      Level 2     Level 3      Total  

Common Stocks (continued)

          

Electrical Equipment

   $ 16,728      $ —     $ —      $ 16,728  

Energy Equipment & Services

     —        —       —        —  

Financial Services

     —        182,163       —        182,163  

Industrial Conglomerates

     —        17       —        17  

Oil, Gas & Consumable Fuels

     —        —       10,752        10,752  

Semiconductors & Semiconductor Equipment

     5,998        —       —        5,998  

Corporate Bonds

     —        88,936,919       1        88,936,920  

Floating Rate Loan Interests

     —        512,645,949           21,707,346        534,353,295  

Investment Companies

         4,444,748        —       —        4,444,748  

Other Interests

     —        —       —        —  

Preferred Securities

          

Capital Trusts

     —        1,331,993       —        1,331,993  

Preferred Stocks

     —        —       78,858        78,858  

Warrants

     13,663        —       —        13,663  

Liabilities

          

Unfunded Floating Rate Loan Interests(a)

     —        (19,097 )      —        (19,097 ) 
 

 

 

     

 

 

    

 

 

     

 

 

  
  $ 4,481,137      $   607,248,056     $   21,796,957      $   633,526,150  
 

 

 

     

 

 

    

 

 

     

 

 

  

Derivative Financial Instruments(b)

          

Assets

          

Credit Contracts

   $ —      $ 195,105     $ —      $ 195,105  

Foreign Currency Exchange Contracts

     —        23,917       —        23,917  

Liabilities

          

Credit Contracts

     —        (6,716 )      —        (6,716 ) 

Foreign Currency Exchange Contracts

     —        (3,670 )      —        (3,670 ) 
 

 

 

     

 

 

    

 

 

     

 

 

  
  $ —      $ 208,636     $ —      $ 208,636  
 

 

 

     

 

 

    

 

 

     

 

 

  

 

  (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 $137,000,000 are categorized as Level 2 within the fair value hierarchy.

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

 

      Common
Stocks		      Corporate
Bonds		      Floating
Rate Loan
Interests		     

Other

Interests

      Preferred
Stocks		      Warrants      Total  

Assets

                     

Opening balance, as of December 31, 2022

    $ 12,356      $ 1      $ 11,366,161      $ — (a)     $ 75,612      $ — (a)     $ 11,454,130  

Transfers into Level 3(b)

      —        —        9,798,043        —        —        —        9,798,043  

Transfers out of Level 3(c)

      —        —        (2,186,294 )       —        —        —        (2,186,294 ) 

Accrued discounts/premiums

      —        —        231,453        —        —        —        231,453  

Net realized gain (loss)

      (254,730 )       —        (38,174 )       —        —        —        (292,904 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

      254,111        —        337,684        —        3,246        —        595,041  

Purchases

      —        —        4,368,028        —        —        —        4,368,028  

Sales

      (985 )       —        (2,169,555 )       —        —        —        (2,170,540 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing balance, as of June 30, 2023

    $ 10,752      $ 1      $ 21,707,346      $ — (a)     $ 78,858      $ — (a)     $ 21,796,957  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e)

    $ —      $ —      $ 294,504      $ —      $ 3,245      $ —      $ 297,749  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Rounds to less than $1.

 
  (b) 

As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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 June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

 

42  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Debt Strategies Fund, Inc. (DSU)

 

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

   43

Schedule of Investments (unaudited)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  

Asset-Backed Securities

 

Golub Capital Partners CLO 66B Ltd., Series 2023- 66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b)

   USD     1,000      $ 998,106  

Palmer Square CLO Ltd., (3-mo. Term SOFR + 5.00%), 6.80%, 04/20/36

       1,000        1,000,646  

Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b)

       1,000        1,000,956  

Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b)

       1,000        983,157  

Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%),
9.93%, 04/20/36(a)(b)

              1,000             1,000,292  
      

 

 

  

Total Asset-Backed Securities — 1.1%
(Cost: $5,000,000)

 

      4,983,157  
      

 

 

  
          Shares          

Common Stocks

 

Construction & Engineering — 0.0%             

McDermott International Ltd.(c)

       123,933        22,308  
      

 

 

  
Electrical Equipment — 0.0%                 

SunPower Corp.(c)

       1,860        18,228  
      

 

 

  
Energy Equipment & Services — 0.0%         

Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(e)

       6,099        —  
      

 

 

  
Financial Services — 0.1%                 

NMG Parent LLC

       3,613        445,602  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%  

Kcad Holdings I Ltd.(d)

       309,827,230        3,099  
      

 

 

  
Semiconductors & Semiconductor Equipment — 0.0%  

Maxeon Solar Technologies Ltd.(c)

              232        6,533  
      

 

 

  

Total Common Stocks — 0.1%
(Cost: $5,514,227)

        495,770  
      

 

 

  
         

Par

(000)

          

Corporate Bonds

 

Automobile Components — 0.1%  

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

   USD     446        446,273  
      

 

 

  
Building Materials — 0.0%                 

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

       118        111,483  
      

 

 

  
Building Products — 0.1%                 

White Cap Buyer LLC, 6.88%, 10/15/28(b)

       250        226,562  
      

 

 

  
Capital Markets — 0.0%                 

AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b)

       119        121,971  
      

 

 

  
Chemicals(b) — 0.1%                 

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

       51        44,439  

WR Grace Holdings LLC, 5.63%, 08/15/29

       388        317,889  
      

 

 

  
         362,328  
Security       

Par

(000)

      Value  
Commercial Services & Supplies — 0.0%  

Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(b)

   USD     207      $ 193,918  
      

 

 

  
Construction Materials — 0.0%  

Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(b)

              1,013        96,235  
      

 

 

  
Diversified Telecommunication Services — 0.0%  

Zayo Group Holdings, Inc., 6.13%, 03/01/28(b)

       251               156,842  
      

 

 

  
Electric Utilities — 0.0%         

Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(c)(d)(f)

       1,710        —  
      

 

 

  
Electronic Equipment, Instruments & Components — 0.2%  

Vertiv Group Corp., 4.13%, 11/15/28(b)

       901        811,777  
      

 

 

  
Health Care Providers & Services — 0.1%         

Medline Borrower LP, 5.25%, 10/01/29(b)

       384        333,196  
      

 

 

  
Hotels, Restaurants & Leisure(b) — 0.2%         

Caesars Entertainment, Inc., 4.63%, 10/15/29

       390        340,552  

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30

       641        545,515  
      

 

 

  
         886,067  
Insurance — 0.1%                 

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

       357        335,580  
      

 

 

  
Internet Software & Services(b) — 0.1%         

Expedia Group, Inc., 6.25%, 05/01/25

       337        338,096  

Uber Technologies, Inc., 4.50%, 08/15/29

       381        350,672  
      

 

 

  
         688,768  
Media(b) — 0.2%                 

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

       263        99,751  

Odeon Finco PLC, 12.75%, 11/01/27

       607        594,728  

Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26

       573        456,833  
      

 

 

  
         1,151,312  
Passenger Airlines — 0.3%         

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

       1,195        1,192,012  
      

 

 

  
Real Estate Management & Development — 0.1%  

Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29(b)

       510        381,588  
      

 

 

  
Wireless Telecommunication Services — 0.0%         

VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b)

       138        133,342  
      

 

 

  

Total Corporate Bonds — 1.6%
(Cost: $8,950,480)

          7,629,254  
      

 

 

  

Floating Rate Loan Interests(a)

 

Aerospace & Defense — 3.5%                 

Atlas CC Acquisition Corp.

       

Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

       2,832        2,451,898  

Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

       576        498,691  

Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26

       704        702,579  

Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29

       371        363,893  
 

 

 

44  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Aerospace & Defense (continued)                 

NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26

   USD              758      $ 644,589  

Peraton Corp.

       

2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29

       1,699        1,644,132  

Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28

       5,671        5,560,235  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28

       1,340        1,338,566  

TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28

       3,001        2,998,425  
      

 

 

  
           16,203,008  
Automobile Components — 0.6%                 

Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28

       523        522,131  

Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30

       2,264        2,256,212  
      

 

 

  
         2,778,343  
Automobiles — 0.5%                 

Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27

       2,532        2,519,247  
      

 

 

  
Beverages — 1.1%                 

Naked Juice LLC

       

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30

       1,804        1,420,596  

Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29

       3,875        3,597,221  
      

 

 

  
         5,017,817  
Broadline Retail — 1.7%                 

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28

       1,605        1,599,430  

Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(g)

       1,724        1,493,451  

PUG LLC

       

2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d)

       366        328,941  

USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       3,765        3,337,081  

Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d)

       632        631,624  

Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d)

       543        530,306  
      

 

 

  
         7,920,833  
Building Products — 1.9%                 

AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29

       261        261,444  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28

       265        252,957  
Security       

Par

(000)

      Value  
Building Products (continued)                 

CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27

   USD            1,459      $ 1,369,658  

CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29

       794        789,696  

IPS Corp.

       

2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(d)

       1,046        815,880  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28

       596        549,581  

Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28

       815        809,156  

LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28

   EUR     853        792,775  

Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26

   USD     3,156        3,104,949  
      

 

 

  
         8,746,096  
Capital Markets — 3.5%                 

Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26

       1,016        1,015,915  

Ascensus Holdings, Inc.

       

2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29

       2,699        2,401,649  

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28

       2,821        2,769,746  

Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29

       1,155        1,156,414  

Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26

       963        934,254  

Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26

       1,590        1,580,857  

Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27

       716        712,224  

Focus Financial Partners LLC

       

2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28

       1,463        1,443,178  

2023 Term Loan B6, 06/30/28(h)

       788        782,287  

Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24

       1,162        1,160,221  

ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28

       670        656,196  

Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26

       1,680        1,622,106  
      

 

 

  
           16,235,047  
Chemicals — 5.5%                 

Aruba Investments Holdings LLC

       

2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28

       1,440        1,267,200  

2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27

       762        733,615  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26

       2,502        2,447,135  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Chemicals (continued)                 

CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27

   USD             644      $ 486,044  

Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29

       952        909,139  

Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26

       1,972        1,970,316  

HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30

       292        293,051  

Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27

       1,384        1,371,063  

INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30

       678        673,518  

Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28

       1,069        900,603  

LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28

       1,815        1,787,589  

Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26

       2,082        2,079,283  

Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28

       2,039        1,984,513  

Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28

       734        725,970  

Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(h)

       677        653,163  

OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24

       1,709        1,676,230  

PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28

       1,721        1,711,467  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27

       1,047        1,030,642  

Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28

       1,640        1,625,540  

Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25

       159        158,232  

W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28

       926        918,288  
      

 

 

  
           25,402,601  
Commercial Services & Supplies — 4.4%  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28

       2,609        2,532,489  

Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d)

       783        763,513  

Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(d)(h)

       761        759,975  
Security       

Par

(000)

      Value  
Commercial Services & Supplies (continued)  

Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27

   USD             1,958      $ 1,951,535  

Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28

       694        692,400  

Covanta Holding Corp.

       

2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

       86        84,792  

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

       1,129        1,117,826  

EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25

       490        480,617  

GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27

       728        727,849  

LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28

       1,597        1,578,898  

PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28

       802        653,644  

Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26

       1,918        1,916,196  

Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28

       4,779        4,779,363  

TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27

       1,643        1,508,452  

Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28

       778        754,796  
      

 

 

  
           20,302,345  
Communications Equipment — 0.2%                 

Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30

       212        212,467  

ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29

       949        915,864  
      

 

 

  
         1,128,331  
Construction & Engineering — 0.8%                 

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24

       978        966,712  

Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28

       1,045        1,039,502  

USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28

       1,742        1,646,682  
      

 

 

  
         3,652,896  
Construction Materials — 1.0%                 

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27

       1,188        1,182,776  

New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29

       842        706,793  
 

 

 

46  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Construction Materials (continued)  

Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29

   USD     1,100      $     1,073,111  

Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28

       1,598        1,595,918  
      

 

 

  
         4,558,598  
Consumer Staples Distribution & Retail — 0.3%  

U.S. Foods, Inc.

       

2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26

       675        673,852  

2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28

       891        889,627  
      

 

 

  
         1,563,479  
Containers & Packaging — 1.9%  

Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27

       3,470        3,439,770  

Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26

       1,262        1,256,914  

Pregis TopCo Corp.

       

1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26

                   612        607,623  

2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26

       697        689,262  

Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27

       1,483        1,480,680  

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26

       307        306,451  

Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28

       1,142        1,114,879  
      

 

 

  
         8,895,579  
Distributors — 0.2%  

PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27

       1,016        938,721  
      

 

 

  
Diversified Consumer Services — 3.1%  

2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26

       951        911,261  

Ascend Learning LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29

       781        660,593  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28

       1,915        1,796,062  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28

       923        918,718  

KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30

       1,408        1,392,160  
Security       

Par

(000)

      Value  
Diversified Consumer Services (continued)  

Sotheby’s

       

2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27

   USD     1,771      $ 1,723,798  

2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27

       395        384,137  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25

       223        221,443  

Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25

       2,959        2,406,166  

Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26

       2,559        2,534,685  

WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27

       1,225        1,200,976  
      

 

 

  
           14,149,999  
Diversified REITs — 0.2%  

RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30

                   829        827,712  
      

 

 

  
Diversified Telecommunication Services — 5.4%  

Altice Financing SA

       

2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d)

       1,078        1,056,730  

USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26

       1,547        1,517,839  

Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27

       232        223,177  

Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26

       6,623        6,613,056  

Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27

       808        710,925  

Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26

       1,794        1,792,945  

Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27

       1,766        1,641,583  

Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27

       1,790        1,373,755  

Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28

       868        694,081  

Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26

       2,547        2,118,660  

Virgin Media Bristol LLC

       

2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29

       1,335        1,327,844  

USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28

       988        978,580  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Diversified Telecommunication Services (continued)  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.71%, 01/15/27

   GBP     1,000      $     1,211,427  

Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27

   USD     5,045        3,948,536  
      

 

 

  
         25,209,138  
Electric Utilities — 0.1%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25

                   498        497,759  
      

 

 

  
Electrical Equipment — 0.3%  

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d)

       1,521        1,479,085  
      

 

 

  
Electronic Equipment, Instruments & Components — 0.3%  

Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29

       1,591        1,585,340  
      

 

 

  
Energy Equipment & Services — 0.7%  

Lealand Finance Co. BV

       

2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24

       40        30,182  

2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(g)

       305        170,663  

Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28

       3,077        3,067,477  
      

 

 

  
         3,268,322  
Entertainment — 4.5%  

AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26

       1,499        1,167,120  

Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29

       101        101,252  

Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30

       905        896,255  

City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28

       1,575        1,543,515  

Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28

       1,560        1,555,020  

Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30

       1,291        1,290,354  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24

       3,851        3,567,004  

Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26

       2,518        2,509,210  

Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28

       1,492        1,484,928  

SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25

       416        414,896  
Security       

Par

(000)

      Value  
Entertainment (continued)  

UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26

   USD     896      $ 894,460  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25

       2,709        2,699,019  

WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28

       2,700        2,690,457  
      

 

 

  
           20,813,490  
Financial Services — 5.1%  

ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28

                   796        791,414  

Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28

       1,905        1,689,264  

Belron Finance U.S. LLC

       

2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25

       433        432,433  

2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26

       862        860,306  

2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28

       2,982        2,976,121  

Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29

       471        470,708  

Deerfield Dakota Holding LLC

       

2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27

       6,147        5,953,664  

2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28

       1,806        1,672,808  

FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25

       614        613,748  

LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27

       506        485,374  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25

       1,306        1,300,151  

Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26

       2,539        2,496,167  

Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(h)

       1,509        917,710  

UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29

       768        750,433  

WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28

       968        966,061  

White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27

       1,223        1,210,275  
      

 

 

  
         23,586,637  
Food Products — 3.5%  

8th Avenue Food & Provisions, Inc.

 

2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25

       1,183        1,083,644  
 

 

 

48  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Food Products (continued)  

8th Avenue Food & Provisions, Inc. (continued)

 

   

2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25

   USD     1,516      $     1,404,177  

Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27

       3,212        3,190,945  

Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27

       3,533        3,508,738  

H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25

                   497        436,110  

Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30

       1,019        1,015,554  

Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29

       1,012        1,011,065  

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28

       1,873        1,849,487  

Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28

       2,272        2,191,824  

UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28

       680        678,107  
      

 

 

  
         16,369,651  
Ground Transportation — 0.8%  

AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28

       576        556,457  

Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27

       655        646,511  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.66%, 08/04/25

       1,168        1,044,380  

Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30

       1,604        1,606,684  
      

 

 

  
         3,854,032  
Health Care Equipment & Supplies — 1.7%  

Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28

       2,445        2,386,707  

Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26

       686        628,388  

Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28

       761        760,508  

Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28

       4,326        4,272,826  
      

 

 

  
         8,048,429  
Health Care Providers & Services — 2.9%  

CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28

       1,018        1,012,017  

CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27

       1,828        1,819,563  
Security       

Par

(000)

     Value  
Health Care Providers & Services (continued)  

Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28

   USD     2,180     $     2,167,828  

Envision Healthcare Corp.

      

2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27

       — (i)      417  

2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27

       1,170       247,330  

EyeCare Partners LLC

      

2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27

       1,660       1,216,449  

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29

                   581       385,706  

2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28

       532       380,199  

Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28

       1,612       1,547,499  

MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26

       1,334       1,235,109  

Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29

       611       539,971  

Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28

       697       695,690  

PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25

       52       50,483  

Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28

       1,102       1,032,742  

Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26

       595       593,811  

Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29

       335       334,111  
     

 

 

  
        13,258,925  
Health Care Technology — 2.9%  

AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29

       2,984       2,868,887  

Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28

       4,532       4,162,078  

Verscend Holding Corp.

      

2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(d)

       3,092       3,092,000  

2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25

       3,101       3,096,312  
     

 

 

  
        13,219,277  
Hotels, Restaurants & Leisure — 6.2%                

Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d)

       155       154,613  

Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28

       894       872,741  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Hotels, Restaurants & Leisure (continued)  

Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26

   USD     2,418      $     2,398,452  

Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30

       1,244        1,242,751  

Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25

       1,809        1,805,060  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28

       1,462        1,447,894  

Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29

       4,103        4,044,120  

Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28

       1,176        1,176,912  

Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29

       3,050        3,053,622  

IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27

       2,391        2,372,117  

Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28

       905        624,301  

Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29

       1,475        1,469,219  

Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29

                   477        474,865  

Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29

       810        807,666  

SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28

       686        683,719  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26

       1,104        1,103,379  

Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27

       2,039        2,030,554  

Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28

       2,251        2,234,542  

Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30

       534        533,679  
      

 

 

  
         28,530,206  
Household Durables — 1.4%  

ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28

       1,636        1,371,546  
Security       

Par

(000)

      Value  
Household Durables (continued)  

Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29

   USD     2,396      $     2,266,659  

Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(h)

       464        463,737  

Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28

       821        661,824  

Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27

       2,018        1,767,481  
      

 

 

  
         6,531,247  
Household Products — 0.5%  

Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28

       1,722        1,719,542  

Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26

                   405        397,238  
      

 

 

  
         2,116,780  
Independent Power and Renewable Electricity Producers — 0.7%  

Calpine Corp.

       

2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26

       699        697,853  

Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26

       1,496        1,493,529  

Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27

       1,184        1,175,271  
      

 

 

  
         3,366,653  
Industrial Conglomerates — 0.2%  

Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28

       1,081        799,755  
      

 

 

  
Insurance — 4.9%  

Alliant Holdings Intermediate LLC

       

2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27

       3,769        3,743,101  

2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27

       3,876        3,848,175  

AmWINS Group, Inc.

       

2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28

       2,574        2,548,259  

2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28

       494        492,764  

AssuredPartners, Inc.

       

2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       1,397        1,383,974  

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27

       876        866,038  

HUB International Ltd.

       

2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29

       465        463,949  

2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30

       4,591        4,599,658  
 

 

 

50  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Insurance (continued)                 

Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27

   USD     1,352      $ 1,349,527  

USI, Inc.

       

2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26

       212        212,010  

2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29

       3,219        3,211,144  
      

 

 

  
           22,718,599  
Interactive Media & Services — 1.6%  

Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28

                   428        422,617  

Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28

       1,295        1,295,016  

Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26

       1,831        1,827,445  

Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26

       2,198        2,193,085  

GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25

       716        714,406  

Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26

       1,049        1,046,445  
      

 

 

  
         7,499,014  
IT Services — 3.5%  

Asurion LLC

       

2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26

       294        283,191  

2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.51%, 01/31/28

       1,117        947,139  

2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29

       1,596        1,334,655  

2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28

       1,334        1,266,053  

Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28

       2,141        2,136,097  

Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27

       3,245        3,192,663  

Go Daddy Operating Co. LLC

       

2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27

       728        727,035  

2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29

       1,482        1,483,555  

Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28

       4,009        3,980,537  

Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29

       646        618,713  
      

 

 

  
         15,969,638  
Security       

Par

(000)

      Value  
Leisure Products — 0.5%  

Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d)

   USD     971      $ 922,820  

Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27

       343        340,827  

Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30

       1,148        1,146,205  
      

 

 

  
             2,409,852  
Life Sciences Tools & Services — 2.8%  

Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27

       1,524        1,521,811  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28

       1,584        1,546,472  

Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26

                   140        119,959  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27

       1,978        1,899,151  

Fortrea Holdings, Inc., Term Loan B, 06/12/30(h)

       422        421,789  

ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

       2,293        2,292,158  

Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27

       1,483        1,481,611  

Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28

       3,053        3,025,247  

PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

       571        571,095  
      

 

 

  
         12,879,293  
Machinery — 5.8%  

Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d)

       1,966        1,951,102  

Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29

       301        301,001  

Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28

       373        371,407  

Filtration Group Corp.

       

2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28

       1,167        1,161,794  

2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28

       2,365        2,362,300  

Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27

       2,406        2,391,512  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

     Value  
Machinery (continued)                

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27

   USD     2,213     $     2,208,535  

Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28

       3,692       3,611,464  

Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29

       2,148       2,136,879  

SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29

       1,940       1,912,976  

Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25

       3,854       3,756,051  

Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27

       2,265       2,242,784  

Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27

       2,417       2,405,741  

Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28

                   125       124,782  
     

 

 

  
        26,938,328  
Media — 4.7%                

AVSC Holding Corp.

      

2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25

       1,000       974,441  

2020 Term Loan B3, 10/15/26(h)

       941       977,329  

Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28

       1,025       1,003,553  

Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25

       2,591       2,588,431  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26

       3,413       3,253,215  

CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26

       — (i)      277  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28

       1,588       1,574,379  

CSC Holdings LLC

      

2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25

       1,178       1,133,277  

2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27

       1,561       1,359,904  

DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27

       2,252       2,199,583  

E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28

       547       530,171  

ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28

       569       570,803  

Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23

       868       670,887  
Security       

Par

(000)

      Value  
Media (continued)                 

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26

   USD     794      $ 792,219  

Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d)

       1,804        1,357,344  

Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d)

       1,008        1,002,781  

Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28

       1,617        1,590,433  
      

 

 

  
           21,579,027  
Oil, Gas & Consumable Fuels — 1.4%                 

Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28

       3,671        3,590,802  

M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29

       265        262,514  

Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28

       1,915        1,896,991  

Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28

                   636        636,287  
      

 

 

  
         6,386,594  
Passenger Airlines — 2.8%                 

AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28

       1,636        1,668,444  

Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28

       2,027        2,024,126  

American Airlines, Inc.

       

2017 1st Lien Term Loan, (6-mo. LIBOR US + 3.50%), 7.00%, 01/29/27

       273        265,981  

2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28

       2,415        2,368,366  

Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26

       822        795,747  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27

       2,580        2,677,582  

United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28

       2,921        2,914,984  
      

 

 

  
         12,715,230  
Personal Care Products — 1.3%                 

Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26

       6,029        5,988,881  
Pharmaceuticals — 2.0%                 

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25

       1,207        1,161,029  

Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28

       855        829,888  
 

 

 

52  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Pharmaceuticals (continued)                 

Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27

   USD     1,108      $ 833,468  

Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27

       1,462        1,433,939  

Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28

       2,175        2,171,357  

Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28

       1,404        1,402,117  

Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d)

       1,228        1,175,469  

Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28

                   154        153,609  
      

 

 

  
             9,160,876  
Professional Services — 4.6%  

AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28

       1,723        1,717,484  

CoreLogic, Inc.

       

2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29

       1,416        1,135,939  

Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28

       3,356        3,025,869  

Dun & Bradstreet Corp.

       

2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29

       708        705,382  

Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26

       2,321        2,321,182  

Element Materials Technology Group U.S. Holdings, Inc.

       

2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       605        591,451  

2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       1,311        1,281,476  

Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28

       2,033        2,015,694  

Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d)

       2,001        1,875,825  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25

       972        969,486  

Trans Union LLC 2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26

       1,843        1,836,221  
Security       

Par

(000)

      Value  
Professional Services (continued)  

Trans Union LLC (continued) 2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28

   USD     2,244      $ 2,236,807  

VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27

       1,651        1,622,330  
      

 

 

  
         21,335,146  
Real Estate Management & Development — 0.5%         

Cushman & Wakefield U.S. Borrower LLC

       

2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25

                   744        736,749  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d)

       1,825        1,765,162  
      

 

 

  
             2,501,911  
Semiconductors & Semiconductor Equipment — 0.4%  

MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29

       1,151        1,151,300  

Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28

       623        613,873  
      

 

 

  
         1,765,173  
Software — 13.4%                 

Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26

       981        981,997  

Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29

       762        734,160  

Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25

       2,024        2,006,211  

CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28

       1,674        1,668,221  

Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29

       1,376        1,371,324  

Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29

       4,530        4,229,558  

Cloudera, Inc.

       

2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d)

       780        702,000  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28

       861        838,932  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28

       1,190        1,107,392  

Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28

       385        350,030  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Software (continued)                 

E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28

   USD     283      $        281,306  

Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27

       3,267        3,254,964  

Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28

       3,054        3,043,165  

Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28

                   726        725,363  

Magenta Buyer LLC

       

2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28

       2,408        1,805,017  

2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29

       2,204        1,421,390  

McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29

       3,458        3,301,004  

MH Sub I LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29

       2,021        1,752,075  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28

       7,577        7,258,417  

NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29

       1,627        1,617,719  

Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28

       930        818,400  

Proofpoint, Inc.

       

1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28

       2,789        2,725,869  

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29

       1,451        1,403,843  

RealPage, Inc.

       

1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28

       6,193        6,051,864  

2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29

       2,965        2,863,833  

Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25

       1,239        1,238,319  

Sophia LP

       

2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28

       2,779        2,765,105  

2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27

       2,292        2,264,925  

UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27

       1,402        1,355,965  

Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26

       1,629        1,604,874  
Security       

Par

(000)

      Value  
Software (continued)                 

Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28

   USD     325      $ 320,939  

ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30

       217        216,504  
      

 

 

  
           62,080,685  
Specialty Retail — 2.6%                 

CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28

   GBP     1,000        1,226,667  

EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25

   USD     1,431        1,405,199  

EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26

                   565        561,567  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28

       2,979        2,949,408  

PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28

       3,664        3,651,336  

Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28

       1,133        1,130,572  

Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28

       862        830,261  

RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28

       243        225,408  
      

 

 

  
         11,980,418  
Technology Hardware, Storage & Peripherals — 0.1%  

Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26

       797        538,274  
      

 

 

  
Textiles, Apparel & Luxury Goods — 0.3%         

Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29

       967        969,127  

Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d)

       520        520,997  
      

 

 

  
         1,490,124  
Trading Companies & Distributors — 2.6%  

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28

       1,368        1,362,725  

Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28

       4,078        4,051,387  

SRS Distribution, Inc.

       

2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28

       2,757        2,674,183  

2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28

       985        959,477  

TMK Hawk Parent Corp.(d)

       

2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24

       963        948,162  

2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24

       3,034        1,835,387  
      

 

 

  
         11,831,321  
 

 

 

54  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Transportation Infrastructure — 0.6%  

Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28

   USD     743      $        738,488  

KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28

       927        918,275  

OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26

       844        789,136  

Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30

                   246        230,049  
      

 

 

  
         2,675,948  
Wireless Telecommunication Services — 1.1%  

Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24

       819        749,499  

GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28

       935        932,567  

SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25

       3,325        3,323,656  
      

 

 

  
         5,005,722  
      

 

 

  

Total Floating Rate Loan Interests — 125.1%
(Cost: $595,403,288)

 

      578,825,432  
      

 

 

  
          Shares          

Investment Companies

 

Equity Funds — 0.1%                 

Janus Henderson AAA CLO ETF

       10,000        498,500  
      

 

 

  
Fixed Income Funds — 1.4%                 

Invesco Senior Loan ETF

       64,300        1,352,872  

iShares iBoxx $ High Yield Corporate Bond ETF(j)

       70,000        5,254,900  
      

 

 

  
         6,607,772  
      

 

 

  

Total Investment Companies — 1.5%
(Cost: $7,176,265)

 

      7,106,272  
      

 

 

  
     Benefical
Interest (000)		          

Other Interests

 

Capital Markets — 0.0%                 

Millennium Lender Claim Trust(d)(k)

   USD     1,607        —  
      

 

 

  
Security        Benefical
Interest (000)		      Value  
Industrial Conglomerates — 0.0%  

Millennium Corp. Claim(d)(k)

   USD     1,508      $ —  
      

 

 

  

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

 

      —  
      

 

 

  
          Shares          

Warrants

       
Consumer Discretionary — 0.0%                 

Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(c)

       1,895        —  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(c)

       999        11,848  
      

 

 

  

Total Warrants — 0.0%
(Cost: $ — )

 

      11,848  
      

 

 

  

Total Investments — 129.4%
(Cost: $622,044,260)

 

      599,051,733  

Liabilities in Excess of Other Assets — (29.4)%

 

      (136,188,621 ) 
      

 

 

  

Net Assets — 100.0%

 

    $ 462,863,112  
      

 

 

  

 

(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) 

Non-income producing security.

(d) 

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

(e) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0.

(f) 

Issuer filed for bankruptcy and/or is in default.

(g) 

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

(h) 

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) 

Rounds to less than 1,000.

(j)

Affiliate of the Fund.

(k) 

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

 

 

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.

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer  

Value at

12/31/22

    

Purchases

at Cost

    

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

06/30/23

    

Shares

Held at

06/30/23

     Income    

Capital Gain 

Distributions 

from 

Underlying 

Funds 

  

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

   $ —     $  16,323,678       $ (16,323,678 )    $ —     $ —     $ —       —     $ 5,158     $ —  

iShares iBoxx $ High Yield Corporate Bond ETF

     736,300       7,972,560       (3,380,993 )      (37,207 )      (35,760 )      5,254,900       70,000       129,929       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ (37,207 )    $ (35,760 )    $  5,254,900       $  135,087     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

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

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty    Settlement Date                

Unrealized

Appreciation

(Depreciation)

  
USD     539,755        EUR      491,859     

BNP Paribas SA

      09/20/23        $ 986  
USD     306,363        EUR      279,141     

Toronto-Dominion Bank

      09/20/23          599  
USD     2,374,801        GBP      1,852,000     

BNP Paribas SA

      09/20/23          22,262  
                    

 

 

  
                     $ 23,847  
                    

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   

Financing

Rate Received

by the Fund

     

Payment

Frequency

     

Termination

Date

     

Credit

Rating(a)

   

Notional   

Amount (000)(b)

      Value     

Upfront

Premium

Paid

(Received)

     

Unrealized

Appreciation

(Depreciation)

  

CDX.NA.HY.39.V2

      5.00 %       Quarterly        12/20/27      B    USD      4,480         $ 150,713      $ (63,197 )     $ 213,910  
                    

 

 

     

 

 

     

 

 

  

 

  (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

 

Description   

Swap

Premiums

Paid

     

Swap

Premiums

Received

     

Unrealized

Appreciation

     

Unrealized

Depreciation

  

Centrally Cleared Swaps(a)

    $ —      $ (63,197 )     $ 213,910      $ —  

 

  (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.

 

 

 

56  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

     

Commodity

Contracts

     

Credit

Contracts

     

Equity

Contracts

     

Foreign

Currency

Exchange

Contracts

     

Interest

Rate

Contracts

     

Other

Contracts

      Total  

Assets — Derivative Financial Instruments

                     

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 23,847      $ —      $ —      $ 23,847  

Swaps — centrally cleared

                     

Unrealized appreciation on centrally cleared swaps(a)

      —        213,910        —        —        —        —        213,910  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $  213,910      $ —      $ 23,847      $ —      $ —      $  237,757  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

For the period ended June 30, 2023, 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

    $ —      $ —      $ —      $ (98,893 )     $ —      $ —      $ (98,893 ) 

Swaps

      —        120,142        —        —        —        —        120,142  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 120,142      $ —      $ (98,893 )     $ —      $ —      $ 21,249  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Forward foreign currency exchange contracts

    $ —      $ —      $ —      $ 6,962      $ —      $ —      $ 6,962  

Swaps

      —        143,402        —        —        —        —        143,402  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $  143,402      $ —      $ 6,962      $ —      $ —      $  150,364  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 3,190,931  

Credit default swaps:

   

Average notional value — sell protection

    $ 4,502,375  

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments

        

Forward foreign currency exchange contracts

    $ 23,847        $ —  

Swaps — centrally cleared

      32,533          —  
  

 

 

       

 

 

  

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

      56,380          —  
  

 

 

       

 

 

  

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

      (32,533 )         —  
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 23,847        $ —  
  

 

 

       

 

 

  

 

 

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 (unaudited) (continued)

June 30, 2023

   

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

 

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

 

Counterparty     

 Derivative

Assets

Subject to

an MNA by

Counterparty

  

 

 

 

 

     

 Derivatives

Available

for Offset

  

 

 

     

 Non-Cash

Collateral

Received

  

 

 

     

 Cash

Collateral

Received

  

 

 

     

 Net Amount

of Derivative

Assets

  

 

(a)(b) 

BNP Paribas SA

    $ 23,248      $ —      $ —      $ —      $ 23,248  

Toronto-Dominion Bank

      599        —        —        —        599  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 23,847      $ —      $ —      $ —      $ 23,847  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

  (b) 

Net amount represents the net amount receivable from the 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 financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments 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

    $ —      $ 4,983,157      $ —      $ 4,983,157  

Common Stocks

            

Construction & Engineering

      —        22,308        —        22,308  

Electrical Equipment

      18,228        —        —        18,228  

Energy Equipment & Services

      —        —        —        —  

Financial Services

      —        445,602        —        445,602  

Oil, Gas & Consumable Fuels

      —        —        3,099        3,099  

Semiconductors & Semiconductor Equipment

      6,533        —        —        6,533  

Corporate Bonds

      —        7,629,254        —        7,629,254  

Floating Rate Loan Interests

      —        554,238,006        24,587,426        578,825,432  

Investment Companies

      7,106,272        —        —        7,106,272  

Other Interests

      —        —        —        —  

Warrants

      11,848        —        —        11,848  

Liabilities

            

Unfunded Floating Rate Loan Interests(a)

      —        (21,575 )       —        (21,575 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $   7,142,881      $  567,296,752      $   24,590,525      $  599,030,158  
  

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Financial Instruments(b)

            

Assets

            

Credit Contracts

    $ —      $ 213,910      $ —      $ 213,910  

Foreign Currency Exchange Contracts

      —        23,847        —        23,847  
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 237,757      $ —      $ 237,757  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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 $138,000,000 are categorized as Level 2 within the fair value hierarchy.

 

 

58  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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

 

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

 

 

  
    Common
Stocks		    

Corporate

Bonds

     Floating
Rate Loan
Interests		    

Other

Interests

     Total  

 

  

Assets

              

Opening balance, as of December 31, 2022

   $ 4,440       $ — (a)    $ 12,129,451       $ — (a)    $ 12,133,891  

Transfers into Level 3(b)

     —         —       11,247,218         —       11,247,218  

Transfers out of Level 3(c)

     —         —       (1,692,162 )        —       (1,692,162 ) 

Accrued discounts/premiums

     —         —       228,810         —       228,810  

Net realized gain (loss)

     (213,184 )        —       (43,592 )        —       (256,776 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

     212,665         —       338,425         —       551,090  

Purchases

     —         —       5,041,133         —       5,041,133  

Sales

     (822 )        —       (2,661,857 )        —       (2,662,679 ) 
 

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

Closing balance, as of June 30, 2023

   $ 3,099       $ — (a)    $  24,587,426       $ — (a)    $  24,590,525  
 

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e)

   $ —       $ —     $ 289,540       $ —     $ 289,540  
 

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Rounds to less than $1.

  (b) 

As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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 June 30, 2023 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

   59

Schedule of Investments (unaudited)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

      Value  

Asset-Backed Securities

 

   

Sterling COOFS Trust(a)

     

Series 2004-1, Class A, 2.36%, 04/15/29

   $           537      $ 5,371  

Series 2004-2, Class Note, 2.08%, 03/30/30(b)(c)

     324        3,322  
    

 

 

  
Total Asset-Backed Securities — 0.0%
    (Cost: $79,485)		          8,693  
    

 

 

  

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 7.8%  

Fannie Mae, Series 2020-57, Class LI, 2.00%, 08/25/50

     5,500        4,001,101  

Freddie Mac REMICS

     

Series 3745, Class LK, 4.00%, 10/15/40

     3,500             3,335,806  

Series 5249, Class LB, 4.00%, 08/25/52

     6,295        5,741,495  

Ginnie Mae Mortgage-Backed Securities, Series 2022-63, Class ZM, 3.50%, 10/20/50

     4,338        3,526,535  

Seasoned Credit Risk Transfer Trust

     

Series 2018-2, Class MA, 3.50%, 11/25/57

     541        508,750  

Series 2018-4, Class MA, 3.50%, 03/25/58

     3,108        2,914,738  

Series 2019-1, Class MA, 3.50%, 07/25/58

     979        916,326  

Series 2019-2, Class MA, 3.50%, 08/25/58

     392        366,535  

Small Business Administration, Series 2000-1, 1.00%, 03/15/21(a)

     4        —  
    

 

 

  
       21,311,286  
Commercial Mortgage-Backed Securities — 1.9%         

BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, (1-mo. LIBOR US + 0.85%), 6.04%, 09/15/34(b)(c)

     607        602,983  

Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.01%, 04/15/36(b)(c)

    250        240,662  

BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 6.84%, 03/15/40(b)(c)

     500        492,545  

BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.31%,
10/15/39(b)(c)

     750        748,824  

Citigroup Commercial Mortgage CGCMT, 6.01%, 06/10/28

     340        339,352  

CSAIL Commercial Mortgage Trust(b)

     

Series 2018-C14, Class XA, 0.70%, 11/15/51

     1,995        47,702  

Series 2019-C16, Class XA, 1.71%, 06/15/52

     6,356        425,624  

GS Mortgage Securities Corp. Trust, Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.34%, 08/15/39(b)(c)

     560        560,175  

GS Mortgage Securities Trust, Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.24%, 03/15/28(b)(c)

     280        275,439  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1-mo. LIBOR US + 0.95%), 6.14%, 06/15/35(b)(c)

     100        95,013  

RMBS Miravet Mira 2023 Mile, 6.75%, 06/10/28

     569        567,293  

Wells Fargo Commercial Mortgage Trust(b)

     

Series 2018-AUS, Class A, 4.19%, 08/17/36(c)

     583        525,408  

Series 2018-C44, Class XA, 0.87%, 05/15/51

     4,810        128,202  
    

 

 

  
       5,049,222  
Interest Only Collateralized Mortgage Obligations — 4.7%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

     133        23,270  

Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50

     27,161        4,117,559  

 

Security  

Par

(000)

     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Freddie Mac, Series 3744, Class CI, 3.00%, 06/25/51

   $    19,505     $      2,748,636  

Freddie Mac REMICS

    

Series 5083, Class IN, 4.50%, 07/25/32

     13,084       1,279,944  

Series 5138, Class IP, 3.00%, 04/25/51

     18,114       2,726,593  

Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52

     11,830       1,827,230  

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37(a)

     18,826       2  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(a)(b)

     5,746       6  
   

 

 

  
      12,723,240  
Principal Only Collateralized Mortgage Obligations — 2.3%  

CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 4.00%, 09/25/23

     7       7,268  

Fannie Mae, Series 2011-90, Class AO, 4.41%, 09/25/41

     3,646       2,754,595  

Fannie Mae Strip

    

4.98%, 07/25/33

     1,912       1,590,994  

4.68%, 09/25/39

     2,232       1,717,709  

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2.58%, 02/25/36

     91       63,344  

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 5.00%, 11/25/35

     45       24,560  
   

 

 

  
      6,158,470  
   

 

 

  
Total Non-Agency Mortgage-Backed
    Securities — 16.7%
    (Cost: $46,414,394)		     45,242,218  
   

 

 

  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 3.5%            

Federal Housing Administration, 7.43%, 05/15/23(a)

     — (d)      —  

Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(e)

     13,000       9,637,803  
   

 

 

  
      9,637,803  
Collateralized Mortgage Obligations — 60.5%        

Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24

     2       1,803  

Fannie Mae REMICS

    

Series 1993-247, Class SN, (12-mo. LIBOR US + 63.85%), 10.00%, 12/25/23(b)

     1       1,354  

Series 2004-31, Class ZG, 7.50%, 05/25/34

     1,976       2,115,013  

Series 2004-84, Class SD, (1-mo. LIBOR US + 12.75%), 3.99%, 04/25/34(b)

     134       132,138  

Series 2005-73, Class DS, (1-mo. LIBOR US + 17.55%), 4.16%, 08/25/35(b)

     41       38,049  

Series 2010-134, Class DB, 4.50%, 12/25/40

     6,394       6,201,481  

Series 2010-136, Class CY, 4.00%, 12/25/40

     3,060       2,914,017  

Series 2010-47, Class JB, 5.00%, 05/25/30

     1,977       1,936,335  

Series 2011-117, Class CP, 4.00%, 11/25/41

     14,350       13,592,763  

Series 2011-8, Class ZA, 4.00%, 02/25/41

     3,821       3,611,198  

Series 2011-99, Class CB, 4.50%, 10/25/41

     31,036       30,232,814  

Series 2012-104, Class QD, 4.00%, 09/25/42

     1,639       1,505,987  

Series 2013-81, Class YK, 4.00%, 08/25/43

     7,000       6,505,637  

Series 2018-32, Class PS, (1-mo. LIBOR US + 7.23%), 1.22%, 05/25/48(b)

     4,380       3,718,430  

Series 2018-50, Class EB, 4.00%, 07/25/48

     2,001       1,912,314  

Freddie Mac REMICS

    

Series 2218, Class Z, 8.50%, 03/15/30

     336       351,919  

Series 2731, Class ZA, 4.50%, 01/15/34

     1,537       1,483,231  
 

 

 

60  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Collateralized Mortgage Obligations (continued)  

Freddie Mac REMICS (continued)

     

Series 2927, Class BZ, 5.50%, 02/15/35

   $       1,538    $      1,527,733  

Series 3745, Class ZA, 4.00%, 10/15/40

   1,242      1,176,969  

Series 3762, Class LN, 4.00%, 11/15/40

   2,000      1,895,384  

Series 3780, Class ZA, 4.00%, 12/15/40

   3,260      3,101,250  

Series 3856, Class PB, 5.00%, 05/15/41

   6,568      6,559,273  

Series 3960, Class PL, 4.00%, 11/15/41

   2,859      2,718,084  

Series 3963, Class JB, 4.50%, 11/15/41

   551      532,532  

Series 4016, Class BX, 4.00%, 09/15/41

   15,408      14,650,986  

Series 4269, Class PM, 4.00%, 08/15/41

   8,884      8,276,851  

Series 4299, Class JY, 4.00%, 01/15/44

   1,000      935,086  

Series 4384, Class LB, 3.50%, 08/15/43

   4,030      3,812,801  

Series 4615, Class LB, 4.50%, 09/15/41

   7,281      7,135,590  

Series 4748, Class BM, 3.50%, 11/15/47

   3,351      2,884,592  

Series 4774, Class L, 4.50%, 03/15/48

   5,500      5,358,062  

Series 4830, Class AV, 4.00%, 10/15/33

   1,069      993,388  

Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(b)

   74      72,833  

Ginnie Mae

     

Series 2011-88, Class PY, 4.00%, 06/20/41

   7,829      7,456,318  

Series 2012-16, Class HJ, 4.00%, 09/20/40

   5,467      5,264,314  

Series 2015-96, Class ZM, 4.00%, 07/20/45

   8,611      7,900,865  

Series 2018-91, Class ZL, 4.00%, 07/20/48

   6,255      5,674,412  
    

 

 

  
       164,181,806  
Commercial Mortgage-Backed Securities(b) — 0.6%  

Freddie Mac Multifamily Structured Pass-Through Certificates

     

Series K094, Class X1, 1.01%, 06/25/29

   1,401      59,618  

Series K104, Class X1, 1.25%, 01/25/30

   1,349      77,278  

Series K105, Class X1, 1.64%, 01/25/30

   1,818      143,045  

Series K107, Class X1, 1.71%, 01/25/30

   1,229      101,533  

Series K109, Class X1, 1.70%, 04/25/30

   938      77,692  

Series K110, Class X1, 1.81%, 04/25/30

   393      34,239  

Series K113, Class X1, 1.48%, 06/25/30

   1,591      117,747  

Series K115, Class X1, 1.43%, 06/25/30

   1,951      140,665  

Series K120, Class X1, 1.13%, 10/25/30

   3,887      219,946  

Series K122, Class X1, 0.97%, 11/25/30

   1,668      82,787  

Ginnie Mae

     

Series 2013-63, Class IO, 0.75%, 09/16/51

   3,503      74,098  

Series 2014-169, Class IO, 0.62%, 10/16/56

   12,757      272,658  

Series 2016-113, Class IO, 1.18%, 02/16/58

   3,419      175,291  
    

 

 

  
       1,576,597  
Interest Only Collateralized Mortgage Obligations — 7.5%  

Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28

   32      1,526  

Fannie Mae REMICS

     

Series 1997-90, Class M, 6.00%, 01/25/28

   29      336  

Series 2006-36, Class PS, (1-mo. LIBOR US + 6.60%), 1.45%, 05/25/36(b)

   2,176      166,742  

Series 2011-134, Class ST, (1-mo. LIBOR US + 6.00%), 0.85%, 12/25/41(b)

   12,577      1,269,899  

Series 2013-10, Class PI, 3.00%, 02/25/43

   3,723      439,784  

Series 2013-45, Class EI, 4.00%, 04/25/43

   1,338      120,531  

Series 2015-66, Class AS, (1-mo. LIBOR US + 6.25%), 1.10%, 09/25/45(b)

   10,993      696,524  

Series 2017-70, Class SA, (1-mo. LIBOR US + 6.15%), 1.00%, 09/25/47(b)

   16,982      1,782,644  

Series 2020-12, Class JI, 4.50%, 03/25/50

   7,567      1,512,527  
Security  

Par

(000)

     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Fannie Mae REMICS (continued)

    

Series 2021-23, Class CI, 3.50%, 07/25/46

   $      18,941     $      3,147,265  

Freddie Mac REMICS

    

Series 3744, Class PI, 4.00%, 06/15/39

     1,078       41,907  

Series 3796, Class WS, (1-mo. LIBOR US + 6.55%), 1.36%, 02/15/40(b)

     189       430  

Series 3923, Class SD, (1-mo. LIBOR US + 6.00%), 0.81%, 09/15/41(b)

     16,227       1,328,423  

Series 3954, Class SL, (1-mo. LIBOR US + 6.00%), 0.81%, 11/15/41(b)

     9,786       881,062  

Series 4026, Class IO, 4.50%, 04/15/32

     580       46,905  

Series 4119, Class SC, (1-mo. LIBOR US + 6.15%), 0.96%, 10/15/42(b)

     222       21,663  

Series 4706, Class IG, 4.00%, 07/15/47

     8,064       1,338,676  

Series 5013, Class JI, 4.00%, 09/25/50

     19,777       2,886,269  

Ginnie Mae

    

Series 2009-116, Class KS, (1-mo. LIBOR US + 6.47%), 1.31%, 12/16/39(b)

     360       24,317  

Series 2011-52, Class MJ, (1-mo. LIBOR US + 6.65%), 1.50%, 04/20/41(b)

     2,686       116,531  

Series 2011-52, Class NS, (1-mo. LIBOR US + 6.67%), 1.51%, 04/16/41(b)

     3,389       210,113  

Series 2012-97, Class JS, (1-mo. LIBOR US + 6.25%), 1.09%, 08/16/42(b)

     4,503       109,168  

Series 2017-101, Class SL, (1-mo. LIBOR US + 6.20%), 1.04%, 07/20/47(b)

     8,716       931,982  

Series 2022-60, Class IH, 2.50%, 02/20/51

     24,207       3,282,640  
   

 

 

  
      20,357,864  
Mortgage-Backed Securities — 67.8%            

Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 - 01/01/57(f)

     31,620       30,317,078  

Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39(f)

     4,446       4,556,123  

Ginnie Mae Mortgage-Backed Securities

    

7.50%, 09/15/23 - 11/15/23

     — (d)      41  

8.00%, 05/15/26 - 06/15/27

     8       7,860  

5.00%, 10/20/39

     999       1,014,428  

Uniform Mortgage-Backed Securities

    

4.50%, 09/01/25 - 10/01/52(f)

     36,725       35,738,216  

5.50%, 02/01/33 - 10/01/39(f)

     3,326       3,409,812  

5.00%, 06/01/33 - 07/13/53(f)(g)(h)

     29,462       29,107,511  

2.50%, 07/18/38(g)

     180       163,864  

6.50%, 10/01/38 - 10/01/39

     1,130       1,183,065  

4.00%, 01/01/41 - 10/01/52(f)

     40,574       38,373,041  

3.00%, 07/13/53(g)

     41,900       36,873,637  

3.50%, 07/13/53(g)

     3,664       3,338,677  
   

 

 

  
      184,083,353  
Principal Only Collateralized Mortgage Obligations — 0.0%  

Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 7.00%, 02/25/29

     16       14,512  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

      Value  
Principal Only Collateralized Mortgage Obligations (continued)  

Fannie Mae REMICS, Series 2002-13, Class PR, 4.00%, 03/25/32

   $ 21      $ 19,090  

Freddie Mac REMICS, Series 1691, Class B, 4.00%, 03/15/24

     5        5,032  
    

 

 

  
       38,634  
    

 

 

  
Total U.S. Government Sponsored Agency
    Securities — 139.9%
    (Cost: $428,128,155)		      379,876,057  
    

 

 

  
Total Long-Term Investments — 156.6%
    (Cost: $474,622,034)		          425,126,968  
    

 

 

  

Short-Term Securities

     
Borrowed Bond Agreement(i) — 0.3%             

BNP Paribas SA, 5.10%, open(j) (Purchased 03/15/2023 to be repurchased at $784,133, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $754,268, respectively)

     784        784,035  
    

 

 

  
     Shares          
Money Market Funds — 2.2%             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.98%(k)(l)

     6,098,856        6,098,856  
    

 

 

  
Total Short-Term Securities — 2.5%
    (Cost: $6,882,891)		      6,882,891  
    

 

 

  
Options Purchased — 0.1%
    (Cost: $228,000)		      140,398  
    

 

 

  
Total Investments Before Borrowed Bonds — 159.2%
    (Cost: $481,732,925)		        432,150,257  
    

 

 

  
Security  

Par

(000)

      Value  

Borrowed Bonds

     
U.S. Governments Obligations — (0.3)%  

U.S. Treasury Bonds, 2.75%, 11/15/42(m)

     $      (917)       $ (754,268 ) 
    

 

 

  

Total Borrowed Bonds — (0.3)%
(Proceeds: $(842,347))

 

      (754,268 ) 
Total Investments, Net of Borrowed Bonds — 158.9%
(Cost: $480,890,578)		      431,395,989  

Liabilities in Excess of Other Assets — (58.9)%

 

      (159,833,794 ) 
    

 

 

  
Net Assets — 100.0%           $   271,562,195  
    

 

 

  

 

(a) 

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

(b) 

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.

(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) 

Rounds to less than 1,000.

(e) 

Zero-coupon bond.

(f) 

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

(g) 

Represents or includes a TBA transaction.

(h) 

All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

(i)

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

(j) 

The amount to be repurchased assumes the maturity will be the day after the period end.

(k) 

Affiliate of the Fund.

(l) 

Annualized 7-day yield as of period end.

(m) 

All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/22		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
06/30/23		    

Shares

Held at

06/30/23

     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds,
T-Fund, Institutional Class

   $  5,814,963     $ 283,893 (a)    $ —     $ —     $ —     $  6,098,856       6,098,856     $  141,813     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate		      Trade
Date		      Maturity
Date		      Face Value      Face Value
Including
Accrued Interest		     

Type of Non-Cash Underlying

Collateral

    Remaining
Contractual Maturity
of the Agreements

Cantor Fitzgerald & Co.

      5.21 %       05/09/23        07/13/23      $     6,077,087      $ 6,121,942     

U.S. Government Sponsored Agency Securities

    Up to 30 Days

Cantor Fitzgerald & Co.

      5.21        05/09/23        07/13/23        6,200,926        6,246,694     

U.S. Government Sponsored Agency Securities

    Up to 30 Days

Cantor Fitzgerald & Co.

      5.21        05/09/23        07/13/23        2,088,700        2,106,138     

U.S. Government Sponsored Agency Securities

    Up to 30 Days

 

 

62  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate		      Trade
Date		      Maturity
Date		      Face Value      Face Value
Including
Accrued Interest		     

Type of Non-Cash Underlying

Collateral

    Remaining
Contractual Maturity
of the Agreements		  

Cantor Fitzgerald & Co.

      5.21 %       05/09/23        07/13/23      $ 6,076,566      $ 6,121,416     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,971,883        5,987,649     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,811,506        5,826,848     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,937,336        5,953,011     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        2,091,422        2,096,944     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        4,438,561        4,450,279     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,854,456        5,869,911     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        2,765,289        2,772,589     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        1,448,255        1,452,079     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        3,749,852        3,759,751     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        3,050,508        3,058,561     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        1,277,320        1,280,693     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        2,348,677        2,354,877     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        2,614,745        2,621,647     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,815,536        5,830,889     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        3,053,692        3,061,754     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        5,891,182        5,906,735     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        1,194,543        1,197,697     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        4,620,473        4,632,671     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        1,279,740        1,283,119     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        991,366        993,983     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        20,661,266        20,715,812     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  

HSBC Securities (USA), Inc.

      5.28        06/08/23        07/13/23        8,863,547        8,886,947     

U.S. Government Sponsored Agency Securities

      Up to 30 Days  
           

 

 

     

 

 

        
            $  120,174,434      $ 120,590,636        
           

 

 

     

 

 

        

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

 

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. Treasury Note

      369        09/20/23      $ 41,443      $ (1,009,760 ) 
           

 

 

  

Short Contracts

            

10-Year U.S. Ultra Long Treasury Note

      167        09/20/23        19,795        227,740  

U.S. Long Bond

      130        09/20/23        16,526        70,485  

2-Year U.S. Treasury Note

      172        09/29/23        34,983        591,305  

5-Year U.S. Treasury Note

      62        09/29/23        6,643        128,796  
           

 

 

  
              1,018,326  
           

 

 

  
            $ 8,566  
           

 

 

  

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

                           

10-Year Interest Rate Swap, 12/13/33

     

 1-Day SOFR,

1.09%

 

      Quarterly               3.00 %       Semi-Annual       
 Deutsche
Bank AG		  
 		      12/11/23        3.00 %       USD 15,000      $  140,398  
                          

 

 

  

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)  

1-Day SOFR, 1.09%

      Quarterly           0.17%        Quarterly           N/A        10/21/25        USD        137      $ (14,575 )     $ (16 )     $ (14,559 ) 

0.18%

      Quarterly           1-Day FEDL, 5.08%        Quarterly           N/A        10/21/25        USD        137          14,608        13        14,595  
                       

 

 

     

 

 

     

 

 

  
                        $ 33      $ (3 )     $ 36  
                       

 

 

     

 

 

     

 

 

  

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

 

Description    Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		  

Centrally Cleared Swaps(a)

    $ 13      $ (16 )     $ 14,595      $ (14,559 ) 

 

  (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.

 

 

64  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

 

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)

    $ —      $ —      $ —      $ —      $    1,018,326      $ —      $   1,018,326  

Options purchased

                     

Investments at value — unaffiliated(b)

      —        —        —        —        140,398        —        140,398  

Swaps — centrally cleared

                     

Unrealized appreciation on centrally cleared swaps(a)

      —        —        —        —        14,595        —        14,595  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 1,173,319      $ —      $ 1,173,319  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

    $ —      $ —      $ —      $ —      $ 1,009,760      $ —      $ 1,009,760  

Swaps — centrally cleared

                     

Unrealized depreciation on centrally cleared swaps(a)

      —        —        —        —        14,559        —        14,559  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 1,024,319      $ —      $ 1,024,319  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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 period ended June 30, 2023, 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

    $ —      $ —      $ —      $ —      $   682,998      $ —      $   682,998  

Swaps

      —        —        —        —        (16 )       —        (16 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 682,982      $ —      $ 682,982  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ —      $ —      $ (55,430 )     $ —      $ (55,430 ) 

Options purchased(a)

      —        —        —        —        (87,602 )       —        (87,602 ) 

Swaps

      —        —        —        —        43        —        43  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ (142,989 )     $ —      $ (142,989 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

         

Average notional value of contracts — long

    $   43,561,563  

Average notional value of contracts — short

    $ 87,549,532  

Options:

   

Average notional value of swaption contracts purchased

    $ 15,000,000  

Interest rate swaps:

   

Average notional value — pays fixed rate

    $ 136,615  

Average notional value — receives fixed rate

    $ 136,615  

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

   65

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

BlackRock Income Trust, Inc. (BKT)

 

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

    $ —      $ 127,542  

Options

      140,398        —  

Swaps — centrally cleared

      71        —  
  

 

 

     

 

 

  

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

      140,469        127,542  
  

 

 

     

 

 

  

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

      (71 )       (127,542 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $  140,398      $ —  
  

 

 

     

 

 

  

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

 

Counterparty

    



 Derivative
Assets
Subject to
an MNA by
Counterparty		  
 
 
 
 		    

 Derivatives
Available
for Offset		  
 
 		    

 Non-Cash
Collateral
Received		  
 
 		    

 Cash
Collateral
Received		  
 
 		    

 Net Amount

of Derivative

Assets

  

 

(a) 

Deutsche Bank AG

   $ 140,398     $ —     $ —     $ —     $ 140,398  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Net amount represents the net amount receivable from the 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 financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments 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

      $ —        $ —        $     8,693        $ 8,693  

Non-Agency Mortgage-Backed Securities

        —          45,242,210          8          45,242,218  

U.S. Government Sponsored Agency Securities

        —          379,876,057          —          379,876,057  

Short-Term Securities

                    

Borrowed Bond Agreement

        —          784,035          —          784,035  

Money Market Funds

        6,098,856          —          —          6,098,856  

Options Purchased

                    

Interest Rate Contracts

        —          140,398          —          140,398  

Liabilities

                    

Investments

                    

Borrowed Bonds

        —          (754,268 )         —          (754,268 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
     $   6,098,856        $   425,288,432        $ 8,701        $ 431,395,989  
    

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                    

Assets

                    

Interest Rate Contracts

      $ 1,018,326        $ 14,595        $ —        $ 1,032,921  

Liabilities

                    

Interest Rate Contracts

        (1,009,760 )         (14,559 )         —          (1,024,319 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
     $ 8,566        $ 36        $ —        $ 8,602  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $120,590,636 are categorized as Level 2 within the fair value hierarchy.

See notes to financial statements.

 

 

66  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Asset-Backed Securities                 

AIMCO CLO, Series 2017-AA, Class CR, (3-mo. LIBOR US + 2.10%), 7.35%, 04/20/34(a)(b)

   USD                1,000      $          966,017  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3-mo. LIBOR US + 3.00%), 8.26%, 10/21/28(a)(b)

       1,000        945,126  

ALM Ltd., Series 2020-1A, Class D, (3-mo. LIBOR US + 6.00%), 11.26%, 10/15/29(a)(b)

       285        259,176  

Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3-mo. LIBOR US + 5.50%), 10.77%, 01/28/31(a)(b)

       850        698,475  

Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3-mo. LIBOR US + 2.60%), 7.87%, 01/28/31(a)(b)

       250        227,476  

Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3-mo. LIBOR US + 3.50%), 8.77%, 01/28/31(a)(b)

       1,000        943,555  

Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. LIBOR US + 0.90%), 6.16%, 07/18/29(a)(b)

       445        442,102  

Argent Securities Trust, Series 2006-W5, Class A1A, (1-mo. LIBOR US + 0.30%), 5.45%, 06/25/36(a)

       4,114        2,662,409  

Bain Capital Credit CLO Ltd.(a)(b)

       

Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.30%), 8.57%, 07/19/34

       300        265,017  

Series 2021-3A, Class D, (3-mo. LIBOR US + 3.10%), 8.37%, 07/24/34

       250        224,075  

Barings CLO Ltd., Series 2017-1A, Class D, (3-mo. LIBOR US + 3.60%), 8.86%, 07/18/29(a)(b)

       250        244,959  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3-mo. LIBOR US + 0.87%), 6.13%, 07/15/29(a)(b)

       160        159,346  

Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3-mo. LIBOR US + 2.05%), 7.31%, 07/15/34(a)(b)

       250        238,375  

BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3-mo. LIBOR US + 2.90%), 8.16%, 04/15/34(a)(b)

       500        454,549  

Carlyle U.S. CLO Ltd., Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.02%), 6.27%, 04/20/31(a)(b)

       250        247,825  

CarVal CLO II Ltd., Series 2019-1A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 04/20/32(a)(b)

       250        243,581  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. LIBOR US + 6.44%), 11.69%, 07/20/32(a)(b)

       500        446,067  

Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b)

       250        246,935  

Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. LIBOR US + 1.60%), 6.86%, 07/15/33(a)(b)

       500        491,308  

Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 6.85%, 04/20/35(a)(b)

       450        432,616  

CIFC Funding I Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.10%), 8.35%, 04/20/32(a)(b)

       500        483,132  

CIFC Funding Ltd., Series 2013-4A, Class DRR, (3-mo. LIBOR US + 2.80%), 8.09%, 04/27/31(a)(b)

       250        236,118  
Security       

Par

(000)

      Value  
Asset-Backed Securities (continued)         

CIFC Funding VII Ltd.(a)(b)

       

Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.42%, 10/22/35

   USD                   250      $          250,140  

Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.01%, 10/22/35

       500        496,972  

Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(c)

       334        217,607  

Clear Creek CLO, Series 2015-1A, Class DR, (3-mo. LIBOR US + 2.95%), 8.20%, 10/20/30(a)(b)

       250        234,463  

Countrywide Asset-Backed Certificates Trust, Series 2006-26, Class 1A,
(1-mo. LIBOR US + 0.14%), 5.29%, 06/25/37(a)

       518        475,803  

Dryden 106 CLO Ltd., Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 13.43%,
10/15/35(a)(b)

       500        500,090  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3-mo. LIBOR US + 2.65%), 7.91%, 04/18/31(a)(b)

       250        228,468  

Elmwood CLO I Ltd., Series 2019-1A, Class ER, (3-mo. LIBOR US + 7.71%), 12.96%, 10/20/33(a)(b)

       250        245,216  

Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. LIBOR US + 6.80%), 12.05%, 04/20/34(a)(b)

       250        244,434  

Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. LIBOR US + 1.70%), 6.96%, 04/15/33(a)(b)

       500        491,179  

Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 10/20/34(a)(b)

       436        425,898  

Generate CLO 3 Ltd., Series 3A, Class DR, (3-mo. LIBOR US + 3.60%), 8.85%, 10/20/29(a)(b)

       250        245,910  

Generate CLO 4 Ltd., Series 4A, Class ER, (3-mo. LIBOR US + 6.75%), 12.00%, 04/20/32(a)(b)

       1,000        932,751  

Generate CLO 6 Ltd., Series DR, Class 6A, (3-mo. LIBOR US + 3.50%), 8.77%, 01/22/35(a)(b)

       750        701,248  

Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3-mo. LIBOR US + 6.56%), 11.81%, 07/20/34(a)(b)

       250        235,826  

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3-mo. LIBOR US + 6.45%), 11.71%, 04/15/33(a)(b)

       250        218,946  

Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. LIBOR US + 1.80%), 7.06%, 07/15/34(a)(b)

       250        248,715  

Jay Park CLO Ltd., Series 2016-1A, Class CR, (3-mo. LIBOR US + 2.65%), 7.90%, 10/20/27(a)(b)

       250        245,055  

LCM XIII LP, Series 13A, Class AR3, (3-mo. LIBOR US + 0.87%), 6.14%, 07/19/27(a)(b)

       389        386,514  

Madison Park Funding XLV Ltd., (3-mo. LIBOR US + 1.70%), 7.27%, 07/15/34(a)(b)

       300        291,750  

Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. LIBOR US + 3.60%), 8.86%, 07/21/30(a)(b)

       500        487,875  

Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. LIBOR US + 0.94%), 6.20%, 10/21/30(a)(b)

       496        491,009  

Madison Park Funding XXIX Ltd.(a)(b)

       

Series 2018-29A, Class D, (3-mo. LIBOR US + 3.00%), 8.26%, 10/18/30

       510        491,375  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Asset-Backed Securities (continued)  

Madison Park Funding XXIX Ltd.(a)(b) (continued)

 

   

Series 2018-29A, Class E, (3-mo. LIBOR US + 5.70%), 10.96%, 10/18/30

   USD                   250      $          233,243  

Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, (3-mo. LIBOR US + 0.97%), 6.23%, 04/25/29(a)(b)

       975        968,992  

Madison Park Funding XXVI Ltd., Series 2007-4A, Class DR, (3-mo. LIBOR US + 3.00%), 8.30%, 07/29/30(a)(b)

       250        235,195  

Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 07/15/33(a)(b)

       800        788,494  

Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b)

       250        243,750  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3-mo. LIBOR US + 6.50%), 11.76%, 07/15/34(a)(b)

       790        718,953  

Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3-mo. LIBOR US + 6.10%), 11.37%, 01/20/32(a)(b)

       425        391,304  

Neuberger Berman Loan Advisers NBLA CLO 52 Ltd., Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 10.82%, 10/24/35(a)(b)

       500        500,151  

OCP CLO Ltd.(a)(b)

       

Series 2017-14A, Class A2, (3-mo. LIBOR US + 1.50%), 6.88%, 11/20/30

       300        294,280  

Series 2019-16A, Class DR, (3-mo. LIBOR US + 3.15%), 8.36%, 04/10/33

       250        231,747  

Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. LIBOR US + 3.05%), 8.31%, 07/15/34(a)(b)

       250        231,769  

Octagon Investment Partners 31 Ltd., Series 2017-1A, Class E, (3-mo. LIBOR US + 6.30%), 11.55%, 07/20/30(a)(b)

       500        433,047  

Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR,
(3-mo. LIBOR US + 0.97%), 6.24%, 07/19/30(a)(b)

       1,697        1,686,054  

Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2, (3-mo. LIBOR US + 1.40%), 6.66%, 01/25/31(a)(b)

       250        243,278  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. LIBOR US + 1.70%), 6.96%, 10/25/34(a)(b)

       250        244,303  

OZLM VIII Ltd., Series 2014-8A, Class CRR, (3-mo. LIBOR US + 3.15%), 8.41%, 10/17/29(a)(b)

       250        243,369  

OZLM XXI Ltd., Series 2017-21A, Class D, (3-mo. LIBOR US + 5.54%), 10.79%, 01/20/31(a)(b)

       250        206,592  

Rad CLO Ltd., Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.35%, 10/20/35(a)(b)

       250        240,676  

Regatta IX Funding Ltd., Series 2022-1A, Class D, (3-mo. LIBOR US + 3.90%), 9.16%, 04/17/30(a)(b)

       500        486,546  

Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. LIBOR US + 1.45%), 6.71%, 01/15/34(a)(b)

       300        293,360  

Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3-mo. LIBOR US + 3.10%), 8.35%, 01/20/35(a)(b)

       250        241,535  
Security       

Par

(000)

      Value  
Asset-Backed Securities (continued)  

Regatta XXV Funding Ltd., (3-mo. Term SOFR + 8.41%), 13.65%, 07/15/36(a)(b)

   USD     500      $          490,000  

Regional Management Issuance Trust, 3.88%, 10/17/33(d)

       980        846,524  

Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. LIBOR US + 2.85%), 8.11%, 10/15/29(a)(b)

       500        470,124  

Sterling COOFS Trust(b)(d)

       

Series 2004-1, Class A, 2.36%, 04/15/29(a)

       637        6,375  

Series 2004-2, Class Note, 2.08%, 03/30/30

       878        5,520  

Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 6.92%, 04/23/35(a)(b)

       300        294,546  

Trimaran CAVU Ltd.(a)(b)

       

Series 2021-1A, Class D, (3-mo. LIBOR US + 3.45%), 8.72%, 04/23/32

       250        240,991  

Series 2021-2A, Class D1, (3-mo. LIBOR US + 3.25%), 8.51%, 10/25/34

       500        478,488  

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

   GBP     32        40,449  

Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 10/17/32(a)(b)

   USD     500        494,125  

Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.35%), 8.62%, 10/24/34(a)(b)

       500        478,425  

Whitebox CLO III Ltd., Series 2021-3A, Class D, (3-mo. LIBOR US + 3.35%), 8.61%, 10/15/34(a)(b)

       250        238,807  
      

 

 

  

Total Asset-Backed Securities — 6.9%
(Cost: $34,738,867)

 

      33,586,495  
      

 

 

  
         

Shares

          

Common Stocks

       
Construction & Engineering — 0.0%             

McDermott International Ltd.(f)

       47,837        8,611  
      

 

 

  
Energy Equipment & Services — 0.0%             

Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(g)

       2,869        —  
      

 

 

  
Financial Services — 0.0%                 

NMG Parent LLC

       1,330        164,033  
      

 

 

  
Household Products — 0.0%                 

Berkline Benchcraft Equity LLC(d)

       3,155        —  
      

 

 

  
Industrial Conglomerates — 0.0%                 

Ameriforge Group, Inc.

       801        8  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%             

Kcad Holdings I Ltd.(d)

       546,753,936        5,467  
      

 

 

  

Total Common Stocks — 0.0%
(Cost: $6,822,812)

          178,119  
      

 

 

  
 

 

 

68  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  

Corporate Bonds

       
Aerospace & Defense — 3.1%                 

Amsted Industries, Inc., 5.63%, 07/01/27(b)

   USD     156      $          150,882  

Bombardier, Inc.(b)

       

7.50%, 03/15/25

       17        17,029  

7.13%, 06/15/26(h)

       1,191        1,182,976  

7.88%, 04/15/27(h)

       605        603,442  

6.00%, 02/15/28(h)

       539        509,411  

7.50%, 02/01/29(h)

       660        652,308  

7.45%, 05/01/34

       100        114,000  

F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(h)

       423        382,815  

Howmet Aerospace, Inc., 5.13%, 10/01/24

       4        3,955  

Northrop Grumman Corp., 3.85%, 04/15/45(h)

       600        488,947  

Rolls-Royce PLC, 5.75%,
10/15/27(b)(h)

       1,018        995,354  

Spirit AeroSystems, Inc.(b)

       

7.50%, 04/15/25

       32        31,620  

9.38%, 11/30/29(h)

       607        649,839  

TransDigm, Inc.

       

6.25%, 03/15/26(b)(h)

       5,693        5,665,177  

6.38%, 06/15/26

       46        45,402  

7.50%, 03/15/27

       105        105,149  

6.75%, 08/15/28(b)

       2,352        2,360,914  

Triumph Group, Inc., 9.00%, 03/15/28(b)(h)

       881        899,535  
      

 

 

  
         14,858,755  
Automobile Components — 1.3%                 

Aptiv PLC, 4.40%, 10/01/46(h)

       240        185,824  

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

       528        528,323  

Clarios Global LP/Clarios U.S. Finance Co.

       

4.38%, 05/15/26(e)

   EUR     200        207,676  

6.25%, 05/15/26(b)(h)

   USD     1,409        1,399,926  

8.50%, 05/15/27(b)(h)

                  2,555        2,559,180  

6.75%, 05/15/28(b)(h)

       798        795,209  

Dana Financing Luxembourg SARL, 8.50%, 07/15/31(e)

   EUR     100        112,557  

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

   USD     174        158,508  

Forvia, 3.75%, 06/15/28(e)

   EUR     100        98,794  

Goodyear Tire & Rubber Co.

       

5.00%, 07/15/29(h)

   USD     104        93,781  

5.63%, 04/30/33

       109        94,892  

ZF Finance GmbH, 2.00%, 05/06/27(e)

   EUR     100        94,798  
      

 

 

  
         6,329,468  
Automobiles — 1.5%                 

Asbury Automotive Group, Inc.

       

4.50%, 03/01/28

   USD     129        118,268  

4.75%, 03/01/30

       124        110,186  

5.00%, 02/15/32(b)

       130        113,190  

Ford Motor Co.

       

4.35%, 12/08/26

       11        10,631  

3.25%, 02/12/32(h)

       469        368,955  

6.10%, 08/19/32(h)

       179        173,479  

Ford Motor Credit Co. LLC

       

3.81%, 01/09/24(h)

       629        620,036  

2.75%, 06/14/24

   GBP     100        121,240  

4.69%, 06/09/25

   USD     200        192,653  

5.13%, 06/16/25(h)

       490        476,540  

3.38%, 11/13/25

       200        185,975  

4.39%, 01/08/26(h)

       400        378,561  

6.86%, 06/05/26

   GBP     108        133,664  
Security       

Par

(000)

      Value  
Automobiles (continued)                 
Ford Motor Credit Co. LLC (continued)                 

2.70%, 08/10/26

   USD     295      $          263,369  

4.95%, 05/28/27(h)

       200        188,657  

6.80%, 05/12/28(h)

       582        582,534  

7.35%, 03/06/30(h)

       600        612,745  

3.63%, 06/17/31(h)

       400        327,850  

General Motors Financial Co., Inc., 6.00%, 01/09/28(h)

       1,000        1,008,014  

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

       122        107,302  

LCM Investments Holdings II LLC, 4.88%, 05/01/29(b)

       292        249,876  

Lithia Motors, Inc., 3.88%, 06/01/29(b)

       131        113,820  

MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b)

       178        141,336  

Renault SA, 2.38%, 05/25/26(e)

   EUR     100        100,771  

TML Holdings Pte. Ltd., 4.35%, 06/09/26(e)(h)

   USD     200        186,282  

Wabash National Corp., 4.50%, 10/15/28(b)

       220        190,766  
      

 

 

  
         7,076,700  
Banks — 0.6%                 

Banco BPM SpA(a)(e)

       

(3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28

   EUR     150        162,540  

(5-year EUR Swap + 3.17%), 2.88%, 06/29/31

       100        95,226  

Banco Espirito Santo SA(e)(f)(i)

       

4.75%, 01/15/18

       100        25,098  

4.00%, 01/21/19

       100        25,098  

Bangkok Bank PCL, (5-year CMT + 4.73%), 5.00%(a)(e)(j)

   USD     201        190,625  

Bank of Communications Co. Ltd., (5-year CMT + 3.35%), 3.80%(a)(e)(j)

       200        191,872  

Chong Hing Bank Ltd., (5-year CMT + 3.86%), 5.70%(a)(e)(j)

       250        242,565  

Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34(a)(h)

       430        433,746  

Credit Suisse AG/New York, 5.00%, 07/09/27(h)

                  1,200        1,158,469  

Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)(h)

       200        190,406  

Krung Thai Bank PCL, (5-year CMT + 3.53%), 4.40%(a)(e)(h)(j)

       202        185,357  
      

 

 

  
         2,901,002  
Beverages — 2.1%                 

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(h)

       800        764,633  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h)(k)

       834        675,244  

Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b)

       

6.00%, 06/15/27(h)

       400        392,946  

3.25%, 09/01/28

       200        171,794  

4.00%, 09/01/29(h)

       2,234        1,769,314  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

       

5.25%, 04/30/25(b)

       200        195,619  

2.13%, 08/15/26(e)

   EUR     200        193,709  

5.25%, 08/15/27(b)

   USD     202        171,110  

Ball Corp., 6.00%, 06/15/29(h)

       193        191,553  

Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b)(h)

       211        192,537  

Mauser Packaging Solutions Holding Co.(b)

       

7.88%, 08/15/26(h)

       3,282        3,260,695  

9.25%, 04/15/27

       92        84,916  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Beverages (continued)                 

Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b)

   USD     39      $            38,617  

Trivium Packaging Finance BV(b)(h)

       

5.50%, 08/15/26

       1,004        963,995  

8.50%, 08/15/27

       965        928,925  
      

 

 

  
         9,995,607  
Biotechnology — 0.0%                 

Cidron Aida Finco SARL, 5.00%, 04/01/28(e)

   EUR     100        98,632  
      

 

 

  
Broadline Retail — 0.0%                 

NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b)(h)

   USD     123        114,487  
      

 

 

  
Building Materials — 1.1%                 

Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b)

       207        195,614  

Emerald Debt Merger Sub LLC

       

6.38%, 12/15/30(e)

   EUR     100        108,711  

6.63%, 12/15/30(b)(h)

   USD                2,594        2,571,303  

James Hardie International Finance DAC, 5.00%, 01/15/28(b)

       200        187,382  

Jeld-Wen, Inc.(b)

       

6.25%, 05/15/25

       146        147,278  

4.63%, 12/15/25

       171        165,656  

Masonite International Corp., Class C, 5.38%, 02/01/28(b)

       101        96,275  

New Enterprise Stone & Lime Co., Inc.(b)

       

5.25%, 07/15/28

       81        73,712  

9.75%, 07/15/28

       205        197,759  

Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b)(h)

       552        520,560  

Standard Industries, Inc.(b)

       

5.00%, 02/15/27

       209        199,187  

4.75%, 01/15/28

       80        74,499  

4.38%, 07/15/30(h)

       697        603,670  

3.38%, 01/15/31

       326        262,444  

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

       92        86,919  
      

 

 

  
         5,490,969  
Building Products(b) — 0.9%                 

Advanced Drainage Systems, Inc.

       

5.00%, 09/30/27

       306        289,603  

6.38%, 06/15/30(h)

       412        407,579  

Beacon Roofing Supply, Inc., 4.13%, 05/15/29

       123        108,855  

Foundation Building Materials, Inc., 6.00%, 03/01/29

       83        69,305  

GYP Holdings III Corp., 4.63%, 05/01/29

       371        326,480  

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

       87        82,198  

SRS Distribution, Inc.(h)

       

4.63%, 07/01/28

       492        439,245  

6.13%, 07/01/29

       499        430,952  

6.00%, 12/01/29

       685        591,189  

White Cap Buyer LLC, 6.88%, 10/15/28(h)

       1,482        1,343,063  

White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(k)

       235        225,114  
      

 

 

  
         4,313,583  
Capital Markets — 1.2%                 

AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b)

       77        78,922  
Security       

Par

(000)

      Value  
Capital Markets (continued)                 

Blackstone Private Credit Fund

       

7.05%, 09/29/25

   USD     79      $            78,795  

3.25%, 03/15/27

       75        64,809  

Charles Schwab Corp., Series H,
(10-year CMT + 3.08%), 4.00%(a)(h)(j)

       2,000        1,459,500  

Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(h)

       214        187,575  

GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32(h)

       498        402,092  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

       

6.25%, 05/15/26(h)

       432        393,170  

5.25%, 05/15/27(h)

       674        581,258  

4.38%, 02/01/29

       323        253,781  

Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a)(h)

       100        98,704  

NFP Corp.(b)(h)

       

4.88%, 08/15/28

       550        491,252  

6.88%, 08/15/28

                  1,386        1,203,076  

7.50%, 10/01/30

       105        101,662  

Northern Trust Corp., 6.13%, 11/02/32(h)

       219        227,047  

Owl Rock Capital Corp., 3.40%, 07/15/26

       63        55,803  

Owl Rock Core Income Corp.

       

3.13%, 09/23/26

       43        37,053  

7.75%, 09/16/27(b)(h)

       302        300,471  
      

 

 

  
         6,014,970  
Chemicals — 1.6%                 

Ashland LLC, 3.38%, 09/01/31(b)

       164        130,993  

Avient Corp., 7.13%, 08/01/30(b)

       106        107,211  

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

       447        380,509  

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b)(h)

       170        160,233  

Chemours Co.(b)

       

5.75%, 11/15/28

       46        42,269  

4.63%, 11/15/29

       175        147,895  

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

       1,508        1,315,543  

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

       110        97,904  

Herens Holdco SARL, 4.75%, 05/15/28(b)(h)

       612        474,300  

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

       352        306,719  

INEOS Quattro Finance 2 PLC, 2.50%, 01/15/26(e)

   EUR     100        97,494  

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

   USD     84        71,717  

Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(k)

       259        170,940  

LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b)

       133        111,081  

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

       169        153,790  

NOVA Chemicals Corp., 4.88%, 06/01/24(b)

       67        65,458  

Olympus Water U.S. Holding Corp.

       

9.63%, 11/15/28(e)

   EUR     100        104,755  

9.75%, 11/15/28(b)(h)

   USD     538        524,711  

Sasol Financing USA LLC, 5.50%, 03/18/31

       200        156,968  

SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)(h)

       439        400,211  

SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b)(h)

       460        365,530  

WESCO Distribution, Inc.(b)(h)

       

7.13%, 06/15/25

       676        683,122  

7.25%, 06/15/28

       636        648,756  
 

 

 

70  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Chemicals (continued)                 

WR Grace Holdings LLC(b)

       

4.88%, 06/15/27

   USD     122      $          113,147  

5.63%, 08/15/29(h)

                  1,131        926,628  

7.38%, 03/01/31

       197        193,056  
      

 

 

  
         7,950,940  
Commercial Services & Supplies — 1.5%         

ADT Security Corp.(b)

       

4.13%, 08/01/29

       27        23,321  

4.88%, 07/15/32

       39        33,345  

Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b)

       200        188,000  

APX Group, Inc., 5.75%, 07/15/29(b)(h)

       268        232,598  

Cablevision Lightpath LLC, 3.88%, 09/15/27(b)

       200        167,500  

Fortress Transportation and Infrastructure Investors LLC(b)

       

6.50%, 10/01/25(h)

       545        536,914  

9.75%, 08/01/27

       227        234,439  

5.50%, 05/01/28(h)

       663        606,647  

Garda World Security Corp., 9.50%, 11/01/27(b)

       68        65,694  

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

       626        599,800  

Hertz Corp.(b)

       

4.63%, 12/01/26

       126        113,715  

5.00%, 12/01/29(h)

       101        83,490  

LABL, Inc., 9.50%, 11/01/28(b)

       439        446,632  

Metis Merger Sub LLC, 6.50%, 05/15/29(b)

       125        107,826  

NESCO Holdings II, Inc., 5.50%, 04/15/29(b)

       239        213,905  

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

       

5.25%, 04/15/24

       113        112,068  

5.75%, 04/15/26

       608        596,830  

6.25%, 01/15/28(h)

       180        168,624  

Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(h)

       653        507,708  

United Rentals North America, Inc., 6.00%, 12/15/29(b)(h)

       1,720        1,715,770  

Verisure Holding AB, 9.25%, 10/15/27(e)

   EUR     100        115,940  

Williams Scotsman International,
Inc.(b)

       

6.13%, 06/15/25(h)

   USD     403        400,010  

4.63%, 08/15/28

       243        222,119  
      

 

 

  
         7,492,895  
Communications Equipment(b) — 0.5%         

CommScope Technologies LLC, 6.00%, 06/15/25(h) .

       713        664,565  

CommScope, Inc.(h)

       

6.00%, 03/01/26

       301        280,524  

8.25%, 03/01/27

       158        126,397  

7.13%, 07/01/28

       138        97,980  

4.75%, 09/01/29

       416        327,975  

Viasat, Inc.

       

5.63%, 09/15/25(h)

       484        468,991  

5.63%, 04/15/27

       67        62,555  

Viavi Solutions, Inc., 3.75%, 10/01/29(h)

       261        221,773  
      

 

 

  
         2,250,760  
Construction Materials(b) — 0.1%                 

BCPE Empire Holdings, Inc., 7.63%, 05/01/27(h)

       331        307,831  

Resideo Funding, Inc., 4.00%, 09/01/29

       59        48,947  
Security       

Par

(000)

      Value  
Construction Materials (continued)                 

Ritchie Bros Holdings, Inc., 6.75%, 03/15/28

   USD     77      $            77,610  

Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26

       662        62,890  
      

 

 

  
         497,278  
Consumer Discretionary — 2.2%                 

APi Group DE, Inc.(b)

       

4.13%, 07/15/29

       132        113,849  

4.75%, 10/15/29

       100        90,060  

Carnival Corp.

       

10.13%, 02/01/26(e)

   EUR     100        114,412  

10.50%, 02/01/26(b)(h)

   USD     668        702,210  

7.63%, 03/01/26(b)(h)

       152        148,869  

5.75%, 03/01/27(b)(h)

       1,028        946,367  

9.88%, 08/01/27(b)

       262        272,908  

4.00%, 08/01/28(b)(h)

       477        422,870  

6.00%, 05/01/29(b)(h)

       518        462,488  

Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b)

                  2,122        2,320,892  

CoreLogic, Inc., 4.50%, 05/01/28(b)(h)

       700        564,375  

Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26(b)

       91        81,900  

Life Time, Inc.(b)

       

5.75%, 01/15/26

       340        331,341  

8.00%, 04/15/26

       257        253,757  

Lindblad Expeditions LLC, 6.75%, 02/15/27(b)(h)

       305        290,513  

NCL Corp. Ltd.(b)

       

5.88%, 03/15/26(h)

       333        311,543  

8.38%, 02/01/28(h)

       132        137,933  

7.75%, 02/15/29

       42        39,892  

NCL Finance Ltd., 6.13%, 03/15/28(b)(h)

       261        234,905  

Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b)

       255        234,093  

Royal Caribbean Cruises Ltd.(b)

       

11.50%, 06/01/25

       86        91,246  

4.25%, 07/01/26

       72        66,093  

5.50%, 08/31/26

       136        128,943  

5.38%, 07/15/27

       134        125,297  

11.63%, 08/15/27

       176        191,389  

5.50%, 04/01/28(h)

       118        110,040  

8.25%, 01/15/29

       191        200,550  

9.25%, 01/15/29(h)

       345        367,567  

7.25%, 01/15/30

       267        270,429  

Viking Cruises Ltd.(b)

       

5.88%, 09/15/27

       236        216,912  

9.13%, 07/15/31

       606        612,060  

Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b)

       162        148,230  
      

 

 

  
         10,603,933  
Consumer Finance — 1.7%                 

Block, Inc.(h)

       

2.75%, 06/01/26

       698        635,524  

3.50%, 06/01/31

       1,133        938,376  

Capital One Financial Corp.(a)(h)

       

(1-day SOFR + 2.60%), 5.82%, 02/01/34

       440        419,793  

(1-day SOFR + 2.64%), 6.31%, 06/08/29

       140        139,057  

(1-day SOFR + 2.86%), 6.38%, 06/08/34

       100        99,284  

Discover Financial Services, 6.70%, 11/29/32

       85        87,570  

Equifax, Inc., 2.60%, 12/15/25

       59        54,887  

Ford Motor Credit Co. LLC, 7.20%, 06/10/30(h)

       576        581,305  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Consumer Finance (continued)                 

Global Payments, Inc.

       

3.20%, 08/15/29(h)

   USD     564      $          490,220  

5.40%, 08/15/32

       86        83,802  

Navient Corp.

       

7.25%, 09/25/23

       77        77,000  

6.13%, 03/25/24

       86        85,327  

5.88%, 10/25/24

       82        80,587  

5.50%, 03/15/29

       211        179,892  

9.38%, 07/25/30

       150        149,197  

OneMain Finance Corp.

       

6.88%, 03/15/25

       303        300,010  

7.13%, 03/15/26(h)

       331        325,205  

3.50%, 01/15/27

       304        260,814  

6.63%, 01/15/28(h)

       240        226,385  

5.38%, 11/15/29(h)

       105        89,265  

4.00%, 09/15/30

       110        84,700  

Sabre Global, Inc.(b)(h)

       

9.25%, 04/15/25

       211        196,779  

7.38%, 09/01/25

       379        336,404  

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

       550        515,773  

Shift4 Payments, Inc., 0.00%, 12/15/25(l)(m)

       174        188,964  

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

                  1,817        1,822,618  
      

 

 

  
         8,448,738  
Consumer Staples Distribution & Retail — 0.8%         

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)

       

3.25%, 03/15/26

       642        592,932  

7.50%, 03/15/26

       107        108,814  

4.63%, 01/15/27

       477        451,960  

5.88%, 02/15/28(h)

       320        310,957  

6.50%, 02/15/28

       152        152,252  

3.50%, 03/15/29

       30        25,969  

4.88%, 02/15/30(h)

       214        197,569  

Bellis Acquisition Co. PLC, 3.25%, 02/16/26(e)

   GBP     100        106,046  

Darling Ingredients, Inc., 6.00%, 06/15/30(b)(h)

   USD     434        423,868  

Lamb Weston Holdings, Inc.(b)

       

4.88%, 05/15/28

       257        246,138  

4.13%, 01/31/30(h)

       312        278,839  

4.38%, 01/31/32(h)

       355        317,113  

Performance Food Group, Inc., 4.25%, 08/01/29(b)(h)

       299        266,203  

Post Holdings, Inc.(b)

       

5.75%, 03/01/27

       89        86,875  

4.63%, 04/15/30(h)

       118        103,410  

4.50%, 09/15/31

       13        11,102  

U.S. Foods, Inc.(b)

       

4.75%, 02/15/29(h)

       335        306,709  

4.63%, 06/01/30

       39        34,953  

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

       34        28,182  
      

 

 

  
         4,049,891  
Containers & Packaging — 0.5%                 

Clydesdale Acquisition Holdings,
Inc.(b)(h)

       

6.63%, 04/15/29

       558        532,164  

8.75%, 04/15/30

       584        515,511  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

       196        185,610  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26(h)

       424        410,926  
Security       

Par

(000)

      Value  
Containers & Packaging (continued)                 

Crown European Holdings SA, 5.00%, 05/15/28(e)

   EUR     100      $          110,075  

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

   USD     60        51,225  

Graphic Packaging International LLC(b)

       

4.75%, 07/15/27

       89        84,618  

3.50%, 03/15/28

       9        8,048  

LABL, Inc., 5.88%, 11/01/28(b)(h)

       220        200,086  

OI European Group BV, 6.25%, 05/15/28(b)

   EUR     115        128,128  

Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31(b)

   USD     235        237,938  

Sealed Air Corp., 5.13%, 12/01/24(b)

       46        45,457  

Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b)

       158        156,835  
      

 

 

  
         2,666,621  
Diversified Consumer Services — 1.8%         

Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(h)

       

6.63%, 07/15/26

                  1,737        1,648,315  

9.75%, 07/15/27

       676        597,552  

6.00%, 06/01/29

       1,356        1,000,600  

Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b)(h)

       1,963        1,655,284  

Clarivate Science Holdings Corp.(b)(h)

       

3.88%, 07/01/28

       757        671,039  

4.88%, 07/01/29

       735        652,023  

Garda World Security Corp.(b)

       

4.63%, 02/15/27

       261        238,815  

7.75%, 02/15/28

       520        516,163  

Graham Holdings Co., 5.75%, 06/01/26(b)

       140        137,200  

Rekeep SpA, 7.25%, 02/01/26(e)

   EUR     100        102,004  

Service Corp. International(h)

       

5.13%, 06/01/29

   USD     238        224,248  

3.38%, 08/15/30

       263        219,947  

4.00%, 05/15/31

       333        285,058  

Sotheby’s, 7.38%, 10/15/27(b)(h)

       1,046        940,765  
      

 

 

  
         8,889,013  
Diversified REITs — 0.9%                 

Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50(h)

       450        335,615  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b)

       160        134,744  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)(h)

       108        79,229  

Healthpeak OP LLC, 2.88%, 01/15/31(h)

       1,000        844,504  

Iron Mountain, Inc., 5.63%, 07/15/32(b)

       19        16,997  

MPT Operating Partnership LP/MPT Finance Corp.

       

2.55%, 12/05/23

   GBP     104        126,945  

4.63%, 08/01/29

   USD     304        229,812  

3.50%, 03/15/31(h)

       1,154        795,126  

RHP Hotel Properties LP/RHP Finance Corp.

       

4.75%, 10/15/27(h)

       704        655,424  

7.25%, 07/15/28(b)

       327        330,345  

4.50%, 02/15/29(b)

       256        226,560  

Service Properties Trust, 7.50%, 09/15/25

       96        94,272  
 

 

 

72  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Diversified REITs (continued)                 

Ventas Realty LP, 4.13%, 01/15/26(h)

   USD     650      $          621,698  

VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b)

       50        43,878  
      

 

 

  
         4,535,149  
Diversified Telecommunication Services — 2.0%         

AT&T, Inc., 4.30%, 02/15/30(h)

       1,350        1,281,453  

British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83(a)(e)

   GBP     100        124,672  

Level 3 Financing, Inc.(b)(h)

       

3.40%, 03/01/27

   USD     1,094        928,259  

10.50%, 05/15/30

       1,214        1,231,764  

Lumen Technologies, Inc., 4.00%, 02/15/27(b)(h)

       1,135        845,813  

SoftBank Group Corp., 3.88%, 07/06/32(e)

   EUR     100        82,522  

Telecom Italia Capital SA

       

6.38%, 11/15/33

   USD     205        173,904  

6.00%, 09/30/34(h)

       424        341,936  

7.20%, 07/18/36

       81        69,623  

7.72%, 06/04/38

       28        24,758  

Telecom Italia SpA

       

4.00%, 04/11/24(e)

   EUR     150        161,356  

5.30%, 05/30/24(b)(h)

   USD     200        194,391  

Verizon Communications, Inc., 3.70%, 03/22/61(h)

       1,000        727,220  

Zayo Group Holdings, Inc.(b)(h)

       

4.00%, 03/01/27

                  3,882        2,741,679  

6.13%, 03/01/28

       946        591,126  
      

 

 

  
         9,520,476  
Electric Utilities — 0.8%                 

Black Hills Corp., 3.15%, 01/15/27(h)

       305        282,618  

Comision Federal de Electricidad, 4.88%, 01/15/24(e)

       200        197,654  

Electricite de France SA, (5-year CMT + 5.41%), 9.13%(a)(b)(j)

       205        210,223  

Enel Finance International NV, 3.63%, 05/25/27(b)(h)

       900        847,387  

FirstEnergy Transmission LLC, 5.45%, 07/15/44(b)(h)

       381        352,312  

Mong Duong Finance Holdings BV, 5.13%, 05/07/29(e)

       250        218,965  

NextEra Energy Operating Partners LP(b)

       

4.25%, 07/15/24

       170        166,266  

4.25%, 09/15/24

       9        8,595  

Pacific Gas and Electric Co.(h)

       

6.10%, 01/15/29

       245        241,059  

6.40%, 06/15/33

       355        353,057  

6.75%, 01/15/53

       175        172,707  

Palomino Funding Trust I, 7.23%, 05/17/28(b)(h)

       250        250,123  

Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(h)

       319        291,353  

Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(e)(h)

       162        159,001  

Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(f)(i)

       780        —  

Tierra Mojada Luxembourg II SARL, 5.75%, 12/01/40(e)

       183        155,641  
      

 

 

  
         3,906,961  
Electrical Equipment(b) — 0.3%                 

Gates Global LLC/Gates Corp., 6.25%, 01/15/26(h)

       416        409,346  

GrafTech Finance, Inc., 4.63%, 12/15/28

       104        84,502  
Security       

Par

(000)

      Value  
Electrical Equipment (continued)                 

Regal Rexnord Corp.

       

6.05%, 02/15/26

   USD     90      $            90,114  

6.05%, 04/15/28(h)

       590        585,698  

6.30%, 02/15/30(h)

       200        199,408  

6.40%, 04/15/33(h)

       205        204,827  
      

 

 

  
         1,573,895  
Electronic Equipment, Instruments & Components — 0.3%  

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

       212        181,649  

Imola Merger Corp., 4.75%,
05/15/29(b)(h)

       510        443,550  

Vertiv Group Corp., 4.13%,
11/15/28(b)(h)

       920        828,895  
      

 

 

  
         1,454,094  
Energy Equipment & Services — 0.7%         

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

       

6.88%, 04/01/27

       304        291,840  

6.25%, 04/01/28(h)

       729        684,429  

Halliburton Co., 3.80%, 11/15/25(h)

       3        2,897  

Noble Finance II LLC, 8.00%, 04/15/30(b)

       337        342,621  

USA Compression Partners LP/USA Compression Finance Corp.(h)

       

6.88%, 04/01/26

       510        499,593  

6.88%, 09/01/27

       452        431,612  

Valaris Ltd., 8.38%, 04/30/30(b)(h)

       543        544,825  

Vallourec SA, 8.50%, 06/30/26(e)

   EUR     34        37,066  

Weatherford International Ltd.(b)

       

6.50%, 09/15/28

   USD     167        167,718  

8.63%, 04/30/30(h)

       314        318,786  
      

 

 

  
         3,321,387  
Environmental, Maintenance & Security Service — 0.9%  

Clean Harbors, Inc.(b)

       

4.88%, 07/15/27(h)

       250        239,382  

5.13%, 07/15/29(h)

       129        122,047  

6.38%, 02/01/31

       108        108,676  

Covanta Holding Corp.

       

4.88%, 12/01/29(b)

       142        122,830  

5.00%, 09/01/30

       70        59,369  

GFL Environmental, Inc.(b)

       

4.25%, 06/01/25

       103        99,396  

3.75%, 08/01/25(h)

       312        296,827  

5.13%, 12/15/26

       243        234,443  

4.00%, 08/01/28(h)

       431        385,336  

3.50%, 09/01/28

       160        142,398  

4.75%, 06/15/29(h)

       378        345,345  

4.38%, 08/15/29(h)

       317        282,240  

Republic Services, Inc., 3.38%, 11/15/27(h)

       750        705,392  

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

       114        120,938  

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

                  1,132        1,049,362  
      

 

 

  
         4,313,981  
Financial Services — 1.8%                 

Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)(h)

       403        311,916  

ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)

       200        192,750  

Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a)(h)

       346        355,636  

Barclays PLC, 5.20%, 05/12/26(h)

       200        192,950  

BNP Paribas SA, (5-year CMT + 3.34%), 4.63%(a)(b)(h)(j)

       1,500        1,070,625  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Financial Services (continued)                 

Deutsche Bank AG, (1-day SOFR + 3.18%), 6.72%, 01/18/29(a)(h)

   USD                1,100      $       1,101,568  

GGAM Finance Ltd.(b)

       

7.75%, 05/15/26

       45        45,169  

8.00%, 06/15/28

       45        45,023  

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

       231        210,908  

Goldman Sachs Group, Inc., Series R, (5-year CMT + 3.22%),
4.95%(a)(h)(j)

       730        688,193  

Home Point Capital, Inc., 5.00%, 02/01/26(b)(h)

       841        754,027  

HSBC Holdings PLC(h)

       

4.38%, 11/23/26

       395        373,321  

(5-year USD ICE Swap + 4.37%), 6.38%(a)(j)

       500        478,825  

(1-day SOFR + 3.35%), 7.39%, 11/03/28(a)

       265        279,677  

ION Trading Technologies SARL, 5.75%, 05/15/28(b)

       200        172,642  

Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b)

       325        266,440  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance
Corp.(b)

       

5.25%, 10/01/25

       43        40,604  

4.25%, 02/01/27

       170        147,715  

4.75%, 06/15/29

       67        54,527  

Lloyds Banking Group PLC, (5-year CMT + 4.82%), 6.75%(a)(h)(j)

       450        411,845  

MGIC Investment Corp., 5.25%, 08/15/28(h)

       167        157,524  

Nationstar Mortgage Holdings, Inc.(b)

       

6.00%, 01/15/27(h)

       147        136,752  

5.13%, 12/15/30

       104        84,365  

5.75%, 11/15/31

       114        93,645  

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b)(h)

       811        717,735  

Spectrum Brands, Inc.(b)

       

5.00%, 10/01/29

       141        125,853  

5.50%, 07/15/30

       154        140,525  
      

 

 

  
         8,650,760  
Food Products — 0.7%                 

Aramark International Finance SARL, 3.13%, 04/01/25(e)

   EUR     138        144,389  

Aramark Services, Inc.(b)(h)

       

5.00%, 04/01/25

   USD     495        487,748  

6.38%, 05/01/25

       188        187,827  

5.00%, 02/01/28

       436        410,948  

BRF SA, 4.88%, 01/24/30(e)

       200        161,250  

Chobani LLC/Chobani Finance Corp., Inc.(b)(h)

       

7.50%, 04/15/25

       1,178        1,172,123  

4.63%, 11/15/28

       608        553,280  

Darling Global Finance BV, 3.63%, 05/15/26(e)

   EUR     120        127,670  

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b)

   USD     129        103,357  
      

 

 

  
         3,348,592  
Gas Utilities(b) — 0.1%                 

Howard Midstream Energy Partners LLC, 8.88%, 07/15/28

       263        264,315  

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31

       91        76,181  
      

 

 

  
         340,496  
Security       

Par

(000)

      Value  
Ground Transportation — 0.4%                 

Danaos Corp., 8.50%, 03/01/28(b)

   USD     100      $          100,320  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(h)

                  1,377        1,342,231  

Union Pacific Corp., 3.20%, 05/20/41(h)

       600        471,528  
      

 

 

  
         1,914,079  
Health Care Equipment & Supplies — 0.2%  

Avantor Funding, Inc.

       

2.63%, 11/01/25(e)

   EUR     100        104,544  

4.63%, 07/15/28(b)(h)

   USD     665        616,404  

3.88%, 11/01/29(b)

       209        182,985  

Embecta Corp., 6.75%, 02/15/30(b)

       75        67,212  

Garden Spinco Corp., 8.63%, 07/20/30(b)

       199        213,875  
      

 

 

  
         1,185,020  
Health Care Providers & Services — 2.7%  

Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b)

       115        109,980  

AdaptHealth LLC(b)

       

6.13%, 08/01/28

       73        63,234  

5.13%, 03/01/30

       26        21,060  

AHP Health Partners, Inc., 5.75%, 07/15/29(b)

       324        279,363  

Cano Health LLC, 6.25%, 10/01/28(b)

       78        48,750  

CHS/Community Health Systems,
Inc.(b)

       

5.63%, 03/15/27

       185        163,029  

6.00%, 01/15/29(h)

       525        441,656  

5.25%, 05/15/30(h)

       540        425,373  

4.75%, 02/15/31(h)

       242        182,900  

Elevance Health, Inc., 3.65%, 12/01/27(h)

       1,000        944,116  

Encompass Health Corp.

       

4.50%, 02/01/28

       15        13,955  

4.75%, 02/01/30(h)

       390        355,096  

4.63%, 04/01/31

       255        226,047  

HCA, Inc., 5.50%, 06/15/47(h)

       650        612,228  

HealthEquity, Inc., 4.50%, 10/01/29(b)(h)

       738        650,423  

IQVIA, Inc., 6.50%, 05/15/30(b)

       211        213,083  

Legacy LifePoint Health LLC(b)(h)

       

6.75%, 04/15/25

       351        326,016  

4.38%, 02/15/27

       253        195,763  

Medline Borrower LP(b)(h)

       

3.88%, 04/01/29

       581        504,926  

5.25%, 10/01/29

       1,339        1,161,849  

ModivCare, Inc., 5.88%, 11/15/25(b)(h)

       236        218,569  

Molina Healthcare, Inc.(b)

       

4.38%, 06/15/28

       46        42,405  

3.88%, 11/15/30

       80        68,733  

3.88%, 05/15/32(h)

       141        118,207  

Surgery Center Holdings, Inc.(b)(h)

       

6.75%, 07/01/25

       305        303,913  

10.00%, 04/15/27

       621        634,973  

Teleflex, Inc.

       

4.63%, 11/15/27

       80        75,400  

4.25%, 06/01/28(b)(h)

       331        302,449  

Tenet Healthcare Corp.

       

4.88%, 01/01/26(h)

       1,077        1,048,987  

6.25%, 02/01/27

       179        177,169  

5.13%, 11/01/27(h)

       216        206,210  

4.63%, 06/15/28

       81        75,653  

6.13%, 10/01/28(h)

       183        176,174  

6.13%, 06/15/30

       250        246,425  
 

 

 

74  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Health Care Providers & Services (continued)         

Tenet Healthcare Corp. (continued)

       

6.75%, 05/15/31(b)(h)

   USD     856      $          858,085  

UnitedHealth Group, Inc., 3.75%, 07/15/25(h)

                  1,470        1,430,924  
      

 

 

  
         12,923,123  
Health Care Technology(b) — 0.7%                 

AthenaHealth Group, Inc., 6.50%, 02/15/30(h)

       1,674        1,408,906  

Catalent Pharma Solutions, Inc.

       

5.00%, 07/15/27(h)

       365        334,847  

3.13%, 02/15/29

       157        127,652  

3.50%, 04/01/30(h)

       50        40,500  

Charles River Laboratories International, Inc.

       

4.25%, 05/01/28

       159        145,576  

4.00%, 03/15/31

       42        36,479  

Fortrea Holdings, Inc., 7.50%, 07/01/30

       196        200,698  

IQVIA, Inc.(h)

       

5.00%, 10/15/26

       463        447,060  

5.00%, 05/15/27

       437        420,335  
      

 

 

  
         3,162,053  
Hotels, Restaurants & Leisure — 3.4%  

Boyd Gaming Corp.

       

4.75%, 12/01/27

       133        126,015  

4.75%, 06/15/31(b)(h)

       333        297,487  

Boyne USA, Inc., 4.75%,
05/15/29(b)(h)

       344        309,999  

Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b)

       

5.75%, 04/15/25

       207        206,688  

3.88%, 01/15/28(h)

       208        190,148  

4.38%, 01/15/28(h)

       134        123,705  

4.00%, 10/15/30

       103        88,151  

Caesars Entertainment, Inc.(b)(h)

       

6.25%, 07/01/25

       1,144        1,138,702  

8.13%, 07/01/27

       1,508        1,543,391  

4.63%, 10/15/29

       184        160,671  

7.00%, 02/15/30

       1,527        1,533,474  

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

       478        483,652  

CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b)(h)

       731        680,428  

Champion Path Holdings Ltd., 4.50%, 01/27/26(e)

       232        203,309  

Churchill Downs, Inc.(b)

       

5.50%, 04/01/27(h)

       695        668,195  

4.75%, 01/15/28

       137        127,054  

6.75%, 05/01/31

       417        412,309  

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b)

       

4.63%, 01/15/29(h)

       483        423,832  

6.75%, 01/15/30

       68        57,871  

Fortune Star BVI Ltd., 6.75%, 07/02/23(e)

       200        199,880  

Hilton Domestic Operating Co., Inc.

       

5.38%, 05/01/25(b)

       145        143,148  

5.75%, 05/01/28(b)

       200        196,943  

3.75%, 05/01/29(b)

       146        129,591  

4.88%, 01/15/30(h)

       501        467,142  

4.00%, 05/01/31(b)

       189        164,143  

3.63%, 02/15/32(b)

       15        12,506  

Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b)

       246        249,598  

Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(e)

   EUR     100        109,529  
Security       

Par

(000)

      Value  
Hotels, Restaurants & Leisure (continued)  

Melco Resorts Finance Ltd.

       

4.88%, 06/06/25(b)

   USD     200      $          188,790  

5.25%, 04/26/26(e)

       250        232,010  

5.38%, 12/04/29(b)(h)

       600        494,250  

Merlin Entertainments Ltd., 5.75%,
06/15/26(b)(h)

                  600        578,246  

MGM China Holdings Ltd.

       

5.88%, 05/15/26(e)(h)

       250        238,040  

4.75%, 02/01/27(b)

       200        180,250  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b)

       235        207,516  

Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b)

       

5.63%, 09/01/29

       116        87,864  

5.88%, 09/01/31

       116        85,579  

Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b)

       177        166,822  

Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b)

       70        61,600  

Scientific Games International, Inc.(b)

       

8.63%, 07/01/25

       203        207,314  

7.00%, 05/15/28(h)

       174        173,071  

7.25%, 11/15/29(h)

       51        51,064  

Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(h)

       402        391,528  

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

       269        270,344  

Station Casinos LLC, 4.63%, 12/01/31(b)

       277        233,372  

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

       154        154,184  

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

       158        144,286  

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

       192        181,873  

Wynn Macau Ltd.

       

5.50%, 01/15/26(e)

       347        321,626  

5.63%, 08/26/28(b)(h)

       600        517,500  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(h)

       

5.13%, 10/01/29

       773        692,757  

7.13%, 02/15/31

       318        316,073  
      

 

 

  
         16,623,520  
Household Durables — 0.6%                 

Ashton Woods USA LLC/Ashton Woods Finance Co.(b)

       

4.63%, 08/01/29

       100        85,223  

4.63%, 04/01/30

       145        123,772  

Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b)

       

5.00%, 06/15/29

       208        166,552  

4.88%, 02/15/30(h)

       364        285,554  

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

       253        234,199  

K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b)

       131        128,380  

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

       199        172,034  

Meritage Homes Corp., 5.13%, 06/06/27

       50        48,040  

NCR Corp.(b)

       

5.75%, 09/01/27

       220        219,942  

5.00%, 10/01/28

       110        98,167  

5.13%, 04/15/29(h)

       145        128,363  

6.13%, 09/01/29

       92        92,077  

SWF Escrow Issuer Corp., 6.50%,
10/01/29(b)(h)

       539        323,415  

Taylor Morrison Communities, Inc.(b) 5.88%, 06/15/27

       255        250,459  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Household Durables (continued)                 

Taylor Morrison Communities, Inc.(b) (continued)

       

5.13%, 08/01/30

   USD     54      $            49,858  

Tempur Sealy International, Inc.(b)

       

4.00%, 04/15/29

                     204        176,602  

3.88%, 10/15/31

       97        79,021  

Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24

       11        10,918  

Tri Pointe Homes, Inc., 5.25%, 06/01/27

       15        14,189  
      

 

 

  
         2,686,765  
Household Products — 0.0%                 

Berkline Benchcraft LLC, 4.50%, 05/03/12(d)(f)(i)

       200        —  

Central Garden & Pet Co.

       

5.13%, 02/01/28

       15        14,092  

4.13%, 10/15/30(h)

       194        162,513  
      

 

 

  
         176,605  
Independent Power and Renewable Electricity Producers — 0.7%  

Calpine Corp.(b)

       

5.25%, 06/01/26

       221        213,420  

5.13%, 03/15/28(h)

       1,060        945,946  

4.63%, 02/01/29

       106        89,430  

5.00%, 02/01/31

       43        35,564  

Clearway Energy Operating LLC(b)

       

4.75%, 03/15/28(h)

       336        310,000  

3.75%, 01/15/32

       262        213,244  

Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(e)(h)

       200        186,484  

NRG Energy, Inc.

       

6.63%, 01/15/27(h)

       720        714,730  

5.75%, 01/15/28

       63        59,702  

3.88%, 02/15/32(b)

       10        7,705  

7.00%, 03/15/33(b)(h)

       205        206,698  

Talen Energy Supply LLC, 8.63%, 06/01/30(b)

       134        138,690  

TerraForm Power Operating LLC(b)

       

5.00%, 01/31/28

       96        88,383  

4.75%, 01/15/30

       186        164,145  

TransAlta Corp., 7.75%, 11/15/29

       109        112,216  
      

 

 

  
         3,486,357  
Industrial Conglomerates — 0.0%                 

Emerald Debt Merger Sub LLC, 6.38%, 12/15/30(b)

   EUR     160        173,937  
      

 

 

  
Insurance — 2.0%                 

Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b)

   USD     136        117,751  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(h)

       

4.25%, 10/15/27

       1,317        1,181,866  

6.75%, 10/15/27

       2,364        2,222,160  

6.75%, 04/15/28

       558        553,390  

5.88%, 11/01/29

       1,128        981,270  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(h)

       360        341,820  

AmWINS Group, Inc., 4.88%, 06/30/29(b)

       285        257,350  

GTCR AP Finance, Inc., 8.00%, 05/15/27(b)(h)

       304        297,994  

HUB International Ltd.(b)

       

7.00%, 05/01/26(h)

       1,280        1,276,614  

7.25%, 06/15/30

       1,472        1,519,987  

Jones Deslauriers Insurance Management, Inc.(b)

       

8.50%, 03/15/30

       506        516,226  
Security       

Par

(000)

      Value  
Insurance (continued)                 

Jones Deslauriers Insurance Management, Inc.(b) (continued)

       

10.50%, 12/15/30

   USD     256      $          256,788  

Ryan Specialty Group LLC, 4.38%, 02/01/30(b)

       183        161,992  
      

 

 

  
         9,685,208  
Interactive Media & Services — 0.2%                 

Arches Buyer, Inc., 4.25%, 06/01/28(b)

       110        95,721  

Cablevision Lightpath LLC, 5.63%, 09/15/28(b)(h)

       400        296,321  

iliad SA(e)

       

5.38%, 06/14/27

   EUR     100        107,581  

5.63%, 02/15/30

       100        105,465  

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b)

   USD     264        233,165  
      

 

 

  
         838,253  
Internet Software & Services — 1.0%                 

Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b)

       

5.25%, 12/01/27

                     303        287,850  

3.50%, 03/01/29

       204        174,796  

Match Group Holdings II LLC(b)

       

4.63%, 06/01/28

       157        144,220  

5.63%, 02/15/29

       177        165,957  

4.13%, 08/01/30

       198        169,587  

3.63%, 10/01/31(h)

       153        125,757  

Uber Technologies, Inc.

       

7.50%, 05/15/25(b)(h)

       667        674,977  

0.00%, 12/15/25(h)(l)(m)

       916        835,416  

8.00%, 11/01/26(b)

       419        427,008  

7.50%, 09/15/27(b)(h)

       622        636,215  

6.25%, 01/15/28(b)

       402        400,014  

4.50%, 08/15/29(b)(h)

       972        894,627  
      

 

 

  
         4,936,424  
IT Services — 0.9%                 

Ahead DB Holdings LLC, 6.63%, 05/01/28(b)

       150        121,990  

CA Magnum Holdings, 5.38%, 10/31/26(b)(h)

       382        341,187  

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

       624        587,833  

Dun & Bradstreet Corp., 5.00%,
12/15/29(b)(h)

       615        542,264  

Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(e)

   EUR     100        109,456  

Fair Isaac Corp., 4.00%, 06/15/28(b)(h)

   USD     366        335,771  

Gartner, Inc.(b)

       

4.50%, 07/01/28

       23        21,487  

3.63%, 06/15/29

       57        50,178  

KBR, Inc., 4.75%, 09/30/28(b)

       209        189,673  

La Financiere Atalian SASU, 5.13%, 05/15/25(e)

   EUR     100        74,872  

McAfee Corp., 7.38%, 02/15/30(b)(h)

   USD     786        683,445  

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

       47        44,091  

Science Applications International Corp., 4.88%, 04/01/28(b)(h)

       289        268,780  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b)

       163        162,824  

Twilio, Inc.

       

3.63%, 03/15/29

       142        120,807  

3.88%, 03/15/31(h)

       319        265,604  

ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)(h)

       692        595,183  
      

 

 

  
         4,515,445  
 

 

 

76  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Leisure Products(h) — 0.1%                 

Mattel, Inc.

       

6.20%, 10/01/40

   USD     219      $          195,798  

5.45%, 11/01/41

       278        230,470  
      

 

 

  
         426,268  
Machinery — 1.1%                 

ATS Corp., 4.13%, 12/15/28(b)

       108        96,664  

Chart Industries, Inc.(b)

       

7.50%, 01/01/30(h)

       623        635,619  

9.50%, 01/01/31

       92        97,613  

GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b)

       283        280,877  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h)(k)

       240        218,400  

Madison IAQ LLC, 5.88%,
06/30/29(b)(h)

       696        563,697  

OT Merger Corp., 7.88%, 10/15/29(b)

       115        71,877  

Terex Corp., 5.00%, 05/15/29(b)(h)

       333        309,583  

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

       852        773,190  

TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)(h)

       400        362,834  

TK Elevator Midco GmbH, 4.38%, 07/15/27(e)

   EUR     205        199,655  

TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(h)

   USD                1,633        1,508,684  
      

 

 

  
         5,118,693  
Marine Transportation — 0.0%                 

Huntington Ingalls Industries, Inc., 4.20%, 05/01/30(h)

       178        164,929  
      

 

 

  
Media — 6.8%                 

Altice Financing SA

       

3.00%, 01/15/28(e)

   EUR     100        84,079  

5.00%, 01/15/28(b)(h)

   USD     378        302,084  

5.75%, 08/15/29(b)(h)

       1,324        1,025,651  

AMC Networks, Inc.

       

4.75%, 08/01/25

       189        165,313  

4.25%, 02/15/29

       123        66,121  

Block Communications, Inc., 4.88%, 03/01/28(b)

       92        76,130  

Cable One, Inc.

       

0.00%, 03/15/26(l)(m)

       88        71,940  

1.13%, 03/15/28(h)(l)

       620        466,550  

4.00%, 11/15/30(b)(h)

       151        117,969  

CCO Holdings LLC/CCO Holdings Capital Corp.(b)(h)

       

5.13%, 05/01/27

       565        526,153  

5.00%, 02/01/28

       701        638,674  

6.38%, 09/01/29

       734        691,545  

4.75%, 03/01/30

       246        210,351  

4.25%, 02/01/31

       764        618,053  

7.38%, 03/01/31

       1,419        1,382,718  

4.75%, 02/01/32

       260        212,025  

4.25%, 01/15/34

       442        334,049  

Charter Communications Operating LLC/Charter Communications Operating Capital(h)

       

4.91%, 07/23/25

       2,425        2,378,069  

5.38%, 05/01/47

       425        351,286  

Clear Channel International BV, 6.63%, 08/01/25(b)(h)

       384        382,075  

Clear Channel Outdoor Holdings,
Inc.(b)(h)

       

5.13%, 08/15/27

       2,109        1,914,746  

7.75%, 04/15/28

       330        259,050  

7.50%, 06/01/29

       731        540,923  

CMG Media Corp., 8.88%,
12/15/27(b)(h)

       315        220,766  
Security       

Par

(000)

      Value  
Media (continued)                 

Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)(h)

   USD                1,866      $       1,812,476  

CSC Holdings LLC(h)

       

5.25%, 06/01/24

       164        152,527  

5.50%, 04/15/27(b)

       200        166,398  

11.25%, 05/15/28(b)

       900        872,757  

6.50%, 02/01/29(b)

       865        698,951  

4.13%, 12/01/30(b)

       330        230,844  

4.50%, 11/15/31(b)

       469        326,994  

Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(h)

       429        388,518  

Discovery Communications LLC, 3.45%, 03/15/25(h)

       170        162,742  

DISH DBS Corp.

       

7.75%, 07/01/26(h)

       601        368,392  

5.25%, 12/01/26(b)(h)

       1,000        802,173  

5.75%, 12/01/28(b)

       174        129,418  

DISH Network Corp., 11.75%, 11/15/27(b)(h)

       179        174,688  

Frontier Communications Holdings LLC(b)(h)

       

5.88%, 10/15/27

       267        245,042  

5.00%, 05/01/28

       753        649,696  

8.75%, 05/15/30

       1,028        1,004,740  

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

       107        91,228  

Iliad Holding SASU(b)(h)

       

6.50%, 10/15/26

       1,423        1,343,060  

7.00%, 10/15/28

       743        684,782  

Interpublic Group of Cos., Inc., 5.40%, 10/01/48(h)

       200        186,141  

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

       360        337,411  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(k)

       419        147,998  

Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b)

       232        168,014  

Live Nation Entertainment, Inc.(b)

       

4.88%, 11/01/24

       31        30,519  

5.63%, 03/15/26

       16        15,629  

6.50%, 05/15/27(h)

       1,582        1,590,421  

4.75%, 10/15/27(h)

       288        268,560  

3.75%, 01/15/28

       196        174,930  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b)

       177        165,798  

Network i2i Ltd., (5-year CMT + 4.27%), 5.65%(a)(e)(h)(j)

       300        290,598  

Outfront Media Capital LLC/Outfront Media Capital Corp.(b)

       

5.00%, 08/15/27(h)

       558        506,497  

4.25%, 01/15/29(h)

       256        215,132  

4.63%, 03/15/30

       55        45,821  

Radiate Holdco LLC/Radiate Finance,
Inc.(b)(h)

       

4.50%, 09/15/26

       894        712,755  

6.50%, 09/15/28

       1,482        864,843  

Sable International Finance Ltd., 5.75%, 09/07/27(b)

       200        183,856  

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

       468        306,540  

Sirius XM Radio, Inc.(b)(h)

       

3.13%, 09/01/26

       491        439,566  

5.00%, 08/01/27

       812        753,365  

Stagwell Global LLC, 5.63%, 08/15/29(b)

       101        86,429  

Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(e)(k)

   EUR     118        108,191  

TEGNA, Inc., 4.75%, 03/15/26(b)

   USD     45        42,966  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Media (continued)                 

Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b)

   USD     200      $          183,400  

Univision Communications, Inc.(b)

       

5.13%, 02/15/25

       133        130,174  

6.63%, 06/01/27

       188        181,711  

7.38%, 06/30/30(h)

       174        165,668  

UPC Broadband Finco BV, 4.88%, 07/15/31(b)(h)

       449        369,567  

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

       754        659,549  

VZ Secured Financing BV, 3.50%, 01/15/32(e)

   EUR     100        83,883  

Ziggo Bond Co. BV(b)(h)

       

6.00%, 01/15/27

   USD     199        182,646  

5.13%, 02/28/30

       225        170,377  

Ziggo BV, 4.88%, 01/15/30(b)

       200        165,986  
      

 

 

  
         33,276,687  
Metals & Mining — 1.9%                 

ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24(e)

       250        248,430  

Arconic Corp.(b)

       

6.00%, 05/15/25

       83        83,660  

6.13%, 02/15/28(h)

       378        382,689  

ATI, Inc.

       

5.88%, 12/01/27

       171        165,488  

4.88%, 10/01/29

       101        90,919  

5.13%, 10/01/31

       273        243,219  

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

                  1,143        1,129,071  

Carpenter Technology Corp.

       

6.38%, 07/15/28

       81        79,380  

7.63%, 03/15/30(h)

       326        329,684  

Constellium SE

       

4.25%, 02/15/26(e)

   EUR     100        106,401  

5.88%, 02/15/26(b)(h)

   USD     588        576,082  

5.63%, 06/15/28(b)(h)

       500        470,464  

3.75%, 04/15/29(b)(h)

       756        643,172  

First Quantum Minerals Ltd., 8.63%, 06/01/31(b)

       331        337,620  

JSW Steel Ltd., 5.95%, 04/18/24(e)

       200        198,348  

Kaiser Aluminum Corp.(b)(h)

       

4.63%, 03/01/28

       163        142,553  

4.50%, 06/01/31

       347        276,622  

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

       545        508,910  

Novelis Corp.(b)(h)

       

3.25%, 11/15/26

       809        732,281  

4.75%, 01/30/30

       951        845,160  

3.88%, 08/15/31

       1,030        847,290  

Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(e)

   EUR     200        191,084  

Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b)

   USD     122        109,301  

Stillwater Mining Co., 4.00%, 11/16/26(e)(h)

       200        177,512  

Vedanta Resources Finance II PLC, 13.88%, 01/21/24(e)

       200        182,074  
      

 

 

  
         9,097,414  
Multi-Utilities — 0.2%                 

American Water Capital Corp., 4.45%, 06/01/32(h)

       900        871,361  

AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b)

       272        276,248  
      

 

 

  
         1,147,609  
Security       

Par

(000)

      Value  
Offshore Drilling & Other Services(b) — 0.4%  

Entegris Escrow Corp., 4.75%, 04/15/29(h)

   USD                2,108      $       1,956,911  

Entegris, Inc., 4.38%, 04/15/28

       169        152,942  
      

 

 

  
         2,109,853  
Oil, Gas & Consumable Fuels — 9.3%  

Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(h)

       591        580,657  

Antero Midstream Partners LP/Antero Midstream Finance Corp.(b)

       

5.75%, 03/01/27

       298        287,402  

5.75%, 01/15/28

       59        56,244  

5.38%, 06/15/29(h)

       206        191,411  

Apache Corp.

       

4.25%, 01/15/30(h)

       61        54,333  

5.10%, 09/01/40(h)

       157        127,562  

5.35%, 07/01/49

       137        106,517  

Arcosa, Inc., 4.38%, 04/15/29(b)(h)

       374        335,105  

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

       

9.00%, 11/01/27(h)

       580        721,068  

8.25%, 12/31/28(h)

       880        865,396  

5.88%, 06/30/29

       134        119,547  

Baytex Energy Corp., 8.50%, 04/30/30(b)

       139        135,743  

Buckeye Partners LP

       

4.13%, 03/01/25(b)

       262        248,900  

5.85%, 11/15/43

       145        107,300  

5.60%, 10/15/44

       86        61,920  

Callon Petroleum Co.

       

8.25%, 07/15/25

       44        43,670  

6.38%, 07/01/26

       162        157,690  

8.00%, 08/01/28(b)(h)

       1,033        1,021,543  

7.50%, 06/15/30(b)(h)

       530        500,252  

Cellnex Finance Co. SA, 1.25%, 01/15/29(e)

   EUR     100        90,392  

Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(e)(l)

       100        87,028  

Cheniere Energy Partners LP(h)

       

4.50%, 10/01/29

   USD     630        578,186  

3.25%, 01/31/32

       380        312,607  

Chesapeake Energy Corp.(b)

       

5.88%, 02/01/29

       41        38,945  

6.75%, 04/15/29(h)

       436        432,615  

Civitas Resources, Inc.(b)

       

5.00%, 10/15/26

       36        33,943  

8.38%, 07/01/28(h)

       772        780,724  

8.75%, 07/01/31

       638        646,804  

CNX Midstream Partners LP, 4.75%, 04/15/30(b)

       96        81,426  

CNX Resources Corp., 7.38%, 01/15/31(b)

       97        94,375  

Comstock Resources, Inc.(b)(h)

       

6.75%, 03/01/29

       468        428,195  

5.88%, 01/15/30

       353        306,464  

CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)(h)

       1,617        1,442,223  

Crescent Energy Finance LLC(b)(h)

       

7.25%, 05/01/26

       708        664,465  

9.25%, 02/15/28

       254        246,441  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b)

       

5.63%, 05/01/27

       52        49,296  

6.00%, 02/01/29(h)

       326        304,402  

8.00%, 04/01/29

       45        45,558  

7.38%, 02/01/31

       96        94,623  
 

 

 

78  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)         

CrownRock LP/CrownRock Finance, Inc.(b)

       

5.63%, 10/15/25(h)

   USD     670      $          660,084  

5.00%, 05/01/29

       59        55,239  

DCP Midstream Operating LP(b)(h)

       

6.45%, 11/03/36

       162        166,349  

6.75%, 09/15/37

       295        313,078  

Diamondback Energy, Inc., 6.25%, 03/15/33(h)

       602        622,750  

DT Midstream, Inc.(b)(h)

       

4.13%, 06/15/29

       328        287,845  

4.38%, 06/15/31

       418        360,004  

Dycom Industries, Inc., 4.50%, 04/15/29(b)

       119        108,076  

Earthstone Energy Holdings LLC(b)

       

8.00%, 04/15/27(h)

       272        262,700  

9.88%, 07/15/31

       329        325,200  

Ecopetrol SA

       

8.88%, 01/13/33

       122        120,265  

5.88%, 05/28/45

       78        52,935  

eG Global Finance PLC(b)(h)

       

6.75%, 02/07/25

       396        384,615  

8.50%, 10/30/25

       252        244,507  

Enbridge, Inc., (3-mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(h)

                  1,565        1,440,010  

Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b)(h)

       386        377,577  

Energean Israel Finance Ltd., 8.50%, 09/30/33(b)(e)

      74        73,809  

Energy Transfer LP(h)

       

3.90%, 07/15/26

       235        223,330  

Series H, (5-year CMT + 5.69%), 6.50%(a)(j)

       456        414,194  

EnLink Midstream LLC(h)

       

5.63%, 01/15/28(b)

       348        336,754  

5.38%, 06/01/29

       272        259,137  

6.50%, 09/01/30(b)

       231        230,719  

EnLink Midstream Partners LP

       

4.15%, 06/01/25

       7        6,791  

4.85%, 07/15/26

       115        110,975  

5.60%, 04/01/44

       226        189,213  

5.45%, 06/01/47

       60        49,320  

EQM Midstream Partners LP

       

6.00%, 07/01/25(b)

       128        126,587  

4.13%, 12/01/26

       100        93,003  

6.50%, 07/01/27(b)(h)

       364        359,003  

4.50%, 01/15/29(b)

       21        18,730  

7.50%, 06/01/30(b)

       84        85,003  

4.75%, 01/15/31(b)(h)

       506        443,248  

Genesis Energy LP/Genesis Energy Finance Corp.

       

6.50%, 10/01/25

       112        110,297  

7.75%, 02/01/28(h)

       164        155,985  

8.88%, 04/15/30

       153        149,480  

Gulfport Energy Corp., 8.00%, 05/17/26(b)

       37        37,174  

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

       60        59,486  

Hess Corp., 4.30%, 04/01/27

       50        47,955  

Hess Midstream Operations LP, 4.25%, 02/15/30(b)(h)

       240        209,400  

Hilcorp Energy I LP/Hilcorp Finance Co.(b)

       

6.25%, 11/01/28

       145        136,489  

5.75%, 02/01/29

       186        168,421  

6.00%, 04/15/30

       21        19,122  

HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(e)(h)

       200        192,412  

HTA Group Ltd., 7.00%, 12/18/25(b)(h)

       200        188,962  

IHS Holding Ltd., 6.25%, 11/29/28(b)

       200        163,912  

Impulsora Pipeline LLC, 6.05%, 01/01/43(d)

       1,345        1,159,163  
Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)         

ITT Holdings LLC, 6.50%, 08/01/29(b)(h)

   USD     343      $          288,971  

Kinetik Holdings LP, 5.88%,
06/15/30(b)(h)

       471        447,681  

Leviathan Bond Ltd., 6.75%, 06/30/30(b)(e)

       61        56,598  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b)

       32        30,949  

Matador Resources Co.(h)

       

5.88%, 09/15/26

       436        422,504  

6.88%, 04/15/28(b)

       248        245,469  

Medco Bell Pte. Ltd., 6.38%, 01/30/27(e)

       250        234,867  

MPLX LP, 4.25%, 12/01/27(h)

       185        175,690  

Murphy Oil Corp.

       

5.75%, 08/15/25

       14        13,817  

5.88%, 12/01/27

       56        54,403  

5.88%, 12/01/42

       29        24,099  

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

       146        134,038  

Nabors Industries Ltd.(b)

       

7.25%, 01/15/26

       199        185,770  

7.50%, 01/15/28(h)

       296        259,018  

Nabors Industries, Inc.(h)

       

5.75%, 02/01/25

                  1,057        1,022,880  

7.38%, 05/15/27(b)

       377        358,727  

New Fortress Energy, Inc.(b)(h)

       

6.75%, 09/15/25

       854        801,082  

6.50%, 09/30/26

       1,366        1,222,155  

NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)(h)

       241        237,354  

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

       227        241,988  

Northern Oil and Gas, Inc.(b)(h)

       

8.13%, 03/01/28

       1,102        1,079,960  

8.75%, 06/15/31

       323        317,347  

NuStar Logistics LP

       

6.00%, 06/01/26

       163        158,780  

6.38%, 10/01/30

       25        23,851  

Occidental Petroleum Corp.

       

6.45%, 09/15/36(h)

       132        135,472  

6.20%, 03/15/40(h)

       428        421,832  

4.63%, 06/15/45

       28        21,664  

PDC Energy, Inc.

       

6.13%, 09/15/24

       75        74,962  

5.75%, 05/15/26(h)

       235        234,059  

Permian Resources Operating LLC(b)

       

5.38%, 01/15/26

       52        49,438  

7.75%, 02/15/26(h)

       607        609,582  

6.88%, 04/01/27

       143        140,855  

5.88%, 07/01/29(h)

       392        369,268  

Petroleos Mexicanos

       

4.25%, 01/15/25

       37        34,865  

6.50%, 03/13/27

       130        115,375  

8.75%, 06/02/29

       130        116,369  

5.95%, 01/28/31(h)

       158        115,124  

6.70%, 02/16/32

       97        73,618  

Precision Drilling Corp., 6.88%, 01/15/29(b)

       12        10,842  

Puma International Financing SA, 5.13%, 10/06/24(b)

       200        194,000  

Rockcliff Energy II LLC, 5.50%, 10/15/29(b)(h)

       196        180,801  

Rockies Express Pipeline LLC, 4.95%, 07/15/29(b)

       51        46,665  

SM Energy Co.

       

5.63%, 06/01/25

       175        171,008  

6.75%, 09/15/26(h)

       156        152,055  

6.63%, 01/15/27

       21        20,396  

6.50%, 07/15/28(h)

       198        190,080  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Oil, Gas & Consumable Fuels (continued)         

Southwestern Energy Co.

       

5.70%, 01/23/25

   USD     18      $            17,905  

5.38%, 02/01/29(h)

       252        237,299  

4.75%, 02/01/32

       5        4,407  

Sunoco LP/Sunoco Finance Corp.

       

6.00%, 04/15/27

       63        62,070  

5.88%, 03/15/28

       124        119,242  

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

       

7.50%, 10/01/25

       13        12,975  

6.00%, 03/01/27

       41        38,475  

5.50%, 01/15/28

       72        65,807  

6.00%, 12/31/30

       28        24,668  

6.00%, 09/01/31

       131        112,717  

Tap Rock Resources LLC, 7.00%, 10/01/26(b)(h)

       764        786,920  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(h)

       280        263,537  

Transocean Titan Financing Ltd., 8.38%, 02/01/28(b)(h)

       175        178,719  

Transocean, Inc.(b)(h)

       

7.50%, 01/15/26

       235        223,250  

11.50%, 01/30/27

       206        213,467  

8.75%, 02/15/30

       972        986,580  

Venture Global Calcasieu Pass
LLC(b)(h)

       

3.88%, 08/15/29

       830        725,080  

4.13%, 08/15/31

       421        362,046  

3.88%, 11/01/33

       888        727,171  

Venture Global LNG, Inc.(b)(h)

       

8.13%, 06/01/28

       1,319        1,339,622  

8.38%, 06/01/31

                  2,022        2,038,514  

Vermilion Energy, Inc., 6.88%, 05/01/30(b)

       159        146,549  

Vivo Energy Investments BV, 5.13%, 09/24/27(b)

       200        180,192  

Western Midstream Operating LP

       

6.15%, 04/01/33

       75        75,592  

5.45%, 04/01/44(h)

       209        176,558  

5.30%, 03/01/48(h)

       199        166,110  

5.50%, 08/15/48

       99        82,790  

5.50%, 02/01/50(h)

       620        507,823  
      

 

 

  
         45,472,693  
Passenger Airlines — 1.3%                 

ABRA Global Finance, (6.00% Cash & 5.50% PIK), 11.50%, 03/02/28(b)(k)

       188        153,230  

Air Canada, 3.88%, 08/15/26(b)(h)

       464        430,060  

Allegiant Travel Co., 7.25%, 08/15/27(b)

       113        112,583  

American Airlines, Inc.(b)

       

11.75%, 07/15/25(h)

       955        1,047,184  

7.25%, 02/15/28

       84        83,500  

American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b)

       

5.50%, 04/20/26

       288        285,475  

5.75%, 04/20/29

       1,085        1,053,435  

Avianca Midco 2 PLC, 9.00%, 12/01/28(b)

       152        126,447  

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b)(h)

       205        194,040  

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

       857        858,595  

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

       256        257,914  

United Airlines Pass-Through Trust(h)

       

Series 2020-1, Class A, 5.88%, 04/15/29

       505        500,896  
Security       

Par

(000)

      Value  
Passenger Airlines (continued)                 

United Airlines Pass-Through Trust(h) (continued)

 

   

Series 2020-1, Class B, 4.88%, 07/15/27

   USD     34      $            32,690  

United Airlines, Inc.(b)

       

4.38%, 04/15/26

       514        488,354  

4.63%, 04/15/29(h)

       690        628,706  

VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27(b)

       127        114,103  
      

 

 

  
         6,367,212  
Pharmaceuticals — 1.1%                 

AbbVie, Inc., 4.25%, 11/14/28(h)

                  1,000        969,962  

Bayer AG, (5-year EUR Swap + 3.75%), 4.50%, 03/25/82(a)(e)

   EUR     100        102,901  

Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(e)

       100        99,785  

CVS Health Corp., 3.75%, 04/01/30(h)

   USD     1,000        917,277  

Gruenenthal GmbH, 4.13%, 05/15/28(e)

   EUR     100        100,970  

Jazz Securities DAC, 4.38%, 01/15/29(b)(h)

   USD     200        178,438  

Option Care Health, Inc., 4.38%, 10/31/29(b)(h)

       245        215,639  

Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(h)

       

4.13%, 04/30/28

       428        379,863  

5.13%, 04/30/31

       398        328,360  

PRA Health Sciences, Inc., 2.88%, 07/15/26(b)(h)

       484        438,230  

Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29

   EUR     100        111,327  

Teva Pharmaceutical Finance Netherlands III BV(h)

       

3.15%, 10/01/26

   USD     570        507,656  

4.75%, 05/09/27

       400        367,554  

7.88%, 09/15/29

       200        205,218  

8.13%, 09/15/31

       200        208,350  
      

 

 

  
         5,131,530  
Real Estate — 0.0%                 

VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b)

       98        90,042  
      

 

 

  
Real Estate Management & Development — 0.5%         

Agps Bondco PLC, 5.50%,
11/13/26(e)(f)(i)

   EUR     100        41,466  

CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25(e)(f)(i)

   USD     200        21,500  

Country Garden Holdings Co. Ltd., 6.50%, 04/08/24(e)(h)

       200        117,528  

Easy Tactic Ltd., (6.50% Cash or 7.50% PIK), 7.50%, 07/11/27(k)

       218        16,440  

Fantasia Holdings Group Co. Ltd.(e)(f)(i)

       

11.75%, 04/17/22

       400        24,000  

11.88%, 06/01/23

       200        12,000  

9.25%, 07/28/23

       200        12,000  

9.88%, 10/19/23

       200        12,000  

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

       100        97,651  

Howard Hughes Corp.(b)

       

5.38%, 08/01/28

       65        57,855  

4.13%, 02/01/29

       149        123,259  

4.38%, 02/01/31

       100        79,804  

Jingrui Holdings Ltd., 12.00%,
07/25/22(e)(f)(i)

       200        12,157  

Modern Land China Co. Ltd.(e)(f)(i)(k)

       

(2.00% Cash or 2.00% PIK), 7.00%, 12/30/23

       162        8,907  

(9.00% Cash or 9.00% PIK), 9.00%, 12/30/27

       324        17,815  

Realogy Group LLC/Realogy Co.-Issuer Corp.(b)

       

5.75%, 01/15/29

       456        341,185  

5.25%, 04/15/30

       135        95,942  
 

 

 

80  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Real Estate Management & Development (continued)         

Ronshine China Holdings Ltd., 6.75%, 08/05/24(e)(f)(i)

   USD     200      $            9,000  

Sinic Holdings Group Co. Ltd., 10.50%, 12/31/79(e)(f)(i)

       200        2,000  

Theta Capital Pte. Ltd., 8.13%, 01/22/25(e)

       200        166,246  

VICI Properties LP, 5.13%, 05/15/32(h)

       851        796,233  

Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(e)(h)

       200        194,000  

Yuzhou Group Holdings Co. Ltd.(e)(f)(i)

       

7.70%, 02/20/25

       200        11,000  

8.30%, 05/27/25

       200        11,000  
      

 

 

  
         2,280,988  
Semiconductors & Semiconductor Equipment — 0.9%         

Broadcom, Inc., 4.11%, 09/15/28(h)

                  1,594        1,505,992  

NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25

       33        31,302  

QUALCOMM, Inc., 1.65%, 05/20/32(h)

       1,779        1,403,902  

Sensata Technologies BV(b)

       

5.63%, 11/01/24

       229        227,272  

5.00%, 10/01/25

       324        317,204  

4.00%, 04/15/29

       168        149,568  

5.88%, 09/01/30

       237        230,432  

Sensata Technologies, Inc.(b)

       

4.38%, 02/15/30(h)

       584        522,240  

3.75%, 02/15/31

       34        29,087  

Synaptics, Inc., 4.00%, 06/15/29(b)(h)

       172        144,199  
      

 

 

  
         4,561,198  
Software — 2.4%                 

ACI Worldwide, Inc., 5.75%,
08/15/26(b)(h)

       444        432,900  

Alteryx, Inc., 8.75%, 03/15/28(b)(h)

       244        239,678  

Black Knight InfoServ LLC, 3.63%, 09/01/28(b)(h)

       386        345,470  

Boxer Parent Co., Inc.

       

6.50%, 10/02/25(e)

   EUR     100        107,610  

7.13%, 10/02/25(b)(h)

   USD     398        398,352  

9.13%, 03/01/26(b)(h)

       696        692,520  

Capstone Borrower, Inc., 8.00%, 06/15/30(b)

       304        300,203  

Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(h)

       517        511,205  

Cloud Software Group, Inc.(b)(h)

       

6.50%, 03/31/29

       3,405        3,031,747  

9.00%, 09/30/29

       1,874        1,636,816  

Consensus Cloud Solutions, Inc.(b)

       

6.00%, 10/15/26

       71        64,432  

6.50%, 10/15/28

       64        54,720  

Crowdstrike Holdings, Inc., 3.00%, 02/15/29

       41        35,356  

Elastic NV, 4.13%, 07/15/29(b)(h)

       376        324,366  

Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28(b)

       200        170,000  

Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)(h)

       169        145,885  

MicroStrategy, Inc., 6.13%,
06/15/28(b)(h)

       451        404,364  

Open Text Corp., 6.90%, 12/01/27(b)(h)

       871        886,704  

Oracle Corp., 3.60%, 04/01/50(h)

       785        560,929  
Security       

Par

(000)

      Value  
Software (continued)                 

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

   USD                1,017      $          973,602  

Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(h)

       609        494,152  
      

 

 

  
         11,811,011  
Specialized REITs(b) — 0.2%                 

Iron Mountain, Inc., 7.00%, 02/15/29

       601        602,011  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(h)

       480        476,190  
      

 

 

  
         1,078,201  
Specialty Retail(b) — 0.3%                 

Arko Corp., 5.13%, 11/15/29(h)

       181        147,093  

PetSmart, Inc./PetSmart Finance Corp.

       

4.75%, 02/15/28

       343        316,971  

7.75%, 02/15/29(h)

       587        583,230  

Staples, Inc., 7.50%, 04/15/26

       214        176,746  
      

 

 

  
         1,224,040  
Technology Hardware, Storage & Peripherals(b) — 0.3%  

Coherent Corp., 5.00%, 12/15/29(h)

       422        380,901  

Seagate HDD Cayman

       

8.25%, 12/15/29

       359        374,965  

8.50%, 07/15/31

       455        477,154  
      

 

 

  
         1,233,020  
Textiles, Apparel & Luxury Goods(b) — 0.1%  

Crocs, Inc., 4.25%, 03/15/29

       25        21,255  

Hanesbrands, Inc.

       

4.88%, 05/15/26

       95        88,686  

9.00%, 02/15/31(h)

       283        285,226  

Kontoor Brands, Inc., 4.13%, 11/15/29

       98        81,834  

Levi Strauss & Co., 3.50%, 03/01/31

       16        13,240  

William Carter Co., 5.63%, 03/15/27

       160        155,252  
      

 

 

  
         645,493  
Transportation Infrastructure — 0.2%  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)

       200        192,478  

Azzurra Aeroporti SpA(e)

       

2.13%, 05/30/24

   EUR     100        105,507  

2.63%, 05/30/27

       100        97,778  

GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(e)

   USD     200        176,988  

Heathrow Finance PLC, 4.13%, 09/01/29(c)(e)

   GBP     100        102,711  

Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b)(h)

   USD     435        418,440  

XPO Escrow Sub LLC, 7.50%, 11/15/27(b)(h)

       85        86,856  
      

 

 

  
         1,180,758  
Wireless Telecommunication Services — 1.0%  

Altice France SA/France

       

5.88%, 02/01/27(e)

   EUR     100        90,570  

8.13%, 02/01/27(b)(h)

   USD     507        439,022  

5.50%, 01/15/28(b)(h)

       381        287,696  

5.13%, 07/15/29(b)(h)

       702        498,331  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Wireless Telecommunication Services (continued)         

Altice France SA/France (continued) 5.50%, 10/15/29(b)(h)

   USD     372      $          266,033  

Kenbourne Invest SA, 6.88%, 11/26/24(b)

       275        238,694  

Rogers Communications, Inc., 5.00%, 03/15/44(h)

       545        479,213  

SBA Communications Corp., 3.13%, 02/01/29(h)

       721        611,159  

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

       

5.63%, 05/01/24

       54        53,667  

3.50%, 02/15/25

       108        103,194  

4.63%, 06/15/25

       75        72,468  

4.25%, 12/01/26

       104        97,290  

4.63%, 12/01/29(h)

       414        375,858  

4.13%, 08/15/30(h)

       378        332,803  

Vmed O2 U.K. Financing I PLC

       

4.00%, 01/31/29(e)

   GBP     100        100,381  

4.50%, 07/15/31(e)

       100        96,026  

4.75%, 07/15/31(b)(h)

   USD     597        496,405  
      

 

 

  
         4,638,810  
      

 

 

  

Total Corporate Bonds — 71.9%
(Cost: $375,900,421)

          350,373,271  
      

 

 

  

Floating Rate Loan Interests(a)

 

   
Aerospace & Defense — 1.6%                 

Atlas CC Acquisition Corp.

       

Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

                  1,459        1,263,028  

Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28

       297        256,964  

Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26

       282        281,557  

Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29

       154        150,811  

Dynasty Acquisition Co., Inc.

       

2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26

       594        588,455  

2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26

       1,105        1,094,645  

Peraton Corp.

       

2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29

       455        440,270  

Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28

       1,844        1,807,741  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28

       591        590,368  

TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28

       1,091        1,090,083  
      

 

 

  
         7,563,922  
Automobile Components — 0.3%                 

Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28

       216        215,814  

Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30

       1,221        1,216,800  
      

 

 

  
         1,432,614  
Security       

Par

(000)

      Value  
Automobiles — 0.2%                 

Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27

   USD     825      $          821,268  
      

 

 

  
Beverages — 0.6%  

Naked Juice LLC

       

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30

       861        678,088  

Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29

                2,208        2,049,413  
      

 

 

  
         2,727,501  
Broadline Retail — 0.8%  

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28

       761        758,364  

Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(k)

       1,238        1,068,722  

PUG LLC

       

2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d)

       110        99,036  

USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       1,880        1,666,377  

Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d)

       290        289,910  

Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d)

       225        219,766  
      

 

 

  
         4,102,175  
Building Products — 0.7%  

AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29

       109        109,331  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28

       76        72,273  

CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27

       796        747,686  

CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29

       357        355,363  

IPS Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28

       257        237,240  

Jeld-Wen, Inc., 2021 Term Loan B,
(1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28

       333        330,272  

Wilsonart LLC, 2021 Term Loan E,
(6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26

       1,459        1,435,151  
      

 

 

  
         3,287,316  
Capital Markets — 1.4%  

Advisor Group, Inc., 2021 Term Loan,
(1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26

       910        910,179  

Ascensus Holdings, Inc.

       

2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29

       380        337,860  

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28

       1,494        1,467,209  
 

 

 

82  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security

       

Par

(000)

     

Value

  

Capital Markets (continued)

  

Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29

  

USD

  

 

533

 

   

$

         533,872

 

Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26

    

 

803

 

   

 

778,597

 

Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26

    

 

754

 

   

 

749,183

 

Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27

    

 

322

 

   

 

320,501

 

Focus Financial Partners LLC

       

2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28

    

 

622

 

   

 

613,662

 

2023 Term Loan B6, 06/30/28(n)

    

 

402

 

   

 

399,085

 

Greenhill & Co., Inc., Term Loan B,
(3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24

    

 

220

 

   

 

219,995

 

ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28

    

 

297

 

   

 

290,683

 

Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26

    

 

268

 

   

 

258,511

 

      

 

 

  
      

 

6,879,337

 

Chemicals — 2.3%

  

Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 09/30/28

    

 

585

 

   

 

544,983

 

Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27

    

 

333

 

   

 

321,133

 

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26

    

 

           1,025

 

   

 

1,002,728

 

CPC Acquisition Corp., Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27

    

 

251

 

   

 

189,564

 

Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29

    

 

473

 

   

 

451,934

 

Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26

    

 

840

 

   

 

837,575

 

HB Fuller Co., 2023 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30

    

 

150

 

   

 

150,026

 

Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27

    

 

409

 

   

 

405,082

 

INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30

    

 

298

 

   

 

296,030

 

Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28

    

 

395

 

   

 

332,975

 

LSF11 A5 Holdco LLC, Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28

    

 

888

 

   

 

875,174

 

Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26

    

 

579

 

   

 

578,622

 

Security

       

Par

(000)

     

Value

  

Chemicals (continued)

  

Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28

  

USD

  

 

973

 

   

$

         946,624

 

Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28

    

 

362

 

   

 

358,040

 

Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(n)

    

 

346

 

   

 

333,817

 

OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24

    

 

947

 

   

 

928,464

 

PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28

    

 

663

 

   

 

659,831

 

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27

    

 

428

 

   

 

421,123

 

Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28

    

 

797

 

   

 

789,985

 

Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25

    

 

90

 

   

 

89,766

 

W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28

    

 

448

 

   

 

443,834

 

      

 

 

  
      

 

10,957,310

 

Commercial Services & Supplies — 2.2%

  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28

    

 

           1,584

 

   

 

1,537,326

 

Amentum Government Services Holdings LLC, 2022 Term Loan,
(1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d)

    

 

325

 

   

 

316,602

 

Aramark Services, Inc.

       

2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.72%, 04/06/28

    

 

383

 

   

 

382,229

 

2023 Term Loan B6, 06/22/30(d)(n)

    

 

516

 

   

 

515,094

 

Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27

    

 

1,044

 

   

 

1,041,021

 

Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28

    

 

419

 

   

 

418,981

 

Covanta Holding Corp.

       

2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

    

 

36

 

   

 

36,116

 

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28

    

 

481

 

   

 

476,128

 

EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25

    

 

162

 

   

 

158,834

 

GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27

    

 

345

 

   

 

344,817

 

LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28

    

 

605

 

   

 

598,053

 

PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28

    

 

530

 

   

 

431,659

 

 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Commercial Services & Supplies (continued)  

Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26

   USD     755      $ 753,997  

Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28

                  2,272        2,272,108  

TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27

       973        893,769  

Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28

       549        532,295  
      

 

 

  
             10,709,029  
Communications Equipment — 0.1%         

Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30

       113        112,718  

ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29

       478        461,317  
      

 

 

  
         574,035  
Construction & Engineering — 0.4%         

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24

       649        641,062  

Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28

       424        421,883  

USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28

       703        664,570  
      

 

 

  
         1,727,515  
Construction Materials — 0.5%                 

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27

       765        761,636  

New AMI I LLC, 2022 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29

       392        328,988  

Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29

       493        481,350  

Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28

       665        664,341  
      

 

 

  
         2,236,315  
Consumer Finance — 0.0%                 

Credo Technology Group Holding Ltd., Term Loan B, (Defaulted), 0.00%, 02/17/24(d)(f)(i)

       24        3,185  
      

 

 

  
Consumer Staples Distribution & Retail — 0.2%         

U.S. Foods, Inc.

       

2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26

       618        616,876  

2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28

       376        376,013  
      

 

 

  
         992,889  
Containers & Packaging — 0.6%                 

Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27

       1,619        1,605,254  

Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26

       507        504,957  
Security       

Par

(000)

      Value  
Containers & Packaging (continued)  

Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26

   USD     135      $ 133,684  

Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27

       137        136,739  

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26

       193        192,718  

Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28

       514        504,650  
      

 

 

  
               3,078,002  
Distributors — 0.1%                 

PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27

       670        619,680  
      

 

 

  
Diversified Consumer Services — 1.4%         

Ascend Learning LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29

       299        252,903  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28

       864        810,714  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28

       751        747,876  

KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30

       682        674,328  

Sotheby’s, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27

       1,201        1,169,063  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25

       307        303,686  

Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25

       1,370        1,114,534  

Wand NewCo 3, Inc., 2020 Term Loan,
(1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26

                  1,225        1,212,714  

WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27

       629        615,440  
      

 

 

  
         6,901,258  
Diversified REITs — 0.1%                 

RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30

       422        421,326  
      

 

 

  
Diversified Telecommunication Services — 2.2%         

Altice Financing SA

       

2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d)

       434        424,982  

USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26

       522        512,291  

Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26

       3,070        3,065,087  

Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27

       349        307,376  
 

 

 

84  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Diversified Telecommunication Services (continued)         

Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26

   USD     676      $ 676,147  

Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27

       889        826,027  

Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27

       994        763,068  

Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28

       384        307,158  

Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26

       1,445        1,201,606  

Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29

       607        603,746  

Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27

                  2,342        1,832,764  
      

 

 

  
             10,520,252  
Electric Utilities — 0.2%                 

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25

       869        867,993  
      

 

 

  
Electrical Equipment — 0.1%                 

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d)

       625        607,686  
      

 

 

  
Electronic Equipment, Instruments & Components — 0.1%  

Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29

       607        604,548  
      

 

 

  
Energy Equipment & Services — 0.3%         

Lealand Finance Co. BV

       

2020 Make Whole Term Loan,
(3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24

       16        11,832  

2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(k)

       117        65,694  

Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28

       1,479        1,474,267  
      

 

 

  
         1,551,793  
Entertainment — 2.3%                 

AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26

       663        516,470  

Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29

       46        45,614  

Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30

       484        479,254  

City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28

       931        912,535  

Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28

       733        730,780  
Security       

Par

(000)

      Value  
Entertainment (continued)                 

Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30

   USD     609      $ 608,695  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24

                  2,184        2,022,814  

Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26

       1,067        1,063,688  

Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28

       716        711,979  

SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25

       523        521,658  

UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26

       589        588,204  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan,
(1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25

       1,587        1,581,226  

WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28

       1,432        1,426,600  
      

 

 

  
             11,209,517  
Financial Services — 2.2%                 

ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28

       366        364,138  

Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28

       856        758,572  

Belron Finance U.S. LLC

       

2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25

       178        177,555  

2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26

       405        404,623  

2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28

       918        916,018  

Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29

       220        219,864  

Deerfield Dakota Holding LLC

       

2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27

       2,788        2,700,245  

2021 USD 2nd Lien Term Loan,
(3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28

       792        733,590  

LBM Acquisition LLC, Term Loan B,
(3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27

       390        373,632  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25

       1,044        1,038,906  

Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26

       1,090        1,071,836  

Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(n)

       512        316,885  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security

       

Par

(000)

     

Value

  

Financial Services (continued)

                 

UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29

  

USD

  

 

341

 

   

$

         333,741

 

WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28

    

 

427

 

   

 

426,433

 

White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27

    

 

776

 

   

 

767,616

 

      

 

 

  
      

 

10,603,654

 

Food Products — 1.9%

                 

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25

    

 

647

 

   

 

593,111

 

B&G Foods, Inc., 2019 Term Loan B4, (1-mo. LIBOR US + 2.50%), 7.65%, 10/10/26

    

 

134

 

   

 

130,563

 

Chobani LLC, 2020 Term Loan B,
(1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27

    

 

1,884

 

   

 

1,871,725

 

Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27

    

 

           1,982

 

   

 

1,968,972

 

H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25

    

 

234

 

   

 

204,971

 

Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30

    

 

744

 

   

 

743,540

 

Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29

    

 

426

 

   

 

425,557

 

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28

    

 

1,097

 

   

 

1,082,886

 

Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28

    

 

1,118

 

   

 

1,079,542

 

UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28

    

 

1,377

 

   

 

1,373,073

 

      

 

 

  
      

 

9,473,940

 

Ground Transportation — 0.3%

                 

AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28

    

 

272

 

   

 

263,035

 

Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27

    

 

286

 

   

 

281,813

 

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.76%, 08/04/25

    

 

368

 

   

 

329,193

 

Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30

    

 

816

 

   

 

817,296

 

      

 

 

  
      

 

1,691,337

 

Health Care Equipment & Supplies — 1.0%

         

Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28.

    

 

1,583

 

   

 

1,544,820

 

Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26

    

 

437

 

   

 

400,451

 

Security

       

Par

(000)

    

Value

  

Health Care Equipment & Supplies (continued)

  

Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28

  

USD

  

 

282

 

  

$

         281,887

 

Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28

    

 

2,603

 

  

 

2,571,624

 

     

 

 

  
     

 

4,798,782

 

Health Care Providers & Services — 1.2%

        

CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28

    

 

462

 

  

 

459,120

 

CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27

    

 

766

 

  

 

762,679

 

Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28

    

 

           1,230

 

  

 

1,223,623

 

Envision Healthcare Corp.

      

2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27

    

 

—

(o) 

  

 

218

 

2022 Second Out Term Loan,
(3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27

    

 

607

 

  

 

128,385

 

EyeCare Partners LLC

      

2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27

    

 

850

 

  

 

623,004

 

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29

    

 

176

 

  

 

116,831

 

2021 Incremental Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28

    

 

194

 

  

 

138,331

 

MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26

    

 

816

 

  

 

755,069

 

Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29

    

 

247

 

  

 

218,286

 

Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28

    

 

610

 

  

 

609,037

 

PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25

    

 

21

 

  

 

20,003

 

Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28

    

 

617

 

  

 

578,149

 

Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26

    

 

279

 

  

 

278,911

 

Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29

    

 

126

 

  

 

125,539

 

     

 

 

  
     

 

6,037,185

 

Health Care Technology — 1.0%

                

AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29

    

 

1,593

 

  

 

1,531,938

 

 

 

 

86  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Health Care Technology (continued)  

Polaris Newco LLC, USD Term Loan B,
(3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28

   USD     2,189      $       2,010,469  

Verscend Holding Corp., 2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25

       1,255        1,252,980  
      

 

 

  
         4,795,387  
Hotels, Restaurants & Leisure — 3.4%  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26

                     868        838,701  

Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d)

       78        77,805  

Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28

       297        290,144  

Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26

       1,368        1,357,569  

Caesars Entertainment, Inc., Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30

       590        588,986  

Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25

       1,093        1,091,024  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28

       756        748,845  

Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29

       2,168        2,137,072  

Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28

       619        619,741  

Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29

       1,357        1,358,361  

Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.94%, 06/22/26

       1,057        1,055,756  

IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27

       1,403        1,391,940  

Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28

       493        340,062  

Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29

       612        609,605  

Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29

       225        224,049  

Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29

       611        609,533  

SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28

       304        302,224  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26

       557        556,602  
Security       

Par

(000)

      Value  
Hotels, Restaurants & Leisure (continued)  

Station Casinos LLC, 2020 Term Loan B,
(1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27

   USD     1,023      $ 1,018,516  

Whatabrands LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR + 3.25%), 8.47%, 08/03/28

                  1,241           1,231,769  

Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30

       199                 199,104  
      

 

 

  
         16,647,408  
Household Durables — 0.8%  

ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28

       689        577,690  

Hunter Douglas, Inc., USD Term Loan B1,
(3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29

       1,398        1,322,726  

Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(n)

       185        185,299  

Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28

       449        361,954  

Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27

       1,430        1,251,713  
      

 

 

  
         3,699,382  
Household Products — 0.3%  

Diamond BC BV, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28

       1,361        1,359,207  
      

 

 

  
Independent Power and Renewable Electricity Producers — 0.2%  

Calpine Corp., 2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26

       283        282,332  

Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27

       632        627,488  
      

 

 

  
         909,820  
Industrial Conglomerates — 0.0%  

Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28

       259        191,941  
      

 

 

  
Insurance — 2.0%  

Alliant Holdings Intermediate LLC

       

2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27

       2,447        2,430,049  

2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27

       1,289        1,280,278  

AmWINS Group, Inc.

       

2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28

       1,109        1,097,707  

2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28

       224        223,083  

AssuredPartners, Inc.

       

2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27

       1,083        1,073,128  

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27

       281        278,105  

HUB International Ltd.

       

2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29

       304        304,001  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Insurance (continued)  

HUB International Ltd. (continued)

       

2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30

   USD     1,473      $ 1,475,397  

Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27

                     647        645,269  

USI, Inc.

       

2019 Incremental Term Loan B,
(3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26

       82                   81,913  

2022 Incremental Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29

       1,088        1,085,042  
      

 

 

  
         9,973,972  
Interactive Media & Services — 0.8%  

Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28

       207        203,644  

Adevinta ASA, USD Term Loan B,
(3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28

       562        561,757  

Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26

       989        987,467  

Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26

       1,130        1,127,195  

GoodRx, Inc., 1st Lien Term Loan,
(1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25

       307        306,794  

Grab Holdings, Inc., Term Loan B,
(1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26

       483        481,891  
      

 

 

  
         3,668,748  
IT Services — 1.5%  

Asurion LLC

       

2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26

       747        718,415  

2021 2nd Lien Term Loan B3,
(1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28

       364        308,719  

2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29

       646        540,218  

2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28

       469        445,434  

Epicor Software Corp.

       

2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28

       296        295,322  

2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 07/30/27

       285        281,696  

Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27

       1,312        1,290,670  

Go Daddy Operating Co. LLC

       

2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27

       819        817,100  

2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29

       652        652,605  
Security       

Par

(000)

      Value  
IT Services (continued)  

Sedgwick Claims Management Services, Inc., 2023 Term Loan B,
(1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28

   USD     1,767      $     1,754,530  

Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29

                     261        249,756  
      

 

 

  
               7,354,465  
Leisure Products — 0.2%  

Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d)

       296        281,732  

Peloton Interactive, Inc., Term Loan,
(6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27

       308        307,068  

Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30

       529        527,792  
      

 

 

  
         1,116,592  
Life Sciences Tools & Services — 1.4%  

Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27

       1,031        1,030,007  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28

       1,032        1,007,904  

Curia Global, Inc., 2021 Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26

       93        79,659  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27

       631        605,743  

Fortrea Holdings, Inc., Term Loan B, 06/12/30(n)

       212        211,894  

ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

       1,044        1,043,332  

Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27

       959        958,156  

Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28

       1,507        1,493,226  

PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28

       260        259,947  
      

 

 

  
         6,689,868  
Machinery — 2.8%  

Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d)

       921        914,274  

Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29

       164        163,823  

Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28

       148        147,016  

Filtration Group Corp.

       

2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28

       490        487,993  
 

 

 

88  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Machinery (continued)  

Filtration Group Corp. (continued)

       

2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28

   USD     1,104      $       1,102,791  

Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27

                     600        599,224  

Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27

       1,202              1,194,143  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27

       562        560,610  

Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28

       1,826        1,786,650  

Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29

       1,065        1,060,003  

SPX Flow, Inc., 2022 Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29

       1,015        1,001,201  

Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25

       1,804        1,757,631  

Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27

       1,401        1,389,654  

Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27

       1,223        1,217,264  

Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28

       439        438,123  
      

 

 

  
         13,820,400  
Media — 1.8%  

AVSC Holding Corp.

       

2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25

       652        632,778  

2020 Term Loan B3, 10/15/26(n)

       363        376,949  

Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28

       404        395,281  

Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25

       601        600,419  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. LIBOR US + 3.50%), 8.81%, 08/21/26

       1,603        1,527,805  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28

       668        662,501  

CSC Holdings LLC

       

2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25

       471        453,158  

2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27

       861        750,094  

DirecTV Financing LLC, Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27

       1,144        1,117,172  

E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28

       300        290,568  
Security       

Par

(000)

      Value  
Media (continued)                 

Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23

   USD               368      $       284,870  

Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d)

       798        600,450  

Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d)

                     426                 424,557  

Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28

       510        501,621  
      

 

 

  
         8,618,223  
Oil, Gas & Consumable Fuels — 0.6%  

Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28

       1,776        1,737,706  

M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29

       102        101,270  

Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28

       892        883,436  
      

 

 

  
         2,722,412  
Passenger Airlines — 1.7%  

AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28

       1,502        1,532,447  

Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28

       1,166        1,164,750  

American Airlines, Inc.

       

2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27

       1,572        1,530,499  

2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28

       1,160        1,137,600  

Kestrel Bidco, Inc., Term Loan B,
(3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26

       475        459,586  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27

       1,233        1,279,317  

United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28

       1,321        1,318,498  
      

 

 

  
         8,422,697  
Personal Care Products — 0.8%  

Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26

       3,907        3,880,718  
      

 

 

  
Pharmaceuticals — 1.0%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25

       671        645,188  

Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28

       410        397,958  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Pharmaceuticals (continued)  

Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27

   USD     578      $       434,817  

Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27

       1,088        1,067,384  

Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28

       1,072        1,070,190  

Organon & Co., USD Term Loan,
(1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28

                     826                 824,134  

Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d)

       625        598,705  
      

 

 

  
         5,038,376  
Professional Services — 2.3%                 

AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28

       764        761,805  

CoreLogic, Inc., Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28

       1,996        1,799,610  

Dun & Bradstreet Corp.

       

2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29

       302        301,042  

Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26

       1,947        1,947,138  

Element Materials Technology Group U.S. Holdings, Inc.

       

2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       308        301,192  

2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29

       668        652,582  

Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28

       942        934,135  

Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d)

       1,081        1,013,280  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25

       299        298,770  

Trans Union LLC

       

2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26

       748        745,002  

2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28

       1,296        1,291,813  

VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27

       1,059        1,037,582  
      

 

 

  
         11,083,951  
Security       

Par

(000)

      Value  
Real Estate Management & Development — 0.3%  

Cushman & Wakefield U.S. Borrower LLC

       

2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25

   USD               380      $       376,423  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d)

       979        946,590  
      

 

 

  
         1,323,013  
Semiconductors & Semiconductor Equipment — 0.2%  

MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29

                     755                 755,046  

Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28

       252        247,873  
      

 

 

  
         1,002,919  
Software — 5.6%                 

Applied Systems, Inc.

       

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27

       90        89,944  

2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26

       245        245,145  

Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29

       331        319,158  

Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25

       746        739,406  

CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28

       723        720,279  

Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29

       1,201        1,196,810  

Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29

       2,563        2,393,245  

Cloudera, Inc.

       

2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d)

       457        411,300  

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28

       378        368,320  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28

       513        477,878  

Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28

       186        169,106  

E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28

       112        111,350  

Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27

       1,550        1,544,196  
 

 

 

90  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security

       

Par

(000)

     

Value

  

Software (continued)

                 

Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28

  

USD

  

 

1,227

 

   

$

    1,222,756

 

Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28

    

 

308

 

   

 

307,909

 

Magenta Buyer LLC

       

2021 USD 1st Lien Term Loan,
(3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28

    

 

1,012

 

   

 

758,723

 

2021 USD 2nd Lien Term Loan,
(3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29

    

 

              936

 

   

 

         603,550

 

McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29

    

 

1,626

 

   

 

1,551,746

 

MH Sub I LLC

       

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29

    

 

1,005

 

   

 

870,882

 

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28

    

 

3,346

 

   

 

3,205,171

 

NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29

    

 

764

 

   

 

759,271

 

Proofpoint, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28

    

 

1,751

 

   

 

1,711,910

 

RealPage, Inc.

       

1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28

    

 

3,436

 

   

 

3,357,436

 

2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29

    

 

480

 

   

 

463,598

 

Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25

    

 

604

 

   

 

603,141

 

Sophia LP, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27

    

 

743

 

   

 

733,768

 

SS&C Technologies, Inc.

       

2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25

    

 

496

 

   

 

495,012

 

2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25

    

 

442

 

   

 

441,850

 

UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27

    

 

453

 

   

 

438,229

 

Ultimate Software Group, Inc.

       

2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.27%, 05/04/26

    

 

58

 

   

 

56,710

 

Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26

    

 

763

 

   

 

752,387

 

Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28

    

 

134

 

   

 

132,152

 

ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30

    

 

88

 

   

 

88,389

 

      

 

 

  
      

 

27,340,727

 

Specialty Retail — 1.4%

  

CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28

  

GBP

  

 

1,000

 

   

 

1,226,667

 

Security

       

Par

(000)

     

Value

  

Specialty Retail (continued)

  

EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25

  

USD

  

 

1,107

 

   

$

    1,086,377

 

EG Group Ltd., 2021 Term Loan,
(1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26

    

 

          232

 

   

 

230,888

 

Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28

    

 

1,261

 

   

 

1,248,647

 

PetSmart, Inc., 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28

    

 

1,610

 

   

 

1,604,187

 

Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28

    

 

              755

 

   

 

         752,978

 

Restoration Hardware, Inc.

       

2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28

    

 

361

 

   

 

348,174

 

Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 10/20/28

    

 

313

 

   

 

301,960

 

RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28

    

 

97

 

   

 

89,699

 

      

 

 

  
      

 

6,889,577

 

Technology Hardware, Storage & Peripherals — 0.0%

  

Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26

    

 

277

 

   

 

186,674

 

      

 

 

  

Textiles, Apparel & Luxury Goods — 0.1%

  

Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29

    

 

432

 

   

 

432,519

 

Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d)

    

 

238

 

   

 

238,999

 

      

 

 

  
      

 

671,518

 

Trading Companies & Distributors — 1.1%

  

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28

    

 

609

 

   

 

607,189

 

Core & Main LP, 2021 Term Loan B,
(1-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28

    

 

1,801

 

   

 

1,788,739

 

SRS Distribution, Inc.

       

2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28

    

 

1,810

 

   

 

1,755,564

 

2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28

    

 

405

 

   

 

394,407

 

TMK Hawk Parent Corp.(d)

       

2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24

    

 

163

 

   

 

165,826

 

2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24

    

 

1,297

 

   

 

786,743

 

      

 

 

  
      

 

5,498,468

 

Transportation Infrastructure — 0.3%

  

Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28

    

 

358

 

   

 

355,862

 

 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Transportation Infrastructure (continued)  

KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28

   USD     242      $       239,974  

OLA Netherlands BV, Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26

                     628                 587,343  

Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30

       161        150,560  
      

 

 

  
         1,333,739  
Wireless Telecommunication Services — 0.4%  

Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24

       419        383,717  

GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28

       368        367,146  

SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25

       1,047        1,046,494  
      

 

 

  
         1,797,357  
      

 

 

  

Total Floating Rate Loan Interests — 57.3%
(Cost: $285,076,466)

 

      279,038,923  
      

 

 

  

Foreign Agency Obligations

 

Bahrain — 0.1%  

Bahrain Government International Bond, 6.75%, 09/20/29(e)

       200        197,962  
      

 

 

  
Chile — 0.0%  

Chile Government International Bond, 4.34%, 03/07/42(h)

       200        177,440  
      

 

 

  
Colombia — 0.1%  

Colombia Government International Bond(h)

       

3.13%, 04/15/31

       430        324,766  

8.00%, 04/20/33

       200        203,350  
      

 

 

  
         528,116  
Dominican Republic — 0.1%  

Dominican Republic International Bond(b)

       

4.50%, 01/30/30

       200        174,796  

7.05%, 02/03/31

       150        149,418  

4.88%, 09/23/32(h)

       300        255,303  
      

 

 

  
         579,517  
Egypt — 0.0%  

Egypt Government International Bond, 7.50%, 02/16/61(b)

       200        99,694  
      

 

 

  
Guatemala — 0.0%                 

Guatemala Government Bond, 4.65%, 10/07/41(b)

       200        159,654  
      

 

 

  
Ivory Coast — 0.1%  

Ivory Coast Government International Bond, 6.38%, 03/03/28(e)(h)

       200        192,302  
      

 

 

  
Morocco — 0.0%  

Morocco Government International Bond, 2.38%, 12/15/27(b)

       200        174,420  
      

 

 

  
Security       

Par

(000)

      Value  
Nigeria — 0.1%  

Nigeria Government International Bond, 8.38%, 03/24/29(b)

   USD     200      $       179,616  
      

 

 

  
Oman — 0.1%  

Oman Government International Bond, 6.50%, 03/08/47(e)

                     308                 286,193  
      

 

 

  
Paraguay — 0.0%  

Paraguay Government International Bond, 5.40%, 03/30/50(e)

       200        171,318  
      

 

 

  
Romania — 0.1%  

Romanian Government International Bond

       

5.25%, 11/25/27(b)

       122        118,954  

2.50%, 02/08/30(e)

   EUR     138        123,835  

2.12%, 07/16/31(e)

       156        128,561  
      

 

 

  
         371,350  
South Africa — 0.1%  

Republic of South Africa Government International Bond

       

4.85%, 09/30/29

   USD     200        175,668  

5.00%, 10/12/46

       230        152,557  
      

 

 

  
         328,225  
Sri Lanka — 0.0%  

Sri Lanka Government International Bond(e)(f)(i)

       

6.85%, 03/14/24(h)

       200        87,568  

6.35%, 06/28/24

       200        88,352  
      

 

 

  
         175,920  
Ukraine — 0.0%  

Ukraine Government International Bond(f)(i)

       

9.75%, 11/01/30(e)

       236        58,174  

7.25%, 03/15/35(b)

       200        45,754  
      

 

 

  
         103,928  
      

 

 

  

Total Foreign Agency Obligations — 0.8%
(Cost: $4,527,533)

 

      3,725,655  
      

 

 

  
          Shares          

Investment Companies

 

Fixed Income Funds — 1.0%  

Invesco Senior Loan ETF

           230,501            4,849,741  
      

 

 

  

Total Investment Companies — 1.0%
(Cost: $4,877,550)

 

      4,849,741  
      

 

 

  
         

Par

(000)

          

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 2.2%  

Alternative Loan Trust

       

Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

   USD               995              571,953  

Series 2006-J8, Class A5, 6.00%, 02/25/37

       1,762        796,078  

Series 2007-19, Class 1A1, 6.00%, 08/25/37

       545        279,576  
 

 

 

92  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Collateralized Mortgage Obligations (continued)  

CHL Mortgage Pass-Through Trust

       

Series 2005-17, Class 1A6, 5.50%, 09/25/35

   USD     94      $         85,231  

Series 2006-17, Class A2, 6.00%, 12/25/36

                     612                 261,634  

Series 2007-HY5, Class 3A1, 4.03%, 09/25/37(a) .

       243        213,265  

COLT Mortgage Loan Trust(b)(c)

       

Series 2022-7, Class A1, 5.16%, 04/25/67

       2,211        2,151,785  

Series 2022-9, Class A1, 6.79%, 12/25/67

       291        291,107  

Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66(a)(b)

       212        167,715  

GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b)

       1,462        1,381,948  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.00%, 10/25/35(a)

       307        171,838  

JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b)

       390        364,178  

OBX Trust, Series 2022-NQM9, Class A1A, 6.45%, 09/25/62(b)(c)

       94        93,743  

Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b)(c)

       587        553,629  

Verus Securitization Trust(b)(c)

       

Series 2022-3, Class A1, 4.13%, 02/25/67

       1,439        1,314,304  

Series 2022-7, Class A1, 5.15%, 07/25/67

       1,703        1,637,941  

Series 2022-INV2, Class A1, 6.79%, 10/25/67

       442        442,023  
      

 

 

  
         10,777,948  
Commercial Mortgage-Backed Securities(b) — 0.9%  

BX Commercial Mortgage Trust(a)

       

Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.18%, 10/15/36

       1,096        1,089,350  

Series 2021-CIP, Class A, (1-mo. LIBOR US + 0.92%), 6.11%, 12/15/38

       1,000        974,912  

Series 2021-XL2, Class A, (1-mo. LIBOR US + 0.69%), 5.88%, 10/15/38

       454        440,702  

BX Trust, Series 2022 VAMF, Class A, (1-mo. Term SOFR + 0.85%), 6.00%, 01/15/39(a)

       1,200        1,166,135  

Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36

       800        794,589  
      

 

 

  
         4,465,688  
      

 

 

  

Total Non-Agency Mortgage-Backed Securities — 3.1%
(Cost: $16,311,226)

 

      15,243,636  
      

 

 

  
         

Benefical

Interest (000)

          

Other Interests

 

Capital Markets — 0.0%                 

Millennium Lender Claim Trust(d)(p)

   USD               918                  —  
      

 

 

  
Security       

Benefical

Interest (000)

     

Value

  
Industrial Conglomerates — 0.0%  

Millennium Corp. Claim(d)(p)

   USD                   861      $ —  
      

 

 

  

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

          —  
      

 

 

  
         

Par

(000)

          

Preferred Securities

 

Capital Trusts — 3.7%(a)  
Automobiles — 0.1%  

General Motors Financial Co., Inc., Series C, 5.70%(h)(j)

   USD               365                 320,413  
      

 

 

  
Banks(j) — 1.0%  

AIB Group PLC, 5.25%(e)

   EUR     200        203,574  

Bank of East Asia Ltd., 5.88%(e)

   USD     250        227,828  

Citigroup, Inc., Series P, 5.95%

       65        62,337  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46%

       35        34,792  

Industrial & Commercial Bank of China Ltd., 3.20%(e)

       200        186,154  

ING Groep NV, 3.88%(h)

       1,750        1,245,627  

Kasikornbank PCL, 5.28%(e)(h)

       200        188,092  

Nordea Bank Abp, 3.75%(b)(h)

       560        414,344  

PNC Financial Services Group, Inc.(h) 6.25%, 12/31/99

       289        259,450  

Series V, 6.20%

       290        270,323  

Rizal Commercial Banking Corp., 6.50%(e)

       200        176,712  

Wells Fargo & Co., Series S, 5.90%(h)

       1,500        1,479,375  
      

 

 

  
         4,748,608  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV, 6.14%(e)(j)

   EUR     200        210,329  
      

 

 

  
Electric Utilities — 0.4%                 

Edison International, Series B, 5.00%(j)

   USD     175        151,183  

EDP - Energias de Portugal SA, 5.94%, 04/23/83(e)

  EUR     100        108,030  

Electricite de France SA, 3.00%(e)(j)

       200        184,369  

NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(h)

   USD     1,750        1,618,702  
      

 

 

  
         2,062,284  
Financial Services(j) — 2.0%  

Bank of America Corp.(h)

       

Series DD, 6.30%

       215        214,409  

Series X, 6.25%

       1,929        1,904,888  

Series Z, 6.50%

       143        142,602  

Barclays PLC

       

4.38%(h)

       455        309,127  

8.00%

       210        187,614  

BNP Paribas SA, 6.88%(e)

   EUR     200        208,923  

Credit Agricole SA, 4.75%(b)(h)

   USD     200        159,000  

HSBC Holdings PLC, 6.00%(h)

       415        370,906  
 

 

 

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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security       

Par

(000)

      Value  
Financial Services (continued)  

JPMorgan Chase & Co., Series FF, 5.00%(h)

   USD     2,000       $     1,953,750  

Lloyds Banking Group PLC

       

8.00%

       265        242,117  

7.50%(h)

       1,250        1,168,938  

NatWest Group PLC, 6.00%(h)

       1,185        1,096,125  

Societe Generale SA, 5.38%(b)(h)

                  2,250              1,669,453  

Woori Bank, 4.25%(e)

       250        240,135  
      

 

 

  
         9,867,987  
Independent Power and Renewable Electricity Producers(b)(j) — 0.1%  

NRG Energy, Inc., 10.25%

       452        426,222  

Vistra Corp., 7.00%

       240        209,400  
      

 

 

  
         635,622  
Media — 0.0%  

SES SA, 2.88%(e)(j)

   EUR     100        92,343  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%  

Abertis Infraestructuras Finance BV, 3.25%(e)(j)

       100        97,821  
      

 

 

  
Wireless Telecommunication Services — 0.0%  

Vodafone Group PLC, 2.63%, 08/27/80(e)

       100        98,194  
      

 

 

  
         18,133,601  
      

 

 

  
          Shares          
Preferred Stocks — 1.3%  
Capital Markets(a)(j) — 1.3%  

Goldman Sachs Group, Inc., Series J, 5.50%

       140,000            3,571,400  

Morgan Stanley

       

Series F, 6.88%

       55,000        1,392,600  

Series K, 5.90%

       53,253        1,251,978  
      

 

 

  
         6,215,978  
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $136,229)(g)

           139,135        1,392  
      

 

 

  
         6,217,370  
      

 

 

  

Total Preferred Securities — 5.0%
(Cost: $27,083,574)

 

      24,350,971  
      

 

 

  
         

Par

(000)

          

U.S. Government Sponsored Agency Securities

 

Commercial Mortgage-Backed Securities — 0.1%

 

   

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K042, Class X1, 1.15%, 12/25/24(a)

   USD         31,670              386,122  
      

 

 

  

Mortgage-Backed Securities(q) — 5.5%

     

Uniform Mortgage-Backed Securities

       

3.50%, 07/13/53

       9,000        8,200,899  

5.00%, 07/13/53

       9,600        9,406,500  

5.50%, 07/13/53

       9,500        9,453,984  
      

 

 

  
         27,061,383  
      

 

 

  

Total U.S. Government Sponsored Agency Securities — 5.6%
(Cost: $27,501,297)

 

      27,447,505  
      

 

 

  
Security       

    

Shares

      Value  

Warrants

       
Consumer Discretionary — 0.0%             

Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(f)

       1,720       $ —  
      

 

 

  
Oil, Gas & Consumable Fuels — 0.0%             

California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(f)

                     345                     4,092  
      

 

 

  

Total Warrants — 0.0%
(Cost: $ — )

 

      4,092  
      

 

 

  

Total Investments — 151.6%
(Cost: $782,839,746)

 

      738,798,408  

Liabilities in Excess of Other Assets — (51.6)%

 

      (251,621,547 ) 
      

 

 

  
Net Assets — 100.0%               $  487,176,861  
      

 

 

  

 

(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) 

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(d) 

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

(e) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(f) 

Non-income producing security.

(g) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,392, representing less than 0.05% of its net assets as of period end, and an original cost of $136,229.

(h) 

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

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

Perpetual security with no stated maturity date.

(k) 

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.

(l) 

Convertible security.

(m) 

Zero-coupon bond.

(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) 

Rounds to less than 1,000.

(p) 

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

(q) 

Represents or includes a TBA transaction.

 

 

 

94  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

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.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/22		      Purchases
at Cost		      Proceeds
from Sales		      Net
Realized
Gain (Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Value at
06/30/23		      Shares
Held at
06/30/23		      Income      Capital Gain
Distributions
from
Underlying
Funds		  

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

    $   1,474,663      $ —        $ (1,474,663) (b)     $ —      $ —      $ —        —      $  59,588      $ —  
           

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

  (a) 

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

  (b) 

Represents net amount purchased (sold).

Reverse Repurchase Agreements

 

Counterparty     

 Interest

Rate

  

 

    
 Trade
Date		  
 		     
 Maturity   
Date(a)		  
 		      Face Value       

 Face Value
Including
Accrued Interest		  
 
 		    Type of Non-Cash Underlying
Collateral		     

 Remaining   
Contractual Maturity   
of the Agreements(a)		  
 
 

HSBC Securities (USA), Inc.

      5.25 %(b)      11/29/22        Open      $ 811,250      $ 833,723      Corporate Bonds      Open/Demand  

HSBC Securities (USA), Inc.

      5.25 (b)      12/28/22        Open        670,312        686,730      Corporate Bonds      Open/Demand  

HSBC Securities (USA), Inc.

      5.25 (b)      12/28/22        Open        900,000        922,044      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      4.75 (b)      12/30/22        Open        191,595        196,221      Corporate Bonds      Open/Demand  

HSBC Securities (USA), Inc.

      5.25 (b)      01/12/23        Open        479,400        490,327      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/17/23        Open        321,630        324,969      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.24 (b)      04/17/23        Open        468,022        472,823      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/17/23        Open        269,625        272,385      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/17/23        Open        227,500        229,829      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.25 (b)      04/17/23        Open        1,105,500        1,117,016      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      04/17/23        Open        499,356        504,714      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      04/17/23        Open        477,750        482,876      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.25 (b)      04/19/23        Open        453,750        458,287      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.25 (b)      04/19/23        Open        453,750        458,287      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.25 (b)      04/19/23        Open        825,750        834,007      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.30 (b)      04/19/23        Open        390,600        394,545      Capital Trusts      Open/Demand  

Barclays Bank PLC

      5.30 (b)      04/19/23        Open        443,125        447,601      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.30 (b)      04/19/23        Open        1,810,000        1,828,281      Capital Trusts      Open/Demand  

Barclays Bank PLC

      5.30 (b)      04/19/23        Open        1,211,875        1,224,115      Capital Trusts      Open/Demand  

Barclays Bank PLC

      5.35 (b)      04/19/23        Open        2,385,000        2,409,327      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.50 (b)      04/19/23        Open        1,050,000        1,061,025      Capital Trusts      Open/Demand  

Barclays Bank PLC

      5.50 (b)      04/19/23        Open        1,077,894        1,089,261      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.50 (b)      04/19/23        Open        315,563        318,876      Corporate Bonds      Open/Demand  

Barclays Bank PLC

      5.50 (b)      04/19/23        Open        893,194        902,572      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

      (1.75 )(b)      04/19/23        Open        248,775        247,904      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.25 (b)      04/19/23        Open        140,000        141,400      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        29,095        29,389      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        199,681        201,698      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        135,850        137,222      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        286,869        289,766      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        564,800        570,504      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.30 (b)      04/19/23        Open        782,325        790,226      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.45 (b)      04/19/23        Open        386,000        390,014      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.45 (b)      04/19/23        Open        292,230        295,269      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        294,058        297,145      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        1,406,497        1,421,266      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        385,447        389,495      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        563,622        569,541      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        775,149        783,288      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        1,009,917        1,020,522      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        502,567        507,844      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

   95

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

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.

      5.50 %(b)      04/19/23        Open      $ 304,395      $ 307,591      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        517,440        522,873      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      04/19/23        Open        343,865        347,476      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.07 (b)      04/19/23        Open        830,000        838,001      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.14 (b)      04/19/23        Open        981,250        990,847      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.20 (b)      04/19/23        Open        1,442,500        1,456,781      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.24 (b)      04/19/23        Open        92,040        92,959      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.24 (b)      04/19/23        Open        265,350        267,934      Capital Trusts      Open/Demand  

BNP Paribas SA

      5.25 (b)      04/19/23        Open        1,252,125        1,264,321      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.31 (b)      04/19/23        Open        511,231        516,405      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.40 (b)      04/19/23        Open        626,580        633,034      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)      04/19/23        Open        349,777        353,401      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)      04/19/23        Open        348,365        351,974      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/19/23        Open        168,750        170,505      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/19/23        Open        452,760        457,469      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/19/23        Open        252,350        254,974      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/19/23        Open        2,182,500        2,205,198      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/19/23        Open        455,756        460,496      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.48 (b)      04/19/23        Open        448,496        453,187      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.25 (b)      04/19/23        Open        661,250        667,862      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.27 (b)      04/19/23        Open        176,000        177,767      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.27 (b)      04/19/23        Open        331,500        334,828      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.27 (b)      04/19/23        Open        174,300        176,050      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.30 (b)      04/19/23        Open        454,195        458,782      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.32 (b)      04/19/23        Open        286,130        289,031      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.33 (b)      04/19/23        Open        372,427        376,211      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.34 (b)      04/19/23        Open        253,500        256,081      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.34 (b)      04/19/23        Open        361,387        365,066      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.34 (b)      04/19/23        Open        256,165        258,773      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.10 (b)      04/19/23        Open        752,917        760,221      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        896,250        905,177      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        656,851        663,393      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        1,458,750        1,473,279      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        289,294        292,175      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        546,159        551,598      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        255,000        257,540      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        116,149        117,306      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        191,499        193,406      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        191,648        193,556      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      04/19/23        Open        694,444        701,360      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.25 (b)      04/19/23        Open        162,256        163,878      Foreign Agency Obligations      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      04/19/23        Open        333,900        337,239      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      04/19/23        Open        154,275        155,818      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      04/19/23        Open        887,500        896,375      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      04/19/23        Open        270,688        273,394      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        1,438,585        1,453,057      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        1,372,612        1,386,421      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        213,850        216,001      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        598,000        604,016      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        2,801        2,829      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.28 (b)      04/19/23        Open        321,188        324,419      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.38 (b)      04/19/23        Open        354,134        357,767      Corporate Bonds      Open/Demand  

 

 

96  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     
 Interest
Rate		  
 		    
 Trade
Date		  
 		     
 Maturity   
Date(a)		  
 		      Face Value       

 Face Value
Including
Accrued Interest		  
 
 		    Type of Non-Cash Underlying
Collateral		     

 Remaining   

Contractual Maturity   

of the Agreements(a)

  

 

 

RBC Capital Markets, LLC

      5.38 %(b)      04/19/23        Open      $ 339,911      $ 343,399      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        498,482        503,617      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        513,585        518,875      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        285,525        288,466      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        193,965        195,963      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        415,471        419,751      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        274,050        276,873      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        195,625        197,640      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        356,310        359,980      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        437,100        441,602      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        469,665        474,503      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        466,665        471,472      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        312,570        315,789      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        99,814        100,842      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        245,745        248,276      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        387,500        391,491      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        317,106        320,372      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        303,500        306,626      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        254,806        257,431      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        269,798        272,576      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      04/19/23        Open        160,000        161,648      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.42 (b)      04/19/23        Open        310,853        314,067      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      04/19/23        Open        282,370        285,188      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.35 (b)      04/19/23        Open        147,169        148,670      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.42 (b)      04/19/23        Open        258,515        261,188      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.42 (b)      04/19/23        Open        294,120        297,161      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      04/28/23        Open        493,537        498,100      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.43 (b)      04/28/23        Open        1,155,787        1,166,431      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.20 (b)      05/01/23        Open        165,408        166,772      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.32 (b)      05/01/23        Open        921,531        929,318      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.34 (b)      05/01/23        Open        425,340        428,948      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/01/23        Open        245,745        247,785      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/01/23        Open        218,730        220,545      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.38 (b)      05/01/23        Open        236,570        238,593      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      05/01/23        Open        141,855        143,073      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      05/01/23        Open        850,314        857,612      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      05/01/23        Open        691,976        697,916      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.45 (b)      05/02/23        Open        284,606        287,032      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      05/03/23        Open        238,851        240,872      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      05/04/23        Open        176,175        177,612      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.12 (b)      05/05/23        Open        145,290        146,406      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      05/05/23        Open        1,008,330        1,016,497      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.05 (b)      05/10/23        Open        464,446        467,769      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)      05/10/23        Open        368,740        371,577      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/10/23        Open        118,384        119,261      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      05/10/23        Open        193,050        194,527      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)      05/10/23        Open        1,520,697        1,532,288      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)      05/10/23        Open        1,114,511        1,123,006      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)      05/10/23        Open        1,452,559        1,463,630      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      05/12/23        Open        115,159        115,971      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      05/17/23        Open        725,000        729,785      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.29 (b)      05/22/23        Open        1,740,922        1,751,155      Capital Trusts      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      05/22/23        Open        1,653,109        1,662,752      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      05/22/23        Open        198,338        199,492      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      05/22/23        Open        192,173        193,291      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      05/22/23        Open        224,485        225,792      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.42 (b)      05/22/23        Open        188,250        189,384      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)      05/23/23        Open        751,494        755,857      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)      05/25/23        Open        322,575        324,327      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

   97

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

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)

  

 

 

Credit Agricole Corporate and Investment Bank

      5.34 %(b)      05/25/23        Open      $ 292,539      $ 294,101      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.39 (b)      05/25/23        Open        234,825        236,091      Corporate Bonds      Open/Demand  

BNP Paribas SA

      4.25 (b)      05/30/23        Open        205,265        206,016      Corporate Bonds      Open/Demand  

BNP Paribas SA

      4.90 (b)      05/30/23        Open        162,525        163,211      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.05 (b)      05/30/23        Open        873,410        877,208      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.10 (b)      05/30/23        Open        931,250        935,340      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.20 (b)      05/30/23        Open        262,681        263,857      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.20 (b)      05/30/23        Open        570,500        573,055      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.25 (b)      05/30/23        Open        340,377        341,872      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.35 (b)      05/30/23        Open        145,438        146,108      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.40 (b)      05/30/23        Open        384,975        386,666      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)      05/30/23        Open        649,600        652,637      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)      05/30/23        Open        1,293,750        1,299,822      Capital Trusts      Open/Demand  

BNP Paribas SA

      5.45 (b)      05/30/23        Open        982,187        986,797      Capital Trusts      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.25 (b)      05/30/23        Open        850,860        854,707      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

      5.36 (b)      05/30/23        Open        854,352        858,296      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)      05/30/23        Open        407,550        409,410      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        269,100        270,312      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        621,719        624,519      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        222,500        223,502      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        156,413        157,117      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        323,500        324,957      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      05/30/23        Open        285,500        286,786      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      05/30/23        Open        754,861        758,274      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      05/30/23        Open        156,863        157,572      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      05/30/23        Open        269,306        270,524      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)      05/30/23        Open        412,500        414,365      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      05/30/23        Open        163,231        163,990      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.28 (b)      05/30/23        Open        184,500        185,339      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)      05/30/23        Open        541,500        544,009      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)      05/30/23        Open        502,275        504,602      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)      05/30/23        Open        489,137        491,412      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.45 (b)      05/30/23        Open        375,990        377,755      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.45 (b)      05/30/23        Open        442,200        444,275      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.45 (b)      05/30/23        Open        813,435        817,252      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      06/01/23        Open        299,250        300,511      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      06/01/23        Open        140,814        141,426      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.42 (b)      06/01/23        Open        124,740        125,285      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)      06/02/23        Open        342,805        344,092      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)      06/02/23        Open        198,400        199,145      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      0.00       06/06/23        07/19/23             380,625        380,625      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      3.25       06/06/23        07/19/23             369,076        369,876      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      3.90       06/06/23        07/19/23             136,800        137,156      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      4.75       06/06/23        07/19/23             1,893,750        1,899,747      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      4.90       06/06/23        07/19/23             486,019        487,606      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      4.90       06/06/23        07/19/23             750,885        753,338      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      4.95       06/06/23        07/19/23             201,960        202,626      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.00       06/06/23        07/19/23             361,972        363,179      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.00       06/06/23        07/19/23             297,510        298,502      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.05       06/06/23        07/19/23             241,313        242,125      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.08       06/06/23        07/19/23             393,750        395,083      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             130,500        130,944      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             1,157,389        1,161,324      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             181,560        182,177      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             474,375        475,988      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             457,444        458,999      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/06/23        07/19/23             1,195,090        1,199,153      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15       06/06/23        07/19/23             147,960        148,468      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15       06/06/23        07/19/23             93,130        93,450      Corporate Bonds      Up to 30 Days  

 

 

98  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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)

  

 

 

BofA Securities, Inc.

      5.15 %       06/06/23        07/19/23           $ 148,063      $ 148,571      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             337,500        338,659      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             128,678        129,119      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             489,047        490,727      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             230,108        230,898      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             292,793        293,798      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             193,125        193,788      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             141,250        141,735      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             122,351        122,771      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             814,714        817,511      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             421,740        423,188      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             651,435        653,672      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             146,319        146,821      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/06/23        07/19/23             129,150        129,593      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20        06/06/23        07/19/23             61,484        61,697      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20        06/06/23        07/19/23             276,925        277,885      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20        06/06/23        07/19/23             452,897        454,468      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             285,180        286,178      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             238,248        239,081      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             334,687        335,859      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             256,869        257,768      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             437,062        438,592      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             1,650,825        1,656,603      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             389,812        391,177      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             152,235        152,768      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             1,178,451        1,182,576      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             146,250        146,762      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             301,388        302,442      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             66,019        66,250      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             115,635        116,040      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             394,212        395,592      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             141,788        142,284      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/06/23        07/19/23             139,440        139,928      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.28        06/06/23        07/19/23             137,335        137,818      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.28        06/06/23        07/19/23             249,000        249,876      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             238,800        239,644      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             150,700        151,232      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             250,040        250,923      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             399,309        400,720      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             492,000        493,738      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             201,273        201,984      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             165,573        166,158      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/06/23        07/19/23             1,020,250        1,023,855      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             115,210        115,620      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             884,972        888,123      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             541,325        543,252      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             217,500        218,274      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             292,388        293,428      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             303,240        304,320      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             169,494        170,097      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/06/23        07/19/23             330,925        332,103      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35        06/06/23        07/19/23             492,429        494,185      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.40        06/06/23        07/19/23             682,830        685,288      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             289,000        290,050      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             486,750        488,519      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             500,425        502,243      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             98,238        98,594      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             508,587        510,435      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             106,718        107,105      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             131,091        131,568      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             138,000        138,501      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             284,525        285,559      Corporate Bonds      Up to 30 Days  

 

 

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

   99

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

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)		  
 
 

BofA Securities, Inc.

      5.45 %       06/06/23        07/19/23           $ 141,470      $ 141,984      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             160,800        161,384      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             129,775        130,247      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             499,625        501,440      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             292,000        293,061      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             142,578        143,096      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             336,600        337,823      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             321,535        322,703      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             743,750        746,452      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             90,034        90,361      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             382,007        383,395      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             317,200        318,352      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/06/23        07/19/23             192,750        193,450      Foreign Agency Obligations      Up to 30 Days  

BofA Securities, Inc.

      5.50        06/06/23        07/19/23             346,756        348,028      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.50        06/06/23        07/19/23             198,690        199,419      Corporate Bonds      Up to 30 Days  

Merrill Lynch International

      5.15        06/06/23        07/19/23             98,405        98,743      Corporate Bonds      Up to 30 Days  

Merrill Lynch International

      5.20        06/06/23        07/19/23             181,500        182,129      Foreign Agency Obligations      Up to 30 Days  

BNP Paribas SA

      5.20 (b)       06/07/23        Open        330,059        331,155      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)       06/07/23        Open        781,250        783,845      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)       06/07/23        Open        292,033        293,003      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/07/23        Open        205,188        205,873      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)       06/07/23        Open        2,464,300        2,472,755      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)       06/07/23        Open        491,597        493,293      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)       06/07/23        Open        430,125        431,609      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      5.00        06/08/23        07/19/23             157,750        158,232      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/08/23        07/19/23             529,505        531,204      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/08/23        07/19/23             725,254        727,581      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/08/23        07/19/23             403,750        405,045      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/08/23        07/19/23             492,949        494,545      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.34        06/08/23        07/19/23             328,280        329,351      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35        06/08/23        07/19/23             295,470        296,436      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35        06/08/23        07/19/23             235,943        236,714      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      2.00        06/08/23        07/21/23             380,625        381,090      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      4.25        06/08/23        07/21/23             192,225        192,724      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             132,446        132,863      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             251,561        252,353      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             359,016        360,146      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             225,908        226,618      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             293,220        294,143      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             109,650        109,995      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             482,827        484,347      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             596,250        598,127      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             41,375        41,505      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             153,239        153,721      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15        06/08/23        07/21/23             188,625        189,219      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.20        06/08/23        07/21/23             214,125        214,805      Capital Trusts      Up to 30 Days  

J.P. Morgan Securities LLC

      5.20        06/08/23        07/21/23             194,355        194,973      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.20        06/08/23        07/21/23             549,450        551,196      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.20        06/08/23        07/21/23             322,479        323,503      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.20        06/08/23        07/21/23             135,000        135,429      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             108,599        108,947      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             371,047        372,238      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             353,220        354,353      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             347,951        349,068      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             224,640        225,361      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25        06/08/23        07/21/23             252,243        253,052      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             548,437        550,247      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             973,350        976,562      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             202,875        203,544      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             258,825        259,679      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             735,430        737,857      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             436,000        437,439      Corporate Bonds      Up to 30 Days  

 

 

100  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     
 Interest
Rate		  
 		     
 Trade
Date		  
 		     
 Maturity    
Date(a) 		  
 		      Face Value       

 Face Value

Including

Accrued Interest

  

 

 

    Type of Non-Cash Underlying

Collateral

     

 Remaining   
Contractual Maturity   

of the Agreements(a)

  
 

 

J.P. Morgan Securities LLC

      5.40 %       06/08/23        07/21/23           $ 222,744      $ 223,479      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             183,438        184,043      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             304,000        305,003      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             446,489        447,962      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             462,875        464,402      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             171,300        171,865      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             430,025        431,444      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             518,300        520,010      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             334,688        335,792      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             379,312        380,564      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             238,560        239,347      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             560,000        561,848      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             338,125        339,241      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             209,148        209,838      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             265,545        266,421      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             147,689        148,176      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             245,875        246,686      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             488,565        490,177      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             382,075        383,336      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             468,750        470,297      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             554,400        556,229      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             244,000        244,805      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             225,420        226,164      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40        06/08/23        07/21/23             446,511        447,985      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.50 (b)       06/08/23        Open        503,089        504,780      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/08/23        Open        919,320        922,258      Corporate Bonds      Open/Demand  

Merrill Lynch International

      5.35        06/12/23        07/19/23             1,167,315        1,170,438      Corporate Bonds      Up to 30 Days  

RBC Capital Markets, LLC

      5.40 (b)       06/12/23        Open        235,856        236,493      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)       06/14/23        Open        517,545        518,787      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      5.25        06/15/23        07/19/23             374,687        375,507      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.45        06/15/23        07/19/23             648,369        649,841      Corporate Bonds      Up to 30 Days  

BNP Paribas SA

      5.19 (b)       06/15/23        Open        237,735        238,249      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.19 (b)       06/15/23        Open        212,381        212,841      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)       06/15/23        Open        1,186,474        1,189,044      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        246,269        246,813      Capital Trusts      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        924,401        926,443      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        307,625        308,304      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        648,375        649,807      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        435,240        436,201      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        542,969        544,168      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.30 (b)       06/15/23        Open        531,812        532,987      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.38 (b)       06/15/23        Open        819,500        821,337      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      3.00        06/16/23        07/19/23             408,870        409,245      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.00        06/16/23        07/19/23             71,890        72,000      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/16/23        07/19/23             596,732        597,672      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.15        06/16/23        07/19/23             315,555        316,052      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             38,505        38,567      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             169,873        170,145      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             104,186        104,353      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             178,459        178,745      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             122,795        122,992      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             288,585        289,048      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             399,031        399,671      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25        06/16/23        07/19/23             2,531,242        2,535,303      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             138,250        138,474      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             110,636        110,815      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             106,755        106,928      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             144,271        144,505      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             110,061        110,239      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             195,500        195,817      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             77,175        77,300      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             551,950        552,844      Corporate Bonds      Up to 30 Days  

 

 

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

   101

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

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)

  
 

 

BofA Securities, Inc.

      5.30 %       06/16/23        07/19/23           $ 164,315      $ 164,581      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             676,125        677,220      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             218,601        218,955      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             78,488        78,615      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30        06/16/23        07/19/23             159,750        160,009      Corporate Bonds      Up to 30 Days  

TD Securities (USA) LLC

      5.40 (b)       06/20/23        Open        533,444        534,244      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)       06/20/23        Open        392,947        393,537      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      (3.75 )       06/21/23        07/18/23             92,625        92,577      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      4.50        06/21/23        07/18/23             56,445        56,508      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      4.50        06/21/23        07/18/23             310,000        310,349      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.20        06/21/23        07/18/23             165,000        165,214      Capital Trusts      Up to 30 Days  

Barclays Capital, Inc.

      5.20        06/21/23        07/18/23             726,000        726,944      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             251,180        251,513      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             1,446,052        1,447,968      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             245,279        245,604      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             265,488        265,839      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             562,650        563,395      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             250,100        250,431      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             290,734        291,119      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             339,527        339,977      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             601,735        602,532      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.30        06/21/23        07/18/23             883,125        884,295      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.35        06/21/23        07/18/23             160,250        160,464      Corporate Bonds      Up to 30 Days  

Barclays Capital, Inc.

      5.25 (b)       06/21/23        Open        708,755        709,685      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.45 (b)       06/21/23        Open        72,765        72,864      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

      5.50 (b)       06/21/23        Open        408,292        408,854      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.14 (b)       06/21/23        Open        109,311        109,452      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.14 (b)       06/21/23        Open        280,033        280,392      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.23 (b)       06/21/23        Open        380,736        381,234      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.24 (b)       06/21/23        Open        273,075        273,433      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.40 (b)       06/21/23        Open        407,415        407,965      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.43 (b)       06/21/23        Open        59,221        59,302      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.45 (b)       06/21/23        Open        585,570        586,368      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.10 (b)       06/21/23        Open        840,756        841,828      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/21/23        Open        152,950        153,150      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/21/23        Open        213,519        213,798      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/21/23        Open        341,250        341,696      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/21/23        Open        272,219        272,575      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)       06/21/23        Open        190,193        190,441      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.32 (b)       06/21/23        Open        1,340,921        1,342,705      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)       06/21/23        Open        219,821        220,110      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)       06/21/23        Open        400,744        401,270      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)       06/21/23        Open        798,750        799,798      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.25 (b)       06/21/23        Open        352,537        353,000      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.38 (b)       06/21/23        Open        587,536        588,326      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        615,020        615,850      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        427,511        428,088      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        1,088,595        1,090,065      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        270,143        270,507      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        424,860        425,434      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        860,320        861,481      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/21/23        Open        184,800        185,049      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.39 (b)       06/21/23        Open        542,715        543,446      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.39 (b)       06/21/23        Open        600,231        601,040      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.40 (b)       06/21/23        Open        87,763        87,881      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.45 (b)       06/21/23        Open        506,920        507,611      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.16 (b)       06/22/23        Open        351,067        351,470      Corporate Bonds      Open/Demand  

BNP Paribas SA

      5.16 (b)       06/22/23        Open        388,040        388,485      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)       06/23/23        Open        1,127,200        1,128,503      Corporate Bonds      Open/Demand  

Goldman Sachs & Co. LLC

      5.20 (b)       06/23/23        Open        4,589,981        4,595,285      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)       06/23/23        Open        171,275        171,323      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)       06/23/23        Open        230,606        230,875      Corporate Bonds      Open/Demand  

 

 

102  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

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)

  
 

 

TD Securities (USA) LLC

      5.24 %(b)      06/23/23        Open      $ 334,588      $ 334,977      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        239,375        239,654      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        96,250        96,362      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        168,656        168,853      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        413,875        414,357      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        94,250        94,360      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        132,475        132,629      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        157,343        157,526      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.24 (b)      06/23/23        Open        167,888        168,083      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.23 (b)      06/26/23        Open        226,100        226,297      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      4.45       06/27/23        07/19/23             408,750        408,902      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.07       06/27/23        07/19/23             597,500        597,752      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.10       06/27/23        07/19/23             253,045        253,153      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35       06/27/23        07/19/23             469,500        469,709      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      4.25       06/27/23        07/21/23             107,250        107,288      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      4.25       06/27/23        07/21/23             132,250        132,297      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      4.75       06/27/23        07/21/23             156,750        156,812      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.05       06/27/23        07/21/23             163,750        163,819      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.05       06/27/23        07/21/23             196,875        196,958      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.15       06/27/23        07/21/23             154,421        154,487      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             290,250        290,377      Foreign Agency Obligations      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             153,500        153,567      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             241,875        241,981      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             160,750        160,820      Foreign Agency Obligations      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             155,750        155,818      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             155,952        156,020      Capital Trusts      Up to 30 Days  

J.P. Morgan Securities LLC

      5.25       06/27/23        07/21/23             147,500        147,565      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40       06/27/23        07/21/23             64,250        64,279      Foreign Agency Obligations      Up to 30 Days  

Nomura Securities International, Inc.

      5.23 (b)      06/27/23        Open        199,260        199,347      Corporate Bonds      Open/Demand  

BofA Securities, Inc.

      3.00       06/28/23        07/19/23             121,338        121,358      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      3.50       06/28/23        07/19/23             221,448        221,491      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20       06/28/23        07/19/23             454,984        455,115      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20       06/28/23        07/19/23             735,051        735,264      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             471,902        472,040      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             269,555        269,634      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             485,940        486,082      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             97,763        97,791      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             313,230        313,321      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             921,690        921,959      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             202,946        203,005      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             1,058,929        1,059,238      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             176,138        176,189      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             755,580        755,800      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             239,020        239,090      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             126,500        126,537      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        07/19/23             460,892        461,027      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30       06/28/23        07/19/23             1,110,000        1,110,327      Capital Trusts      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/28/23        Open             648,420        648,609      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20       06/29/23        07/19/23             934,780        935,050      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.20       06/29/23        07/19/23             434,730        434,793      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.25       06/29/23        07/19/23             335,887        335,985      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.28       06/29/23        07/19/23             259,170        259,208      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.28       06/29/23        07/19/23             805,057        805,294      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.30       06/29/23        07/19/23             1,422,900        1,419,487      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35       06/29/23        07/19/23             375,570        375,682      Corporate Bonds      Up to 30 Days  

BofA Securities, Inc.

      5.35       06/29/23        07/19/23             2,315,400        2,315,744      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40       06/29/23        07/21/23             515,456        515,611      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40       06/29/23        07/21/23             411,920        412,044      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40       06/29/23        07/21/23             294,158        294,246      Corporate Bonds      Up to 30 Days  

J.P. Morgan Securities LLC

      5.40       06/29/23        07/21/23             276,281        276,364      Corporate Bonds      Up to 30 Days  

Goldman Sachs & Co. LLC

      5.30 (b)      06/29/23        Open        940,940        941,217      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)      06/29/23        Open        573,495        573,581      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

   103

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

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) 

Nomura Securities International, Inc.

      5.37 %(b)      06/29/23        Open     $ 554,400      $ 554,483      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)      06/29/23        Open       731,670        731,779      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)      06/29/23        Open       760,197        760,311      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)      06/29/23        Open       740,155        740,265      Corporate Bonds      Open/Demand  

Nomura Securities International, Inc.

      5.37 (b)      06/29/23        Open       598,785        598,874      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.38 (b)      06/29/23        Open       762,005        762,233      Corporate Bonds      Open/Demand  

RBC Capital Markets, LLC

      5.40 (b)      06/29/23        Open       156,420        156,467      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.30 (b)      06/29/23        Open       1,936,065        1,936,635      Corporate Bonds      Open/Demand  

TD Securities (USA) LLC

      5.42 (b)      06/29/23        Open       842,380        842,634      Corporate Bonds      Open/Demand  
         

 

 

     

 

 

        
          $ 238,091,391      $ 239,262,253        
         

 

 

     

 

 

        

 

  (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 Long Treasury Note

      54        09/20/23      $ 6,401      $ (50,476 ) 

2-Year U.S. Treasury Note

      222        09/29/23        45,153        (625,381 ) 

5-Year U.S. Treasury Note

      1,042        09/29/23        111,641        (1,837,716 ) 
           

 

 

  
              (2,513,573 ) 
           

 

 

  

Short Contracts

            

10-Year Japanese Government Treasury Bonds

      16        09/12/23        16,472        (72,932 ) 

10-Year U.S. Treasury Note

      239        09/20/23        26,843        452,824  

U.S. Long Bond

      135        09/20/23        17,162        (65,724 ) 

Ultra U.S. Treasury Bond

      39        09/20/23        5,313        (45,569 ) 
           

 

 

  
              268,599  
           

 

 

  
            $ (2,244,974 ) 
           

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty    Settlement Date                           

Unrealized

Appreciation

(Depreciation)

  
USD     6,275,905        EUR      5,719,000     

BNP Paribas SA

      09/20/23         $ 11,468  
USD     899,827        EUR      820,000     

State Street Bank and Trust Co.

      09/20/23           1,622  
USD     698,848        GBP      545,000     

BNP Paribas SA

      09/20/23           6,551  
USD     1,057,821        GBP      825,000     

State Street Bank and Trust Co.

      09/20/23           9,849  
USD     180,471        JPY      25,170,000     

The Bank of New York Mellon

      09/20/23           3,945  
                     

 

 

  
                        33,435  
                     

 

 

  
USD     272,217        EUR      251,524     

Toronto-Dominion Bank

      09/14/23           (3,211 ) 
JPY     25,170,940        USD      178,551     

Toronto-Dominion Bank

      09/20/23           (2,019 ) 
USD     107,573        EUR      100,000     

Morgan Stanley & Co. International PLC

      09/20/23           (1,965 ) 
USD     120,659        GBP      96,000     

Bank of America N.A.

      09/20/23           (1,286 ) 
USD     122,830        GBP      97,000     

State Street Bank and Trust Co.

      09/20/23           (386 ) 
                     

 

 

  
                        (8,867 ) 
                     

 

 

  
                      $ 24,568  
                     

 

 

  

 

 

104  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

Reference Obligation/Index     

 Financing

Rate Paid

by the Fund

  

 

 

     
 Payment
Frequency		  
 		     
 Termination
Date		  
 		     
 Notional
Amount (000)		  
 		      Value       


 Upfront
Premium
Paid

(Received)

  
 
 

 

     

 Unrealized
Appreciation
(Depreciation)		  
 
 

CDX.NA.HY.40.V1

      5.00 %       Quarterly        06/20/28        USD       3,650      $ (108,536 )     $ 3,555      $ (112,091 ) 

CDX.NA.IG.40.V1

      1.00        Quarterly        06/20/28        USD     21,170        (324,363 )       (140,920 )       (183,443 ) 
              

 

 

     

 

 

     

 

 

  
               $ (432,899 )     $ (137,365 )     $ (295,534 ) 
              

 

 

     

 

 

     

 

 

  

Centrally Cleared Interest Rate Swaps

 

                                                                                

Upfront

Premium

        Unrealized  
Paid by the Fund          Received by the Fund      Effective        Termination        Notional               Paid        Appreciation  

 

       

 

                               
Rate    Frequency           Rate      Frequency      Date        Date        Amount (000)        Value      (Received)        (Depreciation)  

1-Day SOFR, 1.09%

    Annual        3.32%      Annual        N/A          11/28/42          USD        4,800        $ (114,096 )     $ 113        $ (114,209 ) 

1-Day SOFR, 1.09%

    Annual        3.31%      Annual        N/A          12/01/42          USD        1,600          (39,912 )       38          (39,950 ) 
                                     

 

 

     

 

 

       

 

 

  
                                      $ (154,008 )     $ 151        $ (154,159 ) 
                                     

 

 

     

 

 

       

 

 

  

OTC Credit Default Swaps — Sell Protection

 

  Reference Obligation/Index    

 Financing
Rate Received
by the Fund		  
 
 		    
 Payment
Frequency		  
 		   Counterparty    
 Termination
Date		  
 		    
 Credit
Rating		  
(a) 		    

 Notional

Amount (000)

  

(b) 

     Value      


 Upfront
Premium
Paid
(Received)		  
 
 
 		    

 Unrealized
Appreciation
(Depreciation)		  
 
 		             
        

Casino, Guichard-Perrachon S.A.

     5.00 %      Quarterly    

BNP Paribas SA

     12/20/23       CC     EUR 6     $ (6,042 )    $ (297 )    $ (5,745 )   
 

Thyssenkrupp AG

     1.00       Quarterly    

Bank of America N.A.

     12/20/23       BB     EUR 20       43       (196 )      239    
 

Virgin Media Finance PLC

     5.00       Quarterly    

JPMorgan Chase Bank N.A.

     12/20/25       B     EUR 10       557       720       (163 )   
 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly    

Bank of America N.A.

     06/20/26       BB-     EUR 15       185       (394 )      579    
 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly    

Bank of America N.A.

     12/20/26       BB-     EUR 20       (86 )      (617 )      531    
 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly    

Barclays Bank PLC

     12/20/26       BB-     EUR 10       (44 )      316       (360 )   
 

Jaguar Land Rover Automotive PLC

     5.00       Quarterly    

Credit Suisse International

     12/20/26       BB-     EUR 10       (43 )      325       (368 )   
 

K&S AG

     5.00       Quarterly    

JPMorgan Chase Bank N.A.

     12/20/26       BBB-     EUR 10       1,198       636       562    
 

CMA CGM SA

     5.00       Quarterly    

Credit Suisse International

     06/20/27       NR     EUR 30       2,901       1,112       1,789    
 

Ladbrokes Coral Group Ltd.

     1.00       Quarterly    

JPMorgan Chase Bank N.A.

     06/20/27       BB     EUR 10       (188 )      (898 )      710    
 

Ladbrokes Coral Group Ltd.

     1.00       Quarterly    

JPMorgan Chase Bank N.A.

     06/20/27       BB     EUR 40       (752 )      (5,728 )      4,976    
 

Adler Real Estate AG

     5.00       Quarterly    

Bank of America N.A.

     12/20/27       CCC+     EUR 7       (1,798 )      (1,525 )      (273 )   
 

Adler Real Estate AG

     5.00       Quarterly    

Barclays Bank PLC

     12/20/27       CCC+     EUR 4       (1,081 )      (902 )      (179 )   
 

Adler Real Estate AG

     5.00       Quarterly    

Barclays Bank PLC

     12/20/27       CCC+     EUR 12       (3,036 )      (2,532 )      (504 )   
 

Adler Real Estate AG

     5.00       Quarterly    

Citibank N.A.

     12/20/27       CCC+     EUR 4       (881 )      (755 )      (126 )   
 

Adler Real Estate AG

     5.00       Quarterly    

JPMorgan Chase Bank N.A.

     12/20/27       CCC+     EUR 8       (1,845 )      (1,572 )      (273 )   
       

Morgan Stanley & Co.

              
 

Adler Real Estate AG

     5.00       Quarterly    

International PLC

     12/20/27       CCC+     EUR 5       (1,337 )      (1,123 )      (214 )   
 

United Group B.V.

     5.00       Quarterly    

JPMorgan Chase Bank N.A.

     12/20/27       B     EUR 22       (2,163 )      (3,301 )      1,138    
 

Casino, Guichard-Perrachon S.A.

     5.00       Quarterly    

JPMorgan Chase Bank N.A.

     06/20/28       CC     EUR 6       (6,123 )      (4,527 )      (1,596 )   
       

Morgan Stanley & Co.

              
 

K&S AG

     5.00       Quarterly    

International PLC

     06/20/28       BBB-     EUR 10       1,352       1,058       294    
 

Ladbrokes Coral Group Ltd.

     1.00       Quarterly    

JPMorgan Chase Bank N.A.

     06/20/28       BB     EUR 9       (320 )      (620 )      300    
       

Morgan Stanley & Co.

              
 

CMBX.NA.15

     3.00       Monthly    

International PLC

     11/15/64       N/R     USD 2,318       (669,226 )      (432,373 )      (236,853 )   
               

 

 

    

 

 

    

 

 

    
                $ (688,729 )    $ (453,193 )    $ (235,536 )   
               

 

 

    

 

 

    

 

 

    

 

  (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.

 

 

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

   105

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

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

 

Description    Swap
Premiums
Paid		      Swap
Premiums
Received		      Unrealized
Appreciation		      Unrealized
Depreciation		  

Centrally Cleared Swaps(a)

    $ 3,706      $ (140,920 )     $ —      $ (449,693 ) 

OTC Swaps

      4,167        (457,360 )       11,118        (246,654 ) 

 

  (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)

    $ —      $ —      $ —      $ —      $ 452,824      $ —      $ 452,824  

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

      —        —        —        33,435        —        —        33,435  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        15,285        —        —        —        —        15,285  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 15,285      $ —      $ 33,435      $ 452,824      $ —      $ 501,544  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Liabilities — Derivative Financial Instruments

                     

Futures contracts

                     

Unrealized depreciation on futures contracts(a)

    $ —      $ —      $ —      $ —      $ 2,697,798      $ —      $ 2,697,798  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        8,867        —        —        8,867  

Swaps — centrally cleared

                     

Unrealized depreciation on centrally cleared swaps(a)

      —        295,534        —        —        154,159        —        449,693  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        704,014        —        —        —        —        704,014  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 999,548      $ —      $ 8,867      $ 2,851,957      $ —      $ 3,860,372  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 

For the period ended June 30, 2023, 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

    $ —      $ —      $ —      $ —      $ (3,738,095 )     $ —      $ (3,738,095 ) 

Forward foreign currency exchange contracts

      —        —        —        (102,021 )       —        —        (102,021 ) 

Swaps

      —        (690,680 )       —        —        2,662,652        —        1,971,972  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ (690,680 )     $ —      $ (102,021 )     $ (1,075,443 )     $ —      $ (1,868,144 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Change in Unrealized Appreciation (Depreciation) on:

                     

Futures contracts

    $ —      $ —      $ —      $ —      $ (3,038,412 )     $ —      $ (3,038,412 ) 

Forward foreign currency exchange contracts

      —        —        —        47,501        —        —        47,501  

Swaps

      —        88,979        —        —        (2,458,824 )       —        (2,369,845 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 88,979      $ —      $ 47,501      $ (5,497,236 )     $ —      $ (5,360,756 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

 

106  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Futures contracts:

   

Average notional value of contracts — long

    $ 239,197,460  

Average notional value of contracts — short

    $ 76,742,540  

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 9,723,873  

Average amounts sold — in USD

    $ 193,740  

Credit default swaps:

   

Average notional value — buy protection

    $ 24,460,000  

Average notional value — sell protection

    $ 2,628,500  

Interest rate swaps:

   

Average notional value — pays fixed rate

    $ — (a) 

Average notional value — receives fixed rate

    $ 6,400,000  

 

  (a) 

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

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets        Liabilities  

Derivative Financial Instruments

        

Futures contracts

    $ 85,603        $ 199,354  

Forward foreign currency exchange contracts

      33,435          8,867  

Swaps — centrally cleared

      —          23,590  

Swaps — OTC(a)

      15,285          704,014  
  

 

 

       

 

 

  

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

      134,323          935,825  
  

 

 

       

 

 

  

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

      (85,603 )         (222,944 ) 
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 48,720        $ 712,881  
  

 

 

       

 

 

  

 

  (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

  

 

(b)(c) 

Bank of America N.A.

    $ 1,349      $ (1,349 )     $ —      $ —      $ —  

Barclays Bank PLC

      316        (316 )       —        —        —  

BNP Paribas SA

      18,019        (6,042 )       —        —        11,977  

Credit Suisse International

      3,226        (368 )       —        —        2,858  

JPMorgan Chase Bank N.A.

      9,042        (9,042 )       —        —        —  

Morgan Stanley & Co. International PLC

      1,352        (1,352 )       —        —        —  

State Street Bank and Trust Co.

      11,471        (386 )       —        —        11,085  

The Bank of New York Mellon

      3,945        —        —        —        3,945  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 48,720      $ (18,855 )     $ —      $ —      $ 29,865  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

 

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

   107

Schedule of Investments (unaudited) (continued)

June 30, 2023

    

   

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

  

 

(d) 

     

 Net Amount

of Derivative

Liabilities

  

 

(b)(e) 

Bank of America N.A.

    $ 4,291      $ (1,349 )     $ —      $ —      $ 2,942  

Barclays Bank PLC

      4,477        (316 )       —        (4,161 )       —  

BNP Paribas SA

      6,042        (6,042 )       —        —        —  

Citibank N.A.

      881        —        —        —        881  

Credit Suisse International

      368        (368 )       —        —        —  

JPMorgan Chase Bank N.A.

      18,678        (9,042 )       —        —        9,636  

Morgan Stanley & Co. International PLC

      672,528        (1,352 )       —        (460,000 )       211,176  

State Street Bank and Trust Co.

      386        (386 )       —        —        —  

Toronto-Dominion Bank

      5,230        —        —        —        5,230  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ 712,881      $ (18,855 )     $ —      $ (464,161 )     $ 229,865  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

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

  (c) 

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

  (d) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

  (e)

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

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 financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments 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

    $           —      $   32,728,076      $      858,419      $   33,586,495  

Common Stocks

      —        172,652        5,467        178,119  

Corporate Bonds

            

Aerospace & Defense

      —        14,858,755        —        14,858,755  

Automobile Components

      —        6,329,468        —        6,329,468  

Automobiles

      —        7,076,700        —        7,076,700  

Banks

      —        2,901,002        —        2,901,002  

Beverages

      —        9,995,607        —        9,995,607  

Biotechnology

      —        98,632        —        98,632  

Broadline Retail

      —        114,487        —        114,487  

Building Materials

      —        5,490,969        —        5,490,969  

Building Products

      —        4,313,583        —        4,313,583  

Capital Markets

      —        6,014,970        —        6,014,970  

Chemicals

      —        7,950,940        —        7,950,940  

Commercial Services & Supplies

      —        7,492,895        —        7,492,895  

Communications Equipment

      —        2,250,760        —        2,250,760  

Construction Materials

      —        497,278        —        497,278  

Consumer Discretionary

      —        10,603,933        —        10,603,933  

Consumer Finance

      —        8,448,738        —        8,448,738  

Consumer Staples Distribution & Retail

      —        4,049,891        —        4,049,891  

Containers & Packaging

      —        2,666,621        —        2,666,621  

Diversified Consumer Services

      —        8,889,013        —        8,889,013  

Diversified REITs

      —        4,535,149        —        4,535,149  

Diversified Telecommunication Services

      —        9,520,476        —        9,520,476  

Electric Utilities

      —        3,906,961        —        3,906,961  

Electrical Equipment

      —        1,573,895        —        1,573,895  

Electronic Equipment, Instruments & Components

      —        1,454,094        —        1,454,094  

Energy Equipment & Services

      —        3,321,387        —        3,321,387  

Environmental, Maintenance & Security Service

      —        4,313,981        —        4,313,981  

Financial Services

      —        8,650,760        —        8,650,760  

Food Products

      —        3,348,592        —        3,348,592  

 

 

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Schedule of Investments (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

    

Fair Value Hierarchy as of Period End (continued)

 

      Level 1      Level 2      Level 3      Total  

Corporate Bonds (continued)

            

Gas Utilities

    $ —      $ 340,496      $ —      $ 340,496  

Ground Transportation

      —        1,914,079        —        1,914,079  

Health Care Equipment & Supplies

      —        1,185,020        —        1,185,020  

Health Care Providers & Services

      —        12,923,123        —        12,923,123  

Health Care Technology

      —        3,162,053        —        3,162,053  

Hotels, Restaurants & Leisure

      —        16,623,520        —        16,623,520  

Household Durables

      —        2,686,765        —        2,686,765  

Household Products

      —        176,605        —        176,605  

Independent Power and Renewable Electricity Producers

      —        3,486,357        —        3,486,357  

Industrial Conglomerates

      —        173,937        —        173,937  

Insurance

      —        9,685,208        —        9,685,208  

Interactive Media & Services

      —        838,253        —        838,253  

Internet Software & Services

      —        4,936,424        —        4,936,424  

IT Services

      —        4,515,445        —        4,515,445  

Leisure Products

      —        426,268        —        426,268  

Machinery

      —        5,118,693        —        5,118,693  

Marine Transportation

      —        164,929        —        164,929  

Media

      —        33,276,687        —        33,276,687  

Metals & Mining

      —        9,097,414        —        9,097,414  

Multi-Utilities

      —        1,147,609        —        1,147,609  

Offshore Drilling & Other Services

      —        2,109,853        —        2,109,853  

Oil, Gas & Consumable Fuels

      87,028        44,226,502        1,159,163        45,472,693  

Passenger Airlines

      —        6,367,212        —        6,367,212  

Pharmaceuticals

      —        5,131,530        —        5,131,530  

Real Estate

      —        90,042        —        90,042  

Real Estate Management & Development

      —        2,280,988        —        2,280,988  

Semiconductors & Semiconductor Equipment

      —        4,561,198        —        4,561,198  

Software

      —        11,811,011        —        11,811,011  

Specialized REITs

      —        1,078,201        —        1,078,201  

Specialty Retail

      —        1,224,040        —        1,224,040  

Technology Hardware, Storage & Peripherals

      —        1,233,020        —        1,233,020  

Textiles, Apparel & Luxury Goods

      —        645,493        —        645,493  

Transportation Infrastructure

      —        1,180,758        —        1,180,758  

Wireless Telecommunication Services

      —        4,638,810        —        4,638,810  

Floating Rate Loan Interests

      —        269,785,516        9,253,407        279,038,923  

Foreign Agency Obligations

      —        3,725,655        —        3,725,655  

Investment Companies

      4,849,741        —        —        4,849,741  

Non-Agency Mortgage-Backed Securities

      —        15,243,636        —        15,243,636  

Other Interests

      —        —        —        —  

Preferred Securities

            

Capital Trusts

      —        18,133,601        —        18,133,601  

Preferred Stocks

      6,215,978        —        —        6,215,978  

U.S. Government Sponsored Agency Securities

      —        27,447,505        —        27,447,505  

Warrants

      4,092        —        —        4,092  

Unfunded Floating Rate Loan Interests(a)

      —        19,186        —        19,186  

Liabilities

            

Unfunded Floating Rate Loan Interests(a)

      —        (3,278 )       —        (3,278 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 11,156,839      $ 716,379,629      $ 11,276,456        738,812,924  
  

 

 

     

 

 

     

 

 

     

 

 

  

Investments Valued at NAV(b)

               1,392  
           

 

 

  
            $ 738,814,316  
           

 

 

  

Derivative Financial Instruments(c)

            

Assets

            

Credit Contracts

    $ —      $ 11,118      $ —      $ 11,118  

Foreign Currency Exchange Contracts

      —        33,435        —        33,435  

Interest Rate Contracts

      452,824        —        —        452,824  

Liabilities

            

Credit Contracts

      —        (542,188 )       —        (542,188 ) 

 

 

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

   109

Schedule of Investments (unaudited) (continued)

June 30, 2023

   

BlackRock Limited Duration Income Trust (BLW)

 

    

Fair Value Hierarchy as of Period End (continued)

 

                    Level 1                  Level 2            Level 3                        Total  

Liabilities (continued)

            

Foreign Currency Exchange Contracts

    $ —      $ (8,867 )     $ —      $ (8,867 ) 

Interest Rate Contracts

      (2,697,798 )       (154,159 )       —        (2,851,957 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ (2,244,974 )     $ (660,661 )     $ —      $ (2,905,635 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $239,262,253 are categorized as Level 2 within the fair value hierarchy.

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

 

    

Asset-Backed

Securities

    

Common

Stocks

    

Corporate

Bonds

    

Floating

Rate Loan
Interests

    

Non-Agency

Mortgage-Backed
Securities

    

Other

Interests

     Total  

Assets

              

Opening balance, as of December 31, 2022

   $ 1,354,025     $ 6,098     $ 1,198,484     $ 3,710,331     $ 384,933     $ — (a)    $ 6,653,871  

Transfers into Level 3(b)

     —       —       —       5,046,841       —       —       5,046,841  

Transfers out of Level 3(c)

     (500,000 )      —       —       (735,661 )      (384,933 )      —       (1,620,594 ) 

Accrued discounts/premiums

     (16,047 )      —       —       94,522       —       —       78,475  

Net realized gain (loss)

     —       (100,300 )      —       (43,707 )      —       —       (144,007 ) 

Net change in unrealized appreciation (depreciation)(d)(e)

     20,441       100,056       (20,539 )      171,940       —       —       271,898  

Purchases

     —       —       —       2,684,080       —       —       2,684,080  

Sales

     —       (387 )      (18,782 )      (1,674,939 )      —       —       (1,694,108 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Closing balance, as of June 30, 2023

   $ 858,419     $ 5,467     $ 1,159,163     $ 9,253,407     $ —     $ — (a)    $ 11,276,456  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e)

   $ 20,441     $ —     $ (20,539 )    $ 145,597     $ —     $ —     $ 145,499  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Rounds to less than $1.

  (b) 

As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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 June 30, 2023 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.

 

 

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Statements of Assets and Liabilities (unaudited)

June 30, 2023

 

    

    DSU     FRA     BKT      BLW  

 

  

ASSETS

         

Investments, at value — unaffiliated(a)

   $ 632,043,847     $ 593,796,833     $ 426,051,401      $ 738,798,408  

Investments, at value — affiliated(b)

     1,501,400       5,254,900       6,098,856        —  

Cash

     1,976,150       1,051,332       —        41,855  

Cash pledged:

         

Collateral — reverse repurchase agreements

     —       —       390,000        1,468,704  

Collateral — OTC derivatives

     —       —       —        470,000  

Futures contracts

     —       —       862,000        1,238,470  

Centrally cleared swaps

     360,000       398,000       1,000        1,028,000  

Foreign currency, at value(c)

     —       35,192       —        —  

Receivables:

         

Investments sold

     3,901,335       3,718,150       5,159        2,875,423  

Reverse repurchase agreements

     —       —       —        6,890,640  

Dividends — unaffiliated

     —       —       —        43,103  

Dividends — affiliated

     1,765       62       15,951        7,243  

Interest — unaffiliated

     4,498,747       3,481,697       3,506,913        8,578,156  

Principal paydowns

     1,101       —       —        —  

Variation margin on futures contracts

     —       —       —        85,603  

Variation margin on centrally cleared swaps

     29,406       32,533       71        —  

Swap premiums paid

     1,181       —       —        4,167  

Unrealized appreciation on:

         

Forward foreign currency exchange contracts

     23,917       23,847       —        33,435  

OTC swaps

     1,758       —       —        11,118  

Unfunded floating rate loan interests

     —       —       —        19,186  

Deferred offering costs

     225,369       9,048       115,813        110,250  
 

 

 

    

 

 

    

 

 

     

 

 

  

Total assets

     644,565,976       607,801,594       437,047,164        761,703,761  
 

 

 

    

 

 

    

 

 

     

 

 

  

LIABILITIES

         

Foreign bank overdraft(d)

     5,570       —       —        14,033  

Due to broker

     673,000       —       —        —  

Cash received as collateral for OTC derivatives

     —       —       470,000        —  

Borrowed bonds, at value(e)

     —       —       754,268        —  

Reverse repurchase agreements, at value

     —       —       120,590,636        239,262,253  

Payables:

         

Investments purchased

     5,196,705       5,175,462       41,207,228        29,540,083  

Reverse repurchase agreements

     —       —       —        3,308,527  

Accounting services fees

     42,548       40,489       29,934        46,999  

Administration fees

     —       —       69,585        —  

Bank borrowings

     137,000,000       138,000,000       —        —  

Custodian fees

     22,130       11,659       6,430        30,680  

Income dividend distributions

     75,633       120,396       50,877        121,885  

Interest expense and fees

     727,919       727,768       1,198        —  

Investment advisory fees

     578,540       741,574       301,016        661,260  

Offering costs

     1,830       —       —        8,226  

Directors’ and Officer’s fees

     299,746       414       142,890        375,265  

Other accrued expenses

     64,635       6,437       20,104        63,721  

Principal payups

     —       —       1,643,439        63,051  

Professional fees

     58,487       66,817       44,697        64,228  

Transfer agent fees

     34,339       25,891       25,125        27,586  

Variation margin on futures contracts

     —       —       127,542        199,354  

Variation margin on centrally cleared swaps

     —       —       —        23,590  

Swap premiums received

     6,031       —       —        457,360  

Unrealized depreciation on:

         

Forward foreign currency exchange contracts

     3,670       —       —        8,867  

OTC swaps

     6,716       —       —        246,654  

Unfunded floating rate loan interests

     19,097       21,575       —        3,278  
 

 

 

    

 

 

    

 

 

     

 

 

  

Total liabilities

     144,816,596       144,938,482       165,484,969        274,526,900  
 

 

 

    

 

 

    

 

 

     

 

 

  
Commitments and contingent liabilities                         

NET ASSETS

   $ 499,749,380     $ 462,863,112     $ 271,562,195      $ 487,176,861  
 

 

 

    

 

 

    

 

 

     

 

 

  

 

 

F I N A N C I A L   S T A T E M E N T S

   111

 

Statements of Assets and Liabilities (unaudited) (continued)

June 30, 2023

 

    

    DSU     FRA     BKT     BLW  

 

  

NET ASSETS CONSIST OF

        

Paid-in capital(f)(g)(h)

   $ 652,300,917     $ 538,835,342     $ 442,919,350     $ 618,119,596  

Accumulated loss

     (152,551,537 )      (75,972,230 )      (171,357,155 )      (130,942,735 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 499,749,380     $ 462,863,112     $ 271,562,195     $ 487,176,861  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value(f)(g)(h)

   $ 10.72     $ 13.14     $ 12.74     $ 13.64  
 

 

 

    

 

 

    

 

 

    

 

 

  

(a) Investments, at cost — unaffiliated

   $ 675,465,379     $ 616,770,363     $ 475,634,069     $ 782,839,746  

(b) Investments, at cost — affiliated

   $ 1,518,400     $ 5,273,897     $ 6,098,856     $ —  

(c)  Foreign currency, at cost

   $ —     $ 35,062     $ —     $ —  

(d) Foreign bank overdraft, at cost

   $ 5,581     $ —     $ —     $ 13,235  

(e) Proceeds received from borrowed bonds

   $ —     $ —     $ 842,347     $ —  

(f)  Shares outstanding

     46,610,312       35,232,197       21,307,672       35,711,253  

(g) Shares authorized

     400 million       200 million       200 million       Unlimited  

(h) Par value

   $ 0.10     $ 0.10     $ 0.010     $ 0.001  

See notes to financial statements.

 

 

112  

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Statements of Operations (unaudited) 

Six Months Ended June 30, 2023

 

    

    DSU     FRA     BKT     BLW  

 

  

INVESTMENT INCOME

        

Dividends — unaffiliated

   $ 47,433     $ 56,919     $ —     $ 399,102  

Dividends — affiliated

     59,951       135,087       141,813       59,588  

Interest — unaffiliated

     27,684,364       26,980,800       7,799,514       26,593,166  

Other income — unaffiliated

     267,638       374,239       —       241,095  

Foreign taxes withheld

     (4,883 )      —       —       (5,185 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

     28,054,503       27,547,045       7,941,327       27,287,766  
 

 

 

    

 

 

    

 

 

    

 

 

  

EXPENSES

        

Investment advisory

     1,714,645       2,214,861       908,113       1,997,948  

Professional

     59,846       47,119       36,984       55,148  

Accounting services

     48,131       46,095       33,088       53,778  

Transfer agent

     38,725       26,425       38,490       36,480  

Directors and Officer

     25,142       12,696       14,145       29,164  

Custodian

     24,462       10,478       9,177       32,445  

Registration

     7,872       5,953       16,890       6,036  

Printing and postage

     1,501       7,277       4,518       4,467  

Administration

     —       —       209,565       —  

Miscellaneous

     25,391       8,735       17,080       51,610  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses excluding interest expense

     1,945,715       2,379,639       1,288,050       2,267,076  

Interest expense and fees

     3,829,766       3,908,569       2,950,202       6,062,145  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

     5,775,481       6,288,208       4,238,252       8,329,221  

Less:

        

Fees waived and/or reimbursed by the Manager

     (4,411 )      (17,687 )      (2,256 )      (1,005 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and/or reimbursed

     5,771,070       6,270,521       4,235,996       8,328,216  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     22,283,433       21,276,524       3,705,331       18,959,550  
 

 

 

    

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

        

Net realized gain (loss) from:

        

Investments — unaffiliated

     (6,314,017 )      (2,470,053 )      (15,209,797 )      (12,989,713 ) 

Investments — affiliated

     (45,666 )      (37,207 )      —       —  

Forward foreign currency exchange contracts

     (53,804 )      (98,893 )      —       (102,021 ) 

Foreign currency transactions

     (108,021 )      (14,745 )      —       (37,946 ) 

Futures contracts

     —       —       682,998       (3,738,095 ) 

Swaps

     99,148       120,142       (16 )      1,971,972  
 

 

 

    

 

 

    

 

 

    

 

 

  
    (6,422,360 )      (2,500,756 )      (14,526,815 )      (14,895,803 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

        

Investments — unaffiliated

     20,117,677       14,339,515       14,653,890       26,847,237  

Investments — affiliated

     (17,000 )      (35,760 )      —       —  

Borrowed bonds

     —       —       (19,235 )      —  

Forward foreign currency exchange contracts

     18,089       6,962       —       47,501  

Foreign currency translations

     99       2,744       —       11,761  

Futures contracts

     —       —       (55,430 )      (3,038,412 ) 

Swaps

     134,250       143,402       43       (2,369,845 ) 

Unfunded floating rate loan interests

     23,287       26,911       —       47,313  
 

 

 

    

 

 

    

 

 

    

 

 

  
    20,276,402       14,483,774       14,579,268       21,545,555  
 

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain

     13,854,042       11,983,018       52,453       6,649,752  
 

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 36,137,475     $ 33,259,542     $ 3,757,784     $ 25,609,302  
 

 

 

    

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

   113

 

Statements of Changes in Net Assets

 

    

    DSU     FRA  
   

Six Months Ended

06/30/23

(unaudited)

     Year Ended
12/31/22		    

Six Months Ended

06/30/23

(unaudited)

     Year Ended
12/31/22		  

 

  

INCREASE (DECREASE) IN NET ASSETS

              

OPERATIONS

              

Net investment income

            $ 22,283,433     $ 33,524,702        $ 21,276,524     $ 29,462,918  

Net realized loss

        (6,422,360 )      (9,343,061 )         (2,500,756 )      (6,501,067 ) 

Net change in unrealized appreciation (depreciation)

        20,276,402       (43,923,145 )         14,483,774       (32,309,384 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

        36,137,475       (19,741,504 )         33,259,542       (9,347,533 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

              

From net investment income

        (22,953,248 )(b)      (31,579,170 )         (21,583,948 )(b)      (27,297,906 ) 

Return of capital

        —       (838,309 )         —       —  
    

 

 

    

 

 

       

 

 

    

 

 

  

Decrease in net assets resulting from distributions to shareholders

        (22,953,248 )      (32,417,479 )         (21,583,948 )      (27,297,906 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

              

Reinvestment of distributions

        —       43,132          —       —  
    

 

 

    

 

 

       

 

 

    

 

 

  

NET ASSETS

              

Total increase (decrease) in net assets

        13,184,227       (52,115,851 )         11,675,594       (36,645,439 ) 

Beginning of period

        486,565,153       538,681,004          451,187,518       487,832,957  
    

 

 

    

 

 

       

 

 

    

 

 

  

End of period

      $ 499,749,380     $ 486,565,153        $ 462,863,112     $ 451,187,518  
    

 

 

    

 

 

       

 

 

    

 

 

  

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

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

See notes to financial statements.

 

 

114  

2 0 2 3   B L A C K R O C K   S E M I - 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 (continued)

 

    BKT     BLW  
   

Six Months Ended

06/30/23

(unaudited)

     Year Ended
12/31/22		    

Six Months Ended

06/30/23

(unaudited)

     Year Ended
12/31/22		  

 

  

INCREASE (DECREASE) IN NET ASSETS

              

OPERATIONS

              

Net investment income

            $ 3,705,331     $ 9,190,557        $ 18,959,550     $ 34,564,968  

Net realized loss

        (14,526,815 )      (2,021,958 )         (14,895,803 )      (29,094,666 ) 

Net change in unrealized appreciation (depreciation)

        14,579,268       (67,003,293 )         21,545,555       (71,493,091 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

        3,757,784       (59,834,694 )         25,609,302       (66,022,789 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

              

From net investment income

        (11,275,720 )(b)      (10,487,125 )         (21,019,644 )(b)      (32,930,219 ) 

Return of capital

        —       (11,460,544 )         —       (5,605,804 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

Decrease in net assets resulting from distributions to shareholders

        (11,275,720 )      (21,947,669 )         (21,019,644 )      (38,536,023 ) 
    

 

 

    

 

 

       

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

              

Reinvestment of distributions

        45,446       64,960          —       —  
    

 

 

    

 

 

       

 

 

    

 

 

  

NET ASSETS

              

Total increase (decrease) in net assets

        (7,472,490 )      (81,717,403 )         4,589,658       (104,558,812 ) 

Beginning of period

        279,034,685       360,752,088          482,587,203       587,146,015  
    

 

 

    

 

 

       

 

 

    

 

 

  

End of period

      $ 271,562,195     $ 279,034,685        $ 487,176,861     $ 482,587,203  
    

 

 

    

 

 

       

 

 

    

 

 

  

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

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

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

   115

 

Statements of Cash Flows (unaudited)

Six Months Ended June 30, 2023

 

    

    DSU     FRA     BKT     BLW  

 

  
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES                        

Net increase in net assets resulting from operations

   $ 36,137,475     $ 33,259,542     $ 3,757,784     $ 25,609,302  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

        

Proceeds from sales of long-term investments and principal paydowns/payups

     121,627,282       86,726,201       543,130,453       459,916,818  

Purchases of long-term investments

     (95,960,831 )      (78,684,256 )      (542,370,828 )      (415,412,992 ) 

Net proceeds from sales (purchases) of short-term securities

     471,074       —       (341,842 )      1,384,252  

Amortization of premium and accretion of discount on investments and other fees

     (945,616 )      (726,264 )      3,419,395       (826,209 ) 

Paid-in-kind income

     (48,849 )      33,647       —       (29,685 ) 

Net realized loss on investments

     6,359,737       2,507,260       15,209,797       12,929,003  

Net unrealized appreciation on investments, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests

     (20,143,556 )      (14,355,117 )      (14,634,655 )      (26,907,459 ) 

(Increase) Decrease in Assets

        

Receivables

        

Dividends — affiliated

     5,450       3,914       12,603       4,060  

Dividends — unaffiliated

     —       —       —       27,930  

Interest — unaffiliated

     (411,376 )      (725,402 )      (461,031 )      (534,370 ) 

Variation margin on futures contracts

     —       —       278,672       319,532  

Variation margin on centrally cleared swaps

     (29,392 )      (32,519 )      (35 )      16,642  

Swap premiums paid

     768       —       —       436  

Prepaid expenses

     4,079       3,771       17,232       3,938  

Deferred offering costs

     (125,426 )      —       —       —  

Increase (Decrease) in Liabilities

        

Due to broker

     673,000       —       —       —  

Cash received

        

Collateral — reverse repurchase agreements

     —       —       —       (294,376 ) 

Collateral — OTC derivatives

     —       —       470,000       —  

Collateral — TBA commitments

     —       —       (2,152,000 )      —  

Payables

        

Accounting services fees

     6,964       6,875       4,781       8,677  

Administration fees

     —       —       33,207       —  

Custodian fees

     5,131       (6,202 )      (1,539 )      157  

Interest expense and fees

     (65,182 )      27,928       (161,995 )      242,219  

Investment advisory fees

     269,514       355,490       143,880       303,053  

Directors’ and Officer’s fees

     (13,824 )      (157 )      (29,451 )      (12,103 ) 

Other accrued expenses

     9,663       (12,970 )      2,688       (6,592 ) 

Professional fees

     (43,474 )      (56,546 )      (40,157 )      (49,751 ) 

Transfer agent fees

     5,232       5,866       1,776       4,197  

Variation margin on futures contracts

     —       —       24,278       (262,652 ) 

Variation margin on centrally cleared swaps

     —       —       —       23,590  

Swap premiums received

     (511 )      —       —       (225,636 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net cash provided by operating activities

     47,787,332       28,331,061       6,313,013       56,231,981  
 

 

 

    

 

 

    

 

 

    

 

 

  
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES                        

Cash dividends paid to shareholders

     (22,877,615 )      (21,463,552 )      (11,179,397 )      (20,897,759 ) 

Payments for offering costs

     1,830       —       —       —  

Payments for bank borrowings

     (93,000,000 )      (67,000,000 )      —       —  

Proceeds from bank borrowings

     66,000,000       58,000,000       —       —  

Increase (decrease) in bank overdraft

     5,570       —       (878 )      14,033  

Net borrowing of reverse repurchase agreements

     —       —       4,989,002       (40,400,764 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net cash used for financing activities

     (49,870,215 )      (30,463,552 )      (6,191,273 )      (61,284,490 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS                        

Cash impact from foreign exchange fluctuations

     (10 )      122       —       (1,064 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

116  

2 0 2 3   B L A C K R O C K   S E M I - 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 (unaudited) (continued)

Six Months Ended June 30, 2023

 

    

    DSU     FRA     BKT      BLW  

 

  
CASH AND FOREIGN CURRENCY                         

Net increase (decrease) in restricted and unrestricted cash and foreign currency

   $ (2,082,893 )    $ (2,132,369 )    $ 121,740      $ (5,053,573 ) 

Restricted and unrestricted cash and foreign currency at beginning of period

     4,419,043       3,616,893       1,131,260        9,300,602  
 

 

 

    

 

 

    

 

 

     

 

 

  

Restricted and unrestricted cash and foreign currency at end of period

   $ 2,336,150     $ 1,484,524     $ 1,253,000      $ 4,247,029  
 

 

 

    

 

 

    

 

 

     

 

 

  
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION                         

Cash paid during the period for interest expense

   $     3,894,948     $    3,880,641     $ 3,112,197      $ 5,819,926  
 

 

 

    

 

 

    

 

 

     

 

 

  
NON-CASH FINANCING ACTIVITIES                         

Reinvestment of distributions

   $ —     $ —     $ 45,446      $ —  
 

 

 

    

 

 

    

 

 

     

 

 

  
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF
    PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES		                         

Cash

   $ 1,976,150     $ 1,051,332     $ —      $ 41,855  

Cash pledged

         

Collateral — reverse repurchase agreements

     —       —       390,000        1,468,704  

Collateral — OTC derivatives

     —       —       —        470,000  

Futures contracts

     —       —       862,000        1,238,470  

Centrally cleared swaps

     360,000       398,000       1,000        1,028,000  

Foreign currency at value

     —       35,192       —        —  
 

 

 

    

 

 

    

 

 

     

 

 

  
  $ 2,336,150     $ 1,484,524     $      1,253,000      $      4,247,029  
 

 

 

    

 

 

    

 

 

     

 

 

  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

   117

Financial Highlights

(For a share outstanding throughout each period)

 

    DSU
     

 Six Months Ended
06/30/23
(unaudited)		  
 
 		    
 Year Ended
12/31/22		  
 		    
 Year Ended
12/31/21		  
 		    
 Year Ended
12/31/20		  
 		    

 Period from
03/01/19
to 12/31/19		  
 
 		    
 Year Ended
02/28/19		  
 		    

 Year Ended           

02/28/18(a)       

Net asset value, beginning of period

                $ 10.44              $ 11.56              $ 11.55              $ 12.25              $ 12.16              $ 12.62              $ 12.70    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Net investment income(b)

       0.48         0.72         0.61         0.63         0.64         0.79         0.78    

Net realized and unrealized gain (loss)

       0.29         (1.14 )        0.13         (0.50 )        0.21         (0.43 )        (0.04 )   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Net increase (decrease) from investment operations

       0.77         (0.42 )        0.74         0.13         0.85         0.36         0.74    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Distributions(c)

                              

From net investment income

       (0.49 )(d)        (0.68 )        (0.62 )        (0.61 )        (0.73 )        (0.82 )        (0.82 )   

Return of capital

       —         (0.02 )        (0.11 )        (0.22 )        (0.03 )        —         —    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Total distributions

       (0.49 )        (0.70 )        (0.73 )        (0.83 )        (0.76 )        (0.82 )        (0.82 )   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Net asset value, end of period

     $ 10.72       $ 10.44       $ 11.56       $ 11.55       $ 12.25       $ 12.16       $ 12.62    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Market price, end of period

     $ 9.79       $ 9.20       $ 11.70       $ 10.45       $ 11.20       $ 10.78       $ 11.47    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Total Return(e)

                              

Based on net asset value

       8.00 %(f)        (2.97 )%        6.67 %        2.57 %        8.03 %(f)        3.86 %        6.60 %(g)   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Based on market price

       11.92 %(f)        (15.51 )%        19.33 %        1.50 %        11.42 %(f)        1.30 %        5.35 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Ratios to Average Net Assets(h)

                              

Total expenses

       2.35 %(i)        1.90 %        1.34 %        1.48 %        2.21 %(i)(j)        2.23 %        1.86 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Total expenses after fees waived and/or reimbursed

       2.35 %(i)        1.90 %        1.34 %        1.47 %        2.21 %(i)(j)        2.23 %        1.85 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees

       0.79 %(i)        0.84 %        0.92 %        0.91 %        0.92 %(i)        0.96 %        0.94 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Net investment income

       9.06 %(i)        6.65 %        5.21 %        5.65 %        6.25 %(i)        6.40 %        6.12 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Supplemental Data

                              

Net assets, end of period (000)

     $ 499,749       $ 486,565       $ 538,681       $ 537,959       $ 605,240       $ 641,220       $ 742,204    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Borrowings outstanding, end of period (000)

     $ 137,000       $ 164,000       $ 248,000       $ 229,000       $ 262,000       $ 278,000       $ 338,000    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Asset coverage, end of period per $1,000 of bank borrowings(k)

     $ 4,648       $ 3,967       $ 3,172       $ 3,349       $ 3,310       $ 3,308       $ 3,196    
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

Portfolio turnover rate

       16 %        18 %        47 %        67 %        53 %        62 %        59 %   
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

 

(a) 

Consolidated Financial Highlights through November 30, 2017.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

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

(e) 

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) 

Not annualized.

(g) 

Includes payment from an affiliate, which had no impact on the Fund’s total return.

(h) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(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%.

(k) 

Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.

See notes to financial statements.

 

 

118  

2 0 2 3   B L A C K R O C K   S E M I - 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 (continued)

(For a share outstanding throughout each period)

 

    FRA
     Six Months Ended
06/30/23
(unaudited)		     Year Ended
12/31/22		     Year Ended
12/31/21		     Year Ended
12/31/20		     Period from
09/01/19
to 12/31/19		     Year Ended
08/31/19		     Year Ended       
08/31/18(a)   

Net asset value, beginning of period

                $ 12.81               $ 13.85               $ 13.81               $ 14.55               $ 14.49               $ 14.92               $ 14.93    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Net investment income(b)

       0.60          0.84          0.67          0.69          0.25          0.84          0.79    

Net realized and unrealized gain (loss)

       0.34          (1.11 )         0.17          (0.51 )         0.19          (0.40 )         (0.06 )   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Net increase (decrease) from investment operations

       0.94          (0.27 )         0.84          0.18          0.44          0.44          0.73    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Distributions(c)

                                    

From net investment income

       (0.61 )(d)         (0.77 )         (0.67 )         (0.70 )         (0.38 )         (0.87 )         (0.74 )   

Return of capital

       —          —          (0.13 )         (0.22 )         —          —          —    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Total distributions

       (0.61 )         (0.77 )         (0.80 )         (0.92 )         (0.38 )         (0.87 )         (0.74 )   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Net asset value, end of period

     $ 13.14        $ 12.81        $ 13.85        $ 13.81        $ 14.55        $ 14.49        $ 14.92    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Market price, end of period

     $ 12.21        $ 11.26        $ 13.43        $ 12.11        $ 13.44        $ 12.46        $ 13.80    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Total Return(e)

                                    

Based on net asset value

       7.93 %(f)         (1.34 )%         6.48 %         2.76 %         3.41 %(f)         3.94 %         5.28 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Based on market price

       14.10 %(f)         (10.57 )%         17.74 %         (2.45 )%         11.08 %(f)         (3.37 )%         3.11 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Ratios to Average Net Assets(g)

                                    

Total expenses

       2.76 %(h)         2.17 %         1.55 %         1.69 %         2.20 %(h)(i)         2.45 %         2.23 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Total expenses after fees waived and/or reimbursed

       2.76 %(h)         2.17 %         1.54 %         1.67 %         2.20 %(h)(i)         2.45 %         2.22 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees

       1.04 %(h)         1.15 %         1.14 %         1.13 %         1.19 %(h)         1.16 %         1.20 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Net investment income

       9.35 %(h)         6.36 %         4.76 %         5.15 %         5.26 %(h)         5.74 %         5.27 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Supplemental Data

                                    

Net assets, end of period (000)

     $ 462,863        $ 451,188        $ 487,833        $ 488,051        $ 522,545        $ 526,447        $ 555,370    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Borrowings outstanding, end of period (000)

     $ 138,000        $ 147,000        $ 223,000        $ 208,000        $ 214,000        $ 204,000        $ 233,000    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Asset coverage, end of period per $1,000 of bank borrowings(j)

     $ 4,354        $ 4,069        $ 3,188        $ 3,346        $ 3,442        $ 3,582        $ 3,385    
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

Portfolio turnover rate

       14 %         14 %         49 %         65 %         16 %         53 %         57 %   
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

    

 

(a) 

Consolidated Financial Highlights through November 30, 2017.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

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

(e) 

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) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

(j) 

Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

   119

Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BKT  
     

 Six Months Ended
06/30/23
(unaudited)		  
 
 		    
 Year Ended
12/31/22(a)		  
 		    
 Year Ended
12/31/21(a)		  
 		    
 Year Ended
12/31/20(a)		  
 		    
 Year Ended
12/31/19(a)		  
 		    

 Period from
09/01/18
to 12/31/18(a)		  
 
 		    
 Year Ended
08/31/18(a)		  
 

Net asset value, beginning of period

                    $ 13.10               $ 16.94               $ 18.54               $ 18.89               $ 18.75               $ 18.94               $ 20.21  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income(b)

       0.17          0.43          0.70          0.86          0.75          0.25          0.72  

Net realized and unrealized gain (loss)

       —          (3.24 )         (1.06 )         0.02          0.63          0.07          (1.02 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease) from investment operations

       0.17          (2.81 )         (0.36 )         0.88          1.38          0.32          (0.30 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Distributions(c)

                                  

From net investment income

       (0.53 )(d)         (0.49 )         (0.89 )         (1.01 )         (0.89 )         (0.40 )         (0.90 ) 

Return of capital

       —          (0.54 )         (0.35 )         (0.22 )         (0.35 )         (0.11 )         (0.07 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions

       (0.53 )         (1.03 )         (1.24 )         (1.23 )         (1.24 )         (0.51 )         (0.97 ) 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net asset value, end of period

     $ 12.74        $ 13.10        $ 16.94        $ 18.54        $ 18.89        $ 18.75        $ 18.94  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Market price, end of period

     $ 12.17        $ 12.34        $ 16.95        $ 18.21        $ 18.15        $ 16.92        $ 17.31  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Return(e)

                                  

Based on net asset value

       1.40 %(f)         (16.67 )%         (2.01 )%         4.92 %         7.91 %         2.06 %(f)         (1.14 )% 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Based on market price

       2.83 %(f)         (21.50 )%         (0.23 )%         7.31 %         14.83 %         0.72 %(f)         (3.44 )% 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Ratios to Average Net Assets(g)

                                  

Total expenses

       3.03 %(h)         1.65 %         0.94 %         1.18 %         2.06 %         2.08 %(h)(i)         1.79 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed

       3.03 %(h)         1.64 %         0.94 %         1.18 %         2.06 %         2.08 %(h)         1.79 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

       0.92 %(h)         0.95 %         0.90 %         0.89 %         0.94 %         0.99 %(h)         1.04 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net investment income

       2.65 %(h)         2.94 %         3.91 %         4.55 %         3.95 %         4.04 %(h)         3.72 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Supplemental Data

                                  

Net assets, end of period (000)

     $ 271,562        $ 279,035        $ 360,752        $ 394,195        $ 401,715        $ 398,629        $ 402,763  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Borrowings outstanding, end of period (000)

     $ 120,591        $ 115,764        $ 115,184        $ 156,936        $ 175,655        $ 186,799        $ 186,441  
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Portfolio turnover rate(j)

       125 %         237 %         248 %         69 %         255 %         95 %         373 % 
   

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

(a) 

Per share operating performance amounts have been adjusted to reflect a 1-for-3 reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022.

(b) 

Based on average shares outstanding.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

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

(e) 

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) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.11%.

(j) 

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

          Six Months Ended                                          Period from          
     06/30/23          Year Ended          Year Ended          Year Ended          Year Ended      09/01/18            Year Ended  
      (unaudited)      12/31/22      12/31/21      12/31/20      12/31/19      to 12/31/18      08/31/18  

Portfolio turnover rate (excluding MDRs)

                                68 %       122 %       119 %       31 %       136 %       45 %       181 % 
     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

See notes to financial statements.

 

 

120  

2 0 2 3   B L A C K R O C K   S E M I - 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 (continued)

(For a share outstanding throughout each period)

 

    BLW  
     

 Six Months Ended
06/30/23
(unaudited)		  
 
 		    
 Year Ended
12/31/22		  
 		    
 Year Ended
12/31/21		  
 		    
 Year Ended
12/31/20		  
 		    

 Period from
09/01/19
to 12/31/19		  
 
 		    
 Year Ended
08/31/19		  
 		    
 Year Ended
08/31/18		  
 

Net asset value, beginning of period

                $ 13.51                $ 16.44                $ 16.93                $ 17.05                $ 17.03                $ 16.71                $ 17.02  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income(a)

       0.53         0.97         1.00         0.98         0.31         0.94         0.95  

Net realized and unrealized gain (loss)

       0.19         (2.82 )        (0.31 )        0.08         0.18         0.33         (0.31 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) from investment operations

       0.72         (1.85 )        0.69         1.06         0.49         1.27         0.64  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Distributions(b)

                            

From net investment income

       (0.59 )(c)        (0.92 )        (1.02 )        (1.03 )        (0.47 )        (0.95 )        (0.95 ) 

Return of capital

       —         (0.16 )        (0.16 )        (0.15 )        —         —         —  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions

       (0.59 )        (1.08 )        (1.18 )        (1.18 )        (0.47 )        (0.95 )        (0.95 ) 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value, end of period

     $ 13.64       $ 13.51       $ 16.44       $ 16.93       $ 17.05       $ 17.03       $ 16.71  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Market price, end of period

     $ 12.88       $ 13.07       $ 16.85       $ 15.92       $ 16.39       $ 15.44       $ 15.06  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total Return(d)

                            

Based on net asset value

       5.54 %(e)        (10.96 )%        4.18 %(f)        7.58 %        3.11 %(e)        8.77 %        4.42 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Based on market price

       3.01 %(e)        (15.96 )%        13.55 %        5.24 %        9.32 %(e)        9.41 %        0.18 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Ratios to Average Net Assets(g)

                            

Total expenses

       3.43 %(h)        2.04 %        1.18 %        1.39 %        1.64 %(h)(i)        1.81 %        1.73 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses after fees waived and/or reimbursed

       3.43 %(h)        2.04 %        1.18 %        1.39 %        1.64 %(h)(i)        1.81 %        1.73 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses after fees waived and/or reimbursed and excluding interest expense

       0.93 %(h)        0.96 %        0.92 %        0.90 %        0.89 %(h)        0.84 %        0.89 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income

       7.81 %(h)        6.70 %        5.90 %        6.07 %        5.32 %(h)        5.69 %        5.60 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Supplemental Data

                            

Net assets, end of period (000)

     $ 487,177       $ 482,587       $ 587,146       $ 603,933       $ 611,068       $ 610,251       $ 612,048  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Borrowings outstanding, end of period (000)

     $ 239,262       $ 275,639       $ 312,356       $ 275,105       $ 213,399       $ 202,539       $ 234,622  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Portfolio turnover rate(j)

       55 %        77 %        66 %        65 %        14 %        50 %        50 % 
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) 

Based on average shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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

(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) 

Not annualized.

(f) 

Includes payment from an affiliate, which had no impact on the Fund’s total return.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.

(j) 

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

    

Six Months Ended
06/30/23

(unaudited)

           Year Ended
12/31/22		               Year Ended
12/31/21		           Year Ended
12/31/20		           Period from
09/01/19
to 12/31/19		           Year Ended
08/31/19		        Year Ended
08/31/18		  

Portfolio turnover rate (excluding MDRs)

                             36 %         58 %         52 %         58 %         14 %         50 %         50 % 
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

   121

Notes to Financial Statements (unaudited)

 

1.    ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Debt Strategies Fund, Inc.

   DSU    Maryland    Diversified

BlackRock Floating Rate Income Strategies Fund, Inc.

   FRA    Maryland    Diversified

BlackRock Income Trust, Inc.

   BKT    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 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 dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Funds are informed of the ex-dividend dates. 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. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

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.

ForeignTaxes: The 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 June 30, 2023, if any, are disclosed in the Statements of Assets and Liabilities.

The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: 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.

Distributions: Distributions paid by the Funds are recorded on the ex-dividend dates. 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.

 

 

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Notes to Financial Statements (unaudited) (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.

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. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Directors and Officer expense on the Statements of Operations. The Directors and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

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. The Board has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. 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 the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

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.

 

  •  

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 or trade 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.

 

  •  

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. Over-the-counter (“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.

 

 

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

   123

Notes to Financial Statements (unaudited) (continued)

 

  •  

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.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the 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 Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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 Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By The Valuation Committee And 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. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation 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 Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the 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.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

As of June 30, 2023, certain investments of BLW were fair valued using NAV as a practical expedient 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 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, 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

 

 

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   125

Notes to Financial Statements (unaudited) (continued)

 

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 Secured Overnight Financing Rate (“SOFR”), 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, the 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

     AthenaHealth Group, Inc.      $ 320,815      $ 320,815      $ 308,384      $ (12,431 ) 
    IPS Corp.        90,688        90,688        84,022        (6,666 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  
              $ (19,097 ) 
             

 

 

  

FRA

     AthenaHealth Group, Inc.      $ 367,198      $ 367,198      $ 352,969        (14,229 ) 
    IPS Corp.        99,939        99,939        92,593        (7,346 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  
              $ (21,575 ) 
             

 

 

  

BLW

     AthenaHealth Group, Inc.      $ 196,229      $ 169,439      $ 188,625        19,186  
    IPS Corp.        44,600        44,600        41,322        (3,278 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  
              $ 15,908  
             

 

 

  

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

 

 

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Notes to Financial Statements (unaudited) (continued)   

 

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The 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.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the six months ended June 30, 2023, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for the Funds were as follows:

 

Fund Name  

Average Amount

Outstanding

    

Weighted Average   

Interest Rate   

  

BKT

   $ 125,922,201       4.70%  

BLW

     243,011,124       5.03     

Borrowed bond agreements and 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 borrowed bond agreements and 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.

 

 

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Notes to Financial Statements (unaudited) (continued)   

 

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

 

 

BKT

 

  

Counterparty

    

 Borrowed

Bonds

Agreements

  

 

(a) 

    

 Reverse

Repurchase

Agreements

  

 

 

    

 Borrowed

Bonds at

Value

including

Accrued

Interest

  

 

 

 

 

(b) 

    

 Net

Amount

before

Collateral

  

 

 

 

    

 Non-Cash

Collateral

Received

  

 

 

    

 Cash

Collateral

Received

  

 

 

    



 Fair Value of

Non-Cash

Collateral

Pledged

Including
Accrued
Interest

  

 

 

 

 
 
(c) 

    

 Cash
Collateral

Pledged

  
 

 

    

 Net

Collateral

(Received)/

Pledged

  

 

 

(c) 

    

 Net      

Exposure      

Due (to)/      

from      

Counterparty(d)   

  

 

 

 

 

BNP Paribas

                      

SA

   $ 784,035     $ —     $ (755,466 )    $ 28,569     $ —     $ —     $ —     $ —     $ —     $ 28,569    

Cantor Fitzgerald & Co.

     —       (20,596,191 )      —       (20,596,191 )      —       —       20,596,191       —       20,596,191       —    

HSBC Securities (USA), Inc.

     —       (99,994,445 )      —       (99,994,445 )      —       —       99,994,445       —       99,994,445       —          
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    
  $ 784,035     $ (120,590,636 )    $ (755,466 )    $ (120,562,067 )    $ —     $ —     $ 120,590,636     $ —     $ 120,590,636     $ 28,569    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

  (a) 

Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.

 
  (b) 

Includes accrued interest on borrowed bonds in the amount of $1,198 which is included in interest expense payable in the Statements of Assets and Liabilities.

 
  (c) 

Net collateral, including accrued interest, if any, with a value of $123,845,187 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, to the individual counterparty is not shown for financial reporting purposes.

 
  (d) 

Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default.

 

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  

Barclays Bank PLC

   $ (11,426,184 )    $ 11,426,184     $ —     $ —  

Barclays Capital, Inc.

     (19,129,264 )      19,129,264       —       —  

BNP Paribas SA

     (25,419,350 )      25,419,350       —       —  

BofA Securities, Inc.

     (64,568,761 )      64,568,761       —       —  

Credit Agricole Corporate and Investment Bank

     (6,725,821 )      6,725,821       —       —  

Goldman Sachs & Co. LLC

     (13,528,267 )      13,528,267       —       —  

HSBC Securities (USA), Inc.

     (2,932,824 )      2,932,824       —       —  

J.P. Morgan Securities LLC

     (21,740,571 )      21,740,571       —       —  

Merrill Lynch International

     (1,451,310 )      1,451,310       —       —  

Nomura Securities International, Inc.

     (20,892,414 )      20,892,414       —       —  

RBC Capital Markets, LLC

     (25,192,768 )      25,192,768       —       —  

TD Securities (USA) LLC

     (26,254,719 )      26,254,719       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

  
  $ (239,262,253 )    $ 239,262,253     $ —     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a) 

Collateral, if any, with a value of $286,732,181 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

5.    DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are 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

 

 

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Notes to Financial Statements (unaudited) (continued)   

 

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: The Funds may 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 — The Funds may 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.

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 variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and

 

 

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Notes to Financial Statements (unaudited) (continued)

 

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 risks 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 Funds 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.

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 % 

 

 

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Notes to Financial Statements (unaudited) (continued)

 

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, BKT pays the Manager a monthly fee at an annual rate equal to 0.65% of the average weekly value of the Fund’s net assets. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).

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, including 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, 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 (“BSL”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BSL for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BSL 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: DSU, BKT and BLW have each entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of DSU, BKT and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of DSU’s, BKT’s and BLW’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 June 30, 2023 amounted to $0.

Administration: BKT has an Administration Agreement with the Manager. The administration fee paid monthly to the Manager is computed at an annual rate of 0.15% of the Fund’s average weekly net assets. For BKT, the Manager may reduce or discontinue this arrangement at any time without notice.

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, 2024. 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 six months ended June 30, 2023, the amounts waived were as follows:

 

Fund Name   Fees Waived and/or Reimbursed
by the Manager		  

DSU

   $ 355  

FRA

     60  

BKT

     2,256  

BLW

     1,005  

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, 2024. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

Fund Name   Fees Waived and/or Reimbursed
by the Manager		  

DSU

   $ 4,056  

FRA

     17,627  

Directors and Officers: Certain directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

7.     PURCHASES AND SALES

For the six months ended June 30, 2023, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:

 

    U.S. Government Securities      Other Securities  
Fund Name   Purchases      Sales      Purchases      Sales  

DSU

   $ —      $ —      $ 98,714,337      $ 118,614,507  

FRA

     —        —        80,966,249        83,170,581  

BKT

     —        —        544,155,482        542,934,632  

BLW

     —        12,290,018        412,373,772        442,649,605  

 

 

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Notes to Financial Statements (unaudited) (continued)

 

For the six months ended June 30, 2023, purchases and sales related to mortgage dollar rolls were as follows:

 

Fund Name   Purchases      Sales  

BKT

   $ 248,304,634      $ 248,080,160  

BLW

     139,811,834        139,792,473  

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 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 June 30, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of December 31, 2022, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains and qualified late-year losses as follows:

 

     Non-Expiring     Qualified  
    Capital Loss     Late-Year  
Fund Name     Carryforwards (a)      Losses (b) 

DSU

   $ (100,929,367)     $ (370,047)  

FRA

     (50,314,987)       —  

BKT

     (99,550,857)       —  

BLW

     (63,978,243)       (1,275,435)  

 

  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

 

As of June 30, 2023, 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:

 

                            Net Unrealized  
           Gross Unrealized      Gross Unrealized     Appreciation  
Fund Name   Tax Cost      Appreciation      Depreciation     (Depreciation)  

DSU

   $ 677,476,144      $ 2,720,908      $ (46,443,169 )    $ (43,722,261 ) 

FRA

     622,303,008        2,221,915        (25,235,434 )      (23,013,519 ) 

BKT

     481,732,925        5,515,285        (55,001,272 )      (49,485,987 ) 

BLW

     784,323,793        5,058,219        (53,489,241 )      (48,431,022 ) 

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

   $276,000,000

FRA

   255,000,000

Prior to March 9, 2023, maximum commitment amounts were $340,000,000 for DSU and $274,000,000 for FRA.

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) Daily Simple SOFR plus 0.80% or (b) One Month Term SOFR plus 0.80%. SOFR and One Month Term SOFR are subject to a 0% floor.

In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings. 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 borrowings is less than 300%.

 

 

 

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Notes to Financial Statements (unaudited) (continued)

 

For the six months ended June 30, 2023, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:

 

Fund Name   Maximum
Amount Borrowed		      Average Amount
Outstanding		      Daily Weighted Average
Interest Rate		  

DSU

   $ 164,000,000      $ 132,767,956        5.62 % 

FRA

     147,000,000        136,662,983        5.63  

10.   PRINCIPAL RISKS

In the normal course of business, the 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 NAV 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.

Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

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.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

With exchange-traded options purchased, exchange-traded 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.

Geographic/Asset Class 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 each Fund’s portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

The 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 decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.

The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.

LIBOR Transition Risk: The Funds may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. 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 and BKT are 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, BKT’s and BLW’s shares is $0.10, $0.10, $0.010 and $0.001, respectively. The Board for DSU, FRA and BLW are each authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

Fund Name   Six Months Ended
06/30/23		     

Year Ended

12/31/22

  

DSU

     —        3,721  

BKT

     3,394        3,887  

For the six months ended June 30, 2023, shares issued and outstanding remained constant for DSU.

For the six months ended June 30, 2023 and the year ended December 31, 2022, shares issued and outstanding remained constant for FRA and BLW.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, 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, 2022, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Fund’s NAV. There is no assurance that the Funds will purchase shares in any particular amounts. For the six months ended June 30, 2023, the Funds did not repurchase any shares.

DSU, BKT and BLW have each filed a prospectus with the SEC allowing them to issue an additional 16,000,000, 8,333,333 and 10,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, DSU, BKT and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 16,000,000, 8,333,333 and 10,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the six months ended June 30, 2023, Common Shares issued and outstanding under the Shelf Offering remained constant for DSU, BKT and BLW. See Additional Information - Shelf Offering Program for additional information.

Initial costs incurred by DSU, BKT and BLW in connection with their Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense.

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 or will pay distributions to Common Shareholders as follows:

 

Fund Name    Declaration
Date		      Record
Date		      Payable/
Paid Date		      Dividend Per
Common Share		  

DSU

      07/03/23        07/14/23        07/31/23      $ 0.091050  
     08/01/23        08/15/23        08/31/23        0.091050  

FRA

      07/03/23        07/14/23        07/31/23        0.117020  
     08/01/23        08/15/23        08/31/23        0.117020  

BKT

      07/03/23        07/14/23        07/31/23        0.088200  
     08/01/23        08/15/23        08/31/23        0.088200  

BLW

      07/03/23        07/14/23        07/31/23        0.098100  
       08/01/23        08/15/23        08/31/23        0.098100  

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Debt Strategies Fund, Inc. (“DSU”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”), BlackRock Income Trust, Inc. (“BKT”), and BlackRock Limited Duration Income Trust (“BLW”) (collectively, the “Funds” and each, a “Fund”) met on May 4, 2023 (the “May Meeting”) and June 1-2, 2023 (the “June Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment adviser. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between (1) the Manager, BlackRock International Limited (“BIL”) and each Fund and (2) the Manager, BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”) and BLW. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

The Approval Process

Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

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

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

At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting.

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

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to them on a fund-by-fund basis. The following paragraphs

 

 

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provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.

A.   Nature, Extent and Quality of the Services Provided by BlackRock

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

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

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

The Board noted that the engagement of the Sub-Advisors with respect to each Fund, as applicable, facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit each Fund and its shareholders.

B.   The Investment Performance of each Fund and BlackRock

The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2022, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and certain performance metrics (“Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.

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

The Board reviewed and considered DSU’s performance relative to DSU’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, DSU generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for DSU, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered FRA’s performance relative to FRA’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, FRA generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for FRA, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BKT’s performance relative to BKT’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BKT generally performed below expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BKT, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BKT’s underperformance relative to the Performance Metrics.

 

 

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The Board reviewed and considered BLW’s performance relative to BLW’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BLW generally performed below expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BLW, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BLW’s underperformance relative to the Performance Metrics.

C.  Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund

The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for each Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2022 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

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

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

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

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

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

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

D.  Economies of Scale

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

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception. The Board noted that although each of DSU, BKT and BLW may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of each of DSU’s, BKT’s and BLW’s assets will occur primarily through the appreciation of its investment portfolio.

E.  Other Factors Deemed Relevant by the Board Members

The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to

 

 

 

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each Fund, including for administrative, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

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

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

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

Conclusion

At the June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2024, and the Sub-Advisory Agreements among (1) the Manager, BIL and each Fund and (2) the Manager, BRS and BLW for a one-year term ending June 30, 2024. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were advised by independent legal counsel throughout the deliberative process.

 

 

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Additional Information 

 

Fund Certification

The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.

Environmental, Social and Governance (“ESG”) Integration

Although the Funds do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Fund management will consider ESG factors as part of the investment process for the Funds. Fund management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Funds’ 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. The ESG characteristics utilized in the Funds’ 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. Certain of these considerations may affect the Funds’ exposure to certain companies or industries. While Fund management views ESG considerations as having the potential to contribute to the Funds’ 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 each Fund for any particular month may be more or less than the amount of net investment income earned by each Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of 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 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 (“NAV”) per share 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, other than DSU, BKT and BLW, do not make available copies of their Statements of Additional Information because the Funds’ shares, other than DSU, BKT and BLW, are not continuously offered, which means that the Statement of Additional Information of each Fund, other than DSU, BKT and BLW, 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.

DSU’s, BKT’s and BLW’s Statement of Additional Information includes additional information about the Board and is available, without charge, upon request by calling (800) 882-0052.

The following information is a summary of certain changes since December 31, 2022. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

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.

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 and, for DSU, BKT and BLW only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for DSU, BKT and BLW only, prospectuses, are available on BlackRock’s website.

To enroll in electronic delivery:

 

 

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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, including for DSU, BKT and BLW only, prospectuses, 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 schedules 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, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and 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 without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) 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.

Shelf Offering Program

From time-to-time, DSU, BKT and BLW may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, DSU, BKT and BLW may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above DSU’s, BKT’s and BLW’s NAV per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow DSU, BKT and BLW to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks – including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

DSU, BKT and BLW filed final prospectuses with the SEC in connection with their Shelf Offerings on January 13, 2023, June 23, 2022 and May 17, 2022, respectively. This report and the prospectuses of DSU, BKT and BLW are not offers to sell DSU, BKT and BLW Common Shares or solicitations of an offer to buy DSU, BKT and BLW Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of DSU, BKT and BLW contain important information about DSU, BKT and BLW, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of DSU, BKT and BLW carefully and in their entirety before investing. Copies of the final prospectuses for DSU, BKT and BLW can be obtained from BlackRock at blackrock.com.

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.

 

 

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Additional Information (continued)

 

Fund and Service Providers

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

BlackRock (Singapore) Limited(a)

079912 Singapore

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02114

 

(a) 

For BLW.

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

142  

2 0 2 3   B L A C K R O C K   S E M I - 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

Glossary of Terms Used in this Report

 

Currency Abbreviation

EUR    Euro
GBP    British Pound
JPY    Japanese Yen
USD    United States Dollar
Portfolio Abbreviation
CDI    CREST Depository Interest
CLO    Collateralized Loan Obligation
CMT    Constant Maturity Treasury
DAC    Designated Activity Company
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FEDL    Fed Funds Effective Rate
IO    Interest Only
LIBOR    London Interbank Offered Rate
PCL    Public Company Limited
PIK    Payment-in-Kind
PO    Principal Only
REIT    Real Estate Investment Trust
REMIC    Real Estate Mortgage Investment Conduit
SCA    Societe en Commandite par Actions
SOFR    Secured Overnight Financing Rate
SONIA    Sterling Overnight Interbank Average Rate
STRIP    Separate Trading of Registered Interest & Principal

 

 

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

  143

 

 

 

 

 

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-BK3-06/23-SAR

 

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(b) Not Applicable

 

Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report.

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 13 –

Exhibits attached hereto

(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

(c) Notices to the registrant’s common shareholders in accordance with the order under Section  6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

                                                                                  

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

By:

       

/s/ John M. Perlowski                            

        

John M. Perlowski

        

Chief Executive Officer (principal executive officer) of

        

BlackRock Floating Rate Income Strategies Fund, Inc.

Date: August 25, 2023

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: August 25, 2023

 

 

By:

       

/s/ Trent Walker                                      

        

Trent Walker

        

Chief Financial Officer (principal financial officer) of

        

BlackRock Floating Rate Income Strategies Fund, Inc.

Date: August 25, 2023

EX-99.CERT 2 d448008dex99cert.htm CERTIFICATION PURSUANT TO SECTION 302 Certification Pursuant to Section 302

EX-99. CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF

THE SARBANES-OXLEY ACT OF 2002

 

 

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies Fund, Inc., certify that:

1.            I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund, Inc.;

2.            Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.            Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.            The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)            designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)            designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)            evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)            disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.            The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)            all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)            any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 25, 2023

/s/ John M. Perlowski        

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Floating Rate Income Strategies Fund, Inc.

EX-99. CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE

SARBANES-OXLEY ACT OF 2002

 

 

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income Strategies Fund, Inc., certify that:

1.            I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Strategies Fund, Inc.;

2.            Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.            Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.            The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)            designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)            designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)            evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)            disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.            The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)            all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)            any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 25, 2023

/s/ Trent Walker        

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Floating Rate Income Strategies Fund, Inc.

EX-99.906CERT 3 d448008dex99906cert.htm CERTIFICATION PURSUANT TO SECTION 906 Certification Pursuant to Section 906

Exhibit 99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and

Section 906 of the Sarbanes-Oxley Act of 2002

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended June 30, 2023 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: August 25, 2023

/s/ John M. Perlowski        

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Floating Rate Income Strategies Fund, Inc.

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Floating Rate Income Strategies Fund, Inc. (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended June 30, 2023 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: August 25, 2023

/s/ Trent Walker        

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Floating Rate Income Strategies Fund, Inc.

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

EX-99.SECTION19 4 d448008dex99section19.htm SECTION 19 NOTICES Section 19 Notices

BlackRock Floating Rate Income Strategies Fund, Inc.

Cusip: 09255X100

Ticker: FRA

 

Record Date

      June 15, 2023  

Pay Date

                  June 30, 2023  

Distribution Amount per share

    $ 0.117020  

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized capital gains and return of capital. All amounts are expressed per common share.

 

     Current Distribution      % Breakdown
    of the Current    
Distribution		      Total Cumulative
Distributions for the
Fiscal Year to Date		      % Breakdown of the
Total Cumulative
    Distributions for the    
Fiscal Year to Date		  

Net Income

      $ 0.113937          97%        $ 0.609537          99%  

Net Realized Short-Term Capital Gains

      $ -              0%        $ -              0%  

Net Realized Long-Term Capital Gains

      $ -              0%        $ -              0%  

Return of Capital

      $ 0.003083          3%        $ 0.003083          1%  
  

 

 

     

 

 

     

 

 

  

Total (per common share)

      $                 0.117020          100%        $         0.612620          100%  
  

 

 

     

 

 

     

 

 

  

Average annual total return (in relation to NAV) for the 5-year period ending on May 31, 2023

 

         4.27%  
           

 

 

  

Annualized current distribution rate expressed as a percentage of NAV as of May 31, 2023

 

         10.90%  
           

 

 

  

Cumulative total return (in relation to NAV) for the fiscal year through May 31, 2023

 

         4.87%  
           

 

 

  

Cumulative fiscal year distributions as a percentage of NAV as of May 31, 2023

 

         3.85%  
           

 

 

  

You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

Contact Number: 800-882-0052

BlackRock Floating Rate Income Strategies Fund, Inc.

Cusip: 09255X100

Ticker: FRA

 

Record Date

      July 14, 2023  

Pay Date

                  July 31, 2023  

Distribution Amount per share

    $ 0.117020  

 

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized capital gains and return of capital. All amounts are expressed per common share.

 

     Current Distribution      % Breakdown
    of the Current    
Distribution		      Total Cumulative
Distributions for the
Fiscal Year to Date		      % Breakdown of the
Total Cumulative
    Distributions for the    
Fiscal Year to Date		  

Net Income

      $ 0.100367          86%        $ 0.709903          97%  

Net Realized Short-Term Capital Gains

      $ -              0%        $ -              0%  

Net Realized Long-Term Capital Gains

      $ -              0%        $ -              0%  

Return of Capital

      $ 0.016653          14%        $ 0.019737          3%  
  

 

 

     

 

 

     

 

 

  

Total (per common share)

      $                 0.117020          100%        $         0.729640          100%  
  

 

 

     

 

 

     

 

 

  

Average annual total return (in relation to NAV) for the 5-year period ending on June 30, 2023

 

         4.92%  
           

 

 

  

Annualized current distribution rate expressed as a percentage of NAV as of June 30, 2023

 

         10.69%  
           

 

 

  

Cumulative total return (in relation to NAV) for the fiscal year through June 30, 2023

 

         8.02%  
           

 

 

  

Cumulative fiscal year distributions as a percentage of NAV as of June 30, 2023

 

         4.66%  
           

 

 

  

You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

Contact Number: 800-882-0052

BlackRock Floating Rate Income Strategies Fund, Inc.

Cusip: 09255X100

Ticker: FRA

 

Record Date

      August 15, 2023  

Pay Date

                  August 31, 2023  

Distribution Amount per share

    $ 0.117020  

 

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized capital gains and return of capital. All amounts are expressed per common share.

 

     Current Distribution      % Breakdown
    of the Current    
Distribution		      Total Cumulative
Distributions for the
Fiscal Year to Date		      % Breakdown of the
Total Cumulative
    Distributions for the    
Fiscal Year to Date		  

Net Income

      $ 0.112143          96%        $ 0.822046          97%  

Net Realized Short-Term Capital Gains

      $ -              0%        $ -              0%  

Net Realized Long-Term Capital Gains

      $ -              0%        $ -              0%  

Return of Capital

      $ 0.004877          4%        $ 0.024614          3%  
  

 

 

     

 

 

     

 

 

  

Total (per common share)

      $                 0.117020          100%        $         0.846660          100%  
  

 

 

     

 

 

     

 

 

  

Average annual total return (in relation to NAV) for the 5-year period ending on July 31, 2023

 

         5.01%  
           

 

 

  

Annualized current distribution rate expressed as a percentage of NAV as of July 31, 2023

 

         10.64%  
           

 

 

  

Cumulative total return (in relation to NAV) for the fiscal year through July 31, 2023

 

         9.53%  
           

 

 

  

Cumulative fiscal year distributions as a percentage of NAV as of July 31, 2023

 

         5.53%  
           

 

 

  

You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

Contact Number: 800-882-0052

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