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 811-22126
Name of Fund: BlackRock Defined Opportunity Credit Trust (BHL)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Defined Opportunity Credit Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2014
Date of reporting period: 02/28/2014
Item 1 – Report to Stockholders
SEMI-ANNUAL REPORT (UNAUDITED) | ![]() |
Not FDIC Insured May Lose Value No Bank Guarantee |
Table of Contents
Page | ||||||
Dear Shareholder |
3 | |||||
Semi-Annual Report: |
||||||
Fund Summaries |
4 | |||||
The
Benefits and Risks of Leveraging |
10 | |||||
Derivative Financial Instruments |
10 | |||||
Financial Statements |
||||||
Schedules of Investments |
11 | |||||
Statements of Assets and Liabilities |
52 | |||||
Statements of Operations |
53 | |||||
Statements of Changes in Net Assets |
54 | |||||
Statements of Cash Flows |
57 | |||||
Financial Highlights |
58 | |||||
Notes to Financial Statements |
61 | |||||
Officers and Directors |
74 | |||||
Additional Information |
75 |
2 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Dear Shareholder |
One year ago, US financial markets were improving despite a sluggish global economy, as easy monetary policy gave investors enough conviction to take on more risk in their portfolios. Slow but positive growth in the US was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced expectations that the Federal Reserve would continue its aggressive monetary stimulus programs. International markets were more volatile given uneven growth rates and more direct exposure to macro risks such as the banking crisis in Cyprus and a generally poor outlook for European economies. Emerging markets significantly lagged the rest of the world amid fears over slowing growth and debt problems.
Global financial markets were rattled in May when then-Fed Chairman Bernanke mentioned the possibility of reducing (or tapering) the central banks asset purchase programs comments that were widely misinterpreted as signaling an end to the Feds zero-interest-rate policy. US Treasury yields rose sharply, triggering a steep sell-off across fixed income markets. (Bond prices move in the opposite direction of yields.) Equity prices also suffered as investors feared the implications of a potential end of a program that had greatly supported the markets. Markets rebounded in late June, however, when the Feds tone turned more dovish, and improving economic indicators and better corporate earnings helped extend gains through most of the summer.
Although autumn brought mixed events, it was a surprisingly positive period for most asset classes. Early on, the Fed defied market expectations with its decision to delay tapering, but higher volatility returned in late September when the US Treasury Department warned that the national debt would soon breach its statutory maximum. The ensuing political brinksmanship led to a partial government shutdown, roiling global financial markets through the first half of October. Equities and other so-called risk assets managed to resume their rally when politicians engineered a compromise to reopen the government and extend the debt ceiling, at least temporarily.
The remainder of 2013 was generally positive for stock markets in the developed world, although investors continued to grapple with uncertainty about when and how much the Fed would scale back on stimulus. When the long-awaited taper announcement ultimately came in mid-December, the Fed reduced the amount of its monthly asset purchases but at the same time reaffirmed its commitment to maintaining low short-term interest rates. Markets reacted positively, as the taper signaled the Feds perception of real improvement in the economy, and investors were finally relieved from the anxiety that had gripped them for quite some time.
The start of the new year brought another turn in sentiment, as heightened volatility in emerging markets and mixed US economic data caused global equities to weaken in January while bond markets found renewed strength. Although these headwinds persisted, equities were back on the rise in February thanks to positive developments in Washington, DC. For one, Congress extended the nations debt ceiling through mid-March 2015, thereby reducing some degree of fiscal uncertainty for the next year. Additionally, investors were encouraged by market-friendly comments in new Fed Chair Janet Yellens Congressional testimony, giving further assurance that short-term rates would remain low for a prolonged period.
While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty. Developed market stocks were the strongest performers for the six- and 12-month periods ended February 28. In contrast, emerging markets were weighed down by uneven growth, high levels of debt and severe currency weakness, in addition to the broader concern about reduced global liquidity. The anticipation of Fed tapering during 2013 pressured US Treasury bonds and other high-quality fixed income sectors, including tax-exempt municipals and investment grade corporate bonds. High yield bonds, to the contrary, benefited from income-oriented investors search for yield in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.
At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in todays world.
Sincerely,
Rob Kapito
President, BlackRock Advisors,
LLC
![]() |
|
While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty. |
6-month | 12-month | |||||||||
US
large cap equities (S&P 500® Index) |
15.07 | % | 25.37 | % | ||||||
US
small cap equities (Russell 2000® Index) |
17.75 | 31.56 | ||||||||
International equities (MSCI Europe, Australasia, Far East Index) |
15.01 | 19.28 | ||||||||
Emerging market equities (MSCI Emerging Markets Index) |
4.77 | (6.01 | ) | |||||||
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index) |
0.03 | 0.08 | ||||||||
US
Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) |
2.61 | (3.65 | ) | |||||||
US
investment grade bonds (Barclays US Aggregate Bond Index) |
2.84 | 0.15 | ||||||||
Tax-exempt municipal bonds (S&P Municipal Bond Index) |
6.08 | (0.27 | ) | |||||||
US
high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index) |
7.46 | 8.36 |
THIS PAGE NOT PART OF YOUR FUND
REPORT |
3 |
Fund Summary as of February 28, 2014 | BlackRock Defined
Opportunity Credit Trust |
Fund Overview
Portfolio Management Commentary
| For the six-month period ended February 28, 2014, the Fund returned 4.22% based on market price and 3.75% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.71% based on market price and 4.33% based on NAV. All returns reflect reinvestment of dividends. The Funds discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
| Security selection among higher quality loan instruments, where the Fund maintained a quality bias, had a positive impact on performance. From an industry perspective, holdings within gaming, wirelines and lodging boosted results. The Funds tactical allocation to high yield bonds generated additional gains as the asset class outperformed bank loans during the period. Exposure to high-quality collateralized loan obligations (CLOs) also enhanced results. |
| Conversely, security selection in the media non-cable and electric industries detracted from results. The Funds limited exposure to lower-rated loan credits represented a missed opportunity for additional gains as this segment performed well during the period. |
| During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. Although we expect modest growth and improving economic conditions, we continue to limit the Funds exposure to lower-rated segments of the market given less attractive risk-reward profiles in that space. From an asset allocation perspective, we continued to reduce exposure to higher-quality high yield bonds as valuations in that market also moved closer to fair value. In addition, we tactically added risk in high-quality CLOs. |
| At period end, the Fund held 94% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Funds highest-conviction holdings included La Quinta (lodging), Caesars Entertainment Resort Properties LLC (gaming) and Level 3 Financing, Inc. (wirelines). |
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. |
4 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
BlackRock Defined
Opportunity Credit Trust |
Fund Information
Symbol on New York Stock Exchange (NYSE) |
BHL |
|||||
Initial Offering Date |
January 31, 2008 |
|||||
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($13.87)1 |
5.71% |
|||||
Current Monthly Distribution per Common Share2 |
$0.066 |
|||||
Current Annualized Distribution per Common Share2 |
$0.792 |
|||||
Economic Leverage as of February 28, 20143 |
28% |
1 | 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 tax return of capital. Past performance does not guarantee future results. |
2 | The monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0605 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
3 | 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). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
|
2/28/14 |
|
8/31/13 |
|
Change |
|
High |
|
Low |
|||||||||||||
Market Price |
$ | 13.87 | $ | 13.77 | 0.73 | % | $ | 14.09 | $ | 13.48 | ||||||||||||
Net Asset Value |
$ | 14.48 | $ | 14.44 | 0.28 | % | $ | 14.53 | $ | 14.39 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Funds Long-Term Investments
Portfolio Composition |
|
2/28/14 |
|
8/31/13 |
||||||
Floating Rate Loan Interests |
94 | % | 94 | % | ||||||
Corporate Bonds |
3 | 3 | ||||||||
Asset-Backed Securities |
2 | 2 | ||||||||
Common Stocks |
1 | 1 |
Corporate Bonds Credit Quality
Allocation4 |
|
2/28/14 |
|
8/31/13 |
||||||
BBB/Baa |
12 | % | 11 | % | ||||||
BB/Ba |
18 | 17 | ||||||||
B |
70 | 72 |
4 | Using the higher of Standard & Poors (S&P) or Moodys Investors Service (Moodys) ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 5 |
Fund Summary as of February 28, 2014 | BlackRock Floating Rate
Income Strategies Fund, Inc. |
Fund Overview
Portfolio Management Commentary
| For the six-month period ended February 28, 2014, the Fund returned 1.47% based on market price and 4.27% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.71% based on market price and 4.33% based on NAV. All returns reflect reinvestment of dividends. The Funds discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
| Security selection among higher quality loan instruments, where the Fund maintained a quality bias, had a positive impact on performance. From an industry perspective, holdings within gaming, wirelines and lodging boosted results. The Funds tactical allocation to high yield bonds generated additional gains as the asset class outperformed bank loans during the period. Exposure to high-quality collateralized loan obligations (CLOs) also enhanced results. |
| Conversely, security selection in the media non-cable and electric industries detracted from results. The Funds limited exposure to lower-rated loan credits represented a missed opportunity for additional gains as this segment performed well during the period. |
| During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. Although we expect modest growth and improving economic conditions, we continue to limit the Funds exposure to lower-rated segments of the market given less attractive risk-reward profiles in that space. From an asset allocation perspective, we continued to reduce exposure to higher-quality high yield bonds as valuations in that market also moved closer to fair value. In addition, we tactically added risk in high-quality CLOs. |
| At period end, the Fund held 93% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Funds highest-conviction holdings included La Quinta (lodging), Caesars Entertainment Resort Properties LLC (gaming) and Level 3 Financing, Inc. (wirelines). |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
6 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
BlackRock Floating Rate
Income Strategies Fund, Inc. |
Fund Information
Symbol on NYSE |
FRA |
|||||
Initial Offering Date |
October 31, 2003 |
|||||
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($14.70)1 |
6.16% |
|||||
Current Monthly Distribution per Common Share2 |
$0.0755 |
|||||
Current Annualized Distribution per Common Share2 |
$0.9060 |
|||||
Economic Leverage as of February 28, 20143 |
28% |
1 | 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 tax return of capital. Past performance does not guarantee future results. |
2 | The monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0700 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
3 | 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). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
|
2/28/14 |
|
8/31/13 |
|
Change |
|
High |
|
Low |
|||||||||||||
Market Price |
$ | 14.70 | $ | 14.96 | (1.74 | )% | $ | 15.02 | $ | 14.30 | ||||||||||||
Net Asset Value |
$ | 15.51 | $ | 15.36 | 0.98 | % | $ | 15.54 | $ | 15.33 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Funds Long-Term Investments
Portfolio Composition |
|
2/28/14 |
|
8/31/13 |
||||||
Floating Rate Loan Interests |
93 | % | 92 | % | ||||||
Corporate Bonds |
4 | 4 | ||||||||
Asset-Backed Securities |
2 | 3 | ||||||||
Common Stocks |
1 | 1 |
Corporate Bonds Credit Quality
Allocation4 |
|
2/28/14 |
|
8/31/13 |
||||||
BBB/Baa |
9 | % | 10 | % | ||||||
BB/Ba |
13 | 15 | ||||||||
B |
37 | 57 | ||||||||
CCC/Caa |
24 | 5 | ||||||||
Not Rated |
17 | 13 |
4 | Using the higher of S&Ps or Moodys ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 7 |
Fund Summary as of February 28, 2014 | BlackRock Limited
Duration Income Trust |
Fund Overview
|
intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and US Government and agency securities; |
|
senior, secured floating rate loans made to corporate and other business entities; and |
|
US dollar-denominated securities of US and non-US issuers rated below investment grade and, to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade. |
Portfolio Management Commentary
| For the six-month period ended February 28, 2014, the Fund returned 6.32% based on market price and 7.35% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 12.50% based on market price and 10.48% based on NAV. All returns reflect reinvestment of dividends. The Funds discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
| Fixed income markets experienced a rally over the six-month period that was only temporarily suspended at the beginning of 2014 due to investors concern over softening US economic data, which appeared to be mostly driven by unusually harsh weather conditions. In addition, certain risk assets, including emerging market debt, were negatively impacted by the tightening of global liquidity as the Fed continued to reduce the size of its asset purchase program. |
| The Fund benefited from the generally positive market environment, with positions in corporate credit being the largest contributors to returns. Exposure to securitized assets, including asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) also had a positive impact on performance. In addition, positions in non-agency residential mortgage-backed securities (MBS) and high yield credit enhanced results. |
| Based on the view that short-term rates would remain low, the Fund maintained its leverage to augment income generation throughout the period. |
| As most fixed income sectors performed well during the period, there were no material detractors from the Funds performance. |
| The Funds allocations remained consistent throughout the six-month period, with its largest position in high yield and investment grade corporate credit, followed by allocations to securitized credits, specifically, ABS and CMBS. |
| At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, CMBS, ABS and non-agency residential MBS. |
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. |
8 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
BlackRock Limited
Duration Income Trust |
Fund Information
Symbol on NYSE |
BLW |
|||||
Initial Offering Date |
July 30, 2003 |
|||||
Current Distribution Rate on Closing Market Price as of February 28, 2014 ($17.31)1 |
7.24% |
|||||
Current Monthly Distribution per Common Share2 |
$0.1045 |
|||||
Current Annualized Distribution per Common Share2 |
$1.2540 |
|||||
Economic Leverage as of February 28, 20143 |
30% |
1 | 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 tax return of capital. Past performance does not guarantee future results. |
2 | The monthly distribution per common share, declared on March 3, 2014, was decreased to $0.0995 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
3 | Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
|
2/28/14 |
|
8/31/13 |
|
Change |
|
High |
|
Low |
|||||||||||||
Market Price |
$ | 17.31 | $ | 16.89 | 2.49 | % | $ | 17.62 | $ | 16.15 | ||||||||||||
Net Asset Value |
$ | 18.15 | $ | 17.54 | 3.48 | % | $ | 18.15 | $ | 17.54 |
Market
Price and Net Asset Value History For the Past Five Years |
Overview of the Funds Long-Term Investments
Portfolio Composition |
|
2/28/14 |
|
8/31/13 |
||||||
Corporate Bonds |
44 | % | 44 | % | ||||||
Floating Rate Loan Interests |
36 | 36 | ||||||||
Non-Agency Mortgage-Backed Securities |
8 | 8 | ||||||||
Asset-Backed Securities |
4 | 6 | ||||||||
US Government Sponsored Agency Securities |
4 | 4 | ||||||||
Preferred Securities |
2 | 1 | ||||||||
Foreign Agency Obligations |
1 | - | ||||||||
Common Stocks |
1 | 1 |
Corporate Bonds Credit Quality
Allocation4 |
|
2/28/14 |
|
8/31/13 |
||||||
AAA/Aaa5 |
9 | % | 9 | % | ||||||
AA/Aa |
- | 1 | ||||||||
A |
3 | 6 | ||||||||
BBB/Baa |
17 | 17 | ||||||||
BB/Ba |
30 | 25 | ||||||||
B |
33 | 34 | ||||||||
CCC/Caa |
7 | 7 | ||||||||
Not Rated |
1 | 1 |
4 | Using the higher of S&Ps or Moodys ratings. |
5 | Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 9 |
The Benefits and Risks of Leveraging |
10 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Schedule of Investments February 28, 2014 (Unaudited) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Common Stocks (a) | Shares |
Value | |||||||||||||
Hotels, Restaurants & Leisure 0.4% |
|||||||||||||||
BLB Worldwide Holdings, Inc. |
21,020 | $ | 524,449 | ||||||||||||
Software 0.4% |
|||||||||||||||
HMH Holdings/EduMedia |
24,355 | 470,149 | |||||||||||||
Total Common Stocks 0.8% |
994,598 | ||||||||||||||
Asset-Backed Securities (b)(c) |
Par (000) |
||||||||||||||
ALM Loan Funding, Series 2013-7RA, Class C, 3.69%, 4/24/24 |
USD |
835 | 807,395 | ||||||||||||
Atrium CDO Corp., Series 9A,Class D, 3.73%, 2/28/24 |
250 | 242,219 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.74%, 1/20/25 |
250 | 251,422 | |||||||||||||
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.88%, 3/21/24 |
250 | 243,188 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 |
215 | 214,994 | |||||||||||||
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22 |
350 | 352,038 | |||||||||||||
Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23 |
400 | 401,120 | |||||||||||||
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25 |
500 | 489,415 | |||||||||||||
North End CLO Ltd., Series 2013-1A, Class D, 3.74%, 7/17/25 |
250 | 242,227 | |||||||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25 |
250 | 238,487 | |||||||||||||
Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23 |
250 | 250,082 | |||||||||||||
Symphony CLO Ltd., Series 2012-10A, Class D, 5.49%, 7/23/23 |
350 | 351,927 | |||||||||||||
Total Asset-Backed Securities 3.1% |
4,084,514 | ||||||||||||||
Corporate Bonds |
|||||||||||||||
Airlines 0.7% |
|||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c) |
250 | 259,375 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |
48 | 54,006 | |||||||||||||
US
Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |
590 | 601,800 | |||||||||||||
915,181 | |||||||||||||||
Auto Components 0.2% |
|||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 (c) |
269 | 272,363 | |||||||||||||
Chemicals 0.1% |
|||||||||||||||
INEOS Finance PLC, 8.38%, 2/15/19 (c) |
110 | 121,825 | |||||||||||||
Corporate Bonds | Par (000) |
Value | |||||||||||||
Commercial Services & Supplies 0.3% |
|||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.99%, 12/01/17 (b)(c) |
USD |
68 | $ | 68,680 | |||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c) |
268 | 277,751 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 |
80 | 85,800 | |||||||||||||
432,231 | |||||||||||||||
Communications Equipment 0.4% |
|||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (c) |
101 | 100,242 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 |
380 | 418,950 | |||||||||||||
519,192 | |||||||||||||||
Diversified Financial Services 0.3% |
|||||||||||||||
Ally Financial, Inc., 2.92%, 7/18/16 (b) |
275 | 280,714 | |||||||||||||
Reynolds Group Issuer, Inc., 7.13%, 4/15/19 |
120 | 127,650 | |||||||||||||
408,364 | |||||||||||||||
Diversified Telecommunication Services 0.3% |
|||||||||||||||
Level 3 Financing, Inc. (c): |
|||||||||||||||
3.85%, 1/15/18 (b) |
228 | 231,420 | |||||||||||||
6.13%, 1/15/21 |
127 | 134,303 | |||||||||||||
365,723 | |||||||||||||||
Health Care Technology 0.3% |
|||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (c) |
295 | 339,250 | |||||||||||||
Household Durables 0.1% |
|||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 |
180 | 194,400 | |||||||||||||
Independent Power Producers & Energy Traders 0.8% |
|||||||||||||||
Calpine Corp., 6.00%, 1/15/22 (c) |
80 | 84,800 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: |
|||||||||||||||
10.00%, 12/01/20 |
700 | 728,000 | |||||||||||||
10.25%, 12/01/20 (c) |
230 | 239,200 | |||||||||||||
1,052,000 | |||||||||||||||
Media 0.1% |
|||||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) |
96 | 100,080 | |||||||||||||
Oil, Gas & Consumable Fuels 0.1% |
|||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 |
145 | 156,419 | |||||||||||||
Wireless Telecommunication Services 0.0% |
|||||||||||||||
T-Mobile USA, Inc., 6.13%, 1/15/22 |
50 | 52,813 | |||||||||||||
Total Corporate Bonds 3.7% |
4,929,841 | ||||||||||||||
Floating Rate Loan Interests (b) |
|||||||||||||||
Aerospace & Defense 2.1% |
|||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
511 | 510,499 | |||||||||||||
The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16 |
410 | 401,671 | |||||||||||||
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 |
364 | 364,888 | |||||||||||||
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 |
223 | 223,585 | |||||||||||||
TransUnion LLC, Term Loan, 4.25%, 2/08/19 |
1,276 | 1,279,733 | |||||||||||||
2,780,376 |
Portfolio Abbreviations
CAD EBITDA EUR |
Canadian Dollar Earnings Before Interest, Taxes, Depreciation and Amortization Euro |
GBP OTC PIK USD |
British Pound Over-the-Counter Payment-In-Kind US Dollar |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 11 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Airlines 1.0% |
||||||||||||||
Delta Air Lines, Inc.: |
||||||||||||||
Term Loan, 3.49%, 9/16/15 |
USD |
317 | $ | 306,656 | ||||||||||
Term Loan B1, 3.50%, 10/18/18 |
325 | 326,023 | ||||||||||||
Northwest Airlines, Inc., Term Loan: |
||||||||||||||
2.24%, 3/10/17 |
208 | 201,148 | ||||||||||||
1.62%, 9/10/18 |
273 | 257,513 | ||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
260 | 260,081 | ||||||||||||
1,351,421 | ||||||||||||||
Auto Components 4.6% |
||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
358 | 358,497 | ||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16 |
60 | 59,887 | ||||||||||||
Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/29/17 |
627 | 627,309 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
360 | 363,150 | ||||||||||||
Federal-Mogul Corp.: |
||||||||||||||
Term Loan B, 2.10%, 12/29/14 |
1,354 | 1,342,640 | ||||||||||||
Term Loan C, 2.10%, 12/28/15 |
1,258 | 1,247,910 | ||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
1,150 | 1,160,638 | ||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 |
15 | 15,098 | ||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 |
489 | 480,258 | ||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |
340 | 338,865 | ||||||||||||
5,994,252 | ||||||||||||||
Automobiles 0.1% |
||||||||||||||
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18 |
190 | 189,016 | ||||||||||||
Building Products 2.1% |
||||||||||||||
Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/15/20 |
258 | 258,293 | ||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/28/20 |
269 | 269,212 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |
783 | 783,531 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21 |
200 | 200,334 | ||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |
339 | 339,855 | ||||||||||||
Wilsonart LLC: |
||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
110 | 109,725 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 |
792 | 791,010 | ||||||||||||
2,751,960 | ||||||||||||||
Capital Markets 0.2% |
||||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
197 | 197,211 | ||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 |
110 | 110,041 | ||||||||||||
307,252 | ||||||||||||||
Chemicals 4.1% |
||||||||||||||
Allnex USA, Inc.: |
||||||||||||||
Term Loan B1, 4.50%, 10/03/19 |
255 | 256,554 | ||||||||||||
Term Loan B2, 4.50%, 10/03/19 |
133 | 133,114 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20 |
729 | 732,092 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 |
27 | 27,005 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |
324 | 326,003 | ||||||||||||
Chromaflo Technologies Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/02/19 |
260 | 260,650 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/30/20 |
110 | 110,825 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
478 | 479,404 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Chemicals (concluded) |
||||||||||||||
INEOS Finance LLC: |
||||||||||||||
3 Year Term Loan, 2.15%, 5/04/15 |
USD |
88 | $ | 88,142 | ||||||||||
6 Year Term Loan, 2.75%, 5/04/18 |
195 | 194,458 | ||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20 |
353 | 354,638 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
584 | 579,797 | ||||||||||||
OXEA Finance LLC: |
||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
315 | 321,004 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
584 | 587,185 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
159 | 160,875 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
134 | 134,661 | ||||||||||||
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20 |
409 | 409,636 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |
223 | 221,861 | ||||||||||||
5,377,904 | ||||||||||||||
Commercial Banks 0.2% |
||||||||||||||
Redtop Acquisitions Ltd.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
190 | 191,108 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
70 | 71,400 | ||||||||||||
262,508 | ||||||||||||||
Commercial Services & Supplies 4.2% |
||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
740 | 739,202 | ||||||||||||
ARAMARK Corp.: |
||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |
14 | 13,860 | ||||||||||||
Extended Synthetic Line of Credit 3, 6.65%, 7/26/16 |
9 | 9,373 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 |
290 | 290,876 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
870 | 872,596 | ||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 |
115 | 116,438 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 |
555 | 555,490 | ||||||||||||
Livingston International, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/19 |
308 | 309,221 | ||||||||||||
2nd Lien Term Loan, 9.00%, 4/20/20 |
200 | 204,373 | ||||||||||||
Progressive Waste Solutions Ltd., Term Loan B, 3.00%, 10/24/19 |
312 | 312,942 | ||||||||||||
Protection One, Inc., Term Loan, 4.25%, 3/21/19 |
471 | 469,371 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
928 | 928,970 | ||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 |
681 | 677,103 | ||||||||||||
5,499,815 | ||||||||||||||
Communications Equipment 2.3% |
||||||||||||||
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19 |
1,206 | 1,215,823 | ||||||||||||
Applied Systems, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
185 | 186,156 | ||||||||||||
2nd Lien Term Loan, 7.50%, 1/22/22 |
85 | 86,764 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17 |
347 | 337,369 | ||||||||||||
Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18 |
115 | 115,685 | ||||||||||||
CommScope, Inc.: |
||||||||||||||
Term Loan B3, 2.65% - 2.73%, 1/21/17 |
158 | 157,483 | ||||||||||||
Term Loan B4, 3.25%, 1/26/18 |
237 | 236,962 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
649 | 650,673 | ||||||||||||
2,986,915 |
12 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Construction & Engineering 1.0% |
|||||||||||||||
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20 |
USD |
301 | $ | 300,759 | |||||||||||
Centaur Acquisition LLC: |
|||||||||||||||
1st Lien Term Loan, 5.25%, 2/20/19 |
504 | 504,554 | |||||||||||||
2nd Lien Term Loan, 8.75%, 2/15/20 |
280 | 285,600 | |||||||||||||
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20 |
269 | 268,201 | |||||||||||||
1,359,114 | |||||||||||||||
Construction Materials 1.6% |
|||||||||||||||
Filtration Group Corp.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 11/21/20 |
220 | 221,742 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/21/21 |
120 | 122,550 | |||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
1,612 | 1,616,736 | |||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |
150 | 151,159 | |||||||||||||
2,112,187 | |||||||||||||||
Consumer Finance 0.5% |
|||||||||||||||
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19 |
700 | 708,050 | |||||||||||||
Containers & Packaging 1.1% |
|||||||||||||||
Ardagh Holdings USA, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.00%, 12/17/19 |
210 | 210,788 | |||||||||||||
Term Loan B, 4.25%, 12/17/19 |
290 | 290,725 | |||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21 |
185 | 184,445 | |||||||||||||
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18 |
331 | 332,584 | |||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50% 6.50%, 8/25/19 |
393 | 393,489 | |||||||||||||
1,412,031 | |||||||||||||||
Distributors 1.3% |
|||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
1,147 | 1,147,481 | |||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |
233 | 231,633 | |||||||||||||
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17 |
277 | 277,200 | |||||||||||||
1,656,314 | |||||||||||||||
Diversified Consumer Services 2.1% |
|||||||||||||||
Allied Security Holdings LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 |
242 | 241,367 | |||||||||||||
Delayed Draw Term Loan, 0.50%, 2/12/21 |
86 | 85,689 | |||||||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20 |
639 | 639,482 | |||||||||||||
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20 |
208 | 210,313 | |||||||||||||
Garda World Securities Corp.: |
|||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
69 | 68,860 | |||||||||||||
Term Loan B, 4.00%, 11/06/20 |
269 | 269,180 | |||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
249 | 242,829 | |||||||||||||
ServiceMaster Co., Term Loan, 4.25%, 1/31/17 |
467 | 467,397 | |||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
630 | 481,149 | |||||||||||||
2,706,266 | |||||||||||||||
Diversified Financial Services 2.3% |
|||||||||||||||
ION Trading Technologies Sarl: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 5/22/20 |
371 | 373,342 | |||||||||||||
2nd Lien Term Loan, 8.25%, 5/21/21 |
80 | 80,800 | |||||||||||||
Kasima LLC, Term Loan B, 3.25%, 5/17/21 |
355 | 354,556 | |||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
749 | 754,173 | |||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 |
88 | 88,247 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
595 | 595,994 | |||||||||||||
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20 |
798 | 796,803 | |||||||||||||
3,043,915 | |||||||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Diversified Telecommunication Services 4.4% |
|||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
USD |
873 | $ | 878,422 | |||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
523 | 525,515 | |||||||||||||
Integra Telecom, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
255 | 261,439 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 |
462 | 465,666 | |||||||||||||
Level 3 Financing, Inc.: |
|||||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 |
2,160 | 2,165,400 | |||||||||||||
Term Loan, 4.00%, 8/01/19 |
220 | 220,660 | |||||||||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 |
446 | 447,514 | |||||||||||||
US
Telepacific Corp., Term Loan B, 5.75%, 2/23/17 |
732 | 736,073 | |||||||||||||
5,700,689 | |||||||||||||||
Electric Utilities 0.5% |
|||||||||||||||
American Energy Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18 |
325 | 339,738 | |||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 |
300 | 300,609 | |||||||||||||
640,347 | |||||||||||||||
Electrical Equipment 1.0% |
|||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/11/21 |
265 | 264,857 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17 |
1,505 | 1,048,880 | |||||||||||||
1,313,737 | |||||||||||||||
Electronic Equipment, Instruments & Components 0.4% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
521 | 518,239 | |||||||||||||
Energy Equipment & Services 0.7% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
259 | 259,476 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |
360 | 360,880 | |||||||||||||
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21 |
115 | 115,312 | |||||||||||||
Unifrax Corp., Term Loan, 4.25%, 11/28/18 |
217 | 217,692 | |||||||||||||
953,360 | |||||||||||||||
Food & Staples Retailing 1.9% |
|||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.47%, 7/09/15 |
GBP |
767 | 1,282,968 | ||||||||||||
Rite Aid Corp.: |
|||||||||||||||
2nd Lien Term Loan, 5.75%, 8/21/20 |
USD |
235 | 239,895 | ||||||||||||
Term Loan 6, 4.00%, 2/21/20 |
223 | 224,038 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |
511 | 512,257 | |||||||||||||
US
Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 |
199 | 199,995 | |||||||||||||
2,459,153 | |||||||||||||||
Food Products 3.3% |
|||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 |
200 | 200,701 | |||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |
259 | 259,459 | |||||||||||||
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20 |
395 | 395,494 | |||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18 |
180 | 179,885 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
605 | 608,176 | |||||||||||||
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20 |
109 | 110,088 | |||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |
75 | 74,939 | |||||||||||||
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 |
165 | 165,513 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
711 | 722,097 | |||||||||||||
Pinnacle Foods Finance LLC: |
|||||||||||||||
Incremental Term Loan H, 3.25%, 4/29/20 |
125 | 124,272 | |||||||||||||
Term Loan G, 3.25%, 4/29/20 |
695 | 691,929 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 13 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Food Products (concluded) |
|||||||||||||||
Reddy Ice Corp.: |
|||||||||||||||
1st Lien Term Loan, 6.75% 7.75%, 5/01/19 |
USD |
566 | $ | 562,897 | |||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
270 | 261,900 | |||||||||||||
4,357,350 | |||||||||||||||
Health Care Equipment & Supplies 5.5% |
|||||||||||||||
Arysta LifeScience Corp.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 |
935 | 938,415 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 |
380 | 385,225 | |||||||||||||
Biomet, Inc., Term Loan B2, 3.65% 3.75%, 7/25/17 |
756 | 757,221 | |||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 |
349 | 348,814 | |||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
472 | 471,238 | |||||||||||||
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 |
980 | 985,077 | |||||||||||||
Fresenius SE & Co. KGaA: |
|||||||||||||||
Incremental Term Loan B, 2.25%, 6/25/19 |
EUR |
120 | 165,429 | ||||||||||||
Term Loan B, 2.25%, 8/07/19 |
USD |
618 | 617,504 | ||||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 |
765 | 763,460 | |||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |
95 | 95,715 | |||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
807 | 810,604 | |||||||||||||
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18 |
120 | 120,048 | |||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |
95 | 95,237 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 |
132 | 128,213 | |||||||||||||
Onex Carestream Finance LP: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 6/07/19 |
302 | 305,650 | |||||||||||||
2nd Lien Term Loan, 9.50%, 12/07/19 |
245 | 249,900 | |||||||||||||
7,237,750 | |||||||||||||||
Health Care Providers & Services 6.7% |
|||||||||||||||
American Renal Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 9/20/19 |
655 | 655,050 | |||||||||||||
2nd Lien Term Loan, 8.50%, 2/14/20 |
410 | 411,025 | |||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
262 | 263,006 | |||||||||||||
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19 |
414 | 415,513 | |||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
1,965 | 1,981,368 | |||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
563 | 565,723 | |||||||||||||
DaVita, Inc.: |
|||||||||||||||
Term Loan B, 4.50%, 10/20/16 |
995 | 1,000,143 | |||||||||||||
Term Loan B2, 4.00%, 11/01/19 |
405 | 406,623 | |||||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 |
239 | 241,196 | |||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |
426 | 427,067 | |||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% 10.75%, 9/25/17 |
276 | 283,410 | |||||||||||||
HCA, Inc., Extended Term Loan B4, 3.00%, 5/01/18 |
234 | 234,150 | |||||||||||||
Ikaria, Inc.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 |
270 | 271,520 | |||||||||||||
2nd Lien Term Loan, 8.75%, 1/17/22 |
70 | 70,992 | |||||||||||||
inVentiv Health, Inc.: |
|||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 |
260 | 259,324 | |||||||||||||
Incremental Term Loan B3, 7.75%, 5/15/18 |
219 | 217,161 | |||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21 |
190 | 191,663 | |||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18 |
423 | 422,524 | |||||||||||||
US
Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |
482 | 484,653 | |||||||||||||
8,802,111 | |||||||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Health Care Technology 0.7% |
|||||||||||||||
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 |
USD |
744 | $ | 743,568 | |||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |
182 | 182,913 | |||||||||||||
926,481 | |||||||||||||||
Hotels, Restaurants & Leisure 12.1% |
|||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 |
429 | 431,284 | |||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |
269 | 269,524 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 |
724 | 730,079 | |||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 |
2,835 | 2,877,015 | |||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 |
330 | 336,600 | |||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20 |
2,093 | 2,098,767 | |||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 |
370 | 373,237 | |||||||||||||
La
Quinta Intermediate Holdings, Term Loan B, 3.00%, 2/19/21 |
2,710 | 2,715,420 | |||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20 |
600 | 599,376 | |||||||||||||
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18 |
335 | 337,791 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
539 | 538,034 | |||||||||||||
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 |
230 | 229,866 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
517 | 517,886 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 |
409 | 410,509 | |||||||||||||
Sabre, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
115 | 114,820 | |||||||||||||
Term Loan B, 4.25%, 2/19/19 |
317 | 316,867 | |||||||||||||
Six Flags Theme Parks, Inc., Term Loan B, 3.50%, 12/20/18 |
303 | 304,232 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20 |
1,191 | 1,191,369 | |||||||||||||
Travelport LLC: |
|||||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 |
250 | 258,692 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 |
269 | 275,283 | |||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18 |
566 | 569,982 | |||||||||||||
Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 |
370 | 369,467 | |||||||||||||
15,866,100 | |||||||||||||||
Household Products 1.2% |
|||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
638 | 640,163 | |||||||||||||
Prestige Brands, Inc., Term Loan, 3.75% 5.00%, 1/31/19 |
311 | 312,034 | |||||||||||||
Spectrum Brands, Inc.: |
|||||||||||||||
Term Loan A, 3.00%, 9/07/17 |
231 | 231,007 | |||||||||||||
Term Loan C, 3.50%, 9/04/19 |
342 | 342,035 | |||||||||||||
1,525,239 | |||||||||||||||
Independent Power Producers & Energy Traders 1.8% |
|||||||||||||||
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18 |
761 | 762,859 | |||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/02/18 |
212 | 212,588 | |||||||||||||
La
Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 |
1,009 | 1,010,122 | |||||||||||||
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20 |
352 | 352,805 | |||||||||||||
2,338,374 | |||||||||||||||
Industrial Conglomerates 0.8% |
|||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
1,045 | 1,028,203 |
14 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Insurance 3.2% |
||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19 |
USD |
421 | $ | 423,119 | ||||||||||
Asurion LLC: |
||||||||||||||
2nd Lien Term Loan, 8.50%, 2/19/21 |
310 | 319,687 | ||||||||||||
Term Loan B1, 4.50%, 5/24/19 |
458 | 458,390 | ||||||||||||
CNO Financial Group, Inc.: |
||||||||||||||
Term Loan B1, 3.00%, 9/28/16 |
308 | 308,462 | ||||||||||||
Term Loan B2, 3.75%, 9/20/18 |
519 | 517,933 | ||||||||||||
Cooper Gay Swett & Crawford Ltd.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 |
418 | 411,285 | ||||||||||||
2nd Lien Term Loan, 8.25%, 10/16/20 |
200 | 192,750 | ||||||||||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 |
366 | 364,468 | ||||||||||||
Hub International Ltd., Term Loan B, 4.75%, 10/02/20 |
439 | 442,556 | ||||||||||||
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20 |
129 | 130,482 | ||||||||||||
Sedgwick CMS Holdings, Inc.: |
||||||||||||||
1st Lien Term Loan, 3.75%, 2/11/21 |
345 | 343,189 | ||||||||||||
2nd Lien Term Loan, 6.75%, 12/12/18 |
260 | 262,460 | ||||||||||||
4,174,781 | ||||||||||||||
Internet Software & Services 1.7% |
||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21 |
255 | 256,275 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 |
871 | 871,442 | ||||||||||||
Open Text Corp., Term Loan B, 3.25%, 1/04/21 |
280 | 279,860 | ||||||||||||
W3
Co.: |
||||||||||||||
1st Lien Term Loan, 5.75%, 3/13/20 |
407 | 407,942 | ||||||||||||
2nd Lien Term Loan, 9.25%, 9/11/20 |
155 | 156,159 | ||||||||||||
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 |
281 | 283,923 | ||||||||||||
2,255,601 | ||||||||||||||
IT Services 3.5% |
||||||||||||||
Ceridian Corp., Term Loan B, 4.37% 4.40%, 5/09/17 |
899 | 901,891 | ||||||||||||
First Data Corp.: |
||||||||||||||
2018 Term Loan, 4.16%, 9/24/18 |
270 | 270,451 | ||||||||||||
Extended 2018 Term Loan B, 4.16%, 3/23/18 |
2,140 | 2,141,650 | ||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |
658 | 657,639 | ||||||||||||
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18 |
245 | 213,758 | ||||||||||||
SunGard Data Systems, Inc.: |
||||||||||||||
Term Loan D, 4.50%, 1/31/20 |
262 | 262,678 | ||||||||||||
Term Loan E, 4.00%, 3/09/20 |
144 | 144,495 | ||||||||||||
4,592,562 | ||||||||||||||
Leisure Equipment & Products 0.2% |
||||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |
205 | 208,273 | ||||||||||||
Life Sciences Tools & Services 0.5% |
||||||||||||||
Patheon, Inc.: |
||||||||||||||
2nd Lien Term Loan, 6.25%, 1/09/21 |
365 | 363,861 | ||||||||||||
Term Loan, 7.25%, 12/14/18 |
272 | 270,748 | ||||||||||||
634,609 | ||||||||||||||
Machinery 4.4% |
||||||||||||||
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20 |
210 | 209,649 | ||||||||||||
Alliance Laundry Systems LLC: |
||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 |
131 | 132,545 | ||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 |
257 | 257,672 | ||||||||||||
Faenza Acquisition GmbH: |
||||||||||||||
Term Loan B1, 4.25%, 8/31/20 |
274 | 274,255 | ||||||||||||
Term Loan B3, 4.25%, 8/28/20 |
83 | 83,419 | ||||||||||||
Gardner Denver, Inc., Term Loan, 4.25%, 7/30/20 |
EUR |
886 | 930,473 | |||||||||||
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20 |
USD |
781 | 780,934 | |||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Machinery (concluded) |
||||||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
USD |
395 | $ | 395,744 | ||||||||||
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19 |
564 | 566,885 | ||||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 |
206 | 208,319 | ||||||||||||
Pacific Industrial Services US Finance Co. LLC: |
||||||||||||||
1st Lien Term Loan, 5.00%, 10/02/18 |
499 | 504,984 | ||||||||||||
2nd Lien Term Loan, 8.75%, 4/02/19 |
195 | 199,875 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
480 | 480,671 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |
286 | 286,262 | ||||||||||||
STS Operating, Inc., Term Loan, 4.75%, 2/19/21 |
155 | 155,388 | ||||||||||||
Terex Corp., Term Loan, 4.00%, 4/28/17 |
EUR |
34 | 47,150 | |||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
USD |
288 | 289,628 | |||||||||||
5,803,853 | ||||||||||||||
Marine 0.4% |
||||||||||||||
HGIM Corp., Term Loan B, 5.50%, 6/18/20 |
517 | 523,090 | ||||||||||||
Media 13.4% |
||||||||||||||
Acosta, Inc., Term Loan B, 4.25%, 3/02/18 |
45 | 45,157 | ||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 |
589 | 589,908 | ||||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 |
255 | 255,849 | ||||||||||||
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20 |
574 | 576,189 | ||||||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21 |
170 | 169,548 | ||||||||||||
Cengage Learning Acquisitions, Inc.: |
||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 |
226 | 212,603 | ||||||||||||
Tranche 1 Incremental, 9.50%, 7/03/14 |
365 | 339,508 | ||||||||||||
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 |
463 | 460,246 | ||||||||||||
Clear Channel Communications, Inc.: |
||||||||||||||
Term Loan B, 3.80%, 1/29/16 |
148 | 144,914 | ||||||||||||
Term Loan C, 3.80%, 1/29/16 |
40 | 39,086 | ||||||||||||
Term Loan D, 6.90%, 1/30/19 |
1,564 | 1,534,650 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
559 | 561,740 | ||||||||||||
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20 |
350 | 350,735 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 |
249 | 249,455 | ||||||||||||
Fender Musical Instruments Corp., Term Loan B, 5.75%, 4/03/19 |
62 | 62,827 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 |
45 | 42,981 | ||||||||||||
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 |
367 | 368,394 | ||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |
386 | 387,464 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
1,058 | 1,064,762 | ||||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 |
150 | 151,875 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |
115 | 114,856 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
420 | 423,415 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18 |
255 | 253,406 | ||||||||||||
Mediacom LLC, Term Loan E, 4.50%, 10/23/17 |
483 | 482,900 | ||||||||||||
NEP/NCP Holdco, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.50%, 7/22/20 |
131 | 134,386 | ||||||||||||
Incremental Term Loan, 4.50%, 1/22/20 |
653 | 653,400 | ||||||||||||
Nielsen Finance LLC, Term Loan E, 2.91%, 5/02/16 |
537 | 536,601 | ||||||||||||
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 |
537 | 522,524 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 15 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Media (concluded) |
||||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
USD |
388 | $ | 389,549 | ||||||||||
SBA Senior Finance II LLC: |
||||||||||||||
Incremental Delayed Draw Term Loan B, 3.25%, 3/31/21 |
248 | 246,728 | ||||||||||||
Incremental Term Loan B, 3.25%, 3/24/21 |
248 | 246,765 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |
372 | 369,491 | ||||||||||||
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20 |
494 | 496,108 | ||||||||||||
Tribune Co., Term Loan, 4.00%, 12/27/20 |
650 | 649,389 | ||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 |
465 | 449,887 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
525 | 525,938 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21 |
EUR |
281 | 390,405 | |||||||||||
Virgin Media Investment Holdings Ltd.: |
||||||||||||||
Term Loan B, 3.50%, 6/08/20 |
USD |
780 | 779,165 | |||||||||||
Term Loan C, 4.50%, 6/05/20 |
GBP |
650 | 1,094,521 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |
USD |
512 | 514,606 | |||||||||||
Ziggo NV: |
||||||||||||||
Term Loan B1, 3.50%, 1/15/22 |
233 | 231,576 | ||||||||||||
Term Loan B2, 3.50%, 1/15/22 |
150 | 149,251 | ||||||||||||
Term Loan B3, 2.75%, 1/15/22 |
247 | 245,464 | ||||||||||||
17,508,222 | ||||||||||||||
Metals & Mining 3.3% |
||||||||||||||
Ameriforge Group, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 12/19/19 |
371 | 372,957 | ||||||||||||
2nd Lien Term Loan, 8.75%, 12/19/20 |
185 | 189,163 | ||||||||||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 |
370 | 369,850 | ||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 |
824 | 840,250 | ||||||||||||
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19 |
845 | 853,036 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
788 | 790,512 | ||||||||||||
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 |
137 | 136,503 | ||||||||||||
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18 |
145 | 142,272 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
607 | 621,952 | ||||||||||||
4,316,495 | ||||||||||||||
Multiline Retail 3.9% |
||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |
453 | 457,043 | ||||||||||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 |
481 | 475,196 | ||||||||||||
BJs Wholesale Club, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
541 | 543,833 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
200 | 205,188 | ||||||||||||
HEMA Holding BV, Extended 2nd Lien Term Loan, 5.97%, 1/05/18 |
EUR |
1,800 | 2,236,087 | |||||||||||
Hudsons Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |
USD |
430 | 436,241 | |||||||||||
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/25/20 |
698 | 706,036 | ||||||||||||
5,059,624 | ||||||||||||||
Oil, Gas & Consumable Fuels 5.4% |
||||||||||||||
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18 |
195 | 192,249 | ||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 |
985 | 1,006,463 | ||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
591 | 601,434 | ||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |
440 | 439,670 | ||||||||||||
Fieldwood Energy LLC: |
||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
314 | 314,863 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
135 | 139,641 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) |
||||||||||||||
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20 |
USD |
325 | $ | 331,500 | ||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
280 | 283,977 | ||||||||||||
Offshore Group Investment Ltd.: |
||||||||||||||
5.00%, 10/25/17 |
678 | 680,608 | ||||||||||||
5.75%, 3/28/19 |
172 | 174,457 | ||||||||||||
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18 |
552 | 555,505 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
360 | 367,650 | ||||||||||||
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18 |
52 | 46,499 | ||||||||||||
Power Buyer, LLC: |
||||||||||||||
1st Lien Term Loan, 4.25%, 5/06/20 |
195 | 193,971 | ||||||||||||
2nd Lien Term Loan, 8.25%, 11/06/20 |
105 | 103,950 | ||||||||||||
Delayed Draw Term Loan, 4.25%, 5/06/20 |
11 | 10,600 | ||||||||||||
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20 |
240 | 241,500 | ||||||||||||
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 |
404 | 402,935 | ||||||||||||
Tesoro Corp., Term Loan B, 2.40%, 5/30/16 |
429 | 430,373 | ||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 |
335 | 337,094 | ||||||||||||
WTG Holdings III Corp.: |
||||||||||||||
1st Lien Term Loan, 4.75%, 1/15/21 |
135 | 135,338 | ||||||||||||
2nd Lien Term Loan, 8.50%, 1/15/22 |
30 | 30,356 | ||||||||||||
7,020,633 | ||||||||||||||
Pharmaceuticals 4.4% |
||||||||||||||
Akorn, Inc., Term Loan B, 3.50%, 8/27/20 |
410 | 412,562 | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 5.75% – 7.00%, 11/01/19 |
279 | 280,697 | ||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |
213 | 213,050 | ||||||||||||
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20 |
360 | 359,251 | ||||||||||||
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18 |
95 | 95,136 | ||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19 |
1,240 | 1,241,379 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
916 | 919,724 | ||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |
577 | 577,407 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: |
||||||||||||||
Series C2 Term Loan B, 3.75%, 12/11/19 |
607 | 608,831 | ||||||||||||
Series D2 Term Loan B, 3.75%, 2/13/19 |
657 | 658,906 | ||||||||||||
Series E Term Loan B, 3.75%, 8/05/20 |
378 | 379,743 | ||||||||||||
5,746,686 | ||||||||||||||
Professional Services 1.7% |
||||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
720 | 721,099 | ||||||||||||
ON
Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20 |
170 | 170,585 | ||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
427 | 434,243 | ||||||||||||
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20 |
259 | 260,971 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
596 | 597,151 | ||||||||||||
2,184,049 | ||||||||||||||
Real Estate Investment Trusts (REITs) 0.5% |
||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 |
587 | 587,837 | ||||||||||||
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20 |
125 | 124,257 | ||||||||||||
712,094 | ||||||||||||||
Real Estate Management & Development 1.4% |
||||||||||||||
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20 |
575 | 580,301 |
16 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Real Estate Management & Development (concluded) |
|||||||||||||||
Realogy Corp.: |
|||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
USD |
87 | $ | 87,087 | |||||||||||
Extended Term Loan, 4.50%, 3/05/20 |
1,194 | 1,196,793 | |||||||||||||
1,864,181 | |||||||||||||||
Road & Rail 0.4% |
|||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 1.90% 1.91%, 9/29/17 |
236 | 235,989 | |||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 |
229 | 230,212 | |||||||||||||
466,201 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.8% |
|||||||||||||||
Freescale Semiconductor, Inc.: |
|||||||||||||||
Term Loan B4, 5.00%, 2/28/20 |
534 | 536,128 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
165 | 166,439 | |||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 |
329 | 328,846 | |||||||||||||
1,031,413 | |||||||||||||||
Software 4.9% |
|||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 |
560 | 561,282 | |||||||||||||
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20 |
139 | 138,890 | |||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
244 | 237,437 | |||||||||||||
GCA Services Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
176 | 177,980 | |||||||||||||
Term Loan B, 4.25% 5.50%, 11/01/19 |
414 | 416,105 | |||||||||||||
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |
924 | 922,271 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21 |
210 | 205,800 | |||||||||||||
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20 |
115 | 115,791 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |
409 | 416,390 | |||||||||||||
Mitchell International, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
310 | 310,775 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
350 | 356,709 | |||||||||||||
RP
Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 |
357 | 357,682 | |||||||||||||
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21 |
155 | 156,356 | |||||||||||||
Sophia LP, Term Loan B, 4.50%, 7/19/18 |
603 | 607,224 | |||||||||||||
SS&C Technologies, Inc.: |
|||||||||||||||
Term Loan B1, 3.25%, 6/07/19 |
631 | 633,050 | |||||||||||||
Term Loan B2, 3.25%, 6/07/19 |
65 | 65,488 | |||||||||||||
StoneRiver Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 11/29/19 |
146 | 146,198 | |||||||||||||
2nd Lien Term Loan, 8.50%, 5/29/20 |
204 | 205,765 | |||||||||||||
Websence, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 8.25%, 12/24/20 |
170 | 170,425 | |||||||||||||
Term Loan B, 4.50%, 6/25/20 |
184 | 185,456 | |||||||||||||
6,387,074 | |||||||||||||||
Specialty Retail 4.7% |
|||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
614 | 617,139 | |||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17 |
146 | 146,643 | |||||||||||||
Davids Bridal, Inc., Term Loan B, 5.00%, 10/11/19 |
846 | 850,520 | |||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% 5.50%, 1/31/20 |
452 | 455,539 | |||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 |
77 | 70,706 | |||||||||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 |
454 | 460,055 | |||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 |
221 | 220,687 | |||||||||||||
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |
554 | 556,305 | |||||||||||||
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 |
520 | 521,404 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
753 | 752,988 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
779 | 781,781 | |||||||||||||
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20 |
61 | 61,244 | |||||||||||||
Floating Rate Loan Interests (b) | Par (000) |
Value | |||||||||||||
Specialty Retail (concluded) |
|||||||||||||||
SRAM LLC, Term Loan B, 4.00% 5.25%, 4/10/20 |
USD |
188 | $ | 187,810 | |||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |
395 | 393,236 | |||||||||||||
Toys ‘R Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 |
37 | 31,274 | |||||||||||||
6,107,331 | |||||||||||||||
Textiles, Apparel & Luxury Goods 1.2% |
|||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
909 | 881,548 | |||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 2/20/21 |
405 | 403,481 | |||||||||||||
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20 |
239 | 239,105 | |||||||||||||
1,524,134 | |||||||||||||||
Thrifts & Mortgage Finance 0.3% |
|||||||||||||||
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 |
446 | 446,614 | |||||||||||||
Trading Companies & Distributors 0.1% |
|||||||||||||||
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19 |
54 | 55,059 | |||||||||||||
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19 |
127 | 127,477 | |||||||||||||
182,536 | |||||||||||||||
Wireless Telecommunication Services 0.7% |
|||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 |
371 | 370,793 | |||||||||||||
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |
607 | 605,815 | |||||||||||||
976,608 | |||||||||||||||
Total Floating Rate Loan Interests 132.8% |
173,893,093 | ||||||||||||||
Non-Agency Mortgage-Backed Securities 0.2% |
|||||||||||||||
Commercial Mortgage-Backed Securities 0.2% |
|||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c) |
304 | 312,445 | |||||||||||||
Investment Companies |
Shares | ||||||||||||||
Capital Markets 0.0% |
|||||||||||||||
Eaton Vance Floating-Rate Income Trust |
12 | 185 | |||||||||||||
Eaton Vance Senior Income Trust |
3,347 | 23,563 | |||||||||||||
Total Investment Companies 0.0% |
23,748 | ||||||||||||||
Warrants (d) 0.0% |
|||||||||||||||
Software 0.0% |
|||||||||||||||
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27) |
691 | 2,444 | |||||||||||||
Total Long-Term Investments (Cost $181,985,573) 140.6% |
184,240,683 | ||||||||||||||
Short-Term Securities |
|||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (e)(f) |
2,835,510 | 2,835,510 | |||||||||||||
Total Short-Term Securities (Cost $2,835,510) 2.2% |
2,835,510 | ||||||||||||||
Total Investments (Cost $184,821,083) 142.8% |
187,076,193 | ||||||||||||||
Liabilities in Excess of Other Assets (42.8)% |
(56,105,233 | ) | |||||||||||||
Net Assets 100.0% |
$ | 130,970,960 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 17 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) |
Notes to Schedule of Investments
(a) | Non-income producing security. |
|||
(b) | Variable rate security. Rate shown is as of report date. |
|||
(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) | Warrants entitle the Fund to purchase a predetermined 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, if any. |
|||
(e) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of
Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate |
Shares Held at August 31, 2013 |
Net Activity |
Shares Held at February 28, 2014 |
Income |
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
1,298,269 | 1,537,241 | 2,835,510 | $112 |
(f) | Represents the current yield as of report date. |
|||
| Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows: |
Currency
Purchased |
Currency
Sold |
|
Counterparty |
|
Settlement Date |
|
|
Unrealized Appreciation (Depreciation) |
|
|||||||||||||||||||
EUR |
120,000 | USD |
162,968 | Citibank N.A. |
4/22/14 |
$ | 2,665 | |||||||||||||||||||||
GBP |
136,000 | USD |
224,249 | Citibank N.A. |
4/22/14 |
3,407 | ||||||||||||||||||||||
USD |
151,295 | EUR |
110,000 | Goldman Sachs Bank USA |
4/22/14 |
(535 | ) | |||||||||||||||||||||
USD |
164,020 | EUR |
120,000 | JPMorgan Chase Bank N.A. |
4/22/14 |
(1,613 | ) | |||||||||||||||||||||
USD |
2,749,739 | EUR |
2,023,468 | Royal Bank of Scotland PLC |
4/22/14 |
(43,205 | ) | |||||||||||||||||||||
USD |
130,389 | GBP |
80,000 | Deutsche Bank AG |
4/22/14 |
(3,526 | ) | |||||||||||||||||||||
USD |
2,313,367 | GBP |
1,409,000 | JPMorgan Chase Bank N.A. |
4/22/14 |
(45,217 | ) | |||||||||||||||||||||
Total |
$ | (88,024 | ) |
| OTC credit default swaps sold protection outstanding as of February 28, 2014 were as follows: |
Issuer |
|
Receive Fixed Rate |
|
Counterparty |
|
Expiration Date |
|
Credit Rating1 |
|
Notional Amount (000)2 |
|
Market Value |
|
Premiums Received |
|
Unrealized Depreciation |
|
||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
124 |
$ | (28,398 | ) | $ | (28,003 | ) | $ | (395 | ) | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
34 |
(7,873 | ) | (6,730 | ) | (1,143 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
49 |
(13,138 | ) | (9,516 | ) | (3,622 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
49 |
(13,138 | ) | (9,516 | ) | (3,622 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
143 |
(38,129 | ) | (26,322 | ) | (11,807 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
6/20/16 |
CCC- |
USD |
190 |
(56,729 | ) | (37,975 | ) | (18,754 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Deutsche Bank AG |
9/20/16 |
CCC- |
USD |
500 |
(165,840 | ) | (97,671 | ) | (68,169 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
9/20/16 |
CCC- |
USD |
473 |
(156,768 | ) | (90,237 | ) | (66,531 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/17 |
CCC- |
USD |
89 |
(35,635 | ) | (21,284 | ) | (14,351 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Deutsche Bank AG |
6/20/17 |
CCC- |
USD |
127 |
(53,128 | ) | (32,555 | ) | (20,573 | ) | |||||||||||||||||||||||||||
Total |
$ | (568,776 | ) | $ | (359,809 | ) | $ | (208,967 | ) |
1 | Using S&Ps rating of the issuer. |
2 | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement. |
| For Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not
apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
18 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Schedule of Investments (continued) | BlackRock Defined
Opportunity Credit Trust (BHL) |
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement
purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the
ability to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1
measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair
value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is
significant to the fair value measurement in its entirety.
|
||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the
pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing
in those securities. For information about the Funds policy regarding valuation of investments, please refer to Note 2 of the Notes to Financial
Statements.
|
||||
The following tables summarize the Funds investments and derivative financial instruments categorized in the disclosure
hierarchy as of February 28, 2014: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|||||||||||
Assets: |
|||||||||||||||||||
Investments: |
|||||||||||||||||||
Long-Term Investments: |
|||||||||||||||||||
Asset-Backed Securities |
| $ | 4,084,514 | | $ | 4,084,514 | |||||||||||||
Common Stocks |
| 994,598 | | 994,598 | |||||||||||||||
Corporate Bonds |
| 4,929,841 | | 4,929,841 | |||||||||||||||
Floating Rate Loan Interests |
| 160,957,420 | $ | 12,935,673 | 173,893,093 | ||||||||||||||
Investment Companies |
$ | 23,748 | | | 23,748 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 312,445 | | 312,445 | |||||||||||||||
Warrants |
| 2,444 | | 2,444 | |||||||||||||||
Short-Term Securities |
2,835,510 | | | 2,835,510 | |||||||||||||||
Unfunded Loan Commitments |
| 19 | | 19 | |||||||||||||||
Total |
$ | 2,859,258 | $ | 171,281,281 | $ | 12,935,673 | $ | 187,076,212 | |||||||||||
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|||||||||||
Derivative Financial Instruments1 |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Foreign currency exchange contracts |
| $ | 6,072 | | $ | 6,072 | |||||||||||||
Liabilities: |
|||||||||||||||||||
Credit contracts |
| (208,967 | ) | | (208,967 | ) | |||||||||||||
Foreign currency exchange contracts |
| (94,096 | ) | | (94,096 | ) | |||||||||||||
Total |
| $ | (296,991 | ) | | $ | (296,991 | ) |
1 | Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
The carrying amount for certain of the Funds assets and/or liabilities approximates fair value for financial statement
purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Assets: |
||||||||||||||||||
Cash |
$ | 182,484 | | | $ | 182,484 | ||||||||||||
Foreign currency at value |
171,631 | | | 171,631 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Bank borrowings payable |
| $ | (52,000,000 | ) | | (52,000,000 | ) | |||||||||||
Total |
$ | 354,115 | $ | (52,000,000 | ) | | $ | (51,645,885 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 19 |
Schedule of Investments (concluded) | BlackRock Defined
Opportunity Credit Trust (BHL) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning
and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable
inputs were used in determining fair value: |
|
|
Asset-Backed Securities |
|
Floating Rate Loan Interests |
|
Total |
|||||||||
Assets: |
|||||||||||||||
Opening Balance, as of August 31, 2013 |
$ | 4,422,403 | $ | 21,940,408 | $ | 26,362,811 | |||||||||
Transfers into Level 31 |
| 3,663,924 | 3,663,924 | ||||||||||||
Transfers out of Level 32 |
(3,316,503 | ) | (12,127,990 | ) | (15,444,493 | ) | |||||||||
Accrued discounts/premiums |
398 | 19,789 | 20,187 | ||||||||||||
Net
realized gain |
39,182 | 34,456 | 73,638 | ||||||||||||
Net
change in unrealized appreciation/ depreciation3,4 |
(38,010 | ) | 74,198 | 36,188 | |||||||||||
Purchases |
| 4,014,657 | 4,014,657 | ||||||||||||
Sales |
(1,107,470 | ) | (4,683,769 | ) | (5,791,239 | ) | |||||||||
Closing Balance, as of February 28, 2014 |
| $ | 12,935,673 | $ | 12,935,673 | ||||||||||
Net
change in unrealized appreciation/depreciation on investments still held at February 28, 20144 |
| $ | 89,436 | $ | 89,436 |
1 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,663,924 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $15,444,493 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Funds investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment.
Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or
higher value of such Level 3 investments. |
20 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments February 28, 2014 (Unaudited) |
BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Common Stocks | Shares |
Value | |||||||||||||
Chemicals 0.0% |
|||||||||||||||
GEO Specialty Chemicals, Inc. (a) |
23,849 | $ | 20,033 | ||||||||||||
Diversified Financial Services 0.2% |
|||||||||||||||
Kcad Holdings I Ltd. (a) |
217,833,983 | 849,552 | |||||||||||||
Electrical Equipment 0.0% |
|||||||||||||||
Medis Technologies Ltd. |
260,833 | 3 | |||||||||||||
Paper & Forest Products 0.5% |
|||||||||||||||
Ainsworth Lumber Co., Ltd. (a) |
393,892 | 1,494,036 | |||||||||||||
Ainsworth Lumber Co., Ltd. (a)(b) |
346,000 | 1,312,382 | |||||||||||||
Western Forest Products, Inc. (a) |
84,448 | 192,950 | |||||||||||||
2,999,368 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.0% |
|||||||||||||||
SunPower Corp. |
1,860 | 61,622 | |||||||||||||
Software 0.4% |
|||||||||||||||
HMH Holdings/EduMedia (a) |
116,627 | 2,251,367 | |||||||||||||
Total Common Stocks 1.1% |
6,181,945 | ||||||||||||||
Asset-Backed Securities (b)(c) |
Par (000) |
||||||||||||||
ALM Loan Funding: |
|||||||||||||||
Series 2013-7R2A, Class B, 2.84%, 4/24/24 |
USD |
775 | 759,965 | ||||||||||||
Series 2013-7RA, Class C, 3.69%, 4/24/24 |
2,125 | 2,054,748 | |||||||||||||
Series 2013-7RA, Class D, 5.24%, 4/24/24 |
900 | 852,192 | |||||||||||||
Series 2013-8A, Class B, 2.99%, 1/20/26 |
1,150 | 1,133,091 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24 |
1,100 | 1,065,763 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd.: |
|||||||||||||||
Series 2012-4A, Class D, 4.74%, 1/20/25 |
700 | 703,981 | |||||||||||||
Series 2013-1A, Class C, 4.24%, 2/14/25 |
250 | 250,723 | |||||||||||||
Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 |
500 | 490,738 | |||||||||||||
Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25 |
500 | 482,420 | |||||||||||||
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.88%, 3/21/24 |
500 | 486,375 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 |
950 | 949,974 | |||||||||||||
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22 |
1,500 | 1,508,736 | |||||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 |
370 | 356,655 | |||||||||||||
Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23 |
1,650 | 1,654,621 | |||||||||||||
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25 |
1,000 | 978,830 | |||||||||||||
North End CLO Ltd., Series 2013-1A, Class D, 3.74%, 7/17/25 |
750 | 726,680 | |||||||||||||
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25 |
1,000 | 953,949 | |||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 |
500 | 501,416 | |||||||||||||
Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23 |
1,075 | 1,075,353 | |||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25 |
500 | 497,120 | |||||||||||||
Symphony CLO Ltd., Series 2012-10A, Class D, 5.49%, 7/23/23 |
1,500 | 1,508,260 | |||||||||||||
Total Asset-Backed Securities 3.3% |
18,991,590 | ||||||||||||||
Corporate Bonds |
|||||||||||||||
Airlines 0.7% |
|||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |
1,140 | 1,182,750 | |||||||||||||
Corporate Bonds | Par (000) |
Value | |||||||||||||
Airlines (concluded) |
|||||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |
USD |
190 | $216,025 | ||||||||||||
US
Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |
2,605 | 2,657,100 | |||||||||||||
4,055,875 | |||||||||||||||
Auto Components 0.2% |
|||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 (b) |
1,177 | 1,191,713 | |||||||||||||
Capital Markets 0.0% |
|||||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(d)(e) |
129 | 280,172 | |||||||||||||
Chemicals 0.6% |
|||||||||||||||
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (b) |
1,559 | 3,398,812 | |||||||||||||
Commercial Services & Supplies 0.3% |
|||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.99%, 12/01/17 (b)(c) |
295 | 297,950 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |
1,085 | 1,125,779 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 |
350 | 375,375 | |||||||||||||
1,799,104 | |||||||||||||||
Communications Equipment 0.3% |
|||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (b) |
390 | 387,075 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 |
1,470 | 1,620,675 | |||||||||||||
2,007,750 | |||||||||||||||
Construction & Engineering 0.1% |
|||||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) |
335 | 355,938 | |||||||||||||
Diversified Financial Services 0.4% |
|||||||||||||||
Ally Financial, Inc.: |
|||||||||||||||
2.92%, 7/18/16 (c) |
1,375 | 1,403,572 | |||||||||||||
7.50%, 9/15/20 |
160 | 193,600 | |||||||||||||
8.00%, 11/01/31 |
360 | 453,600 | |||||||||||||
2,050,772 | |||||||||||||||
Diversified Telecommunication Services 0.3% |
|||||||||||||||
Level 3 Financing, Inc. (b): |
|||||||||||||||
3.85%, 1/15/18 (c) |
1,000 | 1,015,000 | |||||||||||||
6.13%, 1/15/21 |
555 | 586,912 | |||||||||||||
1,601,912 | |||||||||||||||
Health Care Technology 0.4% |
|||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (b) |
1,776 | 2,042,400 | |||||||||||||
Hotels, Restaurants & Leisure 0.3% |
|||||||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (b) |
948 | 949,682 | |||||||||||||
Travelport LLC/Travelport Holdings, Inc., 6.36%, 3/01/16 (b)(c) |
668 | 675,935 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(f) |
120 | | |||||||||||||
1,625,617 | |||||||||||||||
Household Durables 0.1% |
|||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 |
790 | 853,200 | |||||||||||||
Independent Power Producers & Energy Traders 0.8% |
|||||||||||||||
Calpine Corp., 6.00%, 1/15/22 (b) |
349 | 369,940 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: |
|||||||||||||||
10.00%, 12/01/20 |
2,895 | 3,010,800 | |||||||||||||
10.25%, 12/01/20 (b) |
1,115 | 1,159,600 | |||||||||||||
4,540,340 | |||||||||||||||
Media 0.2% |
|||||||||||||||
Checkout Holding Corp., 0.00%, 11/15/15 (b)(d) |
400 | 338,000 | |||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) |
514 | 535,845 | |||||||||||||
873,845 | |||||||||||||||
Oil, Gas & Consumable Fuels 0.1% |
|||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19 |
635 | 685,006 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 21 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Wireless Telecommunication Services 0.0% |
|||||||||||||||
T-Mobile USA, Inc., 6.13%, 1/15/22 |
USD |
225 | $ | 237,656 | |||||||||||
Total Corporate Bonds 4.8% |
27,600,112 | ||||||||||||||
Floating Rate Loan Interests (c) |
|||||||||||||||
Aerospace & Defense 2.1% |
|||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
2,223 | 2,220,421 | |||||||||||||
The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16 |
1,686 | 1,651,566 | |||||||||||||
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 |
1,572 | 1,577,895 | |||||||||||||
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 |
891 | 894,341 | |||||||||||||
TransUnion LLC, Term Loan, 4.25%, 2/10/19 |
5,587 | 5,602,539 | |||||||||||||
11,946,762 | |||||||||||||||
Airlines 1.0% |
|||||||||||||||
Delta Air Lines, Inc.: |
|||||||||||||||
Term Loan, 3.49%, 9/16/15 |
1,373 | 1,328,844 | |||||||||||||
Term Loan B1, 3.50%, 10/18/18 |
1,436 | 1,439,045 | |||||||||||||
Northwest Airlines, Inc., Term Loan: |
|||||||||||||||
2.24%, 3/10/17 |
913 | 881,153 | |||||||||||||
1.62%, 9/10/18 |
1,197 | 1,130,849 | |||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
1,150 | 1,150,356 | |||||||||||||
5,930,247 | |||||||||||||||
Auto Components 4.8% |
|||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
1,572 | 1,573,405 | |||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16 |
253 | 254,519 | |||||||||||||
Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/28/17 |
2,797 | 2,798,763 | |||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
1,595 | 1,608,956 | |||||||||||||
Federal-Mogul Corp.: |
|||||||||||||||
Term Loan B, 2.10%, 12/29/14 |
5,942 | 5,893,407 | |||||||||||||
Term Loan C, 2.10%, 12/28/15 |
5,482 | 5,436,550 | |||||||||||||
FleetPride Corp., 1st Lien Term Loan, 5.25%, 11/19/19 |
1,559 | 1,536,641 | |||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
5,015 | 5,061,389 | |||||||||||||
GPX International Tire Corp., Term Loan (a)(f)(g): |
|||||||||||||||
PIK, 13.00%, 12/31/49 |
18 | | |||||||||||||
12.25%, 12/31/49 |
1,097 | | |||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 |
15 | 15,098 | |||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 |
2,123 | 2,085,970 | |||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |
1,455 | 1,452,279 | |||||||||||||
27,716,977 | |||||||||||||||
Automobiles 0.1% |
|||||||||||||||
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18 |
825 | 820,727 | |||||||||||||
Building Products 2.1% |
|||||||||||||||
Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20 |
1,136 | 1,137,481 | |||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/14/20 |
1,177 | 1,176,556 | |||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |
3,436 | 3,438,552 | |||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21 |
895 | 896,495 | |||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |
1,481 | 1,484,368 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Building Products (concluded) |
||||||||||||||
Wilsonart LLC: |
||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
USD |
505 | $ | 503,737 | ||||||||||
Term Loan B, 4.00%, 10/31/19 |
3,420 | 3,416,176 | ||||||||||||
12,053,365 | ||||||||||||||
Capital Markets 0.2% |
||||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
879 | 878,829 | ||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 |
479 | 480,638 | ||||||||||||
1,359,467 | ||||||||||||||
Chemicals 4.0% |
||||||||||||||
Allnex USA, Inc.: |
||||||||||||||
Term Loan B1, 4.50%, 10/03/19 |
1,110 | 1,115,025 | ||||||||||||
Term Loan B2, 4.50%, 10/03/19 |
576 | 578,533 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20 |
3,171 | 3,182,358 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 |
117 | 117,489 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |
1,264 | 1,271,662 | ||||||||||||
Chromaflo Technologies Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/02/19 |
1,150 | 1,152,875 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/30/20 |
490 | 493,675 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
2,070 | 2,075,765 | ||||||||||||
INEOS Finance LLC: |
||||||||||||||
3 Year Term Loan, 2.15%, 5/04/15 |
382 | 381,948 | ||||||||||||
6 Year Term Loan, 3.75%, 5/04/18 |
865 | 862,595 | ||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20 |
1,547 | 1,553,414 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
2,467 | 2,449,696 | ||||||||||||
OXEA Finance LLC: |
||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
1,365 | 1,391,017 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
2,544 | 2,559,523 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
694 | 703,830 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
587 | 588,517 | ||||||||||||
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20 |
1,768 | 1,773,173 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |
989 | 982,475 | ||||||||||||
23,233,570 | ||||||||||||||
Commercial Banks 0.2% |
||||||||||||||
Redtop Acquisitions Ltd.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
845 | 849,926 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
310 | 316,200 | ||||||||||||
1,166,126 | ||||||||||||||
Commercial Services & Supplies 4.1% |
||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
3,251 | 3,247,654 | ||||||||||||
ARAMARK Corp.: |
||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |
46 | 46,140 | ||||||||||||
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |
32 | 32,207 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 |
1,202 | 1,205,059 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
3,816 | 3,829,945 | ||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 |
500 | 506,250 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 |
2,429 | 2,430,375 | ||||||||||||
Livingston International, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/19 |
1,353 | 1,356,583 | ||||||||||||
2nd Lien Term Loan, 9.00%, 4/20/20 |
875 | 892,261 | ||||||||||||
Progressive Waste Solutions Ltd., Term Loan B, 3.00%, 10/24/19 |
1,337 | 1,341,178 | ||||||||||||
Protection One, Inc., Term Loan, 4.25%, 3/21/19 |
2,054 | 2,048,684 |
22 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Commercial Services & Supplies (concluded) |
|||||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
USD |
4,072 | $ | 4,075,505 | |||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 |
2,966 | 2,948,834 | |||||||||||||
23,960,675 | |||||||||||||||
Communications Equipment 2.6% |
|||||||||||||||
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19 |
5,170 | 5,213,211 | |||||||||||||
Applied Systems, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
805 | 810,031 | |||||||||||||
2nd Lien Term Loan, 7.50%, 1/24/22 |
380 | 387,885 | |||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17 |
1,524 | 1,482,677 | |||||||||||||
Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18 |
493 | 496,766 | |||||||||||||
CommScope, Inc.: |
|||||||||||||||
Term Loan B3, 2.65% 2.73%, 1/21/17 |
696 | 694,806 | |||||||||||||
Term Loan B4, 3.25%, 1/26/18 |
1,044 | 1,045,467 | |||||||||||||
Telesat Canada, Term Loan A, 4.28%, 3/24/17 |
CAD |
2,375 | 2,144,857 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
USD |
2,837 | 2,842,628 | ||||||||||||
15,118,328 | |||||||||||||||
Construction & Engineering 1.0% |
|||||||||||||||
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20 |
1,428 | 1,425,907 | |||||||||||||
Centaur Acquisition LLC: |
|||||||||||||||
1st Lien Term Loan, 5.25%, 2/20/19 |
2,210 | 2,212,958 | |||||||||||||
2nd Lien Term Loan, 8.75%, 2/15/20 |
1,230 | 1,254,600 | |||||||||||||
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20 |
1,169 | 1,167,172 | |||||||||||||
6,060,637 | |||||||||||||||
Construction Materials 1.6% |
|||||||||||||||
Filtration Group Corp.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 11/21/20 |
970 | 977,682 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/21/21 |
525 | 536,156 | |||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
7,226 | 7,246,313 | |||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |
663 | 670,137 | |||||||||||||
9,430,288 | |||||||||||||||
Consumer Finance 0.5% |
|||||||||||||||
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19 |
3,060 | 3,095,190 | |||||||||||||
Containers & Packaging 1.1% |
|||||||||||||||
Ardagh Holdings USA, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.00%, 12/17/19 |
925 | 928,469 | |||||||||||||
Term Loan B, 4.25%, 12/17/19 |
1,285 | 1,288,212 | |||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21 |
800 | 797,600 | |||||||||||||
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18 |
1,450 | 1,455,597 | |||||||||||||
Tekni-Plex, Inc., Term Loan B, 5.50%, 8/25/19 |
1,716 | 1,718,407 | |||||||||||||
6,188,285 | |||||||||||||||
Distributors 1.3% |
|||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
5,022 | 5,023,969 | |||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |
1,020 | 1,015,244 | |||||||||||||
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17 |
1,198 | 1,197,900 | |||||||||||||
7,237,113 | |||||||||||||||
Diversified Consumer Services 2.1% |
|||||||||||||||
Allied Security Holdings, LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 |
1,067 | 1,065,639 | |||||||||||||
Delayed Draw Term Loan, 0.50%, 2/12/21 |
379 | 378,320 | |||||||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20 |
2,797 | 2,800,833 | |||||||||||||
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20 |
908 | 916,365 | |||||||||||||
Garda World Securities Corp.: |
|||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
301 | 300,781 | |||||||||||||
Term Loan B, 4.00%, 11/06/20 |
1,175 | 1,175,782 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Diversified Consumer Services (concluded) |
|||||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
USD |
1,077 | $ | 1,049,021 | |||||||||||
ServiceMaster Co., Term Loan, 4.25%, 1/31/17 |
2,047 | 2,046,680 | |||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
2,819 | 2,151,908 | |||||||||||||
11,885,329 | |||||||||||||||
Diversified Financial Services 2.3% |
|||||||||||||||
ION Trading Technologies Sarl: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 5/22/20 |
1,636 | 1,644,596 | |||||||||||||
2nd Lien Term Loan, 8.25%, 5/21/21 |
365 | 368,650 | |||||||||||||
Kasima LLC, Term Loan B, 3.25%, 5/17/21 |
1,535 | 1,533,081 | |||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
3,277 | 3,299,545 | |||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 |
395 | 397,110 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
2,595 | 2,599,334 | |||||||||||||
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20 |
3,486 | 3,481,033 | |||||||||||||
13,323,349 | |||||||||||||||
Diversified Telecommunication Services 4.4% |
|||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
3,891 | 3,912,971 | |||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
2,731 | 2,741,600 | |||||||||||||
Integra Telecom, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
1,125 | 1,153,406 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 |
2,025 | 2,042,922 | |||||||||||||
Level 3 Financing, Inc.: |
|||||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 |
9,510 | 9,533,775 | |||||||||||||
Term Loan, 4.00%, 8/01/19 |
1,085 | 1,088,255 | |||||||||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 |
1,939 | 1,945,713 | |||||||||||||
US
Telepacific Corp., Term Loan B, 5.75%, 2/23/17 |
3,072 | 3,091,508 | |||||||||||||
25,510,150 | |||||||||||||||
Electric Utilities 0.5% |
|||||||||||||||
American Energy Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18 |
1,423 | 1,486,535 | |||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 |
1,315 | 1,317,670 | |||||||||||||
2,804,205 | |||||||||||||||
Electrical Equipment 1.0% |
|||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/11/21 |
1,180 | 1,179,363 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17 |
6,610 | 4,606,707 | |||||||||||||
5,786,070 | |||||||||||||||
Electronic Equipment, Instruments & Components 0.4% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
2,283 | 2,270,381 | |||||||||||||
Energy Equipment & Services 0.8% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
1,831 | 1,836,292 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |
1,585 | 1,589,488 | |||||||||||||
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21 |
520 | 521,409 | |||||||||||||
Unifrax Corp., Term Loan, 4.25%, 11/28/18 |
952 | 954,879 | |||||||||||||
4,902,068 | |||||||||||||||
Food & Staples Retailing 1.7% |
|||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.47%, 7/09/15 |
GBP |
2,769 | 4,632,941 | ||||||||||||
Rite Aid Corp.: |
|||||||||||||||
2nd Lien Term Loan, 5.75%, 8/21/20 |
USD |
1,040 | 1,061,663 | ||||||||||||
Term Loan 6, 4.00%, 2/21/20 |
868 | 871,260 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |
2,229 | 2,236,198 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Food & Staples Retailing (concluded) |
||||||||||||||
US
Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 |
USD |
861 | $ | 864,978 | ||||||||||
9,667,040 | ||||||||||||||
Food Products 3.3% |
||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 |
884 | 886,403 | ||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |
1,132 | 1,132,638 | ||||||||||||
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20 |
1,740 | 1,742,175 | ||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18 |
785 | 784,498 | ||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
2,655 | 2,668,939 | ||||||||||||
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20 |
493 | 495,396 | ||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |
313 | 314,744 | ||||||||||||
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 |
635 | 635,765 | ||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
2,945 | 2,989,378 | ||||||||||||
Pinnacle Foods Finance LLC: |
||||||||||||||
Incremental Term Loan H, 3.25%, 4/29/20 |
534 | 531,885 | ||||||||||||
Term Loan G, 3.25%, 4/29/20 |
3,027 | 3,014,835 | ||||||||||||
Reddy Ice Corp.: |
||||||||||||||
1st Lien Term Loan, 6.75% 7.75%, 5/01/19 |
2,476 | 2,463,906 | ||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
1,195 | 1,159,150 | ||||||||||||
18,819,712 | ||||||||||||||
Health Care Equipment & Supplies 5.5% |
||||||||||||||
Arysta LifeScience Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 |
4,089 | 4,103,068 | ||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 |
1,675 | 1,698,031 | ||||||||||||
Biomet, Inc., Term Loan B2, 3.65% 3.75%, 7/25/17 |
3,318 | 3,322,805 | ||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 |
1,538 | 1,537,730 | ||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
2,072 | 2,069,394 | ||||||||||||
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 |
4,293 | 4,314,326 | ||||||||||||
Fresenius SE & Co. KgaA, Term Loan B: |
||||||||||||||
2.47%, 6/30/19 |
EUR |
530 | 730,645 | |||||||||||
2.25%, 8/07/19 |
USD |
2,703 | 2,699,089 | |||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 |
3,324 | 3,316,127 | ||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |
434 | 435,206 | ||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
3,554 | 3,571,571 | ||||||||||||
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18 |
529 | 530,213 | ||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |
415 | 416,037 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 |
576 | 560,382 | ||||||||||||
Onex Carestream Finance LP: |
||||||||||||||
1st Lien Term Loan, 5.00%, 6/07/19 |
1,316 | 1,331,058 | ||||||||||||
2nd Lien Term Loan, 9.50%, 12/07/19 |
1,170 | 1,193,400 | ||||||||||||
31,829,082 | ||||||||||||||
Health Care Providers & Services 6.8% |
||||||||||||||
American Renal Holdings, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/20/19 |
2,868 | 2,868,325 | ||||||||||||
2nd Lien Term Loan, 8.50%, 2/14/20 |
1,795 | 1,799,487 | ||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
1,148 | 1,151,271 | ||||||||||||
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19 |
1,778 | 1,785,694 | ||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
8,665 | 8,737,179 | ||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
2,440 | 2,451,466 | ||||||||||||
DaVita, Inc.: |
||||||||||||||
Term Loan B, 4.50%, 10/20/16 |
3,832 | 3,849,962 | ||||||||||||
Term Loan B2, 4.00%, 11/01/19 |
1,765 | 1,770,292 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Health Care Providers & Services (concluded) |
||||||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 |
USD |
1,042 | $ | 1,050,205 | ||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |
1,922 | 1,925,059 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% 10.75%, 9/25/17 |
1,242 | 1,276,469 | ||||||||||||
HCA, Inc.: |
||||||||||||||
Extended Term Loan B4, 3.00%, 5/01/18 |
1,136 | 1,134,443 | ||||||||||||
Term Loan B5, 2.90%, 3/31/17 |
825 | 823,810 | ||||||||||||
Ikaria, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 |
1,215 | 1,221,840 | ||||||||||||
2nd Lien Term Loan, 8.75%, 1/17/22 |
315 | 319,464 | ||||||||||||
inVentiv Health, Inc.: |
||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 |
1,008 | 1,006,016 | ||||||||||||
Incremental Term Loan B3, 7.75%, 5/15/18 |
1,105 | 1,095,907 | ||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21 |
820 | 827,175 | ||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18 |
1,856 | 1,854,135 | ||||||||||||
US
Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |
2,111 | 2,124,354 | ||||||||||||
39,072,553 | ||||||||||||||
Health Care Technology 0.7% |
||||||||||||||
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 |
3,202 | 3,199,914 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |
797 | 799,039 | ||||||||||||
3,998,953 | ||||||||||||||
Hotels, Restaurants & Leisure 12.0% |
||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 |
1,880 | 1,890,629 | ||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |
1,192 | 1,192,895 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 |
3,167 | 3,192,879 | ||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 |
12,440 | 12,624,361 | ||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 |
1,435 | 1,463,700 | ||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20 |
9,195 | 9,222,030 | ||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 |
1,620 | 1,634,175 | ||||||||||||
La
Quinta Intermediate Holdings, Term Loan B, 4.00%, 2/19/21 |
11,860 | 11,883,720 | ||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20 |
2,500 | 2,497,400 | ||||||||||||
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18 |
1,475 | 1,487,287 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
2,364 | 2,359,489 | ||||||||||||
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 |
1,012 | 1,010,453 | ||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
2,264 | 2,265,753 | ||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 |
1,776 | 1,782,208 | ||||||||||||
Sabre, Inc.: |
||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
509 | 509,203 | ||||||||||||
Term Loan B, 4.25%, 2/19/19 |
1,396 | 1,396,193 | ||||||||||||
Six Flags Theme Parks, Inc., Term Loan B, 3.50%, 12/20/18 |
1,146 | 1,151,449 | ||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20 |
5,240 | 5,242,024 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc.: |
||||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 |
1,057 | 1,095,009 | ||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 |
1,378 | 1,412,100 | ||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18 |
2,458 | 2,475,349 | ||||||||||||
Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 |
1,643 | 1,639,789 | ||||||||||||
69,428,095 |
24 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Household Products 1.1% |
|||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
USD |
2,769 | $ | 2,780,379 | |||||||||||
Prestige Brands, Inc., Term Loan, 3.75% 5.00%, 1/31/19 |
1,359 | 1,363,451 | |||||||||||||
Spectrum Brands, Inc.: |
|||||||||||||||
Term Loan A, 3.00%, 9/07/17 |
1,021 | 1,022,326 | |||||||||||||
Term Loan C, 3.50%, 9/04/19 |
1,473 | 1,471,039 | |||||||||||||
6,637,195 | |||||||||||||||
Independent Power Producers & Energy Traders 1.7% |
|||||||||||||||
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18 |
3,042 | 3,051,437 | |||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/02/18 |
921 | 924,508 | |||||||||||||
La
Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 |
4,414 | 4,419,284 | |||||||||||||
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20 |
1,537 | 1,540,492 | |||||||||||||
9,935,721 | |||||||||||||||
Industrial Conglomerates 0.8% |
|||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
4,547 | 4,474,933 | |||||||||||||
Insurance 3.3% |
|||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19 |
1,822 | 1,831,856 | |||||||||||||
Asurion LLC: |
|||||||||||||||
2nd Lien Term Loan, 8.50%, 2/19/21 |
1,350 | 1,392,187 | |||||||||||||
Term Loan B1, 4.50%, 5/24/19 |
2,774 | 2,778,270 | |||||||||||||
CNO Financial Group, Inc.: |
|||||||||||||||
Term Loan B1, 3.00%, 9/28/16 |
1,350 | 1,354,225 | |||||||||||||
Term Loan B2, 3.75%, 9/20/18 |
2,267 | 2,261,333 | |||||||||||||
Cooper Gay Swett & Crawford Ltd.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 |
1,836 | 1,806,715 | |||||||||||||
2nd Lien Term Loan, 8.25%, 10/16/20 |
860 | 828,825 | |||||||||||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 |
1,584 | 1,576,080 | |||||||||||||
Hub International Ltd., Term Loan B, 4.75%, 10/02/20 |
1,925 | 1,941,212 | |||||||||||||
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20 |
562 | 567,094 | |||||||||||||
Sedgwick CMS Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 3.75%, 2/11/21 |
1,510 | 1,502,072 | |||||||||||||
2nd Lien Term Loan, 6.75%, 12/12/18 |
1,155 | 1,165,926 | |||||||||||||
19,005,795 | |||||||||||||||
Internet Software & Services 1.7% |
|||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21 |
1,105 | 1,110,525 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 |
3,819 | 3,822,491 | |||||||||||||
Open Text Corp., Term Loan B, 3.25%, 1/04/21 |
1,225 | 1,224,388 | |||||||||||||
W3
Co.: |
|||||||||||||||
1st Lien Term Loan, 5.75%, 3/13/20 |
1,782 | 1,785,991 | |||||||||||||
2nd Lien Term Loan, 9.25%, 9/11/20 |
693 | 700,195 | |||||||||||||
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 |
1,228 | 1,241,515 | |||||||||||||
9,885,105 | |||||||||||||||
IT Services 3.5% |
|||||||||||||||
Ceridian Corp., Term Loan B, 4.37% 4.40%, 5/09/17 |
3,873 | 3,883,918 | |||||||||||||
First Data Corp.: |
|||||||||||||||
2018 Term Loan, 4.16%, 9/24/18 |
1,050 | 1,051,753 | |||||||||||||
Extended 2018 Term Loan B, 4.16%, 3/23/18 |
9,424 | 9,433,909 | |||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |
2,868 | 2,867,910 | |||||||||||||
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18 |
1,015 | 885,177 | |||||||||||||
SunGard Data Systems, Inc.: |
|||||||||||||||
Term Loan D, 4.50%, 1/31/20 |
1,153 | 1,154,792 | |||||||||||||
Term Loan E, 4.00%, 3/09/20 |
645 | 647,738 | |||||||||||||
19,925,197 | |||||||||||||||
Leisure Equipment & Products 0.2% |
|||||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |
884 | 897,505 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Life Sciences Tools & Services 0.5% |
|||||||||||||||
Patheon, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 6.25%, 1/09/21 |
USD |
1,595 | $ | 1,590,024 | |||||||||||
Term Loan, 7.25%, 12/06/18 |
1,195 | 1,191,290 | |||||||||||||
2,781,314 | |||||||||||||||
Machinery 4.4% |
|||||||||||||||
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20 |
915 | 913,472 | |||||||||||||
Alliance Laundry Systems LLC: |
|||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 |
573 | 579,886 | |||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 |
1,117 | 1,120,897 | |||||||||||||
Faenza Acquisition GmbH: |
|||||||||||||||
Term Loan B1, 4.25%, 8/31/20 |
1,191 | 1,193,188 | |||||||||||||
Term Loan B3, 4.25%, 8/28/20 |
362 | 362,926 | |||||||||||||
Gardner Denver, Inc.: |
|||||||||||||||
4.25%, 7/30/20 |
3,321 | 3,305,304 | |||||||||||||
4.75%, 7/30/20 |
EUR |
548 | 756,942 | ||||||||||||
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20 |
USD |
3,418 | 3,417,210 | ||||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
1,975 | 1,978,721 | |||||||||||||
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19 |
2,440 | 2,451,527 | |||||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 |
904 | 916,022 | |||||||||||||
Pacific Industrial Services US Finance Co. LLC: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 10/02/18 |
2,204 | 2,232,031 | |||||||||||||
2nd Lien Term Loan, 8.75%, 4/02/19 |
855 | 876,375 | |||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
1,726 | 1,729,466 | |||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |
1,260 | 1,261,589 | |||||||||||||
STS Operating, Inc., Term Loan, 4.75%, 2/19/21 |
690 | 691,725 | |||||||||||||
Terex Corp., Term Loan, 4.00%, 4/28/17 |
EUR |
153 | 212,173 | ||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
USD |
1,271 | 1,276,028 | ||||||||||||
25,275,482 | |||||||||||||||
Marine 0.4% |
|||||||||||||||
HGIM Corp., Term Loan B, 5.50%, 6/18/20 |
2,275 | 2,299,628 | |||||||||||||
Media 13.0% |
|||||||||||||||
Acosta, Inc., Term Loan B, 4.25%, 3/02/18 |
195 | 195,683 | |||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 |
2,576 | 2,580,316 | |||||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 |
1,125 | 1,128,746 | |||||||||||||
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20 |
2,494 | 2,505,171 | |||||||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21 |
750 | 748,005 | |||||||||||||
Cengage Learning Acquisitions, Inc.: |
|||||||||||||||
Non-Extended Term Loan, 4.75%, 7/03/14 |
781 | 735,656 | |||||||||||||
Tranche 1 Incremental, 9.50%, 7/03/14 |
1,708 | 1,586,495 | |||||||||||||
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 |
2,025 | 2,014,195 | |||||||||||||
Clear Channel Communications, Inc.: |
|||||||||||||||
Term Loan B, 3.80%, 1/29/16 |
655 | 642,986 | |||||||||||||
Term Loan C, 3.80%, 1/29/16 |
174 | 169,711 | |||||||||||||
Term Loan D, 6.90%, 1/30/19 |
6,875 | 6,745,958 | |||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
2,411 | 2,425,073 | |||||||||||||
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20 |
1,540 | 1,543,234 | |||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 |
1,097 | 1,097,693 | |||||||||||||
Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19 |
286 | 287,208 | |||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 |
196 | 186,676 | |||||||||||||
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 |
1,614 | 1,618,010 | |||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |
1,544 | 1,549,857 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 25 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Media (concluded) |
||||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
USD |
5,188 | $ | 5,221,966 | ||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 |
645 | 653,063 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |
499 | 499,373 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
1,845 | 1,860,000 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18 |
1,120 | 1,113,000 | ||||||||||||
NEP/NCP Holdco, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.50%, 7/22/20 |
571 | 584,286 | ||||||||||||
Incremental Term Loan, 4.50%, 1/22/20 |
2,871 | 2,871,000 | ||||||||||||
Nielsen Finance LLC, Term Loan E, 2.91%, 5/02/16 |
2,362 | 2,362,030 | ||||||||||||
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 |
2,353 | 2,288,463 | ||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
1,709 | 1,714,015 | ||||||||||||
SBA Senior Finance II LLC: |
||||||||||||||
Incremental Delayed Draw Term Loan B, 3.25%, 3/31/21 |
1,093 | 1,089,091 | ||||||||||||
Incremental Term Loan B, 3.25%, 3/24/21 |
1,093 | 1,089,255 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |
1,881 | 1,867,161 | ||||||||||||
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20 |
2,150 | 2,159,823 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |
2,855 | 2,852,316 | ||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 |
2,045 | 1,978,538 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
2,294 | 2,299,049 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21 |
EUR |
1,272 | 1,768,249 | |||||||||||
Virgin Media Investment Holdings Ltd.: |
||||||||||||||
Term Loan B, 3.50%, 6/08/20 |
USD |
3,415 | 3,411,346 | |||||||||||
Term Loan C, 4.50%, 6/05/20 |
GBP |
2,840 | 4,782,214 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |
USD |
2,231 | 2,241,505 | |||||||||||
Ziggo NV: |
||||||||||||||
Term Loan B1, 3.50%, 1/15/22 |
1,025 | 1,020,535 | ||||||||||||
Term Loan B2, 3.50%, 1/15/22 |
661 | 657,731 | ||||||||||||
Term Loan B3, 2.75%, 1/15/22 |
1,087 | 1,081,734 | ||||||||||||
75,226,416 | ||||||||||||||
Metals & Mining 3.3% |
||||||||||||||
Ameriforge Group, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 12/19/19 |
1,624 | 1,631,067 | ||||||||||||
2nd Lien Term Loan, 8.75%, 12/19/20 |
815 | 833,337 | ||||||||||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 |
1,639 | 1,637,201 | ||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 |
3,628 | 3,700,139 | ||||||||||||
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19 |
3,719 | 3,752,316 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
3,418 | 3,429,608 | ||||||||||||
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 |
576 | 576,346 | ||||||||||||
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18 |
623 | 611,408 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
2,633 | 2,698,315 | ||||||||||||
18,869,737 | ||||||||||||||
Multiline Retail 2.7% |
||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |
1,979 | 1,995,332 | ||||||||||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 |
2,099 | 2,072,248 | ||||||||||||
BJs Wholesale Club, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
2,367 | 2,380,002 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
870 | 892,568 | ||||||||||||
HEMA Holding BV: |
||||||||||||||
Extended 2nd Lien Term Loan, 5.97%, 1/05/18 |
EUR |
1,400 | 1,739,179 | |||||||||||
Extended Term Loan B, 4.60%, 12/06/17 |
576 | 782,014 | ||||||||||||
Extended Term Loan C, 4.60%, 12/06/17 |
528 | 716,166 | ||||||||||||
Hudsons Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |
USD |
1,882 | 1,909,142 | |||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Multiline Retail (concluded) |
||||||||||||||
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/26/20 |
USD |
3,057 | $ | 3,091,427 | ||||||||||
15,578,078 | ||||||||||||||
Oil, Gas & Consumable Fuels 5.2% |
||||||||||||||
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18 |
845 | 833,077 | ||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 |
4,285 | 4,378,370 | ||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
2,597 | 2,643,288 | ||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |
1,920 | 1,918,560 | ||||||||||||
Fieldwood Energy LLC: |
||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
1,367 | 1,369,396 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
590 | 610,284 | ||||||||||||
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20 |
1,435 | 1,463,700 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
1,246 | 1,264,780 | ||||||||||||
Offshore Group Investment Ltd.: |
||||||||||||||
5.00%, 10/25/17 |
2,959 | 2,970,493 | ||||||||||||
5.75%, 3/28/19 |
749 | 757,719 | ||||||||||||
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18 |
2,418 | 2,432,212 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
1,560 | 1,593,150 | ||||||||||||
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18 |
235 | 211,792 | ||||||||||||
Power Buyer, LLC: |
||||||||||||||
1st Lien Term Loan, 4.25%, 5/06/20 |
840 | 837,601 | ||||||||||||
2nd Lien Term Loan, 8.25%, 11/06/20 |
470 | 465,300 | ||||||||||||
Delayed Draw Term Loan, 4.25%, 5/06/20 |
46 | 45,774 | ||||||||||||
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20 |
1,025 | 1,031,406 | ||||||||||||
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 |
1,188 | 1,185,912 | ||||||||||||
Tesoro Corp., Term Loan B, 2.40%, 5/30/16 |
1,880 | 1,884,875 | ||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 |
1,470 | 1,479,188 | ||||||||||||
WTG Holdings III Corp.: |
||||||||||||||
1st Lien Term Loan, 4.75%, 1/15/21 |
605 | 606,513 | ||||||||||||
2nd Lien Term Loan, 8.50%, 1/15/22 |
140 | 141,663 | ||||||||||||
30,125,053 | ||||||||||||||
Pharmaceuticals 4.4% |
||||||||||||||
Akorn, Inc., Term Loan B, 4.50%, 8/27/20 |
1,790 | 1,801,187 | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 5.75% 7.00%, 11/01/19 |
1,232 | 1,238,072 | ||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |
921 | 921,565 | ||||||||||||
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20 |
1,580 | 1,576,714 | ||||||||||||
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18 |
425 | 425,608 | ||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19 |
5,356 | 5,360,314 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
4,056 | 4,071,443 | ||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |
2,647 | 2,649,280 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: |
||||||||||||||
Series C2 Term Loan B, 3.75%, 12/11/19 |
2,666 | 2,672,916 | ||||||||||||
Series D2 Term Loan B, 3.75%, 2/13/19 |
2,933 | 2,940,830 | ||||||||||||
Series E Term Loan B, 3.75%, 8/05/20 |
1,663 | 1,671,880 | ||||||||||||
25,329,809 | ||||||||||||||
Professional Services 1.7% |
||||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
3,241 | 3,244,945 | ||||||||||||
ON
Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20 |
754 | 754,509 | ||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
1,846 | 1,878,356 |
26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Professional Services (concluded) |
|||||||||||||||
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20 |
USD |
1,162 | $ | 1,169,350 | |||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
2,605 | 2,610,685 | |||||||||||||
9,657,845 | |||||||||||||||
Real Estate Investment Trusts (REITs) 0.5% |
|||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 |
2,513 | 2,517,376 | |||||||||||||
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20 |
559 | 556,672 | |||||||||||||
3,074,048 | |||||||||||||||
Real Estate Management & Development 1.4% |
|||||||||||||||
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20 |
2,525 | 2,548,281 | |||||||||||||
Realogy Corp.: |
|||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
247 | 247,967 | |||||||||||||
Extended Term Loan, 4.50%, 3/05/20 |
5,238 | 5,249,522 | |||||||||||||
8,045,770 | |||||||||||||||
Road & Rail 0.4% |
|||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 1.90% 1.91%, 9/29/17 |
1,079 | 1,079,430 | |||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 |
1,004 | 1,009,015 | |||||||||||||
2,088,445 | |||||||||||||||
Semiconductors & Semiconductor Equipment 0.8% |
|||||||||||||||
Freescale Semiconductor, Inc.: |
|||||||||||||||
Term Loan B4, 5.00%, 2/28/20 |
2,355 | 2,363,088 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
713 | 721,236 | |||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 |
1,426 | 1,424,999 | |||||||||||||
4,509,323 | |||||||||||||||
Software 4.9% |
|||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 |
2,455 | 2,460,622 | |||||||||||||
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20 |
611 | 610,134 | |||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
1,065 | 1,036,969 | |||||||||||||
GCA Services Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
780 | 788,775 | |||||||||||||
Term Loan B, 4.25% 5.50%, 11/01/19 |
1,804 | 1,815,730 | |||||||||||||
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |
4,107 | 4,098,720 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21 |
920 | 901,600 | |||||||||||||
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20 |
510 | 513,509 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |
1,787 | 1,817,896 | |||||||||||||
Mitchell International, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
1,380 | 1,383,450 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
1,600 | 1,630,672 | |||||||||||||
RP
Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 |
1,553 | 1,554,924 | |||||||||||||
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21 |
690 | 696,038 | |||||||||||||
Sophia LP, Term Loan B, 4.50%, 7/19/18 |
2,641 | 2,657,774 | |||||||||||||
SS&C Technologies, Inc.: |
|||||||||||||||
Term Loan B1, 3.25%, 6/07/19 |
2,762 | 2,770,375 | |||||||||||||
Term Loan B2, 3.25%, 6/07/19 |
286 | 286,591 | |||||||||||||
StoneRiver Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 11/29/19 |
635 | 634,594 | |||||||||||||
2nd Lien Term Loan, 8.50%, 5/29/20 |
902 | 908,530 | |||||||||||||
Websence, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 8.25%, 12/24/20 |
730 | 731,825 | |||||||||||||
Term Loan B, 4.50%, 6/25/20 |
801 | 806,982 | |||||||||||||
28,105,710 | |||||||||||||||
Specialty Retail 4.7% |
|||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
2,685 | 2,698,728 | |||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17 |
594 | 597,544 | |||||||||||||
Davids Bridal, Inc., Term Loan B, 5.00%, 10/11/19 |
3,672 | 3,690,566 | |||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% 5.50%, 1/31/20 |
1,950 | 1,967,327 | |||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Specialty Retail (concluded) |
|||||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 |
USD |
161 | $ | 146,775 | |||||||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 |
1,980 | 2,005,238 | |||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 |
976 | 975,753 | |||||||||||||
Leslies Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |
2,390 | 2,399,256 | |||||||||||||
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 |
2,264 | 2,269,267 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
3,306 | 3,307,345 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
3,387 | 3,397,452 | |||||||||||||
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20 |
258 | 258,811 | |||||||||||||
SRAM LLC, Term Loan B, 4.00% 5.25%, 4/10/20 |
823 | 823,476 | |||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |
1,714 | 1,705,654 | |||||||||||||
Toys ‘R Us-Delaware, Inc.: |
|||||||||||||||
Incremental Term Loan B2, 5.25%, 5/25/18 |
789 | 660,479 | |||||||||||||
Term Loan B3, 5.25%, 5/25/18 |
164 | 136,798 | |||||||||||||
27,040,469 | |||||||||||||||
Textiles, Apparel & Luxury Goods 1.2% |
|||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
3,964 | 3,845,456 | |||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 2/20/21 |
1,780 | 1,773,325 | |||||||||||||
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20 |
1,123 | 1,123,794 | |||||||||||||
6,742,575 | |||||||||||||||
Thrifts & Mortgage Finance 0.3% |
|||||||||||||||
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 |
1,940 | 1,945,251 | |||||||||||||
Trading Companies & Distributors 0.1% |
|||||||||||||||
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19 |
242 | 245,264 | |||||||||||||
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19 |
550 | 551,151 | |||||||||||||
796,415 | |||||||||||||||
Wireless Telecommunication Services 0.7% |
|||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 |
1,621 | 1,621,640 | |||||||||||||
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |
2,677 | 2,671,545 | |||||||||||||
4,293,185 | |||||||||||||||
Total Floating Rate Loan Interests 131.1% |
757,160,748 | ||||||||||||||
Non-Agency Mortgage-Backed Securities 0.2% |
|||||||||||||||
Commercial Mortgage-Backed Securities 0.2% |
|||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c) |
1,336 | 1,373,113 | |||||||||||||
Investment Companies |
Shares | ||||||||||||||
Capital Markets 0.0% |
|||||||||||||||
Eaton Vance Floating-Rate Income Trust |
54 | 830 | |||||||||||||
Eaton Vance Senior Income Trust |
13,945 | 98,173 | |||||||||||||
Total Investment Companies 0.0% |
99,003 | ||||||||||||||
Other Interests (h) |
Beneficial Interest (000) |
||||||||||||||
Auto Components 0.0% |
|||||||||||||||
Intermet Liquidating Trust, Class A |
USD |
256 | 3 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Other Interests (h) | Beneficial Interest (000) |
Value | |||||||||||||
Diversified Financial Services 0.1% |
|||||||||||||||
J.G. Wentworth LLC Preferred Equity Interests:
(135-day lockup), (Acquired 11/18/13, cost $1,177,928) (a)(i) |
USD |
17 | $ | 311,621 | |||||||||||
(180-day lockup), (Acquired 11/18/13, cost $1,177,928) (a)(i) |
17 | 311,622 | |||||||||||||
623,243 | |||||||||||||||
Household Durables 0.4% |
|||||||||||||||
Stanley Martin, Class B Membership Units |
1 | 2,032,500 | |||||||||||||
Total Other Interests 0.5% |
2,655,746 | ||||||||||||||
Preferred Securities |
Shares | ||||||||||||||
Preferred Stocks 0.0% |
|||||||||||||||
Consumer Finance 0.0% |
|||||||||||||||
Ally Financial, Inc., Series A, 8.50% (c)(j) |
4,976 | 136,094 | |||||||||||||
Trust Preferreds 0.5% |
|||||||||||||||
Diversified Financial Services 0.5% |
|||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) |
95,644 | 2,587,021 | |||||||||||||
Total Preferred Securities0.5% |
2,723,115 | ||||||||||||||
Warrants (k) |
Shares |
Value | |||||||||||||
Chemicals 0.0% |
|||||||||||||||
GEO Specialty Chemicals, Inc., (Expires 3/31/15) |
143,928 | $ | 119,460 | ||||||||||||
Software 0.0% |
|||||||||||||||
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27) |
2,406 | 8,510 | |||||||||||||
Total Warrants 0.0% |
127,970 | ||||||||||||||
Total Long-Term Investments (Cost $814,499,723) 141.5% |
816,913,342 | ||||||||||||||
Short-Term Securities |
|||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(m) |
4,239,004 | 4,239,004 | |||||||||||||
Total Short-Term Securities (Cost $4,239,004) 0.7% |
4,239,004 | ||||||||||||||
Options Purchased |
|||||||||||||||
(Cost $43,022) 0.0% |
| ||||||||||||||
Total Investments (Cost $818,781,749) 142.2% |
$ | 821,152,346 | |||||||||||||
Liabilities in Excess of Other Assets (42.2)% |
(243,791,198 | ) | |||||||||||||
Net Assets 100.0% |
$ | 577,361,148 |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. |
|||
(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) | Variable rate security. Rate shown is as of report date. |
|||
(d) | Zero-coupon bond. Rate shown epresents the current yield as of report date. |
|||
(e) | Convertible security. |
|||
(f) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|||
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
|||
(h) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|||
(i) | Restricted security as to resale. As of report date the Fund held 0.1% of its net assets, with a current value of $623,243 in this
security. |
|||
(j) | Security is perpetual in nature and has no stated maturity date. |
|||
(k) | Warrants entitle the Fund to purchase a predetermined 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, if any. |
|||
(l) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of
Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate |
|
Shares Held at August 31, 2013 |
|
Net Activity |
|
Shares Held at February 28, 2014 |
|
Income |
||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
907,643 | 3,331,361 | 4,239,004 | $ | 439 |
(m) | Represents the current yield as of report date. |
28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
| Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows: |
Currency Purchased |
Currency Sold |
|
Counterparty |
|
Settlement Date |
|
Unrealized Appreciation (Depreciation) |
|
||||||||||||||||||||
CAD |
7,633 | USD |
6,912 | Deutsche Bank AG |
4/22/14 |
$ | (27 | ) | ||||||||||||||||||||
EUR |
548,283 | USD |
747,076 | Deutsche Bank AG |
4/22/14 |
9,706 | ||||||||||||||||||||||
GBP |
490,997 | USD |
805,149 | Deutsche Bank AG |
4/22/14 |
16,752 | ||||||||||||||||||||||
USD |
3,130,317 | CAD |
3,435,000 | Barclays Bank PLC |
4/22/14 |
31,839 | ||||||||||||||||||||||
USD |
574,141 | EUR |
425,000 | BNP Paribas S.A. |
4/22/14 |
(12,476 | ) | |||||||||||||||||||||
USD |
728,969 | EUR |
530,000 | Goldman Sachs Bank USA |
4/22/14 |
(2,577 | ) | |||||||||||||||||||||
USD |
724,424 | EUR |
530,000 | JPMorgan Chase Bank N.A. |
4/22/14 |
(7,123 | ) | |||||||||||||||||||||
USD |
4,971,754 | EUR |
3,656,462 | Royal Bank of Scotland PLC |
4/22/14 |
(75,174 | ) | |||||||||||||||||||||
USD |
9,112,268 | GBP |
5,550,000 | JPMorgan Chase Bank N.A. |
4/22/14 |
(178,108 | ) | |||||||||||||||||||||
Total |
$ | (217,188 | ) |
| OTC options purchased as of February 28, 2014 were as follows: |
Description |
|
Counterparty |
|
Put/ Call |
|
Strike Price |
|
Expiration Date |
|
Contracts |
|
Market Value |
|
||||||||||||||||||
Marsico Parent Superholdco LLC |
Goldman Sachs & Co. |
Call |
USD |
942.86 |
12/14/19 |
44 |
|
| OTC credit default swaps sold protection outstanding as of February 28, 2014 were as follows: |
Issuer |
|
Receive Fixed Rate |
|
Counterparty |
|
Expiration Date |
|
Credit Rating1 |
|
Notional Amount (000)2 |
|
Market Value |
|
Premiums Received |
|
Unrealized Depreciation |
|
||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
9/20/15 |
CCC- |
USD |
413 |
$ | (79,580 | ) | $ | (73,641 | ) | $ | (5,939 | ) | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
538 |
(123,311 | ) | (121,598 | ) | (1,713 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
149 |
(34,190 | ) | (29,227 | ) | (4,963 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
12/20/15 |
CCC- |
USD |
1,112 |
(254,556 | ) | (192,793 | ) | (61,763 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs International |
12/20/15 |
CCC- |
USD |
339 |
(77,702 | ) | (37,985 | ) | (39,717 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
3/20/16 |
CCC- |
USD |
2,000 |
(531,934 | ) | (347,486 | ) | (184,448 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
6/20/16 |
CCC- |
USD |
362 |
(108,154 | ) | (60,571 | ) | (47,583 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs International |
9/20/16 |
CCC- |
USD |
2,092 |
(693,781 | ) | (399,346 | ) | (294,435 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
9/20/16 |
CCC- |
USD |
302 |
(100,206 | ) | (57,733 | ) | (42,473 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Deutsche Bank AG |
9/20/16 |
CCC- |
USD |
800 |
(265,344 | ) | (156,273 | ) | (109,071 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs International |
3/20/17 |
CCC- |
USD |
389 |
(154,756 | ) | (92,433 | ) | (62,323 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Deutsche Bank AG |
6/20/17 |
CCC- |
USD |
593 |
(247,930 | ) | (151,923 | ) | (96,007 | ) | |||||||||||||||||||||||||||
Total |
$ | (2,671,444 | ) | $ | (1,721,009 | ) | $ | (950,435 | ) |
1 | Using S&Ps rating of the issuer. |
2 | The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of the agreement. |
| For Fund compliance purposes, the Funds industry classifications refer to any 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 advisor. These definitions may not
apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|||
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial
instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement
purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the
ability to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1
measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair
value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is
significant to the fair value measurement in its entirety. |
||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the
pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information
about the Funds policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial
Statements. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 29 |
Consolidated Schedule of Investments (continued) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
The following tables summarize the Funds investments and derivative financial instruments categorized in the disclosure
hierarchy as of February 28, 2014: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Assets: |
||||||||||||||||||
Investments: |
||||||||||||||||||
Long-Term Investments: |
||||||||||||||||||
Asset-Backed Securities |
| $ | 18,231,625 | $ | 759,965 | $ | 18,991,590 | |||||||||||
Common Stocks |
$ | 1,748,608 | 3,563,749 | 869,588 | 6,181,945 | |||||||||||||
Corporate Bonds |
| 24,201,300 | 3,398,812 | 27,600,112 | ||||||||||||||
Floating Rate Loan Interests |
| 698,273,817 | 58,886,931 | 757,160,748 | ||||||||||||||
Investment Companies |
99,003 | | | 99,003 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 1,373,113 | | 1,373,113 | ||||||||||||||
Other Interests |
| 623,243 | 2,032,503 | 2,655,746 | ||||||||||||||
Preferred Securities |
2,723,115 | | | 2,723,115 | ||||||||||||||
Warrants |
| 8,510 | 119,460 | 127,970 | ||||||||||||||
Short-Term Securities |
4,239,004 | | | 4,239,004 | ||||||||||||||
Unfunded Loan Commitments |
| 82 | | 82 | ||||||||||||||
Total |
$ | 8,809,730 | $ | 746,275,439 | $ | 66,067,259 | $ | 821,152,428 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Derivative Financial Instruments1 |
||||||||||||||||||
Assets: |
||||||||||||||||||
Foreign currency exchange contracts |
| $ | 58,297 | | $ | 58,297 | ||||||||||||
Liabilities: |
||||||||||||||||||
Credit contracts |
| (950,435 | ) | | (950,435 | ) | ||||||||||||
Foreign currency exchange contracts |
| (275,485 | ) | | (275,485 | ) | ||||||||||||
Total |
| $ | (1,167,623 | ) | | $ | (1,167,623 | ) |
1 | Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
The carrying amount for certain of the Funds assets and/or liabilities approximates fair value for financial statement
purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Assets: |
||||||||||||||||||
Cash pledged as collateral for OTC derivatives |
$ | 1,560,000 | | | $ | 1,560,000 | ||||||||||||
Foreign currency at value |
724,871 | | | 724,871 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Bank overdraft |
(89,151 | ) | | | (89,151 | ) | ||||||||||||
Bank borrowings payable |
| $ | (224,000,000 | ) | | (224,000,000 | ) | |||||||||||
Total |
$ | 2,195,720 | $ | (224,000,000 | ) | | $ | (221,804,280 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014. |
30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (concluded) | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning
and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable
inputs were used in determining fair value: |
|
|
Common Stocks |
|
Asset-Backed Securities |
|
Corporate Bonds |
|
Floating Rate Loan Interests |
|
Other Interests |
|
Warrants |
|
Total |
||||||||||||||
Assets:
|
||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2013
|
$ | 1,119,143 | $ | 21,081,133 | $ | 4,187,534 | $ | 86,976,283 | $ | 2,150,980 | $ | 113,703 | $ | 115,628,776 | ||||||||||||||
Transfers into Level 31
|
| | | 18,257,199 | | | 18,257,199 | |||||||||||||||||||||
Transfers out of Level 32
|
| (15,468,197 | ) | (929,040 | ) | (43,938,814 | ) | | | (60,336,051 | ) | |||||||||||||||||
Other
|
| | | | | | | |||||||||||||||||||||
Accrued discounts/premiums
|
| 3,548 | 38,185 | 95,812 | | | 137,545 | |||||||||||||||||||||
Net realized gain (loss)
|
| 220,661 | (1,353,448 | ) | 150,421 | | | (982,366 | ) | |||||||||||||||||||
Net change in unrealized appreciation/depreciation3,4
|
(249,555 | ) | (202,589 | ) | 1,456,879 | 212,819 | 3,571,107 | 5,757 | 4,794,418 | |||||||||||||||||||
Purchases
|
| | | 17,689,490 | | | 17,689,490 | |||||||||||||||||||||
Sales
|
| (4,874,591 | ) | (1,298 | ) | (20,556,279 | ) | (3,689,584 | ) | | (29,121,752 | ) | ||||||||||||||||
Closing Balance, as of February 28, 2014
|
$ | 869,588 | $ | 759,965 | $ | 3,398,812 | $ | 58,886,931 | $ | 2,032,503 | $ | 119,460 | $ | 66,067,259 | ||||||||||||||
Net change in unrealized appreciation/depreciation
on investments still held at February 28, 20144 |
$ | (249,555 | ) | $ | 18,547 | $ | 102,132 | $ | 279,801 | $ | 525,000 | $ | 5,757 | $ | 681,682 |
1 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,257,199 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $60,336,051 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation
Methodologies Committee (Global Valuation Committee) to determine the value of certain of the Funds Level 3 investments as of
February 28, 2014. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of
$57,941,248. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3
investments. |
|
|
Value |
|
Valuation Techniques |
|
Unobservable Inputs |
|
Range of Unobservable Inputs Utilized |
||||||||||
Assets: |
||||||||||||||||||
Common Stocks |
$ | 869,585 | Market Comparable Companies |
Offshore Last 12 Months EBITDA Multiple5 |
6.50x |
|||||||||||||
Offshore Current Fiscal Year EBITDA Multiple5 |
6.88x |
|||||||||||||||||
Onshore EBITDA Multiple5 |
4.00x |
|||||||||||||||||
Onshore Current Fiscal Year EBITDA Multiple5 |
3.88x |
|||||||||||||||||
Last
12 Months EBITDA Multiple5 |
6.25x |
|||||||||||||||||
Illiquidity Discount6 |
17.50% |
|||||||||||||||||
Corporate Bonds |
3,398,812 | Market Comparable Companies |
Last
12 Months EBITDA Multiple5 |
6.25x |
||||||||||||||
Illiquidity Discount6 |
17.50% |
|||||||||||||||||
Floating Rate Loan Interests |
1,705,654 | Market Comparable Yield Analysis |
Yield6 |
8.13% |
||||||||||||||
Other Interests |
2,032,500 | Discounted Cash Flow |
Perpetuity Growth Rate5 |
3.50% |
||||||||||||||
Specific Risk Premium6 |
10.00% |
|||||||||||||||||
Weighted Cost of Capital6 |
17.80% |
|||||||||||||||||
Risk
Free Rate6 |
3.40% |
|||||||||||||||||
Free
Cash Flow5 |
$33.5 59.57 |
|||||||||||||||||
Warrants |
119,460 | Market Comparable Companies |
Last 12 Months EBITDA Multiple5 |
6.25x |
||||||||||||||
Total |
$ | 8,126,011 |
5 | Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value. |
6 | Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value. |
7 | Amount is stated in millions. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 31 |
Consolidated Schedule of Investments February 28, 2014 (Unaudited) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Common Stocks | Shares |
Value | |||||||||||||
Auto Components 0.0% |
|||||||||||||||
Lear Corp. |
807 | $ | 65,528 | ||||||||||||
Construction & Engineering 0.0% |
|||||||||||||||
USI United Subcontractors (a) |
6,454 | 70,994 | |||||||||||||
Diversified Financial Services 0.2% |
|||||||||||||||
Kcad Holdings I Ltd. (a) |
384,412,912 | 1,499,210 | |||||||||||||
Hotels, Restaurants & Leisure 0.2% |
|||||||||||||||
BLB Worldwide Holdings, Inc. (a) |
51,947 | 1,296,078 | |||||||||||||
Travelport Worldwide Ltd. (a) |
256,191 | 439,880 | |||||||||||||
1,735,958 | |||||||||||||||
Paper & Forest Products 0.2% |
|||||||||||||||
NewPage Holdings, Inc. |
13,780 | 1,143,740 | |||||||||||||
Software 0.4% |
|||||||||||||||
HMH Holdings/EduMedia (a) |
128,441 | 2,479,425 | |||||||||||||
Total Common Stocks 1.0% |
6,994,855 | ||||||||||||||
Asset-Backed Securities |
Par (000) |
||||||||||||||
Asset-Backed Securities 5.7% |
|||||||||||||||
321 Henderson Receivables I LLC, Class A (b): |
|||||||||||||||
Series 2010-2A, 4.07%, 1/15/48 |
USD |
1,263 | 1,351,703 | ||||||||||||
Series 2010-3A, 3.82%, 12/15/48 |
3,628 | 3,839,300 | |||||||||||||
ACAS CLO Ltd. (b)(c): |
|||||||||||||||
Series 2007-1A, Class A1S, 0.45%, 4/20/21 |
746 | 735,929 | |||||||||||||
Series 2013-1A, Class D, 3.84%, 4/20/25 |
750 | 731,250 | |||||||||||||
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.89%, 4/15/24 (b)(c) |
1,750 | 1,708,828 | |||||||||||||
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.42%, 5/10/32 (b)(c) |
722 | 697,173 | |||||||||||||
ALM Loan Funding (b)(c): |
|||||||||||||||
Series 2013-7R2A, Class B, 2.84%, 4/24/24 |
865 | 848,219 | |||||||||||||
Series 2013-7RA, Class C, 3.69%, 4/24/24 |
2,410 | 2,330,325 | |||||||||||||
Series 2013-7RA, Class D, 5.24%, 4/24/24 |
1,040 | 984,755 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24 (b)(c) |
1,100 | 1,065,763 | |||||||||||||
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.59%, 10/22/25 (b)(c) |
500 | 477,200 | |||||||||||||
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17 |
GBP |
2,650 | 4,477,134 | ||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.24%, 2/14/25 (b)(c) |
USD |
250 | 250,723 | ||||||||||||
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 |
2,530 | 2,595,681 | |||||||||||||
Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 (b)(c) |
500 | 490,738 | |||||||||||||
Central Park CLO Ltd., Series 2011-1A, Class D, 3.44%, 7/23/22 (b)(c) |
500 | 492,346 | |||||||||||||
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.32%, 10/25/47 (c) |
1,751 | 1,716,412 | |||||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (b) |
2,763 | 2,604,165 | |||||||||||||
ECP CLO Ltd., Series 2013-5A, Class C, 3.74%, 1/20/25 (b)(c) |
1,500 | 1,443,713 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 (b)(c) |
1,090 | 1,089,970 | |||||||||||||
GSAA Trust, Series 2007-3, Class 1A2, 0.33%, 3/25/47 (c) |
2,804 | 1,379,899 | |||||||||||||
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.74%, 4/15/25 (b)(c) |
1,000 | 954,203 | |||||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 (b)(c) |
420 | 404,852 | |||||||||||||
Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.09%, 10/15/25 (b)(c) |
1,000 | 978,830 | |||||||||||||
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.59%, 7/17/25 (b)(c) |
500 | 482,116 | |||||||||||||
Asset-Backed Securities | Par (000) |
Value | |||||||||||||
Asset-Backed Securities (concluded) |
|||||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c) |
USD |
500 | $ | 501,416 | |||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25 (b)(c) |
500 | 497,120 | |||||||||||||
Santander Drive Auto Receivables Trust, Series 2011-S2A (b): |
|||||||||||||||
Class B, 2.06%, 6/15/17 |
199 | 199,373 | |||||||||||||
Class C, 2.86%, 6/15/17 |
118 | 118,140 | |||||||||||||
SLC Student Loan Trust, Series 2006-A, Class A4, 0.36%, 1/15/19 (c) |
28 | 28,024 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 |
3,000 | 3,062,325 | |||||||||||||
38,537,625 | |||||||||||||||
Interest Only Asset-Backed Securities 0.2% |
|||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b) |
8,643 | 618,492 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b) |
8,875 | 590,748 | |||||||||||||
1,209,240 | |||||||||||||||
Total Asset-Backed Securities 5.9% |
39,746,865 | ||||||||||||||
Corporate Bonds |
|||||||||||||||
Aerospace & Defense 0.3% |
|||||||||||||||
DigitalGlobe, Inc., 5.25%, 2/01/21 (d) |
928 | 918,720 | |||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (d) |
570 | 634,125 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b) |
339 | 359,088 | |||||||||||||
1,911,933 | |||||||||||||||
Airlines 3.0% |
|||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b) |
651 | 664,020 | |||||||||||||
American Airlines Pass-Through Trust, Series 2013-2 (b): |
|||||||||||||||
Class A, 4.95%, 7/15/24 (d) |
3,749 | 4,011,063 | |||||||||||||
Class B, 5.60%, 1/15/22 |
736 | 765,133 | |||||||||||||
Class C, 6.00%, 1/15/17 (d) |
2,600 | 2,697,500 | |||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (d) |
2,090 | 2,212,787 | |||||||||||||
Continental Airlines, Inc., 6.75%, 9/15/15 (b)(d) |
1,350 | 1,377,000 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |
226 | 255,990 | |||||||||||||
United Continental Holdings, Inc., 6.00%, 12/01/20 (d) |
950 | 989,188 | |||||||||||||
US
Airways Pass-Through Trust, Class C (d): |
|||||||||||||||
Series 2011-1, 10.88%, 10/22/14 |
847 | 880,914 | |||||||||||||
Series 2012-1, 9.13%, 10/01/15 |
2,115 | 2,241,907 | |||||||||||||
Virgin Australia Trust, Series 2013-1 (b): |
|||||||||||||||
Class A, 5.00%, 10/23/23 |
800 | 848,000 | |||||||||||||
Class B, 6.00%, 10/23/20 |
1,700 | 1,780,750 | |||||||||||||
Class C, 7.13%, 10/23/18 |
1,240 | 1,283,400 | |||||||||||||
20,007,652 | |||||||||||||||
Auto Components 1.6% |
|||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (d) |
1,095 | 1,182,600 | |||||||||||||
Autodis SA, 6.50%, 2/01/19 |
EUR |
100 | 140,031 | ||||||||||||
Brighthouse Group PLC, 7.88%, 5/15/18 |
GBP |
100 | 176,113 | ||||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc. (b): |
|||||||||||||||
8.00%, 6/15/19 (d) |
USD |
1,087 | 1,195,700 | ||||||||||||
8.25%, 6/15/21 |
1,165 | 1,319,362 | |||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (b)(d) |
2,058 | 2,099,160 | |||||||||||||
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 |
GBP |
554 | 1,052,941 | ||||||||||||
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (b) |
USD |
445 | 485,050 | ||||||||||||
Rhino Bondco SpA, 7.25%, 11/15/20 |
EUR |
110 | 160,412 | ||||||||||||
Schaeffler Holding Finance BV (e): |
|||||||||||||||
6.88%, 8/15/18 |
375 | 552,551 | |||||||||||||
6.88%, 8/15/18 (b)(d) |
USD |
1,085 | 1,155,525 |
32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | ||||||||||||
Auto Components (concluded) |
||||||||||||||
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18 |
EUR |
342 | $ | 508,497 | ||||||||||
Titan International, Inc., 6.88%, 10/01/20 (b) |
USD |
555 | 586,913 | |||||||||||
10,614,855 | ||||||||||||||
Auto Parts 0.0% |
||||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 |
260 | 263,900 | ||||||||||||
Automobiles 0.5% |
||||||||||||||
Ford Motor Co., 4.25%, 11/15/16 (f) |
434 | 782,285 | ||||||||||||
General Motors Co., 3.50%, 10/02/18 (b)(d) |
2,478 | 2,558,535 | ||||||||||||
3,340,820 | ||||||||||||||
Beverages 0.0% |
||||||||||||||
Constellation Brands, Inc., 7.25%, 5/15/17 |
82 | 94,915 | ||||||||||||
Building Products 1.2% |
||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b) |
415 | 426,413 | ||||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (b)(d) |
890 | 952,300 | ||||||||||||
Building Materials Corp. of America (b)(d): |
||||||||||||||
7.00%, 2/15/20 |
1,345 | 1,442,512 | ||||||||||||
6.75%, 5/01/21 |
1,030 | 1,117,550 | ||||||||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)(d) |
1,030 | 1,107,250 | ||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 (d) |
530 | 567,100 | ||||||||||||
Ply Gem Industries, Inc., 6.50%, 2/01/22 (b) |
745 | 756,175 | ||||||||||||
USG Corp., 9.75%, 1/15/18 (d) |
1,390 | 1,678,425 | ||||||||||||
8,047,725 | ||||||||||||||
Capital Markets 0.9% |
||||||||||||||
American Capital Ltd., 6.50%, 9/15/18 (b)(d) |
975 | 1,038,375 | ||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(f)(g) |
249 | 540,797 | ||||||||||||
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (d) |
3,285 | 3,382,206 | ||||||||||||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (b)(d) |
1,079 | 1,141,229 | ||||||||||||
6,102,607 | ||||||||||||||
Chemicals 1.4% |
||||||||||||||
Ashland, Inc., 3.88%, 4/15/18 (d) |
675 | 698,625 | ||||||||||||
Chemtura Corp., 5.75%, 7/15/21 |
200 | 208,000 | ||||||||||||
Huntsman International LLC: |
||||||||||||||
8.63%, 3/15/21 (d) |
655 | 740,150 | ||||||||||||
5.13%, 4/15/21 |
EUR |
135 | 190,999 | |||||||||||
INEOS Finance PLC, 7.50%, 5/01/20 (b)(d) |
USD |
445 | 489,500 | |||||||||||
INEOS Group Holdings SA: |
||||||||||||||
6.13%, 8/15/18 (b)(d) |
680 | 703,800 | ||||||||||||
6.50%, 8/15/18 |
EUR |
328 | 478,205 | |||||||||||
5.75%, 2/15/19 |
340 | 484,554 | ||||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 (b) |
USD |
301 | 322,823 | |||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)(d) |
320 | 332,000 | ||||||||||||
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)(d) |
898 | 978,820 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (d) |
3,175 | 3,294,063 | ||||||||||||
US
Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV: |
||||||||||||||
5.75%, 2/01/21 |
200 | 291,934 | ||||||||||||
7.38%, 5/01/21 (b) |
398 | 429,840 | ||||||||||||
9,643,313 | ||||||||||||||
Commercial Banks 0.8% |
||||||||||||||
CIT Group, Inc. (d): |
||||||||||||||
5.00%, 5/15/17 |
890 | 954,525 | ||||||||||||
5.50%, 2/15/19 (b) |
1,370 | 1,489,875 | ||||||||||||
HSBC Holdings PLC, 6.25%, 3/19/18 |
EUR |
1,000 | 1,612,136 | |||||||||||
Nordea Bank AB, 4.50%, 3/26/20 |
1,020 | 1,579,167 | ||||||||||||
5,635,703 | ||||||||||||||
Commercial Services & Supplies 1.5% |
||||||||||||||
AA
Bond Co., Ltd., 9.50%, 7/31/43 |
GBP |
306 | 574,876 | |||||||||||
ACCO Brands Corp., 6.75%, 4/30/20 |
USD |
100 | 103,000 | |||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 |
292 | 316,820 | ||||||||||||
Corporate Bonds | Par (000) |
Value | ||||||||||||
Commercial Services & Supplies (concluded) |
||||||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (b)(d) |
USD |
712 | $ | 751,160 | ||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (b)(d) |
1,000 | 1,041,921 | ||||||||||||
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (e) |
EUR |
100 | 143,634 | |||||||||||
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)(d) |
USD |
617 | 643,223 | |||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 |
306 | 311,355 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 |
100 | 105,750 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 (d) |
2,210 | 2,397,850 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 (d) |
915 | 1,022,512 | ||||||||||||
United Rentals North America, Inc. (d): |
||||||||||||||
5.75%, 7/15/18 |
494 | 529,815 | ||||||||||||
7.63%, 4/15/22 |
1,518 | 1,724,827 | ||||||||||||
Verisure Holding AB: |
||||||||||||||
8.75%, 9/01/18 |
EUR |
199 | 299,401 | |||||||||||
8.75%, 12/01/18 |
111 | 166,236 | ||||||||||||
West Corp., 8.63%, 10/01/18 |
USD |
165 | 177,788 | |||||||||||
10,310,168 | ||||||||||||||
Communications Equipment 2.1% |
||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 |
6,670 | 6,753,375 | ||||||||||||
Alcatel-Lucent USA, Inc. (b)(d): |
||||||||||||||
4.63%, 7/01/17 |
800 | 825,000 | ||||||||||||
6.75%, 11/15/20 |
1,560 | 1,661,400 | ||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (b) |
437 | 433,723 | ||||||||||||
CommScope Holding Co., Inc., 6.63% (10.50% Cash or 11.25% PIK), 6/01/20 (b)(d)(e) |
605 | 639,787 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc. (d): |
||||||||||||||
8.13%, 1/01/20 |
1,800 | 1,984,500 | ||||||||||||
10.13%, 7/01/20 |
1,460 | 1,693,600 | ||||||||||||
13,991,385 | ||||||||||||||
Construction & Engineering 0.2% |
||||||||||||||
Astaldi SpA, 7.13%, 12/01/20 |
EUR |
365 | 536,598 | |||||||||||
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b) |
USD |
165 | 174,281 | |||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) |
258 | 274,125 | ||||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 |
320 | 314,400 | ||||||||||||
1,299,404 | ||||||||||||||
Construction Materials 1.3% |
||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 |
EUR |
154 | 242,591 | |||||||||||
HD
Supply, Inc. (d): |
||||||||||||||
8.13%, 4/15/19 |
USD |
4,285 | 4,820,625 | |||||||||||
11.00%, 4/15/20 |
770 | 941,325 | ||||||||||||
7.50%, 7/15/20 |
2,696 | 2,952,120 | ||||||||||||
8,956,661 | ||||||||||||||
Consumer Finance 0.7% |
||||||||||||||
Ford Motor Credit Co. LLC (d): |
||||||||||||||
3.88%, 1/15/15 |
2,475 | 2,543,354 | ||||||||||||
7.00%, 4/15/15 |
400 | 427,339 | ||||||||||||
Hyundai Capital America, 3.75%, 4/06/16 (b)(d) |
1,285 | 1,349,701 | ||||||||||||
IVS F. SpA, 7.13%, 4/01/20 |
EUR |
235 | 345,455 | |||||||||||
Springleaf Finance Corp.: |
||||||||||||||
7.75%, 10/01/21 |
USD |
52 | 57,590 | |||||||||||
8.25%, 10/01/23 |
94 | 105,045 | ||||||||||||
4,828,484 | ||||||||||||||
Containers & Packaging 0.4% |
||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.38%, 10/15/17 |
EUR |
100 | 147,175 | |||||||||||
Berry Plastics Corp., 9.75%, 1/15/21 |
USD |
290 | 336,400 | |||||||||||
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (b)(d) |
1,560 | 1,622,400 | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (d) |
144 | 157,680 | ||||||||||||
OI
European Group BV, 4.88%, 3/31/21 |
EUR |
311 | 457,176 | |||||||||||
2,720,831 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 33 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | ||||||||||||
Distributors 0.1% |
||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (d) |
USD |
874 | $ | 937,365 | ||||||||||
Diversified Consumer Services 0.5% |
||||||||||||||
APX Group, Inc. (d): |
||||||||||||||
6.38%, 12/01/19 |
491 | 506,344 | ||||||||||||
8.75%, 12/01/20 |
1,112 | 1,159,260 | ||||||||||||
Garda World Security Corp., 7.25%, 11/15/21 (b) |
275 | 291,500 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (b) |
1,020 | 1,091,400 | ||||||||||||
3,048,504 | ||||||||||||||
Diversified Financial Services 2.8% |
||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 (d) |
367 | 400,030 | ||||||||||||
Ally Financial, Inc. (d): |
||||||||||||||
8.30%, 2/12/15 |
2,460 | 2,619,900 | ||||||||||||
8.00%, 11/01/31 |
2,766 | 3,471,570 | ||||||||||||
CE
Energy AS, 7.00%, 2/01/21 |
EUR |
150 | 213,772 | |||||||||||
Co-Operative Group Holdings, 5.63%, 7/08/20 (h) |
GBP |
190 | 334,076 | |||||||||||
DPL, Inc.: |
||||||||||||||
6.50%, 10/15/16 |
USD |
70 | 75,425 | |||||||||||
Gala Group Finance PLC, 8.88%, 9/01/18 |
GBP |
700 | 1,255,669 | |||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)(d) |
USD |
585 | 618,638 | |||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (b) |
567 | 578,340 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 (d) |
1,870 | 2,057,000 | ||||||||||||
Macquarie Bank Ltd./London, 10.25%, 6/20/57 (c) |
1,450 | 1,645,750 | ||||||||||||
Reynolds Group Issuer, Inc.: |
||||||||||||||
7.13%, 4/15/19 (d) |
1,294 | 1,376,492 | ||||||||||||
9.00%, 4/15/19 |
180 | 193,500 | ||||||||||||
9.88%, 8/15/19 (d) |
535 | 603,213 | ||||||||||||
5.75%, 10/15/20 (d) |
800 | 836,000 | ||||||||||||
6.88%, 2/15/21 (d) |
820 | 891,750 | ||||||||||||
WMG Acquisition Corp.: |
||||||||||||||
11.50%, 10/01/18 |
753 | 856,537 | ||||||||||||
6.00%, 1/15/21 (b)(d) |
841 | 878,845 | ||||||||||||
18,906,507 | ||||||||||||||
Diversified Telecommunication Services 3.7% |
||||||||||||||
CenturyLink, Inc., Series V, 5.63%, 4/01/20 (d) |
906 | 946,770 | ||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (d) |
735 | 810,338 | ||||||||||||
Level 3 Financing, Inc.: |
||||||||||||||
3.85%, 1/15/18 (b)(c) |
411 | 417,165 | ||||||||||||
8.13%, 7/01/19 (d) |
3,083 | 3,391,300 | ||||||||||||
7.00%, 6/01/20 |
495 | 539,550 | ||||||||||||
6.13%, 1/15/21 (b)(d) |
1,682 | 1,778,715 | ||||||||||||
Telecom Italia SpA: |
||||||||||||||
6.13%, 11/15/16 (f) |
EUR |
300 | 470,903 | |||||||||||
6.38%, 6/24/19 |
GBP |
200 | 360,162 | |||||||||||
4.88%, 9/25/20 |
EUR |
220 | 320,067 | |||||||||||
4.50%, 1/25/21 |
270 | 384,677 | ||||||||||||
5.88%, 5/19/23 |
GBP |
450 | 763,603 | |||||||||||
Telenet Finance V Luxembourg SCA: |
||||||||||||||
6.25%, 8/15/22 |
EUR |
271 | 409,597 | |||||||||||
6.75%, 8/15/24 |
397 | 602,733 | ||||||||||||
Verizon Communications, Inc., 3.65%, 9/14/18 (d) |
USD |
13,000 | 13,852,891 | |||||||||||
Windstream Corp., 7.75%, 10/15/20 |
46 | 49,450 | ||||||||||||
25,097,921 | ||||||||||||||
Electric Utilities 0.2% |
||||||||||||||
Homer City Generation LP (e): |
||||||||||||||
8.14% (8.14% Cash or 8.64% PIK), 10/01/19 |
345 | 363,975 | ||||||||||||
8.73% (8.73% Cash or 9.23% PIK), 10/01/26 |
495 | 519,750 | ||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (d) |
538 | 566,133 | ||||||||||||
1,449,858 | ||||||||||||||
Electrical Equipment 0.2% |
||||||||||||||
Belden, Inc., 5.50%, 4/15/23 |
EUR |
140 | 195,561 | |||||||||||
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 |
106 | 165,318 | ||||||||||||
Techem GmbH, 6.13%, 10/01/19 |
300 | 450,406 | ||||||||||||
Corporate Bonds | Par (000) |
Value | ||||||||||||
Electrical Equipment (concluded) |
||||||||||||||
Trionista Holdco GmbH, 5.00%, 4/30/20 |
EUR |
410 | $ | 589,975 | ||||||||||
Trionista TopCo GmbH, 6.88%, 4/30/21 |
100 | 149,762 | ||||||||||||
1,551,022 | ||||||||||||||
Energy Equipment & Services 1.5% |
||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (b)(d) |
USD |
503 | 525,635 | |||||||||||
CGG SA, 7.75%, 5/15/17 (d) |
330 | 337,425 | ||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d) |
185 | 190,550 | ||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (d) |
375 | 390,000 | ||||||||||||
MEG Energy Corp. (b)(d): |
||||||||||||||
6.50%, 3/15/21 |
358 | 377,690 | ||||||||||||
7.00%, 3/31/24 |
864 | 907,200 | ||||||||||||
Oil States International, Inc. (d): |
||||||||||||||
6.50%, 6/01/19 |
1,614 | 1,706,805 | ||||||||||||
5.13%, 1/15/23 |
908 | 1,020,365 | ||||||||||||
Peabody Energy Corp. (d): |
||||||||||||||
6.00%, 11/15/18 |
1,004 | 1,086,830 | ||||||||||||
6.25%, 11/15/21 |
991 | 1,023,207 | ||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b)(d) |
535 | 551,050 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (b) |
1,806 | 1,882,755 | ||||||||||||
Transocean, Inc., 6.00%, 3/15/18 (d) |
230 | 259,047 | ||||||||||||
10,258,559 | ||||||||||||||
Food & Staples Retailing 0.8% |
||||||||||||||
Bakkavor Finance 2 PLC: |
||||||||||||||
8.25%, 2/15/18 |
GBP |
312 | 559,032 | |||||||||||
8.75%, 6/15/20 |
200 | 367,899 | ||||||||||||
Brakes Capital, 7.13%, 12/15/18 |
1,655 | 2,743,668 | ||||||||||||
R&R Ice Cream PLC, 9.25%, 5/15/18 (e) |
EUR |
314 | 444,250 | |||||||||||
Rite Aid Corp., 9.25%, 3/15/20 (d) |
USD |
1,095 | 1,259,250 | |||||||||||
5,374,099 | ||||||||||||||
Food Products 0.3% |
||||||||||||||
Findus Bondco SA: |
||||||||||||||
9.13%, 7/01/18 |
EUR |
187 | 282,637 | |||||||||||
9.50%, 7/01/18 |
GBP |
100 | 183,154 | |||||||||||
Post Holdings, Inc., 6.75%, 12/01/21 (b) |
USD |
252 | 269,955 | |||||||||||
Smithfield Foods, Inc.: |
||||||||||||||
5.25%, 8/01/18 (b) |
207 | 217,091 | ||||||||||||
5.88%, 8/01/21 (b) |
193 | 198,790 | ||||||||||||
6.63%, 8/15/22 (d) |
783 | 845,640 | ||||||||||||
Univeg Holding BV, 7.88%, 11/15/20 |
EUR |
135 | 186,296 | |||||||||||
2,183,563 | ||||||||||||||
Gas Utilities 0.2% |
||||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (d) |
USD |
1,515 | 1,624,838 | |||||||||||
Health Care Equipment & Supplies 1.1% |
||||||||||||||
Biomet, Inc. (d): |
||||||||||||||
6.50%, 8/01/20 |
1,720 | 1,855,450 | ||||||||||||
6.50%, 10/01/20 |
418 | 445,693 | ||||||||||||
CareFusion Corp., 5.13%, 8/01/14 (d) |
3,000 | 3,055,440 | ||||||||||||
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (d) |
413 | 452,235 | ||||||||||||
IDH Finance PLC, 6.00%, 12/01/18 |
GBP |
113 | 194,901 | |||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 |
USD |
328 | 377,200 | |||||||||||
Teleflex, Inc., 6.88%, 6/01/19 (d) |
675 | 717,187 | ||||||||||||
7,098,106 | ||||||||||||||
Health Care Providers & Services 1.8% |
||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.: |
||||||||||||||
7.75%, 2/15/19 (d) |
995 | 1,074,600 | ||||||||||||
6.00%, 10/15/21 |
232 | 241,860 | ||||||||||||
CHS/Community Health Systems, Inc.: |
||||||||||||||
5.13%, 8/15/18 (d) |
490 | 518,788 | ||||||||||||
5.13%, 8/01/21 (b) |
192 | 198,720 | ||||||||||||
6.88%, 2/01/22 (b) |
739 | 786,111 |
34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Health Care Providers & Services (concluded) |
|||||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 |
GBP |
335 | $ | 591,828 | |||||||||||
HCA, Inc. (d): |
|||||||||||||||
7.88%, 2/15/20 |
USD |
1,896 | 2,028,720 | ||||||||||||
7.25%, 9/15/20 |
711 | 773,213 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (d) |
1,289 | 1,369,562 | |||||||||||||
LifePoint Hospitals, Inc., 5.50%, 12/01/21 (b) |
240 | 251,100 | |||||||||||||
Tenet Healthcare Corp.: |
|||||||||||||||
6.25%, 11/01/18 (d) |
1,134 | 1,255,905 | |||||||||||||
8.00%, 8/01/20 (d) |
775 | 850,563 | |||||||||||||
6.00%, 10/01/20 (b) |
461 | 495,575 | |||||||||||||
8.13%, 4/01/22 (d) |
898 | 1,005,760 | |||||||||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 |
GBP |
355 | 619,730 | ||||||||||||
12,062,035 | |||||||||||||||
Health Care Technology 0.7% |
|||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (b)(d) |
USD |
4,300 | 4,945,000 | ||||||||||||
Hotels, Restaurants & Leisure 4.5% |
|||||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 |
EUR |
540 | 777,040 | ||||||||||||
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (f) |
GBP |
100 | 188,220 | ||||||||||||
Enterprise Inns PLC, 6.50%, 12/06/18 |
926 | 1,624,289 | |||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 |
EUR |
290 | 430,309 | ||||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (b) |
USD |
357 | 370,388 | ||||||||||||
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (b)(i) |
980 | 1,009,400 | |||||||||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 |
EUR |
480 | 752,120 | ||||||||||||
Isle of Capri Casinos, Inc.: |
|||||||||||||||
7.75%, 3/15/19 |
USD |
70 | 76,038 | ||||||||||||
5.88%, 3/15/21 |
294 | 303,555 | |||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (b)(d) |
941 | 938,647 | |||||||||||||
PNK Finance Corp., 6.38%, 8/01/21 (b)(d) |
268 | 280,060 | |||||||||||||
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20 |
EUR |
100 | 145,277 | ||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)(d) |
USD |
576 | 583,200 | ||||||||||||
Snai SpA, 7.63%, 6/15/18 |
EUR |
205 | 296,402 | ||||||||||||
Spirit Issuer PLC (c): |
|||||||||||||||
Series A1, 1.08%, 12/28/28 |
GBP |
655 | 924,080 | ||||||||||||
Series A2, 3.23%, 12/28/31 |
1,800 | 2,742,915 | |||||||||||||
Series A5, 5.47%, 12/28/34 |
4,500 | 7,121,028 | |||||||||||||
Series A6, 2.33%, 12/28/36 |
2,670 | 4,202,788 | |||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 (d) |
USD |
2,245 | 2,407,762 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (b) |
78 | 78,792 | |||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(j) |
375 | | |||||||||||||
The Unique Pub Finance Co. PLC: |
|||||||||||||||
Series A3, 6.54%, 3/30/21 |
GBP |
1,364 | 2,400,557 | ||||||||||||
Series A4, 5.66%, 6/30/27 |
811 | 1,365,385 | |||||||||||||
Vougeot Bidco PLC, 7.88%, 7/15/20 |
218 | 396,556 | |||||||||||||
Wynn Macau Ltd., 5.25%, 10/15/21 (b)(d) |
USD |
428 | 439,770 | ||||||||||||
29,854,578 | |||||||||||||||
Household Durables 1.4% |
|||||||||||||||
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18 |
EUR |
530 | 799,228 | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)(d) |
USD |
510 | 508,725 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 (d) |
910 | 982,800 | |||||||||||||
Berkline/Benchcraft LLC, 11/03/14 (a)(j) |
200 | | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)(d) |
925 | 982,812 | |||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b) |
259 | 266,123 | |||||||||||||
K.
Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)(d) |
2,130 | 2,332,350 | |||||||||||||
KB
Home, 7.25%, 6/15/18 (d) |
880 | 992,200 | |||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 (d) |
226 | 244,645 | |||||||||||||
Corporate Bonds | Par (000) |
Value | |||||||||||||
Household Durables (concluded) |
|||||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 |
EUR |
248 | $ | 390,239 | |||||||||||
Standard Pacific Corp., 8.38%, 1/15/21 (d) |
USD |
1,000 | 1,192,500 | ||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b) |
597 | 591,030 | |||||||||||||
9,282,652 | |||||||||||||||
Household Products 0.2% |
|||||||||||||||
Ontex IV SA, 9.00%, 4/15/19 |
EUR |
353 | 526,226 | ||||||||||||
Spectrum Brands, Inc.: |
|||||||||||||||
6.38%, 11/15/20 |
USD |
250 | 272,500 | ||||||||||||
6.63%, 11/15/22 |
285 | 310,650 | |||||||||||||
1,109,376 | |||||||||||||||
Independent Power Producers & Energy Traders 1.6% |
|||||||||||||||
The AES Corp., 7.75%, 10/15/15 (d) |
972 | 1,069,200 | |||||||||||||
Calpine Corp. (b): |
|||||||||||||||
7.50%, 2/15/21 |
147 | 162,067 | |||||||||||||
6.00%, 1/15/22 |
143 | 151,580 | |||||||||||||
5.88%, 1/15/24 |
438 | 448,950 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: |
|||||||||||||||
6.88%, 8/15/17 (b) |
625 | 641,406 | |||||||||||||
10.00%, 12/01/20 |
390 | 405,600 | |||||||||||||
10.25%, 12/01/20 (b) |
2,105 | 2,189,200 | |||||||||||||
12.25%, 3/01/22 (b) |
3,408 | 3,953,280 | |||||||||||||
NRG Energy, Inc., 7.63%, 1/15/18 (d) |
913 | 1,031,690 | |||||||||||||
NRG REMA LLC: |
|||||||||||||||
Series B, 9.24%, 7/02/17 |
85 | 84,505 | |||||||||||||
Series C, 9.68%, 7/02/26 (d) |
899 | 872,030 | |||||||||||||
11,009,508 | |||||||||||||||
Insurance 3.0% |
|||||||||||||||
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (d) |
3,000 | 3,427,086 | |||||||||||||
The Allstate Corp., 6.13%, 5/15/67 (c)(d) |
3,000 | 3,138,750 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (b)(d) |
304 | 323,760 | |||||||||||||
Forethought Financial Group, Inc., 8.63%, 4/15/21 (b)(d) |
750 | 850,466 | |||||||||||||
Galaxy Bidco Ltd., 6.38%, 11/15/20 |
GBP |
100 | 172,479 | ||||||||||||
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (b) |
USD |
255 | 268,388 | ||||||||||||
ING US, Inc., 5.65%, 5/15/53 (c) |
3,500 | 3,430,000 | |||||||||||||
Liberty Mutual Group, Inc. (b): |
|||||||||||||||
7.00%, 3/07/67 (c)(d) |
1,575 | 1,641,937 | |||||||||||||
7.80%, 3/07/87 |
1,500 | 1,627,500 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b) |
595 | 635,163 | |||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (c) |
EUR |
400 | 651,926 | ||||||||||||
Prudential Financial, Inc., 5.63%, 6/15/43 (c)(d) |
USD |
3,250 | 3,355,625 | ||||||||||||
TMF Group Holding BV, 9.88%, 12/01/19 (c) |
EUR |
310 | 474,961 | ||||||||||||
19,998,041 | |||||||||||||||
Internet Software & Services 0.2% |
|||||||||||||||
Cerved Group SpA: |
|||||||||||||||
6.38%, 1/15/20 |
100 | 147,692 | |||||||||||||
8.00%, 1/15/21 |
100 | 149,172 | |||||||||||||
Equinix, Inc., 4.88%, 4/01/20 |
USD |
139 | 141,259 | ||||||||||||
IAC/InterActiveCorp, 4.88%, 11/30/18 (b)(d) |
695 | 724,537 | |||||||||||||
1,162,660 | |||||||||||||||
IT Services 2.1% |
|||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (b)(d) |
1,395 | 1,593,788 | |||||||||||||
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)(d) |
1,004 | 1,148,325 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 (d) |
1,260 | 1,376,550 | |||||||||||||
First Data Corp. (b)(d): |
|||||||||||||||
7.38%, 6/15/19 |
1,775 | 1,923,656 | |||||||||||||
6.75%, 11/01/20 |
1,250 | 1,350,000 | |||||||||||||
11.75%, 8/15/21 |
582 | 622,740 | |||||||||||||
SunGard Data Systems, Inc., 6.63%, 11/01/19 (d) |
1,040 | 1,111,500 | |||||||||||||
The Western Union Co., 2.88%, 12/10/17 (d) |
4,000 | 4,115,096 | |||||||||||||
WEX, Inc., 4.75%, 2/01/23 (b)(d) |
550 | 517,000 | |||||||||||||
13,758,655 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | ||||||||||||
Machinery 0.0% |
||||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b) |
USD |
167 | $ | 173,680 | ||||||||||
Media 4.2% |
||||||||||||||
Adria Bidco BV, 7.88%, 11/15/20 |
EUR |
140 | 200,972 | |||||||||||
Altice Financing SA, 6.50%, 1/15/22 (b)(d) |
USD |
850 | 886,125 | |||||||||||
AMC Networks, Inc., 7.75%, 7/15/21 (d) |
865 | 981,775 | ||||||||||||
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (b): |
||||||||||||||
5.25%, 2/15/22 |
105 | 107,625 | ||||||||||||
5.63%, 2/15/24 |
85 | 87,763 | ||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b)(j) |
509 | 488,640 | ||||||||||||
Checkout Holding Corp., 0.00%, 11/15/15 (b)(g) |
467 | 394,615 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 3/01/21 (d) |
1,311 | 1,373,272 | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: |
||||||||||||||
7.63%, 3/15/20 |
677 | 732,852 | ||||||||||||
6.50%, 11/15/22 (d) |
965 | 1,020,487 | ||||||||||||
6.50%, 11/15/22 |
213 | 226,845 | ||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (d) |
3,000 | 3,122,721 | ||||||||||||
DISH DBS Corp. (d): |
||||||||||||||
7.13%, 2/01/16 |
200 | 220,000 | ||||||||||||
4.25%, 4/01/18 |
1,330 | 1,383,200 | ||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b) |
305 | 327,113 | ||||||||||||
Gannett Co., Inc. (b): |
||||||||||||||
5.13%, 10/15/19 |
197 | 206,850 | ||||||||||||
5.13%, 7/15/20 |
218 | 224,540 | ||||||||||||
6.38%, 10/15/23 |
304 | 320,720 | ||||||||||||
Gray Television, Inc., 7.50%, 10/01/20 (d) |
428 | 466,520 | ||||||||||||
Intelsat Jackson Holdings SA: |
||||||||||||||
7.25%, 10/15/20 (d) |
1,660 | 1,805,250 | ||||||||||||
5.50%, 8/01/23 (b) |
515 | 509,206 | ||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 (b) |
800 | 852,000 | ||||||||||||
Lamar Media Corp., 5.38%, 1/15/24 (b) |
240 | 247,800 | ||||||||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b) |
185 | 203,038 | ||||||||||||
The McClatchy Co., 9.00%, 12/15/22 |
330 | 377,438 | ||||||||||||
MDC Partners, Inc., 6.75%, 4/01/20 (b) |
493 | 526,277 | ||||||||||||
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b) |
245 | 254,800 | ||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) |
345 | 359,663 | ||||||||||||
Play Finance 2 SA, 5.25%, 2/01/19 |
EUR |
220 | 313,156 | |||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b) |
USD |
580 | 609,000 | |||||||||||
Sirius XM Holdings, Inc. (b): |
||||||||||||||
5.75%, 8/01/21 |
424 | 440,960 | ||||||||||||
4.63%, 5/15/23 |
311 | 292,340 | ||||||||||||
Sterling Entertainment Corp., 9.75%, 12/15/19 (b) |
1,175 | 1,198,500 | ||||||||||||
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (b)(d) |
789 | 873,817 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: |
||||||||||||||
7.50%, 3/15/19 |
1,440 | 1,566,000 | ||||||||||||
5.63%, 4/15/23 |
EUR |
104 | 154,332 | |||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (b)(d) |
USD |
286 | 317,460 | |||||||||||
Virgin Media Secured Finance PLC: |
||||||||||||||
6.50%, 1/15/18 (d) |
1,000 | 1,036,250 | ||||||||||||
6.00%, 4/15/21 |
GBP |
1,274 | 2,245,380 | |||||||||||
VTR Finance BV, 6.88%, 1/15/24 (b) |
USD |
512 | 524,267 | |||||||||||
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b) |
EUR |
513 | 753,270 | |||||||||||
Ziggo Finance BV, 6.13%, 11/15/17 |
100 | 142,258 | ||||||||||||
28,375,097 | ||||||||||||||
Metals & Mining 1.7% |
||||||||||||||
APERAM (b): |
||||||||||||||
7.38%, 4/01/16 |
USD |
150 | 155,250 | |||||||||||
7.75%, 4/01/18 |
308 | 324,940 | ||||||||||||
Corporate Bonds | Par (000) |
Value | ||||||||||||
Metals & Mining (concluded) |
||||||||||||||
ArcelorMittal: |
||||||||||||||
9.50%, 2/15/15 (d) |
USD |
1,219 | $ | 1,307,377 | ||||||||||
4.25%, 8/05/15 (d) |
738 | 761,062 | ||||||||||||
5.00%, 2/25/17 |
343 | 366,581 | ||||||||||||
6.13%, 6/01/18 (d) |
498 | 547,800 | ||||||||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 |
EUR |
495 | 708,016 | |||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (d) |
USD |
695 | 802,725 | |||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 (d) |
510 | 577,575 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 (d) |
2,375 | 2,671,875 | ||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (b) |
290 | 311,388 | ||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (d) |
555 | 609,113 | ||||||||||||
ThyssenKrupp AG, 3.13%, 10/25/19 |
EUR |
400 | 554,881 | |||||||||||
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)(d) |
USD |
1,301 | 1,405,080 | |||||||||||
11,103,663 | ||||||||||||||
Multiline Retail 0.2% |
||||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (b)(d) |
557 | 570,925 | ||||||||||||
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (b)(d) |
856 | 918,060 | ||||||||||||
1,488,985 | ||||||||||||||
Oil, Gas & Consumable Fuels 3.8% |
||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp., 4.88%, 5/15/23 |
455 | 464,100 | ||||||||||||
Alpha Natural Resources, Inc., 6.25%, 6/01/21 |
209 | 176,605 | ||||||||||||
Antero Resources Finance Corp., 5.38%, 11/01/21 (b)(d) |
774 | 791,415 | ||||||||||||
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b) |
254 | 269,240 | ||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 |
95 | 102,125 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 |
305 | 330,925 | ||||||||||||
Concho Resources, Inc., 6.50%, 1/15/22 (d) |
221 | 241,719 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 (d) |
1,890 | 2,055,375 | ||||||||||||
El
Paso LLC, 7.80%, 8/01/31 |
116 | 122,993 | ||||||||||||
EP
Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19 (d) |
630 | 679,612 | ||||||||||||
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (b)(d) |
1,285 | 1,416,712 | ||||||||||||
Kinder Morgan, Inc., 5.63%, 11/15/23 (b) |
457 | 459,382 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d) |
1,470 | 1,635,375 | ||||||||||||
Laredo Petroleum, Inc.: |
||||||||||||||
9.50%, 2/15/19 (d) |
630 | 697,725 | ||||||||||||
7.38%, 5/01/22 |
515 | 571,650 | ||||||||||||
Lightstream Resources Ltd., 8.63%, 2/01/20 (b) |
379 | 387,528 | ||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: |
||||||||||||||
8.63%, 4/15/20 (d) |
903 | 984,270 | ||||||||||||
7.75%, 2/01/21 |
215 | 232,738 | ||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 |
344 | 362,920 | ||||||||||||
Oasis Petroleum, Inc.: |
||||||||||||||
7.25%, 2/01/19 |
380 | 408,500 | ||||||||||||
6.50%, 11/01/21 |
410 | 442,800 | ||||||||||||
6.88%, 3/15/22 (b) |
479 | 519,715 | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20 |
202 | 221,695 | ||||||||||||
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.38%, 6/01/20 |
351 | 392,243 | ||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 (d) |
768 | 732,663 | ||||||||||||
Range Resources Corp.: |
||||||||||||||
6.75%, 8/01/20 (d) |
815 | 886,312 | ||||||||||||
5.75%, 6/01/21 |
161 | 173,075 | ||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b) |
143 | 153,725 | ||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 |
379 | 390,370 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 (b)(d) |
754 | 740,805 | ||||||||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 (d) |
3,110 | 3,452,100 |
36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) |
Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) |
|||||||||||||||
SandRidge Energy, Inc.: |
|||||||||||||||
8.75%, 1/15/20 |
USD |
94 | $ | 101,755 | |||||||||||
7.50%, 2/15/23 (d) |
1,096 | 1,156,280 | |||||||||||||
SM
Energy Co.: |
|||||||||||||||
6.63%, 2/15/19 |
60 | 64,350 | |||||||||||||
6.50%, 11/15/21 (d) |
605 | 656,425 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b) |
636 | 674,160 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (d) |
176 | 183,920 | |||||||||||||
Ultra Petroleum Corp., 5.75%, 12/15/18 (b) |
425 | 445,187 | |||||||||||||
Whiting Petroleum Corp., 5.00%, 3/15/19 (d) |
1,426 | 1,507,995 | |||||||||||||
25,286,484 | |||||||||||||||
Paper & Forest Products 0.2% |
|||||||||||||||
Ainsworth Lumber Co., Ltd., 7.50%, 12/15/17 (b)(d) |
728 | 780,780 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(j) |
3,177 | | |||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b)(d) |
305 | 338,550 | |||||||||||||
1,119,330 | |||||||||||||||
Pharmaceuticals 1.0% |
|||||||||||||||
Capsugel SA, 7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (b)(e) |
156 | 161,850 | |||||||||||||
Endo Finance LLC, 5.75%, 1/15/22 (b) |
517 | 533,803 | |||||||||||||
Forest Laboratories, Inc., 4.38%, 2/01/19 (b) |
585 | 625,950 | |||||||||||||
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (b) |
140 | 149,800 | |||||||||||||
Valeant Pharmaceuticals International (b): |
|||||||||||||||
6.88%, 12/01/18 (d) |
1,210 | 1,287,137 | |||||||||||||
7.50%, 7/15/21 |
335 | 381,900 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (b): |
|||||||||||||||
6.75%, 8/15/18 (d) |
2,214 | 2,440,935 | |||||||||||||
6.38%, 10/15/20 (d) |
613 | 669,702 | |||||||||||||
5.63%, 12/01/21 |
520 | 551,850 | |||||||||||||
6,802,927 | |||||||||||||||
Professional Services 0.1% |
|||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (d) |
540 | 611,550 | |||||||||||||
Real Estate Investment Trusts (REITs) 0.5% |
|||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b)(d) |
634 | 684,720 | |||||||||||||
Felcor Lodging LP, 6.75%, 6/01/19 (d) |
820 | 881,500 | |||||||||||||
iStar Financial, Inc., 4.88%, 7/01/18 |
449 | 453,490 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (d) |
1,300 | 1,399,120 | |||||||||||||
3,418,830 | |||||||||||||||
Real Estate Management & Development 1.1% |
|||||||||||||||
Realogy Corp. (b): |
|||||||||||||||
7.88%, 2/15/19 (d) |
1,833 | 1,988,805 | |||||||||||||
7.63%, 1/15/20 (d) |
1,081 | 1,213,422 | |||||||||||||
9.00%, 1/15/20 |
301 | 346,150 | |||||||||||||
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)(d) |
756 | 763,560 | |||||||||||||
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b) |
220 | 224,400 | |||||||||||||
RPG Byty Sro, 6.75%, 5/01/20 |
EUR |
220 | 315,813 | ||||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (d) |
USD |
2,110 | 2,326,275 | ||||||||||||
7,178,425 | |||||||||||||||
Road & Rail 0.9% |
|||||||||||||||
Asciano Finance, Ltd., 3.13%, 9/23/15 (b)(d) |
3,400 | 3,494,612 | |||||||||||||
The Hertz Corp.: |
|||||||||||||||
7.50%, 10/15/18 (d) |
540 | 577,125 | |||||||||||||
6.75%, 4/15/19 |
405 | 433,856 | |||||||||||||
5.88%, 10/15/20 |
435 | 461,100 | |||||||||||||
7.38%, 1/15/21 (d) |
675 | 742,500 | |||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b) |
319 | 322,190 | |||||||||||||
6,031,383 | |||||||||||||||
Corporate Bonds | Par (000) |
Value | |||||||||||||
Semiconductors & Semiconductor Equipment 0.3% |
|||||||||||||||
GCS Holdco Finance I SA, 6.50%, 11/15/18 |
EUR |
100 | $ | 147,002 | |||||||||||
NXP BV/NXP Funding LLC (b)(d): |
|||||||||||||||
3.75%, 6/01/18 |
USD |
950 | 960,687 | ||||||||||||
5.75%, 2/15/21 |
560 | 596,400 | |||||||||||||
1,704,089 | |||||||||||||||
Software 0.7% |
|||||||||||||||
Activision Blizzard, Inc. (b): |
|||||||||||||||
5.63%, 9/15/21 (d) |
467 | 502,025 | |||||||||||||
6.13%, 9/15/23 |
163 | 176,855 | |||||||||||||
Healthcare Technology Intermediate, Inc., 7.38% (7.38% Cash or 8.13% PIK), 9/01/18 (b)(e) |
298 | 308,430 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 (d) |
2,000 | 2,260,000 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (b)(d) |
1,715 | 1,719,287 | |||||||||||||
4,966,597 | |||||||||||||||
Specialty Retail 0.6% |
|||||||||||||||
Claires Stores, Inc. (b): |
|||||||||||||||
9.00%, 3/15/19 (d) |
1,034 | 1,088,285 | |||||||||||||
7.75%, 6/01/20 |
219 | 183,413 | |||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 |
EUR |
274 | 400,894 | ||||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 |
USD |
317 | 339,982 | ||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00% (8.00% Cash or 8.75% PIK), 6/15/18 (b)(e) |
218 | 222,905 | |||||||||||||
New Look Bondco I PLC, 8.75%, 5/14/18 |
GBP |
100 | 181,270 | ||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (d) |
USD |
374 | 417,010 | ||||||||||||
PC
Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75% (8.75% Cash or 9.50% PIK), 8/15/19 (b)(e) |
252 | 260,190 | |||||||||||||
QVC, Inc., 7.50%, 10/01/19 (b)(d) |
410 | 438,625 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (d) |
508 | 515,620 | |||||||||||||
4,048,194 | |||||||||||||||
Textiles, Apparel & Luxury Goods 0.2% |
|||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 (d) |
380 | 416,100 | |||||||||||||
SIWF Merger Sub, Inc., 6.25%, 6/01/21 (b)(d) |
645 | 661,125 | |||||||||||||
The William Carter Co., 5.25%, 8/15/21 (b) |
346 | 354,650 | |||||||||||||
1,431,875 | |||||||||||||||
Trading Companies & Distributors 0.2% |
|||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)(d) |
1,054 | 1,143,590 | |||||||||||||
Transportation Infrastructure 1.8% |
|||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (b) |
848 | 901,000 | |||||||||||||
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (b)(d) |
917 | 929,293 | |||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (b)(d): |
|||||||||||||||
3.13%, 5/11/15 |
3,372 | 3,465,934 | |||||||||||||
3.38%, 3/15/18 |
6,155 | 6,470,758 | |||||||||||||
11,766,985 | |||||||||||||||
Wireless Telecommunication Services 2.5% |
|||||||||||||||
Crown Castle Towers LLC, 4.52%, 1/15/35 (b)(d) |
3,000 | 3,081,309 | |||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (b)(d) |
2,073 | 2,083,365 | |||||||||||||
The Geo Group, Inc., 5.88%, 1/15/22 |
340 | 346,800 | |||||||||||||
Phones4u Finance PLC, 9.50%, 4/01/18 |
GBP |
103 | 181,127 | ||||||||||||
Sprint Communications, Inc. (b)(d): |
|||||||||||||||
9.00%, 11/15/18 |
USD |
2,020 | 2,474,500 | ||||||||||||
7.00%, 3/01/20 |
1,361 | 1,571,955 | |||||||||||||
Sprint Corp. (b): |
|||||||||||||||
7.88%, 9/15/23 (d) |
2,325 | 2,574,937 | |||||||||||||
7.13%, 6/15/24 |
405 | 425,250 | |||||||||||||
T-Mobile USA, Inc.: |
|||||||||||||||
6.63%, 4/28/21 (d) |
1,380 | 1,493,850 | |||||||||||||
6.13%, 1/15/22 |
215 | 227,094 | |||||||||||||
6.73%, 4/28/22 (d) |
1,455 | 1,571,400 | |||||||||||||
6.50%, 1/15/24 |
395 | 418,700 | |||||||||||||
Wind Acquisition Finance SA, 6.50%, 4/30/20 (b) |
311 | 342,878 | |||||||||||||
16,793,165 | |||||||||||||||
Total Corporate Bonds 62.8% |
421,928,052 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 37 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Aerospace & Defense 0.7% |
||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |
USD |
1,290 | $ | 1,288,637 | ||||||||||
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 |
653 | 655,850 | ||||||||||||
TransUnion LLC, Term Loan, 4.25%, 2/10/19 |
2,571 | 2,577,617 | ||||||||||||
4,522,104 | ||||||||||||||
Airlines 0.3% |
||||||||||||||
Northwest Airlines, Inc., Term Loan: |
||||||||||||||
2.24%, 3/10/17 |
527 | 508,126 | ||||||||||||
1.62%, 9/10/18 |
690 | 652,050 | ||||||||||||
US
Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |
665 | 665,206 | ||||||||||||
1,825,382 | ||||||||||||||
Auto Components 2.3% |
||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |
905 | 906,202 | ||||||||||||
Autoparts Holdings Ltd.: |
||||||||||||||
1st Lien Term Loan, 6.50%, 7/28/17 |
964 | 965,091 | ||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 |
1,500 | 1,430,625 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |
860 | 867,525 | ||||||||||||
Federal-Mogul Corp.: |
||||||||||||||
Term Loan B, 2.10%, 12/29/14 |
3,883 | 3,851,304 | ||||||||||||
Term Loan C, 2.10%, 12/28/15 |
3,169 | 3,143,037 | ||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |
2,985 | 3,012,611 | ||||||||||||
Schaeffler AG, Term Loan C, 4.25%, 1/27/17 |
45 | 45,295 | ||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 |
1,269 | 1,246,731 | ||||||||||||
15,468,421 | ||||||||||||||
Automobiles 0.1% |
||||||||||||||
Chrysler Group LLC, 2018 Term Loan B, 3.25%, 12/31/18 |
345 | 343,213 | ||||||||||||
Beverages 0.0% |
||||||||||||||
Le-Natures, Inc., Tranche B Term Loan, 3/01/2011 (a)(j) |
1,000 | 100 | ||||||||||||
Building Products 0.7% |
||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/14/20 |
913 | 912,329 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |
1,377 | 1,377,417 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 1/16/21 |
125 | 125,209 | ||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |
549 | 549,766 | ||||||||||||
United Subcontractors, Inc., Term Loan, 4.25%, 6/30/15 |
172 | 167,251 | ||||||||||||
Wilsonart LLC: |
||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 |
770 | 768,075 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 |
812 | 810,786 | ||||||||||||
4,710,833 | ||||||||||||||
Capital Markets 0.1% |
||||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |
581 | 581,401 | ||||||||||||
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 |
198 | 198,579 | ||||||||||||
779,980 | ||||||||||||||
Chemicals 1.7% |
||||||||||||||
Allnex USA, Inc.: |
||||||||||||||
Term Loan B1, 4.50%, 10/03/19 |
321 | 322,338 | ||||||||||||
Term Loan B2, 4.50%, 10/03/19 |
167 | 167,246 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20 |
2,094 | 2,101,651 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 |
46 | 45,593 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |
247 | 248,858 | ||||||||||||
Chromaflo Technologies Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/02/19 |
660 | 661,650 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/30/20 |
560 | 564,200 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
773 | 775,422 | ||||||||||||
INEOS Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |
665 | 663,151 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Chemicals (concluded) |
||||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20 |
USD |
667 | $ | 669,317 | ||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |
1,264 | 1,255,565 | ||||||||||||
OXEA Finance LLC: |
||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 |
705 | 718,437 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 |
678 | 682,539 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |
789 | 799,350 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |
662 | 663,329 | ||||||||||||
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20 |
938 | 940,414 | ||||||||||||
11,279,060 | ||||||||||||||
Commercial Banks 0.1% |
||||||||||||||
Redtop Acquisitions Ltd.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 |
420 | 422,449 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 |
355 | 362,100 | ||||||||||||
784,549 | ||||||||||||||
Commercial Services & Supplies 1.6% |
||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |
1,475 | 1,473,260 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 |
1,239 | 1,241,996 | ||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 |
584 | 585,258 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |
1,570 | 1,575,410 | ||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 |
370 | 374,625 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 |
967 | 966,991 | ||||||||||||
Livingston International, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/19 |
776 | 778,040 | ||||||||||||
2nd Lien Term Loan, 9.00%, 4/20/20 |
352 | 358,898 | ||||||||||||
Protection One, Inc., Term Loan, 4.25%, 3/21/19 |
572 | 570,293 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |
1,787 | 1,788,346 | ||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 |
982 | 976,403 | ||||||||||||
10,689,520 | ||||||||||||||
Communications Equipment 1.6% |
||||||||||||||
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19 |
4,257 | 4,292,548 | ||||||||||||
Applied Systems, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 |
330 | 332,062 | ||||||||||||
2nd Lien Term Loan, 7.50%, 1/24/22 |
265 | 270,499 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17 |
765 | 744,241 | ||||||||||||
CommScope, Inc.: |
||||||||||||||
Term Loan B3, 2.65% 2.73%, 1/21/17 |
436 | 435,590 | ||||||||||||
Term Loan B4, 3.25%, 1/26/18 |
655 | 655,428 | ||||||||||||
Telesat Canada, Term Loan A, 4.28%, 3/24/17 |
CAD |
1,743 | 1,574,325 | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |
USD |
2,295 | 2,299,721 | |||||||||||
10,604,414 | ||||||||||||||
Construction & Engineering 0.4% |
||||||||||||||
Centaur Acquisition LLC: |
||||||||||||||
1st Lien Term Loan, 5.25%, 2/20/19 |
1,277 | 1,279,089 | ||||||||||||
2nd Lien Term Loan, 8.75%, 2/15/20 |
710 | 724,200 | ||||||||||||
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20 |
473 | 471,836 | ||||||||||||
2,475,125 | ||||||||||||||
Construction Materials 0.5% |
||||||||||||||
Filtration Group Corp.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 11/21/20 |
505 | 509,000 | ||||||||||||
2nd Lien Term Loan, 8.25%, 11/21/21 |
605 | 617,856 | ||||||||||||
HD
Supply, Inc., Term Loan B, 4.00%, 6/28/18 |
1,878 | 1,883,427 | ||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |
379 | 382,935 | ||||||||||||
3,393,218 |
38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Consumer Finance 0.2% |
|||||||||||||||
Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19 |
USD |
1,220 | $ | 1,234,030 | |||||||||||
Containers & Packaging 0.2% |
|||||||||||||||
Ardagh Holdings USA, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.00%, 12/17/19 |
385 | 386,444 | |||||||||||||
Term Loan B, 4.25%, 12/17/19 |
490 | 491,877 | |||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21 |
345 | 343,965 | |||||||||||||
Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18 |
452 | 453,524 | |||||||||||||
1,675,810 | |||||||||||||||
Distributors 0.4% |
|||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |
2,100 | 2,100,389 | |||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |
381 | 379,484 | |||||||||||||
VWR Funding, Inc., Term Loan, 3.45%, 4/03/17 |
455 | 455,400 | |||||||||||||
2,935,273 | |||||||||||||||
Diversified Consumer Services 0.8% |
|||||||||||||||
Allied Security Holdings, LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 |
517 | 516,763 | |||||||||||||
Delayed Draw Term Loan, 0.50%, 2/12/21 |
184 | 183,458 | |||||||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20 |
777 | 778,285 | |||||||||||||
Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20 |
551 | 555,828 | |||||||||||||
Garda World Securities Corp.: |
|||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 |
76 | 76,373 | |||||||||||||
Term Loan B, 4.00%, 11/06/20 |
298 | 298,549 | |||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |
628 | 611,929 | |||||||||||||
ServiceMaster Co., Term Loan, 4.25%, 1/31/17 |
1,038 | 1,037,737 | |||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |
1,665 | 1,270,980 | |||||||||||||
5,329,902 | |||||||||||||||
Diversified Financial Services 1.0% |
|||||||||||||||
ION Trading Technologies Sarl: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 5/22/20 |
526 | 529,295 | |||||||||||||
2nd Lien Term Loan, 8.25%, 5/21/21 |
310 | 313,100 | |||||||||||||
Kasima LLC, Term Loan B, 3.25%, 5/17/21 |
740 | 739,075 | |||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |
1,517 | 1,527,303 | |||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 |
453 | 455,942 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |
1,125 | 1,126,879 | |||||||||||||
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20 |
1,736 | 1,733,047 | |||||||||||||
6,424,641 | |||||||||||||||
Diversified Telecommunication Services 1.9% |
|||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |
2,238 | 2,250,956 | |||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |
1,733 | 1,740,147 | |||||||||||||
Integra Telecom, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.75%, 2/21/20 |
1,270 | 1,302,068 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 |
1,166 | 1,176,683 | |||||||||||||
Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20 |
4,865 | 4,877,162 | |||||||||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 |
509 | 510,750 | |||||||||||||
US
Telepacific Corp., Term Loan B, 5.75%, 2/23/17 |
993 | 998,757 | |||||||||||||
12,856,523 | |||||||||||||||
Electric Utilities 0.3% |
|||||||||||||||
American Energy Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18 |
965 | 1,008,425 | |||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 |
855 | 856,736 | |||||||||||||
1,865,161 | |||||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Electrical Equipment 0.9% |
|||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/11/21 |
USD |
455 | $ | 454,755 | |||||||||||
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.74%, 10/10/17 |
7,640 | 5,324,545 | |||||||||||||
5,779,300 | |||||||||||||||
Electronic Equipment, Instruments & Components 0.1% |
|||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 |
844 | 839,054 | |||||||||||||
Energy Equipment & Services 0.4% |
|||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |
1,104 | 1,107,763 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |
647 | 648,641 | |||||||||||||
Seadrill Partners Finco LLC, Term Loan B, 4.00%, 2/21/21 |
250 | 250,678 | |||||||||||||
Unifrax Corp., Term Loan, 4.25%, 11/28/18 |
548 | 549,179 | |||||||||||||
2,556,261 | |||||||||||||||
Food & Staples Retailing 0.3% |
|||||||||||||||
Rite Aid Corp.: |
|||||||||||||||
2nd Lien Term Loan, 5.75%, 8/21/20 |
240 | 244,999 | |||||||||||||
Term Loan 6, 4.00%, 2/21/20 |
258 | 258,889 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |
903 | 906,300 | |||||||||||||
US
Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 |
299 | 299,993 | |||||||||||||
1,710,181 | |||||||||||||||
Food Products 1.2% |
|||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 |
707 | 709,349 | |||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |
653 | 653,637 | |||||||||||||
Del Monte Foods Co., 1st Lien Term Loan, 4.25%, 11/06/20 |
645 | 645,806 | |||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 7/28/18 |
260 | 259,834 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |
1,065 | 1,070,591 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |
1,045 | 1,060,421 | |||||||||||||
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20 |
1,191 | 1,186,165 | |||||||||||||
Reddy Ice Corp.: |
|||||||||||||||
1st Lien Term Loan, 6.75% 7.75%, 5/01/19 |
1,479 | 1,471,431 | |||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 |
1,380 | 1,338,600 | |||||||||||||
8,395,834 | |||||||||||||||
Health Care Equipment & Supplies 1.7% |
|||||||||||||||
Arysta LifeScience Corp.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 |
1,478 | 1,482,495 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 |
530 | 537,287 | |||||||||||||
Biomet, Inc., Term Loan B2, 3.65% 3.75%, 7/25/17 |
1,239 | 1,240,447 | |||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 |
983 | 982,575 | |||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |
549 | 548,400 | |||||||||||||
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 |
1,705 | 1,713,674 | |||||||||||||
Fresenius SE & Co. KGaA, Incremental Term Loan B, 2.47%, 6/30/19 |
EUR |
610 | 840,931 | ||||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 |
USD |
1,317 | 1,313,771 | ||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
636 | 639,520 | |||||||||||||
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18 |
274 | 275,111 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 |
532 | 517,689 | |||||||||||||
Onex Carestream Finance LP: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 6/07/19 |
834 | 843,003 | |||||||||||||
2nd Lien Term Loan, 9.50%, 12/07/19 |
740 | 754,800 | |||||||||||||
11,689,703 | |||||||||||||||
Health Care Providers & Services 2.4% |
|||||||||||||||
American Renal Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 9/20/19 |
849 | 848,588 | |||||||||||||
2nd Lien Term Loan, 8.50%, 2/14/20 |
890 | 892,225 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 39 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Health Care Providers & Services (concluded) |
|||||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |
USD |
475 | $ | 476,388 | |||||||||||
CHG Buyer Corp., Term Loan, 4.50%, 11/19/19 |
707 | 710,084 | |||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |
4,005 | 4,038,362 | |||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |
1,220 | 1,225,733 | |||||||||||||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 |
1,940 | 1,949,099 | |||||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 |
903 | 909,508 | |||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |
276 | 276,325 | |||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17 |
1,041 | 1,069,688 | |||||||||||||
Ikaria, Inc.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 |
540 | 543,040 | |||||||||||||
2nd Lien Term Loan, 8.75%, 1/17/22 |
270 | 273,826 | |||||||||||||
inVentiv Health, Inc.: |
|||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 |
360 | 359,188 | |||||||||||||
Incremental Term Loan B3, 7.75%, 5/15/18 |
232 | 230,485 | |||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21 |
580 | 585,075 | |||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18 |
597 | 596,504 | |||||||||||||
US
Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |
1,150 | 1,156,703 | |||||||||||||
16,140,821 | |||||||||||||||
Health Care Technology 0.1% |
|||||||||||||||
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 |
640 | 639,380 | |||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |
234 | 234,256 | |||||||||||||
873,636 | |||||||||||||||
Hotels, Restaurants & Leisure 5.5% |
|||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 |
673 | 677,016 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 |
1,284 | 1,294,673 | |||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 |
7,775 | 7,890,226 | |||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 |
585 | 596,700 | |||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.75%, 10/26/20 |
5,205 | 5,220,813 | |||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 |
615 | 620,381 | |||||||||||||
La
Quinta Intermediate Holdings, Term Loan B, 4.00%, 2/19/21 |
5,085 | 5,095,170 | |||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/20/20 |
650 | 649,324 | |||||||||||||
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18 |
1,375 | 1,386,454 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |
1,075 | 1,072,985 | |||||||||||||
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 |
580 | 579,454 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |
920 | 921,240 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 |
723 | 725,899 | |||||||||||||
Sabre, Inc.: |
|||||||||||||||
Incremental Term Loan, 4.50%, 2/19/19 |
399 | 399,375 | |||||||||||||
Term Loan B, 4.25%, 2/19/19 |
564 | 564,419 | |||||||||||||
Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20 |
3,260 | 3,261,373 | |||||||||||||
Travelport LLC: |
|||||||||||||||
2nd Lien PIK Term Loan 2, 4.00%, 12/01/16 (e) |
1,033 | 1,060,918 | |||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 |
1,178 | 1,221,171 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 |
1,577 | 1,616,013 | |||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18 |
1,419 | 1,429,025 | |||||||||||||
Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 |
666 | 665,009 | |||||||||||||
36,947,638 | |||||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Household Products 0.4% |
|||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |
USD |
1,156 | $ | 1,160,317 | |||||||||||
Prestige Brands, Inc., Term Loan, 3.75% – 5.00%, 1/31/19 |
451 | 452,222 | |||||||||||||
Spectrum Brands, Inc.: |
|||||||||||||||
Term Loan A, 3.00%, 9/07/17 |
707 | 707,765 | |||||||||||||
Term Loan C, 3.50%, 9/04/19 |
550 | 549,576 | |||||||||||||
2,869,880 | |||||||||||||||
Independent Power Producers & Energy Traders 0.6% |
|||||||||||||||
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18 |
380 | 381,430 | |||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/02/18 |
1,054 | 1,057,993 | |||||||||||||
La
Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 |
1,826 | 1,828,508 | |||||||||||||
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20 |
887 | 889,493 | |||||||||||||
4,157,424 | |||||||||||||||
Industrial Conglomerates 0.3% |
|||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |
1,834 | 1,805,329 | |||||||||||||
Insurance 1.4% |
|||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19 |
1,064 | 1,070,242 | |||||||||||||
Asurion LLC: |
|||||||||||||||
2nd Lien Term Loan, 8.50%, 2/19/21 |
895 | 922,969 | |||||||||||||
Term Loan B1, 4.50%, 5/24/19 |
1,504 | 1,506,115 | |||||||||||||
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18 |
1,312 | 1,308,706 | |||||||||||||
Cooper Gay Swett & Crawford Ltd.: |
|||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 |
1,055 | 1,038,004 | |||||||||||||
2nd Lien Term Loan, 8.25%, 10/16/20 |
500 | 481,875 | |||||||||||||
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 |
921 | 916,096 | |||||||||||||
Hub International Ltd., Term Loan B, 4.75%, 10/02/20 |
778 | 784,531 | |||||||||||||
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20 |
303 | 306,130 | |||||||||||||
Sedgwick CMS Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 3.75%, 2/11/21 |
495 | 492,401 | |||||||||||||
2nd Lien Term Loan, 6.75%, 12/12/18 |
665 | 671,291 | |||||||||||||
9,498,360 | |||||||||||||||
Internet Software & Services 0.8% |
|||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/26/21 |
550 | 552,750 | |||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 |
2,116 | 2,117,961 | |||||||||||||
Open Text Corp., Term Loan B, 3.25%, 1/04/21 |
850 | 849,575 | |||||||||||||
W3
Co.: |
|||||||||||||||
1st Lien Term Loan, 5.75%, 3/13/20 |
1,032 | 1,034,780 | |||||||||||||
2nd Lien Term Loan, 9.25%, 9/11/20 |
404 | 408,027 | |||||||||||||
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 |
510 | 516,223 | |||||||||||||
5,479,316 | |||||||||||||||
IT Services 0.9% |
|||||||||||||||
Ceridian Corp., Term Loan B, 4.37% – 4.40%, 5/09/17 |
1,115 | 1,117,700 | |||||||||||||
First Data Corp.: |
|||||||||||||||
2018 Term Loan, 4.16%, 9/24/18 |
1,615 | 1,617,697 | |||||||||||||
Extended 2018 Term Loan B, 4.16%, 3/23/18 |
2,169 | 2,171,372 | |||||||||||||
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18 |
754 | 657,716 | |||||||||||||
SunGard Data Systems, Inc.: |
|||||||||||||||
Term Loan D, 4.50%, 1/31/20 |
386 | 386,583 | |||||||||||||
Term Loan E, 4.00%, 3/09/20 |
432 | 433,486 | |||||||||||||
6,384,554 | |||||||||||||||
Life Sciences Tools & Services 0.2% |
|||||||||||||||
Patheon, Inc., Term Loan: |
|||||||||||||||
7.25%, 12/14/18 |
464 | 462,733 | |||||||||||||
4.25%, 1/09/21 |
920 | 917,129 | |||||||||||||
1,379,862 | |||||||||||||||
Machinery 2.0% |
|||||||||||||||
Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20 |
795 | 793,672 |
40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Machinery (concluded) |
||||||||||||||
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18 |
USD |
520 | $ | 521,569 | ||||||||||
Faenza Acquisition GmbH: |
||||||||||||||
Term Loan B1, 4.25%, 8/31/20 |
462 | 463,028 | ||||||||||||
Term Loan B3, 4.25%, 8/28/20 |
141 | 140,837 | ||||||||||||
Gardner Denver, Inc.: |
||||||||||||||
4.25%, 7/30/20 |
1,345 | 1,338,546 | ||||||||||||
4.75%, 7/30/20 |
EUR |
222 | 307,200 | |||||||||||
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20 |
USD |
1,418 | 1,417,620 | |||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |
1,086 | 1,088,297 | ||||||||||||
Mirror Bidco Corp., Term Loan, 4.25%, 12/27/19 |
1,431 | 1,437,102 | ||||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 |
525 | 531,905 | ||||||||||||
Pacific Industrial Services US Finance Co. LLC: |
||||||||||||||
1st Lien Term Loan, 5.00%, 10/02/18 |
893 | 903,922 | ||||||||||||
2nd Lien Term Loan, 8.75%, 4/02/19 |
730 | 748,250 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |
1,323 | 1,325,680 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |
582 | 582,262 | ||||||||||||
STS Operating, Inc., Term Loan, 4.75%, 2/19/21 |
320 | 320,800 | ||||||||||||
Terex Corp., Term Loan, 4.00%, 4/28/17 |
EUR |
175 | 243,606 | |||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |
USD |
998 | 1,002,843 | |||||||||||
13,167,139 | ||||||||||||||
Marine 0.2% |
||||||||||||||
HGIM Corp., Term Loan B, 5.50%, 6/18/20 |
1,059 | 1,070,395 | ||||||||||||
Media 5.2% |
||||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 |
1,170 | 1,171,328 | ||||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 |
465 | 466,548 | ||||||||||||
Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20 |
1,017 | 1,022,110 | ||||||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21 |
155 | 154,588 | ||||||||||||
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 9.50%, 7/03/14 |
2,005 | 1,862,350 | ||||||||||||
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 |
1,179 | 1,172,885 | ||||||||||||
Clear Channel Communications, Inc.: |
||||||||||||||
Term Loan B, 3.80%, 1/29/16 |
316 | 310,556 | ||||||||||||
Term Loan C, 3.80%, 1/29/16 |
200 | 194,938 | ||||||||||||
Term Loan D, 6.90%, 1/30/19 |
4,063 | 3,986,480 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |
1,362 | 1,370,098 | ||||||||||||
The E.W. Scripps Co., Term Loan B, 3.25%, 11/26/20 |
635 | 636,334 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 |
727 | 727,461 | ||||||||||||
Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19 |
245 | 246,819 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 |
209 | 199,018 | ||||||||||||
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 |
891 | 892,751 | ||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |
695 | 697,436 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |
2,514 | 2,530,563 | ||||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 |
395 | 399,938 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |
564 | 564,292 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |
750 | 756,098 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18 |
780 | 775,125 | ||||||||||||
NEP/NCP Holdco, Inc.: |
||||||||||||||
2nd Lien Term Loan, 9.50%, 7/22/20 |
340 | 347,650 | ||||||||||||
Incremental Term Loan, 4.75%, 1/22/20 |
1,663 | 1,663,200 | ||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||
Media (concluded) |
||||||||||||||
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 |
USD |
995 | $ | 967,638 | ||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |
1,005 | 1,007,958 | ||||||||||||
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20 |
988 | 992,216 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |
1,175 | 1,173,895 | ||||||||||||
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 |
840 | 812,700 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |
2,436 | 2,441,312 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.98%, 3/31/21 |
EUR |
442 | 614,211 | |||||||||||
Virgin Media Investment Holdings Ltd.: |
||||||||||||||
Term Loan B, 3.50%, 6/08/20 |
USD |
410 | 409,561 | |||||||||||
Term Loan C, 4.50%, 6/05/20 |
GBP |
2,340 | 3,940,275 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |
USD |
734 | 737,272 | |||||||||||
35,245,604 | ||||||||||||||
Metals & Mining 1.7% |
||||||||||||||
Ameriforge Group, Inc.: |
||||||||||||||
1st Lien Term Loan, 5.00%, 12/19/19 |
941 | 944,825 | ||||||||||||
2nd Lien Term Loan, 8.75%, 12/19/20 |
470 | 480,575 | ||||||||||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 |
676 | 675,592 | ||||||||||||
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 |
1,345 | 1,371,734 | ||||||||||||
FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/28/19 |
2,233 | 2,252,581 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |
3,851 | 3,863,565 | ||||||||||||
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18 |
39 | 38,324 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |
1,531 | 1,569,233 | ||||||||||||
11,196,429 | ||||||||||||||
Multiline Retail 1.3% |
||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 | 785 | 791,164 | ||||||||||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 |
695 | 685,850 | ||||||||||||
BJs Wholesale Club, Inc.: |
||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 |
589 | 592,301 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 |
575 | 589,916 | ||||||||||||
HEMA Holding BV: |
||||||||||||||
Extended 2nd Lien Term Loan, 5.97%, 1/05/18 |
EUR |
2,600 | 3,229,903 | |||||||||||
Extended Term Loan B, 4.60%, 12/06/17 |
323 | 437,928 | ||||||||||||
Extended Term Loan C, 4.60%, 12/06/17 |
295 | 401,053 | ||||||||||||
Hudsons Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |
USD |
948 | 961,607 | |||||||||||
The Neiman Marcus Group, Inc., Term Loan B, 5.00%, 10/26/20 |
1,651 | 1,669,270 | ||||||||||||
9,358,992 | ||||||||||||||
Oil, Gas & Consumable Fuels 2.6% |
||||||||||||||
Arch Coal, Inc., Term Loan B, 5.75%, 5/16/18 |
585 | 576,746 | ||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 |
2,595 | 2,651,545 | ||||||||||||
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |
1,053 | 1,071,470 | ||||||||||||
EP
Energy LLC, Term Loan B3, 3.50%, 5/24/18 |
1,127 | 1,125,822 | ||||||||||||
Fieldwood Energy LLC: |
||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 |
469 | 469,608 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 |
420 | 434,440 | ||||||||||||
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20 |
1,645 | 1,677,900 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |
1,265 | 1,284,235 | ||||||||||||
Offshore Group Investment Ltd.: |
||||||||||||||
5.00%, 10/25/17 |
870 | 873,312 | ||||||||||||
5.75%, 3/28/19 |
729 | 738,300 | ||||||||||||
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18 |
1,000 | 1,005,915 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |
900 | 919,125 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) |
|||||||||||||||
Power Buyer, LLC: |
|||||||||||||||
1st Lien Term Loan, 4.25%, 5/06/20 |
USD |
354 | $ | 352,674 | |||||||||||
2nd Lien Term Loan, 8.25%, 11/06/20 |
275 | 272,250 | |||||||||||||
Delayed Draw Term Loan, 4.25%, 5/06/20 |
19 | 19,273 | |||||||||||||
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20 |
555 | 558,469 | |||||||||||||
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 |
688 | 686,821 | |||||||||||||
Tesoro Corp., Term Loan B, 2.40%, 5/30/16 |
1,093 | 1,095,858 | |||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 |
1,020 | 1,026,375 | |||||||||||||
WTG Holdings III Corp.: |
|||||||||||||||
1st Lien Term Loan, 4.75%, 1/15/21 |
300 | 300,750 | |||||||||||||
2nd Lien Term Loan, 8.50%, 1/15/22 |
160 | 161,901 | |||||||||||||
17,421,167 | |||||||||||||||
Pharmaceuticals 1.2% |
|||||||||||||||
Akorn, Inc., Term Loan B, 4.50%, 8/27/20 |
885 | 890,531 | |||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 5.75% 7.00%, 11/01/19 |
608 | 611,517 | |||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |
307 | 307,188 | |||||||||||||
Endo Health Solutions, Inc., Term Loan B, 3.75%, 11/05/20 |
855 | 853,222 | |||||||||||||
Jazz Pharmaceuticals, Inc., Term Loan B, 3.50%, 6/12/18 |
295 | 295,422 | |||||||||||||
Par Pharmaceutical Cos., Inc., Term Loan B, 4.00%, 9/30/19 |
2,153 | 2,154,259 | |||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |
1,399 | 1,404,451 | |||||||||||||
Valeant Pharmaceuticals International, Inc.: |
|||||||||||||||
Series C2 Term Loan B, 3.75%, 12/11/19 |
553 | 554,383 | |||||||||||||
Series E Term Loan B, 3.75%, 8/05/20 |
834 | 838,677 | |||||||||||||
7,909,650 | |||||||||||||||
Professional Services 0.6% |
|||||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |
610 | 611,038 | |||||||||||||
ON
Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20 |
298 | 298,523 | |||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |
1,062 | 1,080,560 | |||||||||||||
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20 |
603 | 607,259 | |||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |
1,172 | 1,174,561 | |||||||||||||
3,771,941 | |||||||||||||||
Real Estate Investment Trusts (REITs) 0.5% |
|||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 |
2,723 | 2,728,464 | |||||||||||||
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20 |
638 | 636,196 | |||||||||||||
3,364,660 | |||||||||||||||
Real Estate Management & Development 0.5% |
|||||||||||||||
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20 |
1,035 | 1,044,543 | |||||||||||||
Realogy Corp.: |
|||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 |
102 | 101,891 | |||||||||||||
Extended Term Loan, 4.50%, 3/05/20 |
2,112 | 2,116,270 | |||||||||||||
3,262,704 | |||||||||||||||
Road & Rail 0.1% |
|||||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 |
629 | 631,859 | |||||||||||||
Semiconductors & Semiconductor Equipment 0.3% |
|||||||||||||||
Freescale Semiconductor, Inc.: |
|||||||||||||||
Term Loan B4, 5.00%, 2/28/20 |
723 | 725,560 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 |
379 | 383,314 | |||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 |
988 | 986,537 | |||||||||||||
2,095,411 | |||||||||||||||
Floating Rate Loan Interests (c) | Par (000) |
Value | |||||||||||||
Software 2.0% |
|||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 |
USD |
845 | $ | 846,935 | |||||||||||
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20 |
224 | 223,220 | |||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |
463 | 450,645 | |||||||||||||
GCA Services Group, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 |
560 | 566,300 | |||||||||||||
Term Loan B, 4.25% 5.50%, 11/01/19 |
561 | 564,289 | |||||||||||||
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |
1,138 | 1,135,923 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 2/19/21 |
630 | 617,400 | |||||||||||||
Kronos Worldwide, Inc., 2020 Term Loan B, 4.75%, 2/12/20 |
235 | 236,617 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |
1,837 | 1,868,675 | |||||||||||||
Mitchell International, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 |
635 | 636,588 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 |
1,200 | 1,223,004 | |||||||||||||
RP
Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 |
913 | 914,077 | |||||||||||||
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21 |
340 | 342,975 | |||||||||||||
Sophia LP, Term Loan B, 4.50%, 7/19/18 |
854 | 859,456 | |||||||||||||
SS&C Technologies, Inc.: |
|||||||||||||||
Term Loan B1, 3.25%, 6/07/19 |
950 | 952,708 | |||||||||||||
Term Loan B2, 3.25%, 6/07/19 |
98 | 98,556 | |||||||||||||
StoneRiver Holdings, Inc.: |
|||||||||||||||
1st Lien Term Loan, 4.50%, 11/29/19 |
265 | 265,084 | |||||||||||||
2nd Lien Term Loan, 8.50%, 5/29/20 |
255 | 256,414 | |||||||||||||
Websence, Inc.: |
|||||||||||||||
2nd Lien Term Loan, 8.25%, 12/24/20 |
835 | 837,088 | |||||||||||||
Term Loan B, 4.50%, 6/25/20 |
418 | 421,034 | |||||||||||||
13,316,988 | |||||||||||||||
Specialty Retail 1.2% |
|||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 |
1,724 | 1,732,772 | |||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17 |
191 | 192,581 | |||||||||||||
Davids Bridal, Inc., Term Loan B, 5.00%, 10/11/19 |
945 | 950,177 | |||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% 5.50%, 1/31/20 |
1,131 | 1,141,350 | |||||||||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 |
523 | 530,063 | |||||||||||||
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 |
471 | 471,761 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |
1,427 | 1,427,442 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |
898 | 900,209 | |||||||||||||
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20 |
110 | 110,308 | |||||||||||||
SRAM LLC, Term Loan B, 4.00% 5.25%, 4/10/20 |
424 | 423,777 | |||||||||||||
Toys ‘R Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 |
243 | 203,267 | |||||||||||||
8,083,707 | |||||||||||||||
Textiles, Apparel & Luxury Goods 0.2% |
|||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
1,253 | 1,215,107 | |||||||||||||
J.
Crew Group, Inc., Term Loan B, 4.00%, 2/20/21 |
475 | 473,219 | |||||||||||||
1,688,326 | |||||||||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||||||
IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 |
861 | 863,453 | |||||||||||||
Trading Companies & Distributors 0.0% |
|||||||||||||||
Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19 |
138 | 140,151 | |||||||||||||
WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19 |
192 | 192,465 | |||||||||||||
332,616 |
42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) |
Value | ||||||||||||||||
Wireless Telecommunication Services 0.4% |
||||||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 |
USD |
880 | $ | 880,030 | ||||||||||||||
Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |
1,542 | 1,539,366 | ||||||||||||||||
2,419,396 | ||||||||||||||||||
Total Floating Rate Loan Interests 52.2% |
350,904,849 | |||||||||||||||||
Foreign Agency Obligations |
||||||||||||||||||
Iceland Government International Bond, 5.88%, 5/11/22 |
3,030 | 3,238,312 | ||||||||||||||||
Slovenia Government International Bond: |
||||||||||||||||||
4.38%, 4/02/14 |
EUR |
2,550 | 3,529,340 | |||||||||||||||
4.13%, 2/18/19 (b) |
USD |
635 | 652,463 | |||||||||||||||
Total Foreign Agency Obligations 1.1% |
7,420,115 | |||||||||||||||||
Non-Agency Mortgage-Backed Securities |
||||||||||||||||||
Collateralized Mortgage Obligations 2.1% |
||||||||||||||||||
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 3.17%, 3/25/37 (c) |
43 | 42,440 | ||||||||||||||||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |
5,531 | 4,802,546 | ||||||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: |
||||||||||||||||||
Series 2005-17, Class 1A6, 5.50%, 9/25/35 |
1,464 | 1,463,617 | ||||||||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 |
3,157 | 2,863,378 | ||||||||||||||||
Series 2007-HY5, Class 3A1, 5.32%, 9/25/37 (c) |
2,164 | 2,036,728 | ||||||||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.71%, 10/25/35 (c) |
1,936 | 1,793,801 | ||||||||||||||||
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.45%, 2/26/37 (b)(c) |
875 | 868,018 | ||||||||||||||||
13,870,528 | ||||||||||||||||||
Commercial Mortgage-Backed Securities 8.3% |
||||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.82%, 2/10/51 (c) |
1,712 | 1,920,667 | ||||||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49 |
34 | 33,730 | ||||||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-LC13, Class D, 5.05%, 8/10/46 (b)(c) |
3,530 | 3,312,379 | ||||||||||||||||
Commercial Mortgage Trust, Series 2013-LC6: |
||||||||||||||||||
Class B, 3.74%, 1/10/46 |
1,110 | 1,077,525 | ||||||||||||||||
Class D, 4.29%, 1/10/46 (b)(c) |
1,330 | 1,185,795 | ||||||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39 |
1,850 | 1,997,464 | ||||||||||||||||
Credit Suisse Mortgage Capital Certificates (c): |
||||||||||||||||||
Series 2007-C2, Class A2, 5.45%, 1/15/49 |
5 | 4,986 | ||||||||||||||||
Series 2007-C4, Class A3, 5.76%, 9/15/39 |
513 | 515,861 | ||||||||||||||||
Series 2007-C5, Class AAB, 5.62%, 9/15/40 |
1,402 | 1,499,631 | ||||||||||||||||
Series 2014-SURF, Class E, 3.26%, 2/15/29 (b) |
1,000 | 1,000,125 | ||||||||||||||||
First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b)(c) |
459 | 466,476 | ||||||||||||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.82%, 7/10/38 (c) |
1,610 | 1,763,916 | ||||||||||||||||
GS
Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b) |
1,995 | 1,906,965 | ||||||||||||||||
GS
Mortgage Securities Trust, Series 2006-GG6, Class AM, 5.62%, 4/10/38 (c) |
3,680 | 3,971,125 | ||||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c) |
4,162 | 4,277,620 | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: |
||||||||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 |
2,011 | 2,025,336 | ||||||||||||||||
Series 2007-CB18, Class A4, 5.44%, 6/12/47 |
2,110 | 2,324,089 | ||||||||||||||||
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (c) |
2,140 | 2,391,835 | ||||||||||||||||
Series 2012-LC9, Class XA, 1.94%, 12/15/47 (c) |
14,880 | 1,541,815 | ||||||||||||||||
Non-Agency Mortgage-Backed Securities | Par (000) |
Value | ||||||||||||||||
Commercial Mortgage-Backed Securities (concluded) |
||||||||||||||||||
LB-UBS Commercial Mortgage Trust (c): |
||||||||||||||||||
Series 2007-C2, Class AM, 5.49%, 2/15/40 |
USD |
2,500 | $ | 2,664,720 | ||||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 |
4,715 | 5,086,978 | ||||||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.84%, 6/12/50 (c) |
1,549 | 1,661,786 | ||||||||||||||||
Talisman Finance PLC, Series 6, Class A, 0.46%, 10/22/16 (c) |
EUR |
1,827 | 2,402,930 | |||||||||||||||
Titan Europe PLC, Series 2007-1X, Class A, 0.77%, 1/20/17 (c) |
GBP |
2,548 | 3,925,736 | |||||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.93%, 2/15/51 (c) |
USD |
2,030 | 2,239,928 | |||||||||||||||
WF-RBS Commercial Mortgage Trust: |
||||||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 |
1,085 | 1,105,415 | ||||||||||||||||
Series 2012-C8, Class C, 4.88%, 8/15/45 (c) |
1,395 | 1,442,897 | ||||||||||||||||
Series 2013-C11, Class D, 4.18%, 3/15/45 (b)(c) |
1,400 | 1,266,359 | ||||||||||||||||
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.78%, 4/24/17 (c) |
GBP |
681 | 1,132,741 | |||||||||||||||
56,146,830 | ||||||||||||||||||
Interest Only Commercial Mortgage-Backed Securities 0.6% |
||||||||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.66%, 3/15/45 (b)(c) |
USD |
15,228 | 1,848,996 | |||||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.25%, 11/15/45 (b)(c) |
16,725 | 2,047,705 | ||||||||||||||||
3,896,701 | ||||||||||||||||||
Total Non-Agency Mortgage-Backed Securities 11.0% |
73,914,059 | |||||||||||||||||
US Government Sponsored Agency Securities |
||||||||||||||||||
Collateralized Mortgage Obligations 1.0% |
||||||||||||||||||
Freddie Mac Mortgage-Backed Securities: |
||||||||||||||||||
Series 3986, Class M, REMIC, 4.50%, 9/15/41 |
2,611 | 2,813,768 | ||||||||||||||||
Series K032, Class A2, 3.31%, 5/25/23 (c) |
3,500 | 3,558,636 | ||||||||||||||||
6,372,404 | ||||||||||||||||||
Interest Only Collateralized Mortgage Obligations 0.9% |
||||||||||||||||||
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.07%, 12/25/17 (c) |
19,938 | 2,515,002 | ||||||||||||||||
Freddie Mac Mortgage-Backed Securities, Class X1 (c): |
||||||||||||||||||
Series K707, 1.56%, 12/25/18 |
42,927 | 2,765,202 | ||||||||||||||||
Series K710, 1.78%, 5/25/19 |
13,340 | 1,052,311 | ||||||||||||||||
6,332,515 | ||||||||||||||||||
Mortgage-Backed Securities 4.0% |
||||||||||||||||||
Fannie Mae Mortgage-Backed Securities: |
||||||||||||||||||
3.50%, 8/01/26 |
8,456 | 8,955,223 | ||||||||||||||||
5.00%, 7/01/208/01/23 |
6,728 | 7,215,980 | ||||||||||||||||
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 |
9,957 | 10,746,478 | ||||||||||||||||
26,917,681 | ||||||||||||||||||
Total US Government Sponsored Agency Securities 5.9% |
39,622,600 | |||||||||||||||||
Other Interests (k) |
Beneficial Interest (000) |
|||||||||||||||||
Auto Components 0.0% |
||||||||||||||||||
Lear Corp. Escrow |
1,000 | 8,750 | ||||||||||||||||
Construction Materials 0.0% |
||||||||||||||||||
USI Senior Holdings |
6 | | ||||||||||||||||
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Other Interests (k) | Beneficial Interest (000) |
Value | ||||||||||||||||
Diversified Financial Services 0.1% |
||||||||||||||||||
J.G. Wentworth LLC Preferred Equity Interests: |
||||||||||||||||||
(135-day lockup), (Acquired 11/18/13, cost $969,589) (a)(l) |
USD |
14 | $ | 258,056 | ||||||||||||||
(180-day lockup), (Acquired 11/18/13, cost $969,589) (a)(l) |
14 | 258,056 | ||||||||||||||||
516,112 | ||||||||||||||||||
Household Durables 0.0% |
||||||||||||||||||
Berkline Benchcraft Equity LLC |
3,155 | | ||||||||||||||||
Total Other Interests 0.1% |
524,862 | |||||||||||||||||
Preferred Securities |
||||||||||||||||||
Capital Trusts |
Par (000) |
|||||||||||||||||
Chemicals 0.1% |
||||||||||||||||||
Solvay Finance SA, 4.20% (c)(m) |
EUR |
260 | 367,401 | |||||||||||||||
Commercial Banks 0.5% |
||||||||||||||||||
Wachovia Capital Trust III, 5.57% (c)(d)(m) |
USD |
3,365 | 3,255,638 | |||||||||||||||
Diversified Financial Services 0.5% |
||||||||||||||||||
Bank of America Corp., Series U, 5.20% (c)(d)(m) |
1,250 | 1,175,000 | ||||||||||||||||
Barclays PLC, 8.00% (c)(m) |
600 | 882,012 | ||||||||||||||||
Citigroup, Inc., 5.95% (c)(d)(m) |
1,370 | 1,352,875 | ||||||||||||||||
3,409,887 | ||||||||||||||||||
Insurance 1.4% |
||||||||||||||||||
AXA SA, 6.46% (b)(c)(d)(m) |
1,625 | 1,694,062 | ||||||||||||||||
Genworth Holdings, Inc., 6.15%, 11/15/66 (c)(d) |
1,850 | 1,702,703 | ||||||||||||||||
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (c) |
2,500 | 2,918,750 | ||||||||||||||||
Swiss Re Capital I LP, 6.85% (b)(c)(d)(m) |
3,000 | 3,214,500 | ||||||||||||||||
9,530,015 | ||||||||||||||||||
Total Capital Trusts 2.5% |
16,562,941 | |||||||||||||||||
Preferred Stocks | Shares |
Value | ||||||||||||||||
Capital Markets 0.1% |
||||||||||||||||||
SCE Trust III, 5.75% (c)(m) |
21,200 | $ | 535,936 | |||||||||||||||
Consumer Finance 0.0% |
||||||||||||||||||
Ally Financial, Inc., Series A, 8.50% (c)(m) |
8,657 | 236,769 | ||||||||||||||||
Total Preferred Stocks 0.1% |
772,705 | |||||||||||||||||
Trust Preferreds 0.7% |
||||||||||||||||||
Diversified Financial Services 0.7% |
||||||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) |
166,413 | 4,501,212 | ||||||||||||||||
Total Preferred Securities 3.3% |
21,836,858 | |||||||||||||||||
Warrants (n) 0.0% |
||||||||||||||||||
Software 0.0% |
||||||||||||||||||
HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27) |
3,100 | 10,964 | ||||||||||||||||
Total Long-Term Investments (Cost $940,371,245) 143.3% |
962,904,079 | |||||||||||||||||
Short-Term Securities |
||||||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (o)(p) |
3,052,131 | 3,052,131 | ||||||||||||||||
Total Short-Term Securities (Cost $3,052,131) 0.5% |
3,052,131 | |||||||||||||||||
Options Purchased |
||||||||||||||||||
(Cost $44,978) 0.0% |
| |||||||||||||||||
Total Investments (Cost $943,468,354) 143.8% |
965,956,210 | |||||||||||||||||
Liabilities in Excess of Other Assets (43.8)% |
(294,170,116 | ) | ||||||||||||||||
Net Assets 100.0% |
$ | 671,786,094 |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. |
|||
(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) | Variable rate security. Rate shown is as of report date. |
|||
(d) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase
agreements. |
|||
(e) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
|||
(f) | Convertible security. |
|||
(g) | Zero-coupon bond. |
|||
(h) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following
periods. Rate shown is as of report date. |
|||
(i) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty |
|
Value |
|
Unrealized Appreciation |
||||||
Jefferies Co. |
$ | 1,009,400 | $ | 29,400 |
(j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|||
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|||
(l) | Restricted security as to resale. As of report date, the Fund held 0.1% of its net assets, with a current value of $516,112 in this
security. |
|||
(m) | Security is perpetual in nature and has no stated maturity date. |
|||
(n) | Warrants entitle the Fund to purchase a predetermined 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, if any. |
44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
(o) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2014, for purposes of
Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate |
|
Shares Held at August 31, 2013 |
|
Net Activity |
|
Shares Held at February 28, 2014 |
|
Income |
||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class |
1,184,093 | 1,868,038 | 3,052,131 | $ | 1,413 |
(p) | Represents the current yield as of report date. |
|||
| Reverse repurchase agreements outstanding as of February 28, 2014 were as follows: |
Counterparty |
|
Interest Rate |
|
Trade Date |
|
Maturity Date |
|
Face Value |
|
Face Value Including Accrued Interest |
||||||||||||
UBS
Securities LLC |
0.50% |
1/30/13 |
Open |
$ | 1,862,820 | $ | 1,873,040 | |||||||||||||||
UBS
Securities LLC |
0.65% |
1/31/13 |
Open |
547,200 | 551,093 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
592,144 | 595,953 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
292,304 | 294,184 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
1,000,721 | 1,007,159 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
633,994 | 638,073 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
1,673,438 | 1,684,204 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
507,052 | 510,314 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/07/13 |
Open |
662,469 | 666,731 | |||||||||||||||||
UBS
Securities LLC |
0.25% |
2/07/13 |
Open |
1,048,688 | 1,051,499 | |||||||||||||||||
UBS
Securities LLC |
0.34% |
2/07/13 |
Open |
3,334,275 | 3,346,430 | |||||||||||||||||
UBS
Securities LLC |
0.45% |
2/07/13 |
Open |
866,250 | 870,430 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
2/07/13 |
Open |
2,196,563 | 2,209,517 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
2/07/13 |
Open |
356,250 | 358,733 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
2/07/13 |
Open |
843,275 | 849,152 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
2/08/13 |
Open |
1,170,163 | 1,177,384 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
2/08/13 |
Open |
483,060 | 486,064 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/15/13 |
Open |
291,043 | 292,881 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
2/19/13 |
Open |
166,058 | 167,182 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/20/13 |
Open |
484,000 | 486,766 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/20/13 |
Open |
217,132 | 218,373 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
2/20/13 |
Open |
2,512,000 | 2,527,096 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/22/13 |
Open |
509,587 | 512,483 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/22/13 |
Open |
509,760 | 512,657 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/22/13 |
Open |
848,076 | 852,896 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/13 |
Open |
1,280,181 | 1,287,339 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/13 |
Open |
107,112 | 107,711 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/13 |
Open |
1,901,900 | 1,912,535 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.40% |
3/07/13 |
Open |
1,503,125 | 1,509,104 | |||||||||||||||||
UBS
Securities LLC |
0.60% |
3/12/13 |
Open |
3,040,295 | 3,058,233 | |||||||||||||||||
UBS
Securities LLC |
0.35% |
3/13/13 |
Open |
1,560,000 | 1,565,354 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
3/13/13 |
Open |
395,650 | 397,784 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
3/14/13 |
Open |
760,000 | 764,075 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.70% |
3/14/13 |
Open |
1,523,693 | 1,534,092 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
3/19/13 |
Open |
972,625 | 977,781 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
3/22/13 |
Open |
1,496,075 | 1,501,079 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.40% |
3/27/13 |
Open |
3,022,500 | 3,033,885 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
3/27/13 |
Open |
1,464,750 | 1,472,336 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
3/27/13 |
Open |
1,634,000 | 1,643,205 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
3/27/13 |
Open |
919,000 | 924,177 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
3/27/13 |
Open |
527,000 | 529,969 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
3/27/13 |
Open |
579,000 | 582,262 | |||||||||||||||||
Barclays Capital, Inc. |
0.40% |
4/02/13 |
Open |
3,326,900 | 3,339,173 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/02/13 |
Open |
865,247 | 870,035 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
4/02/13 |
Open |
331,500 | 333,334 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
4/02/13 |
Open |
1,250,330 | 1,256,691 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
243,800 | 244,585 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
5,701,069 | 5,719,415 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
1,233,600 | 1,237,570 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
1,277,250 | 1,281,360 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
2,861,250 | 2,870,458 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
3,119,100 | 3,129,137 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
2,958,750 | 2,968,271 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
3,213,750 | 3,224,092 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 45 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (continued): |
Counterparty |
|
Interest Rate |
|
Trade Date |
|
Maturity Date |
|
Face Value |
|
Face Value Including Accrued Interest |
||||||||||||
Credit Suisse Securities (USA) LLC |
0.35% |
4/03/13 |
Open |
$ | 3,695,000 | $ | 3,706,891 | |||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
4/03/13 |
Open |
1,482,188 | 1,490,116 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
4/03/13 |
Open |
1,624,500 | 1,633,163 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
4/08/13 |
Open |
2,327,500 | 2,339,057 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
4/10/13 |
Open |
846,000 | 850,201 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
4/10/13 |
Open |
536,000 | 538,661 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
4/10/13 |
Open |
489,000 | 491,428 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
4/12/13 |
Open |
2,054,000 | 2,064,136 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
(0.25)% |
4/17/13 |
Open |
690,206 | 688,706 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
5/07/13 |
Open |
225,152 | 226,270 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
5/14/13 |
Open |
789,000 | 792,508 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.75% |
5/23/13 |
Open |
238,810 | 240,213 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.40% |
5/30/13 |
Open |
720,960 | 723,163 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
5/30/13 |
Open |
851,000 | 854,575 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
5/30/13 |
Open |
1,511,000 | 1,517,348 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
5/30/13 |
Open |
2,137,000 | 2,145,978 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
5/31/13 |
Open |
586,181 | 588,635 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
6/03/13 |
Open |
808,520 | 811,867 | |||||||||||||||||
UBS
Securities LLC |
0.55% |
6/12/13 |
Open |
864,647 | 868,095 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
6/13/13 |
Open |
923,000 | 926,680 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
6/13/13 |
Open |
1,440,000 | 1,445,720 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
6/20/13 |
Open |
743,850 | 747,248 | |||||||||||||||||
Barclays Capital, Inc. |
0.44% |
6/21/13 |
Open |
1,109,299 | 1,112,729 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
6/24/13 |
Open |
1,731,221 | 1,738,434 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
6/24/13 |
Open |
432,962 | 434,766 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
6/24/13 |
Open |
488,876 | 490,913 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
6/24/13 |
Open |
979,729 | 983,811 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
6/24/13 |
Open |
2,180,349 | 2,189,434 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
6/24/13 |
Open |
803,000 | 806,067 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
6/24/13 |
Open |
1,629,700 | 1,635,925 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.57% |
6/26/13 |
Open |
504,000 | 505,971 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
6/27/13 |
Open |
698,000 | 700,766 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
7/18/13 |
Open |
871,000 | 874,007 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
7/30/13 |
Open |
1,095,000 | 1,098,580 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/12/13 |
Open |
2,958,000 | 2,967,579 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
1,295,000 | 1,299,131 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
450,000 | 451,435 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
1,288,000 | 1,292,109 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
1,009,000 | 1,012,219 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
137,000 | 137,437 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
198,000 | 198,632 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
311,000 | 311,992 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
3,135,000 | 3,145,001 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
1,107,000 | 1,110,531 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
780,000 | 782,488 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
1,169,000 | 1,172,729 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
948,000 | 951,024 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/13/13 |
Open |
356,000 | 357,136 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
8/14/13 |
Open |
703,000 | 705,254 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/11/13 |
Open |
610,000 | 611,681 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
2,124,000 | 2,129,681 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
1,480,000 | 1,483,958 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
1,524,000 | 1,528,076 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
2,142,000 | 2,147,729 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
1,309,000 | 1,312,501 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/16/13 |
Open |
1,523,000 | 1,527,073 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
9/17/13 |
Open |
163,000 | 163,433 | |||||||||||||||||
BNP
Paribas Securities Corp. |
0.34% |
9/18/13 |
Open |
13,065,000 | 13,085,207 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.75% |
9/23/13 |
Open |
389,825 | 391,116 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
9/26/13 |
Open |
397,000 | 397,946 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
9/27/13 |
Open |
1,189,125 | 1,192,197 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
9/27/13 |
Open |
2,219,000 | 2,224,732 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
9/27/13 |
Open |
2,954,000 | 2,961,631 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
9/27/13 |
Open |
1,035,000 | 1,037,674 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
9/27/13 |
Open |
882,000 | 884,278 |
46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (continued): |
Counterparty |
|
Interest Rate |
|
Trade Date |
|
Maturity Date |
|
Face Value |
|
Face Value Including Accrued Interest |
||||||||||||
Deutsche Bank Securities, Inc. |
0.56% |
10/11/13 |
Open |
$ | 1,016,000 | $ | 1,018,228 | |||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/15/13 |
Open |
628,340 | 629,775 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/15/13 |
Open |
893,525 | 895,565 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/15/13 |
Open |
919,755 | 921,855 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/15/13 |
Open |
497,887 | 499,024 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/16/13 |
Open |
803,937 | 805,759 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
10/16/13 |
Open |
546,562 | 547,760 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
10/16/13 |
Open |
1,207,500 | 1,210,146 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
10/16/13 |
Open |
934,313 | 936,360 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/17/13 |
Open |
728,012 | 729,650 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/17/13 |
Open |
682,594 | 684,130 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/17/13 |
Open |
875,600 | 877,570 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/17/13 |
Open |
1,215,288 | 1,218,022 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
10/17/13 |
Open |
770,000 | 771,675 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/21/13 |
Open |
676,000 | 677,465 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/21/13 |
Open |
791,000 | 792,698 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/21/13 |
Open |
389,000 | 389,835 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/21/13 |
Open |
803,000 | 804,724 | |||||||||||||||||
UBS
Securities LLC |
(0.50)% |
10/21/13 |
Open |
983,281 | 981,506 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
10/21/13 |
Open |
1,601,775 | 1,605,535 | |||||||||||||||||
UBS
Securities LLC |
0.65% |
10/21/13 |
Open |
588,262 | 589,643 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/22/13 |
Open |
845,434 | 847,266 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/22/13 |
Open |
1,023,231 | 1,025,448 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/22/13 |
Open |
755,625 | 757,262 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/22/13 |
Open |
851,217 | 853,061 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
10/22/13 |
Open |
788,400 | 790,108 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
10/22/13 |
Open |
2,441,000 | 2,445,811 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/25/13 |
Open |
707,445 | 708,917 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
10/25/13 |
Open |
835,450 | 837,189 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
11/15/13 |
Open |
2,067,975 | 2,071,628 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
11/15/13 |
Open |
1,356,788 | 1,359,185 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
11/15/13 |
Open |
1,291,249 | 1,293,530 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
11/15/13 |
Open |
1,283,400 | 1,285,667 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
11/15/13 |
Open |
424,000 | 424,737 | |||||||||||||||||
Barclays Capital, Inc. |
0.55% |
11/18/13 |
Open |
1,313,488 | 1,315,555 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
11/18/13 |
Open |
968,000 | 969,606 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
1,227,000 | 1,228,881 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
646,000 | 646,991 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
1,538,000 | 1,540,358 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
2,602,000 | 2,605,990 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
834,000 | 835,279 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
708,000 | 709,086 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
11/27/13 |
Open |
772,000 | 773,184 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
1,230,000 | 1,231,620 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
723,000 | 723,952 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
564,000 | 564,743 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
549,000 | 549,723 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
727,000 | 727,957 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/12/13 |
Open |
1,323,000 | 1,324,742 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.59% |
12/16/13 |
Open |
412,000 | 412,506 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/18/13 |
Open |
996,000 | 997,155 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/13 |
Open |
1,030,000 | 1,031,236 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/13 |
Open |
865,000 | 866,038 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/13 |
Open |
767,000 | 767,920 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/13 |
Open |
1,222,000 | 1,223,466 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/18/13 |
Open |
686,000 | 686,823 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
453,000 | 453,589 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
570,000 | 570,741 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
514,000 | 514,668 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
566,000 | 566,736 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
474,000 | 474,616 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
489,000 | 489,636 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
520,000 | 520,676 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
12/18/13 |
Open |
508,000 | 508,660 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/23/13 |
Open |
1,464,000 | 1,465,659 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 47 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of February 28, 2014 were as follows (concluded): |
Counterparty |
|
Interest Rate |
|
Trade Date |
|
Maturity Date |
|
Face Value |
|
Face Value Including Accrued Interest |
||||||||||||
Deutsche Bank Securities, Inc. |
(0.63)% |
12/27/13 |
Open |
$ | 1,680,000 | $ | 1,678,221 | |||||||||||||||
Deutsche Bank Securities, Inc. |
(0.10)% |
12/27/13 |
Open |
1,162,000 | 1,161,803 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.50% |
12/27/13 |
Open |
1,416,000 | 1,417,200 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
12/27/13 |
Open |
973,000 | 973,907 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
12/27/13 |
Open |
553,000 | 553,515 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
12/27/13 |
Open |
296,000 | 296,276 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
300,000 | 300,295 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
1,450,000 | 1,451,425 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
593,000 | 593,583 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
945,000 | 945,929 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
357,000 | 357,351 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
1,228,000 | 1,229,207 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
12/27/13 |
Open |
4,600,000 | 4,604,521 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/27/13 |
Open |
1,898,000 | 1,899,930 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.60% |
12/27/13 |
Open |
820,000 | 820,834 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.65% |
12/27/13 |
Open |
557,000 | 557,613 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.65% |
12/27/13 |
Open |
909,000 | 910,001 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
2/03/14 |
Open |
2,254,981 | 2,255,926 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.58% |
2/03/14 |
Open |
1,253,464 | 1,253,989 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
2/04/14 |
Open |
219,760 | 219,859 | |||||||||||||||||
Credit Suisse Securities (USA) LLC |
0.12% |
2/18/14 |
3/18/14 |
26,130,546 | 26,131,417 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
2/18/14 |
Open |
492,000 | 492,089 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
2/18/14 |
Open |
334,000 | 334,060 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
2/18/14 |
Open |
477,000 | 477,086 | |||||||||||||||||
RBC
Capital Markets, LLC |
0.65% |
2/18/14 |
Open |
560,000 | 560,101 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/26/14 |
Open |
2,515,741 | 2,515,856 | |||||||||||||||||
HSBC Securities (USA), Inc. |
0.55% |
2/26/14 |
Open |
1,111,931 | 1,111,982 | |||||||||||||||||
Barclays Capital, Inc. |
0.35% |
2/28/14 |
Open |
3,109,000 | 3,109,000 | |||||||||||||||||
Barclays Capital, Inc. |
0.35% |
2/28/14 |
Open |
3,202,000 | 3,202,000 | |||||||||||||||||
Barclays Capital, Inc. |
0.35% |
2/28/14 |
Open |
1,929,000 | 1,929,000 | |||||||||||||||||
Barclays Capital, Inc. |
0.60% |
2/28/14 |
Open |
935,000 | 935,000 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/14 |
Open |
1,894,000 | 1,894,000 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/14 |
Open |
474,000 | 474,000 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/14 |
Open |
996,000 | 996,000 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/14 |
Open |
2,862,000 | 2,862,000 | |||||||||||||||||
Deutsche Bank Securities, Inc. |
0.55% |
2/28/14 |
Open |
1,073,000 | 1,073,000 | |||||||||||||||||
RBC Capital Markets, LLC |
0.40% |
2/28/14 |
Open |
484,000 | 484,000 | |||||||||||||||||
Total |
$ | 291,162,130 | $ | 291,897,510 | ||||||||||||||||||
| Financial futures contracts outstanding as of February 28, 2014 were as follows: |
Contracts Purchased/ (Sold) |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional Value |
|
Unrealized Appreciation (Depreciation) |
|||
6 |
90-Day Euro-Dollar |
Chicago Mercantile |
March 2014 |
$ | 1,496,475 | $ | 39,209 | ||||||
(97) |
10-Year US Treasury Note |
Chicago Board of Trade |
June 2014 |
$ | 12,079,531 | (38,828 | ) | ||||||
Total |
$ | 381 |
| Foreign currency exchange contracts outstanding as of February 28, 2014 were as follows: |
Currency
Purchased |
Currency Sold |
|
Counterparty |
|
Settlement Date |
|
Unrealized Appreciation (Depreciation) |
|
||||||||||||||||||||
EUR |
1,088,000 | USD |
1,501,016 | State Street Bank and Trust Co. |
4/22/14 |
$ | 725 | |||||||||||||||||||||
GBP |
1,152,000 | USD |
1,921,812 | State Street Bank and Trust Co. |
4/22/14 |
6,568 | ||||||||||||||||||||||
USD |
1,601,378 | CAD |
1,753,000 | Barclays Bank PLC |
4/22/14 |
20,117 | ||||||||||||||||||||||
USD |
32,851,501 | EUR |
24,162,000 | Barclays Bank PLC |
4/22/14 |
(498,732 | ) | |||||||||||||||||||||
USD |
395,075 | EUR |
288,000 | BNP Paribas S.A. |
4/22/14 |
(2,445 | ) | |||||||||||||||||||||
USD |
839,053 | EUR |
610,000 | BNP Paribas S.A. |
4/22/14 |
(2,915 | ) | |||||||||||||||||||||
USD |
888,937 | EUR |
650,000 | Deutsche Bank AG |
4/22/14 |
(8,243 | ) | |||||||||||||||||||||
USD |
216,298 | EUR |
159,374 | Goldman Sachs & Co. |
4/22/14 |
(3,682 | ) | |||||||||||||||||||||
USD |
466,108 | EUR |
340,000 | Royal Bank of Scotland PLC |
4/22/14 |
(3,186 | ) | |||||||||||||||||||||
USD |
422,592 | EUR |
310,000 | State Street Bank and Trust Co. |
4/22/14 |
(5,293 | ) | |||||||||||||||||||||
USD |
45,909,756 | GBP |
27,985,000 | Barclays Bank PLC |
4/22/14 |
(935,500 | ) | |||||||||||||||||||||
USD |
827,755 | GBP |
500,000 | Citibank N.A. |
4/22/14 |
(9,216 | ) | |||||||||||||||||||||
USD |
1,486,091 | GBP |
901,000 | UBS AG |
4/22/14 |
(22,130 | ) | |||||||||||||||||||||
Total |
$ | (1,463,932 | ) |
48 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
| OTC options purchased as of February 28, 2014 were as follows: |
Description |
|
|
|
Counterparty
|
|
Put/ Call |
|
Strike Price |
|
Expiration Date |
|
Contracts
|
|
Market Value |
|
||||||||||||||||
Marsico Parent Superholdco LLC
|
Goldman Sachs & Co.
|
Call
|
USD
|
942.86
|
12/14/19
|
46
|
|
| OTC credit default swaps – buy protection outstanding as of February 28, 2014 were as follows: |
Issuer |
|
Pay Fixed Rate |
|
Counterparty |
|
Expiration Date |
|
Notional Amount (000) |
|
Market Value |
|
Premiums Paid |
|
Unrealized Depreciation |
|
||||||||||||||||||||
Australia & New Zealand Banking Group Ltd. |
1.00% |
Deutsche Bank AG |
9/20/17 |
USD |
1 |
$ (8) |
$ | 11 | $ | (19 | ) | ||||||||||||||||||||||||
Westpac Banking Corp. |
1.00% |
Deutsche Bank AG |
9/20/17 |
USD |
1 |
(8) |
11 | (19 | ) | ||||||||||||||||||||||||||
Total |
$(16) |
$ | 22 | $ | (38 | ) |
| OTC credit default swaps – sold protection outstanding as of February 28, 2014 were as follows: |
Issuer |
|
Receive Fixed Rate |
|
Counterparty |
|
Expiration Date |
|
Credit Rating1 |
|
Notional Amount (000)2 |
|
Market Value |
|
Premiums Received |
|
Unrealized Appreciation (Depreciation) |
|
||||||||||||||||||||||
Rosneft Oil Co. |
1.50% |
HSBC Bank PLC |
6/12/14 |
BBB |
USD |
3,250 |
$ | (3,828 | ) | $ | (9,472 | ) | $ | 5,644 | |||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
9/20/15 |
CCC- |
USD |
470 |
(90,463 | ) | (83,711 | ) | (6,752 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
626 |
(143,266 | ) | (141,275 | ) | (1,991 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Citibank N.A. |
12/20/15 |
CCC- |
USD |
357 |
(81,819 | ) | (72,001 | ) | (9,818 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
12/20/15 |
CCC- |
USD |
145 |
(33,196 | ) | (28,377 | ) | (4,819 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Citibank N.A. |
12/20/15 |
CCC- |
USD |
172 |
(39,389 | ) | (31,062 | ) | (8,327 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
UBS AG |
12/20/15 |
CCC- |
USD |
840 |
(192,367 | ) | (142,569 | ) | (49,798 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
12/20/15 |
CCC- |
USD |
382 |
(87,591 | ) | (42,820 | ) | (44,771 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
247 |
(65,692 | ) | (47,580 | ) | (18,112 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
247 |
(65,692 | ) | (47,580 | ) | (18,112 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
739 |
(196,666 | ) | (135,766 | ) | (60,900 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
165 |
(43,972 | ) | (28,865 | ) | (15,107 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
3/20/16 |
CCC- |
USD |
75 |
(19,858 | ) | (12,790 | ) | (7,068 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
3/20/16 |
CCC- |
USD |
82 |
(21,863 | ) | (13,552 | ) | (8,311 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
3/20/16 |
CCC- |
USD |
72 |
(19,196 | ) | (10,976 | ) | (8,220 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Citibank N.A. |
3/20/16 |
CCC- |
USD |
79 |
(20,882 | ) | (12,200 | ) | (8,682 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/16 |
CCC- |
USD |
634 |
(168,635 | ) | (89,391 | ) | (79,244 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Citibank N.A. |
3/20/16 |
CCC- |
USD |
135 |
(35,811 | ) | (19,280 | ) | (16,531 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
6/20/16 |
CCC- |
USD |
499 |
(149,076 | ) | (103,044 | ) | (46,032 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
6/20/16 |
CCC- |
USD |
970 |
(289,614 | ) | (193,871 | ) | (95,743 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
6/20/16 |
CCC- |
USD |
440 |
(131,371 | ) | (69,687 | ) | (61,684 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
JPMorgan Chase Bank N.A. |
6/20/16 |
CCC- |
USD |
412 |
(122,902 | ) | (68,831 | ) | (54,071 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Citibank N.A. |
9/20/16 |
CCC- |
USD |
330 |
(109,455 | ) | (94,923 | ) | (14,532 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
9/20/16 |
CCC- |
USD |
1,710 |
(567,032 | ) | (326,389 | ) | (240,643 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/17 |
CCC- |
USD |
453 |
(180,210 | ) | (107,636 | ) | (72,574 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Barclays Bank PLC |
3/20/17 |
CCC- |
USD |
72 |
(28,740 | ) | (17,989 | ) | (10,751 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Goldman Sachs Bank USA |
3/20/17 |
CCC- |
USD |
147 |
(58,516 | ) | (37,173 | ) | (21,343 | ) | |||||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. |
5.00% |
Deutsche Bank AG |
6/20/17 |
CCC- |
USD |
635 |
(265,639 | ) | (162,774 | ) | (102,865 | ) | |||||||||||||||||||||||||||
Total |
$ | (3,232,741 | ) | $ | (2,151,584 | ) | $ | (1,081,157 | ) |
1 | Using S&Ps rating of the issuer. |
2 | The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of the agreement. |
| For Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not
apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|||
| Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative
financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial
statement purposes as follows: |
| Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the
ability to access |
|||
| Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets
that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs) |
|||
| Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are
not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial
instruments) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 49 |
Consolidated Schedule of Investments (continued) | BlackRock Limited
Duration Income Trust (BLW) |
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. |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In
accordance with the Funds policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the
beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the
pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing
in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments, please refer
to Note 2 of the Notes to Financial Statements. |
The following tables summarize the Funds investments and derivative financial instruments categorized in the disclosure
hierarchy as of February 28, 2014: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Assets: |
||||||||||||||||||
Investments: |
||||||||||||||||||
Long-Term Investments: |
||||||||||||||||||
Common Stocks |
$ | 65,528 | $ | 4,215,383 | $ | 2,713,944 | $ | 6,994,855 | ||||||||||
Asset-Backed Securities |
| 33,140,862 | 6,606,003 | 39,746,865 | ||||||||||||||
Corporate Bonds |
| 413,976,177 | 7,951,875 | 421,928,052 | ||||||||||||||
Floating Rate Loan Interests |
| 317,976,382 | 32,928,467 | 350,904,849 | ||||||||||||||
Foreign Agency Obligations |
| 7,420,115 | | 7,420,115 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
| 73,914,059 | | 73,914,059 | ||||||||||||||
US Government Sponsored Agency Securities |
| 39,622,600 | | 39,622,600 | ||||||||||||||
Other Interests |
| 516,112 | 8,750 | 524,862 | ||||||||||||||
Preferred Securities |
5,273,917 | 16,562,941 | | 21,836,858 | ||||||||||||||
Warrants |
| 10,964 | | 10,964 | ||||||||||||||
Short-Term Securities |
3,052,131 | | | 3,052,131 | ||||||||||||||
Unfunded Loan Commitments |
| 35 | | 35 | ||||||||||||||
Total |
$ | 8,391,576 | $ | 907,355,630 | $ | 50,209,039 | $ | 965,956,245 | ||||||||||
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Derivative Financial Instruments1 |
||||||||||||||||||
Assets: |
||||||||||||||||||
Interest rate contracts |
$ | 39,209 | | | $ | 39,209 | ||||||||||||
Foreign currency exchange contracts |
| $ | 27,410 | | 27,410 | |||||||||||||
Credit contracts |
| 5,644 | | 5,644 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Interest rate contracts |
(38,828 | ) | | | (38,828 | ) | ||||||||||||
Foreign currency exchange contracts |
| (1,491,342 | ) | | (1,491,342 | ) | ||||||||||||
Credit contracts |
| (1,086,839 | ) | | (1,086,839 | ) | ||||||||||||
Total |
$ | 381 | $ | (2,545,127 | ) | | $ | (2,544,746 | ) |
1 | Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
The carrying amount for certain of the Funds assets and/or liabilities approximates fair value for financial statement
purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
||||||||||
Assets: |
||||||||||||||||||
Cash |
$ | 1,443,512 | | | $ | 1,443,512 | ||||||||||||
Cash pledged as collateral for OTC derivatives |
1,810,000 | | | 1,810,000 | ||||||||||||||
Cash pledged for financial futures contracts |
171,500 | | | 171,500 | ||||||||||||||
Foreign currency at value |
2,348 | | | 2,348 | ||||||||||||||
Liabilities: |
||||||||||||||||||
Cash received as collateral for reverse repurchase agreements |
| $ | (40,000 | ) | | (40,000 | ) | |||||||||||
Reverse repurchase agreements |
| (291,897,510 | ) | | (291,897,510 | ) | ||||||||||||
Total |
$ | 3,427,360 | $ | (291,937,510 | ) | | $ | (288,510,150 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2014. |
50 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited
Duration Income Trust (BLW) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning
and/or end of the 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 |
Asset-Backed Securities |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Total | ||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||
Opening Balance, as of August 31, 2013 | $ | 3,050,139 | $ | 26,050,547 | $ | 7,930,102 | $ | 42,689,763 | $ | 537,766 | $ | 80,258,317 | |||||||||||||||
Transfers into Level 31 | | | | 12,741,262 | | 12,741,262 | |||||||||||||||||||||
Transfers out of Level 32 | | (12,461,639 | ) | | (22,630,549 | ) | | (35,092,188 | ) | ||||||||||||||||||
Other | | | | | | | |||||||||||||||||||||
Accrued discounts/premiums | | (448,833 | ) | | 46,812 | | (402,021 | ) | |||||||||||||||||||
Net realized gain (loss) | | 59,461 | 1,798 | 83,964 | | 145,223 | |||||||||||||||||||||
Net change in unrealized appreciation/depreciation3,4 | (336,195 | ) | 437,476 | 21,773 | 79,059 | 2,508,765 | 2,710,878 | ||||||||||||||||||||
Purchases | | 4,041,500 | | 10,956,531 | | 14,998,031 | |||||||||||||||||||||
Sales | | (11,072,509 | ) | (1,798 | ) | (11,038,375 | ) | (3,037,781 | ) | (25,150,463 | ) | ||||||||||||||||
Closing Balance, as of February 28, 2014 | $ | 2,713,944 | $ | 6,606,003 | $ | 7,951,875 | $ | 32,928,467 | $ | 8,750 | $ | 50,209,039 | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20144 | $ | (336,195 | ) | $ | 447,162 | $ | 23,500 | $ | 142,257 | $ | 3,750 | $ | 280,474 |
1 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $12,741,262 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $35,092,188 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Funds investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment.
Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or
higher value of such Level 3 investments. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 51 |
Statements of Assets and Liabilities |
February 28, 2014
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |
BlackRock Limited Duration Income Trust (BLW)1 |
||||||||||||
Assets |
|||||||||||||||
Investments at value unaffiliated2 |
$ | 184,240,683 | $ | 816,913,342 | $ | 962,904,079 | |||||||||
Investments at value affiliated3 |
2,835,510 | 4,239,004 | 3,052,131 | ||||||||||||
Cash |
182,484 | | 1,443,512 | ||||||||||||
Cash pledged for financial futures contracts |
| | 171,500 | ||||||||||||
Cash pledged as collateral for OTC derivatives |
| 1,560,000 | 1,810,000 | ||||||||||||
Investments sold receivable |
4,739,726 | 17,418,298 | 16,821,065 | ||||||||||||
Interest receivable |
983,520 | 4,397,594 | 10,417,220 | ||||||||||||
Dividends receivable |
| 3,432 | 11,616 | ||||||||||||
Foreign currency at value4 |
171,631 | 724,871 | 2,348 | ||||||||||||
Swaps receivable |
18,044 | 92,155 | 122,774 | ||||||||||||
Unrealized appreciation on foreign currency exchange contracts |
6,072 | 58,297 | 27,410 | ||||||||||||
Variation margin receivable on financial futures contracts |
| | 19,703 | ||||||||||||
Unrealized appreciation on OTC derivatives |
| | 5,644 | ||||||||||||
Unrealized appreciation on unfunded loan commitments |
19 | 82 | 35 | ||||||||||||
Swap premiums paid |
| | 22 | ||||||||||||
Prepaid expenses |
11,752 | 30,273 | 37,437 | ||||||||||||
Other assets |
| | 57,632 | ||||||||||||
Total assets |
193,189,441 | 845,437,348 | 996,904,128 | ||||||||||||
Liabilities |
|||||||||||||||
Bank overdraft |
| 89,151 | | ||||||||||||
Reverse repurchase agreements |
| | 291,897,510 | ||||||||||||
Bank borrowings payable |
52,000,000 | 224,000,000 | | ||||||||||||
Cash received as collateral for reverse repurchase agreements |
| | 40,000 | ||||||||||||
Investments purchased payable |
9,219,570 | 39,850,810 | 27,500,886 | ||||||||||||
Swap premiums received |
359,809 | 1,721,009 | 2,151,584 | ||||||||||||
Unrealized depreciation on OTC derivatives |
208,967 | 950,435 | 1,086,839 | ||||||||||||
Investment advisory fees payable |
139,119 | 461,543 | 407,229 | ||||||||||||
Unrealized depreciation on foreign currency exchange contracts |
94,096 | 275,485 | 1,491,342 | ||||||||||||
Income dividends payable |
70,606 | 114,738 | 84,359 | ||||||||||||
Interest expense payable |
34,971 | 155,948 | | ||||||||||||
Officers and Directors fees payable |
2,257 | 9,950 | 298,159 | ||||||||||||
Swaps payable |
| | 2 | ||||||||||||
Other accrued expenses payable |
89,086 | 447,131 | 160,124 | ||||||||||||
Total liabilities |
62,218,481 | 268,076,200 | 325,118,034 | ||||||||||||
Net Assets |
$ | 130,970,960 | $ | 577,361,148 | $ | 671,786,094 | |||||||||
Net Assets Consist of |
|||||||||||||||
Paid-in capital5,6,7 |
$ | 128,319,712 | $ | 660,069,691 | $ | 703,366,312 | |||||||||
Undistributed (distributions in excess of) net investment income |
582,077 | (292,613 | ) | 3,096,871 | |||||||||||
Undistributed net realized gain (accumulated net realized loss) |
112,510 | (83,531,389 | ) | (54,685,655 | ) | ||||||||||
Net unrealized appreciation/depreciation |
1,956,661 | 1,115,459 | 20,008,566 | ||||||||||||
Net Assets |
$ | 130,970,960 | $ | 577,361,148 | $ | 671,786,094 | |||||||||
Net asset value per share |
$ | 14.48 | $ | 15.51 | $ | 18.15 | |||||||||
1 Consolidated Statement of Assets and Liabilities |
|||||||||||||||
2 Investments at cost unaffiliated |
$ | 181,985,573 | $ | 814,542,745 | $ | 940,416,223 | |||||||||
3 Investments at cost affiliated |
$ | 2,835,510 | $ | 4,239,004 | $ | 3,052,131 | |||||||||
4 Foreign currency at cost |
$ | 170,065 | $ | 718,561 | $ | 2,323 | |||||||||
5 Par value per share |
$ | 0.001 | $ | 0.10 | $ | 0.001 | |||||||||
6 Shares outstanding |
9,044,041 | 37,232,488 | 37,003,854 | ||||||||||||
7 Shares authorized |
unlimited | 200 million | unlimited |
52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Statements of Operations |
Six Months Ended February 28, 2014
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |
BlackRock Limited Duration Income Trust (BLW)1 |
||||||||||||
Investment Income |
|||||||||||||||
Interest |
$ | 4,649,194 | $ | 20,396,281 | $ | 25,968,137 | |||||||||
Dividends unaffiliated |
103,638 | 7,873 | 278,455 | ||||||||||||
Dividends affiliated |
112 | 439 | 1,413 | ||||||||||||
Foreign taxes withheld |
| (1,180 | ) | (932 | ) | ||||||||||
Total income |
4,752,944 | 20,403,413 | 26,247,073 | ||||||||||||
Expenses |
|||||||||||||||
Investment advisory |
895,025 | 2,964,423 | 2,620,303 | ||||||||||||
Professional |
57,276 | 56,461 | 103,021 | ||||||||||||
Custodian |
41,362 | 126,460 | 95,659 | ||||||||||||
Accounting services |
16,203 | 52,711 | 45,323 | ||||||||||||
Transfer agent |
10,049 | 28,284 | 36,374 | ||||||||||||
Officer and Directors |
6,236 | 27,597 | 51,040 | ||||||||||||
Printing |
6,028 | 10,538 | 10,529 | ||||||||||||
Registration |
4,145 | | 5,836 | ||||||||||||
Miscellaneous |
7,093 | 48,844 | 53,633 | ||||||||||||
Total expenses excluding interest expense |
1,043,417 | 3,315,318 | 3,021,718 | ||||||||||||
Interest expense |
225,145 | 1,007,094 | 708,191 | ||||||||||||
Total expenses |
1,268,562 | 4,322,412 | 3,729,909 | ||||||||||||
Less fees waived by Manager |
(192 | ) | (628 | ) | (2,660 | ) | |||||||||
Less fees paid indirectly |
(33 | ) | (288 | ) | (60 | ) | |||||||||
Total expenses after fees waived and paid indirectly |
1,268,337 | 4,321,496 | 3,727,189 | ||||||||||||
Net investment income |
3,484,607 | 16,081,917 | 22,519,884 | ||||||||||||
Realized and Unrealized Gain (Loss) |
|||||||||||||||
Net realized gain (loss) from: |
|||||||||||||||
Investments |
820,002 | 1,374,278 | 7,790,503 | ||||||||||||
Financial futures contracts |
| | (712,868 | ) | |||||||||||
Foreign currency transactions |
(234,748 | ) | (728,322 | ) | (4,225,759 | ) | |||||||||
Swaps |
93,540 | 503,054 | 693,370 | ||||||||||||
678,794 | 1,149,010 | 3,545,246 | |||||||||||||
Net change in unrealized appreciation/depreciation on: |
|||||||||||||||
Investments |
788,623 | 7,119,318 | 21,784,062 | ||||||||||||
Financial futures contracts |
| | (119,889 | ) | |||||||||||
Foreign currency translations |
(101,175 | ) | (175,994 | ) | (785,934 | ) | |||||||||
Swaps |
(214,639 | ) | (1,028,298 | ) | (1,067,093 | ) | |||||||||
Unfunded loan commitments |
(4,683 | ) | (20,594 | ) | (8,353 | ) | |||||||||
468,126 | 5,894,432 | 19,802,793 | |||||||||||||
Total realized and unrealized gain |
1,146,920 | 7,043,442 | 23,348,039 | ||||||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 4,631,527 | $ | 23,125,359 | $ | 45,867,923 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 53 |
Statements of Changes in Net Assets | BlackRock Defined
Opportunity Credit Trust (BHL) |
Increase (Decrease) in Net
Assets: |
Six Months Ended February 28, 2014 (Unaudited) |
Year Ended August 31, 2013 |
|||||||||
Operations |
|||||||||||
Net investment income |
$ | 3,484,607 | $ | 7,859,267 | |||||||
Net realized gain |
678,794 | 3,251,344 | |||||||||
Net change in unrealized appreciation/depreciation |
468,126 | (578,700 | ) | ||||||||
Net increase in net assets resulting from operations |
4,631,527 | 10,531,911 | |||||||||
Dividends to Shareholders From |
|||||||||||
Net investment income |
(4,259,743 | ) | (7,633,968 | )1 | |||||||
Capital Share Transactions |
|||||||||||
Reinvestment of dividends |
| 246,640 | |||||||||
Net Assets |
|||||||||||
Total increase in net assets |
371,784 | 3,144,583 | |||||||||
Beginning of period |
130,599,176 | 127,454,593 | |||||||||
End of period |
$ | 130,970,960 | $ | 130,599,176 | |||||||
Undistributed net investment income, end of period |
$ | 582,077 | $ | 1,357,213 |
54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Consolidated Statements of Changes in Net Assets | BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA) |
Increase (Decrease) in Net
Assets: |
Six Months Ended February 28, 2014 (Unaudited) |
Year Ended August 31, 2013 |
|||||||||
Operations |
|||||||||||
Net investment income |
$ | 16,081,917 | $ | 35,052,895 | |||||||
Net realized gain |
1,149,010 | 14,417,374 | |||||||||
Net change in unrealized appreciation/depreciation |
5,894,432 | (1,626,772 | ) | ||||||||
Net increase in net assets resulting from operations |
23,125,359 | 47,843,497 | |||||||||
Dividends to Shareholders From |
|||||||||||
Net investment income |
(17,566,298 | ) | (34,814,179 | )1 | |||||||
Capital Share Transactions |
|||||||||||
Proceeds issued resulting from reorganization |
| 280,530,144 | |||||||||
Reinvestment of dividends |
| 1,252,625 | |||||||||
Net increase in net assets derived from capital share transactions |
| 281,782,769 | |||||||||
Net Assets |
|||||||||||
Total increase in net assets |
5,559,061 | 294,812,087 | |||||||||
Beginning of period |
571,802,087 | 276,990,000 | |||||||||
End of period |
$ | 577,361,148 | $ | 571,802,087 | |||||||
Undistributed (distributions in excess of) net investment income, end of period |
$ | (292,613 | ) | $ | 1,191,768 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 55 |
Consolidated Statements of Changes in Net Assets | BlackRock Limited Duration Income Trust (BLW) |
Increase (Decrease) in Net
Assets: |
Six Months Ended February 28, 2014 (Unaudited) |
Year Ended August 31, 2013 |
|||||||||
Operations |
|||||||||||
Net investment income |
$ | 22,519,884 | $ | 48,146,073 | |||||||
Net realized gain |
3,545,246 | 15,966,288 | |||||||||
Net change in unrealized appreciation/depreciation |
19,802,793 | (7,037,223 | ) | ||||||||
Net increase in net assets resulting from operations |
45,867,923 | 57,075,138 | |||||||||
Dividends to Shareholders From |
|||||||||||
Net investment income |
(23,201,416 | ) | (51,220,576 | )1 | |||||||
Capital Share Transactions |
|||||||||||
Reinvestment of dividends |
| 873,743 | |||||||||
Net Assets |
|||||||||||
Total increase in net assets |
22,666,507 | 6,728,305 | |||||||||
Beginning of period |
649,119,587 | 642,391,282 | |||||||||
End of period |
$ | 671,786,094 | $ | 649,119,587 | |||||||
Undistributed net investment income, end of period |
$ | 3,096,871 | $ | 3,778,403 |
56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Statements of Cash Flows | |
Six Months Ended February 28, 2014
(Unaudited) |
BlackRock Defined Opportunity Credit Trust (BHL) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |
BlackRock Limited Duration Income Trust (BLW)1 |
||||||||||||
Cash Provided by Operating Activities |
|||||||||||||||
Net increase in net assets resulting from operations |
$ | 4,631,527 | $ | 23,125,359 | $ | 45,867,923 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |
|||||||||||||||
(Increase) decrease in interest receivable |
67,649 | 258,625 | (846,998 | ) | |||||||||||
Increase in swap receivable |
(9,637 | ) | (38,052 | ) | (34,275 | ) | |||||||||
Decrease in cash pledged for centrally cleared swaps |
60,000 | 260,000 | | ||||||||||||
Increase in cash pledged for financial futures contracts |
| | (5,000 | ) | |||||||||||
Decrease in cash received as collateral for reverse repurchase agreements |
| | 1,050,000 | ||||||||||||
Increase in cash pledged as collateral for OTC derivatives |
| (600,000 | ) | (1,120,000 | ) | ||||||||||
Decrease in other assets |
| | 160,335 | ||||||||||||
Increase in prepaid expenses |
(8,404 | ) | (27,418 | ) | (19,021 | ) | |||||||||
Increase in variation margin receivable on financial futures contracts |
| | (15,564 | ) | |||||||||||
Increase in dividends receivable unaffiliated |
| (3,432 | ) | (9,946 | ) | ||||||||||
Decrease in swap premiums paid |
| | 4 | ||||||||||||
Decrease in investment advisory fees payable |
(10,657 | ) | (33,549 | ) | (25,734 | ) | |||||||||
Increase (decrease) in interest expense payable |
(1,126 | ) | (6,057 | ) | 282,538 | ||||||||||
Decrease in other accrued expenses payable |
(47,251 | ) | (9,209 | ) | (53,520 | ) | |||||||||
Increase in Officers and Directors fees payable |
14 | 256 | 33,713 | ||||||||||||
Increase in swap premiums received |
150,846 | 471,585 | 80,709 | ||||||||||||
Decrease in variation margin payable on centrally cleared swaps |
(2 | ) | (7 | ) | | ||||||||||
Increase in cash received as collateral for reverse repurchase agreements |
| | 40,000 | ||||||||||||
Net realized gain on investments |
(697,187 | ) | (704,039 | ) | (5,670,836 | ) | |||||||||
Net unrealized gain (loss) on investments, swaps, foreign currency translations and unfunded loan commitments |
(468,126 | ) | (5,974,793 | ) | (20,083,017 | ) | |||||||||
Amortization of premium and accretion of discount on investments |
(239,804 | ) | (1,116,829 | ) | 725,781 | ||||||||||
Proceeds from sales of long-term investments |
44,400,299 | 192,914,778 | 254,156,872 | ||||||||||||
Purchases of long-term investments |
(45,690,263 | ) | (200,012,007 | ) | (266,375,531 | ) | |||||||||
Net purchases of short-term securities |
(1,537,241 | ) | (3,331,361 | ) | (1,868,038 | ) | |||||||||
Cash provided by operating activities |
600,637 | 5,173,850 | 6,270,395 | ||||||||||||
Cash Used for Financing Activities |
|||||||||||||||
Cash receipts from borrowings |
31,000,000 | 224,000,000 | | ||||||||||||
Cash payments on borrowings |
(28,000,000 | ) | (214,000,000 | ) | | ||||||||||
Net borrowing of reverse repurchase agreements |
| | 18,267,771 | ||||||||||||
Cash dividends paid to shareholders |
(4,254,017 | ) | (17,558,667 | ) | (23,199,327 | ) | |||||||||
Increase (decrease) in bank overdraft |
| 89,151 | (444,474 | ) | |||||||||||
Cash used for financing activities |
(1,254,017 | ) | (7,469,516 | ) | (5,376,030 | ) | |||||||||
Cash Impact from Foreign Exchange Fluctuations |
|||||||||||||||
Cash impact from foreign exchange fluctuations |
1,970 | 6,330 | 3,909 | ||||||||||||
Cash and Foreign Currency |
|||||||||||||||
Net increase (decrease) in cash and foreign currency |
(651,410 | ) | (2,289,336 | ) | 898,274 | ||||||||||
Cash and foreign currency at beginning of period |
1,005,525 | 3,014,207 | 547,586 | ||||||||||||
Cash and foreign currency at end of period |
$ | 354,115 | $ | 724,871 | $ | 1,445,860 | |||||||||
Supplemental Disclosure of Cash Flow Information |
|||||||||||||||
Cash paid during the period for interest |
$ | 226,271 | $ | 1,013,151 | $ | 425,653 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 57 |
Financial Highlights | BlackRock Defined
Opportunity Credit Trust (BHL) |
Six Months Ended February 28, 2014 (Unaudited) |
Year Ended March 31, |
|
|||||||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | |||||||||||||||||||||||||
Per Share Operating Performance
|
|||||||||||||||||||||||||||||
Net asset value, beginning of
period
|
$ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 |
|
$
|
14.31
|
||||||||||||||||
Net investment income1 | 0.39 | 0.87 | 0.85 | 0.86 | 0.85 | 0.87 |
|
||||||||||||||||||||||
Net realized and unrealized gain (loss)
|
0.12 | 0.30 | 0.90 | (0.45 | ) | 0.87 | (1.55 | ) | |||||||||||||||||||||
Net increase (decrease) from investment operations
|
0.51 | 1.17 | 1.75 | 0.41 | 1.72 | (0.68 | ) | ||||||||||||||||||||||
Dividends and distributions from:
|
|||||||||||||||||||||||||||||
Net investment income
|
(0.47 | ) | (0.85 | )2 | (0.80 | )2 | (0.79 | )2 | (0.70 | )2 | (1.09 | )2 | |||||||||||||||||
Net realized gain
|
| | | | | (0.01 | )2 | ||||||||||||||||||||||
Total dividends and distributions
|
(0.47 | ) | (0.85 | ) | (0.80 | ) | (0.79 | ) | (0.70 | ) | (1.10 | ) | |||||||||||||||||
Net asset value, end of period
|
$ | 14.48 | $ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 | |||||||||||||||||
Market price, end of period
|
$ | 13.87 | $ | 13.77 | $ | 13.94 | $ | 12.65 | $ | 12.86 | $ | 11.03 | |||||||||||||||||
Total Investment Return3
|
|||||||||||||||||||||||||||||
Based on net asset value
|
3.75% | 4 | 8.52% | 13.94% | 2.93% | 14.39% | (2.16)% | ||||||||||||||||||||||
Based on market price
|
4.22% | 4 | 4.82% | 17.12% | 4.17% | 23.33% | (2.65)% | ||||||||||||||||||||||
Ratios to Average Net Assets
|
|||||||||||||||||||||||||||||
Total expenses
|
1.95% | 5 | 1.92% | 1.91% | 2.02% | 1.91% | 2.39% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly
|
1.95% | 5 | 1.92% | 1.91% | 2.02% | 1.90% | 2.39% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense
|
1.61% | 5 | 1.58% | 6 | 1.61% | 6 | 1.71% | 1.65% | 1.94% | ||||||||||||||||||||
Net investment income
|
5.37% | 5 | 6.04% | 6.24% | 6.10% | 6.40% | 8.11% | ||||||||||||||||||||||
Supplemental Data
|
|||||||||||||||||||||||||||||
Net assets, end of period (000)
|
$ | 130,971 | $ | 130,599 | $ | 127,455 | $ | 118,897 | $ | 122,062 | $ | 112,862 | |||||||||||||||||
Borrowings outstanding, end of period (000)
|
$ | 52,000 | $ | 49,000 | $ | 55,000 | $ | 43,000 | $ | 24,000 | $ | 27,000 | |||||||||||||||||
Average borrowings outstanding, during the period (000)
|
$ | 49,680 | $ | 47,384 | $ | 39,007 | $ | 36,369 | $ | 24,633 | $ | 31,141 | |||||||||||||||||
Portfolio turnover
|
25% | 85% | 53% | 91% | 102% | 41% | |||||||||||||||||||||||
Asset coverage, end of period per $1,000
|
$ | 3,519 | $ | 3,665 | $ | 3,317 | $ | 3,765 | $ | 6,086 | $ | 5,180 |
1 | Based on average shares outstanding. |
2 | Determined in accordance with federal income tax regulations. |
3 | Total investment 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 dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively. |
58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Financial Highlights | BlackRock Floating Rate
Income Strategies Fund, Inc. (FRA) |
Six Months Ended
February 28, 2014 (Unaudited)1 |
Year Ended March 31, |
|
|||||||||||||||||||||||||||
20131 | 20121 | 2011 | 2010 | 2009 | |||||||||||||||||||||||||
Per Share Operating Performance
|
|||||||||||||||||||||||||||||
Net asset value, beginning of
period
|
$ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 |
|
$
|
16.12
|
||||||||||||||||
Net investment income2 |
0.43
|
0.99
|
0.97
|
0.96
|
0.91
|
1.14
|
|||||||||||||||||||||||
Net realized and unrealized gain (loss)
|
0.19 | 0.42 | 0.90 | (0.36 | ) | 1.48 | (3.04 | ) | |||||||||||||||||||||
Net increase (decrease) from investment operations
|
0.62 | 1.41 | 1.87 | 0.60 | 2.39 | (1.90 | ) | ||||||||||||||||||||||
Dividends and distributions from:
|
|||||||||||||||||||||||||||||
Net investment income
|
(0.47 | ) | (1.03 | )3 | (0.93 | )3 | (0.86 | )3 | (0.94 | )3 | (1.29 | )3 | |||||||||||||||||
Net realized gain
|
| | | (0.06 | )3 | (0.02 | )3 | | |||||||||||||||||||||
Total dividends and distributions
|
(0.47 | ) | (1.03 | ) | (0.93 | ) | (0.92 | ) | (0.96 | ) | (1.29 | ) | |||||||||||||||||
Net asset value, end of period
|
$ | 15.51 | $ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 | |||||||||||||||||
Market price, end of period
|
$ | 14.70 | $ | 14.96 | $ | 15.20 | $ | 13.33 | $ | 14.61 | $ | 12.26 | |||||||||||||||||
Total Investment Return4
|
|||||||||||||||||||||||||||||
Based on net asset value
|
4.27% | 5 | 9.68% | 13.91% | 4.04% | 18.91% | (8.88)% | ||||||||||||||||||||||
Based on market price
|
1.47% | 5 | 5.28% | 21.74% | (2.91)% | 27.59% | (3.88)% | ||||||||||||||||||||||
Ratios to Average Net Assets
|
|||||||||||||||||||||||||||||
Total expenses
|
1.52% | 6 | 1.54% | 7 | 1.67% | 9 | 1.60% | 1.45% | 1.96% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly
|
1.52% | 6 | 1.52% | 7 | 1.67% | 9 | 1.60% | 1.45% | 1.96% | ||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense
|
1.16% | 6 | 1.15% | 7,8 | 1.35% | 8,9 | 1.30% | 1.22% | 1.31% | ||||||||||||||||||||
Net investment income
|
5.64% | 6 | 6.49% | 6.67% | 6.44% | 6.43% | 10.18% | ||||||||||||||||||||||
Supplemental Data
|
|||||||||||||||||||||||||||||
Net assets, end of period (000)
|
$ | 577,361 | $ | 571,802 | $ | 276,990 | $ | 259,205 | $ | 264,379 | $ | 237,160 | |||||||||||||||||
Borrowings outstanding, end of period (000)
|
$ | 224,000 | $ | 214,000 | $ | 117,000 | $ | 93,000 | $ | 53,000 | $ | 38,000 | |||||||||||||||||
Average borrowings outstanding, during the period (000)
|
$ | 222,227 | $ | 201,830 | $ | 88,197 | $ | 79,195 | $ | 48,258 | $ | 50,591 | |||||||||||||||||
Portfolio turnover
|
25% | 88% | 53% | 91% | 96% | 58% | |||||||||||||||||||||||
Asset coverage, end of period per $1,000
|
$ | 3,578 | $ | 3,672 | $ | 3,367 | $ | 3,787 | $ | 5,988 | $ | 7,241 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Determined in accordance with federal income tax regulations. |
4 | Total investment 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 dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively. |
8 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly, excluding interest expense and borrowing costs was 1.14% and 1.26%, respectively. |
9 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 59 |
Financial Highlights | BlackRock Limited
Duration Income Trust (BLW) |
Six Months Ended
February 28, 2014 (Unaudited)1 |
Year Ended March 31, |
|
|||||||||||||||||||||||||||
20131 | 20121 | 2011 | 2010 | 2009 | |||||||||||||||||||||||||
Per Share Operating Performance
|
|||||||||||||||||||||||||||||
Net asset value, beginning of
period
|
$ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 |
|
$
|
16.71
|
||||||||||||||||
Net investment income2 |
0.61
|
1.30
|
1.31
|
1.34
|
1.12
|
1.01
|
|
||||||||||||||||||||||
Net realized and unrealized gain (loss)
|
0.63 | 0.25 | 0.88 | (0.37 | ) | 1.62 | (1.61 | ) | |||||||||||||||||||||
Net increase (decrease) from investment operations
|
1.24 | 1.55 | 2.19 | 0.97 | 2.74 | (0.60 | ) | ||||||||||||||||||||||
Dividends from net investment income
|
(0.63 | ) | (1.39 | )3 | (1.33 | )3 | (1.24 | )3 | (0.90 | )3 | (1.16 | )3 | |||||||||||||||||
Net asset value, end of period
|
$ | 18.15 | $ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 | |||||||||||||||||
Market price, end of period
|
$ | 17.31 | $ | 16.89 | $ | 18.00 | $ | 16.01 | $ | 16.76 | $ | 14.09 | |||||||||||||||||
Total Investment Return4
|
|||||||||||||||||||||||||||||
Based on net asset value
|
7.35% | 5 | 9.13% | 13.86% | 5.85% | 19.00% | (1.57)% | ||||||||||||||||||||||
Based on market price
|
6.32% | 5 | 1.47% | 21.68% | 2.77% | 26.04% | 6.40% | ||||||||||||||||||||||
Ratio to Average Net Assets
|
|||||||||||||||||||||||||||||
Total expenses
|
1.14% | 6 | 1.12% | 1.05% | 1.01% | 0.82% | 0.72% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly
|
1.14% | 6 | 1.12% | 1.05% | 1.00% | 0.81% | 0.71% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense
|
0.92% | 6 | 0.90% | 0.89% | 0.87% | 0.73% | 0.69% | ||||||||||||||||||||||
Net investment income
|
6.87% | 6 | 7.34% | 7.82% | 7.75% | 6.90% | 7.42% | ||||||||||||||||||||||
Supplemental Data
|
|||||||||||||||||||||||||||||
Net assets, end of period (000)
|
$ | 671,786 | $ | 649,120 | $ | 642,391 | $ | 609,818 | $ | 619,381 | $ | 551,505 | |||||||||||||||||
Borrowings outstanding, end of period (000)
|
$ | 291,898 | $ | 273,347 | $ | 296,476 | $ | 244,120 | $ | 123,233 | | ||||||||||||||||||
Average borrowings outstanding, during the period (000)
|
$ | 299,713 | $ | 301,214 | $ | 242,396 | $ | 191,303 | $ | 44,160 | $ | 11,705 | |||||||||||||||||
Portfolio turnover
|
28% | 71% | 54% | 106% | 7 | 248% | 8 | 287%9 | |||||||||||||||||||||
Asset coverage, end of period $1,000
|
$ | 3,301 | $ | 3,375 | $ | 3,167 | $ | 3,498 | $ | 6,026 | |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Determined in accordance with federal income tax regulations. |
4 | Total investment 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 dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | Includes mortgage dollar roll and to-be-announced (TBA) transactions. Excluding these transactions, the portfolio turnover rate would have been 87%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%. |
9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%. |
60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (Unaudited) |
Target Fund |
|
Shares Prior to Reorganization |
|
Conversion Ratio |
|
Shares of FRA |
||||||||
FRB
|
10,585,281 | 0.91462449 | 9,681,549 | |||||||||||
DVF |
12,405,453 | 0.72423797 | 8,984,499 |
Target Funds |
|
||||||||||
|
FRB |
|
DVF |
||||||||
Net
assets |
$ | 145,503,247 | $ | 135,026,897 | |||||||
Paid-in capital |
$ | 199,203,523 | $ | 228,382,425 | |||||||
Undistributed (distributions in excess of) net investment income |
$ | (164,508 | ) | $ | (88,960 | ) | |||||
Accumulated net realized loss |
$ | (54,909,880 | ) | $ | (89,378,206 | ) | |||||
Net unrealized appreciation (depreciation) |
$ | 1,374,112 | $ | (3,888,362 | ) |
Target Fund |
|
Fair Value of Investments |
|
Cost of Investments |
||||||
FRB
|
$ | 220,588,307 | $ | 219,010,017 | ||||||
DVF |
$ | 206,051,284 | $ | 209,710,937 |
|
Net investment income: $36,549,895 |
|
Net realized and change in unrealized gain/loss on investments: $15,835,377 |
|
Net increase/decrease in net assets resulting from operations: $52,385,271 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 61 |
Notes to Financial Statements (continued) |
62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (continued) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 63 |
Notes to Financial Statements (continued) |
64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (continued) |
subordinated debentures or similarly structured securities.
The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust
preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred
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.
Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below
that of the issuing companys senior debt securities and are freely callable at the issuers option.
|
Borrower |
|
Unfunded Floating Rate Loan Interest |
|
Value of Underlying Floating Rate Loan Interest |
|
Unrealized Appreciation |
|||||||||||
BHL
|
Power Buyer, LLC |
$ | 13,811 | $ | 13,768 | $ | 19 | |||||||||||
FRA
|
Power Buyer, LLC |
$ | 59,638 | $ | 59,452 | $ | 82 | |||||||||||
BLW |
Power Buyer, LLC |
$ | 25,111 | $ | 25,032 | $ | 35 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 65 |
Notes to Financial Statements (continued) |
Since the value of securities purchased may fluctuate prior to
settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the
interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the
security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds maximum amount of loss is
the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.
Counterparty |
|
Reverse Repurchase Agreements |
|
Fair Value of Non-cash Collateral Pledged Including Accrued Interest1 |
|
Cash Collateral Pledged |
|
Net Amount |
||||||||||
Barclays Capital, Inc. |
$ | 47,313,120 | $ | (47,313,120 | ) | | | |||||||||||
BNP Paribas Securities Corp. |
13,085,207 | (13,085,207 | ) | | | |||||||||||||
Credit Suisse Securities (USA) LLC |
54,877,871 | (54,877,871 | ) | | | |||||||||||||
Deutsche Bank Securities, Inc. |
142,085,559 | (142,085,559 | ) | | | |||||||||||||
HSBC Securities (USA) Inc. |
3,627,838 | (3,627,838 | ) | | | |||||||||||||
RBC Capital Markets LLC |
6,666,517 | (6,666,517 | ) | | | |||||||||||||
UBS Securities LLC |
24,241,398 | (24,241,398 | ) | | | |||||||||||||
Total |
$ | 291,897,510 | $ | (291,897,510 | ) | | |
1 | Collateral with a value of $324,783,188 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. |
66 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (continued) |
fluctuation in value of the contract. Such receipts or
payments are known as variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation and, if applicable, as a
receivable or payable for variation margin in the Statements of Assets and Liabilities.
|
Credit default swaps The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 67 |
Notes to Financial Statements (continued) |
|
Interest rate swaps The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another partys stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. |
Fair Values of Derivative Financial Instruments as of February 28, 2014 |
||||||||||||||||||||
Derivative Assets |
||||||||||||||||||||
|
BHL |
|
FRA |
|
BLW | |||||||||||||||
Statements of Assets and Liabilities Location |
|
|||||||||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1; | | | $ | 39,209 | |||||||||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts |
$ | 6,072 | $ | 58,297 | 27,410 | ||||||||||||||
Credit contracts | Unrealized appreciation on OTC swaps; Swap premiums paid |
| | 5,666 | ||||||||||||||||
Total |
$ | 6,072 | $ | 58,297 | $ | 72,285 |
Derivative Liabilities |
|||||||||||||||||
|
BHL |
|
FRA |
|
BLW | ||||||||||||
Statements of Assets and Liabilities Location |
|
||||||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1 | | | $ | (38,828 | ) | |||||||||||
Foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts |
$ | 94,096 | $ | (275,485 | ) | (1,491,342 | ) | |||||||||
Credit contracts | Unrealized depreciation on OTC swaps; Swap premiums received |
568,776 | (2,671,444 | ) | (3,238,423 | ) | |||||||||||
Total |
$ | 662,872 | $ | (2,946,929 | ) | $ | (4,768,593 | ) |
1 | Includes cumulative appreciation/depreciation on financial futures contracts, if any, as reported in the Schedules of Investments. Only current days variation margin is reported within the Statements of Assets and Liabilities. |
The Effect of Derivative
Financial Instruments in the Statements of Operations Six Months Ended February 28, 2014 |
||||||||||||||||
Net Realized Gain (Loss) From |
|
|||||||||||||||
|
BHL |
|
FRA |
|
BLW |
|||||||||||
Interest rate contracts: |
||||||||||||||||
Financial futures contracts |
| | $ | (712,868 | ) | |||||||||||
Swaps |
| | | |||||||||||||
Foreign currency exchange contracts: |
||||||||||||||||
Foreign currency transactions |
$ | (245,371 | ) | $ | (758,713 | ) | (4,331,879 | ) | ||||||||
Credit contracts: |
||||||||||||||||
Swaps |
93,540 | 503,054 | 693,370 | |||||||||||||
Total |
$ | (151,831 | ) | $ | (255,659 | ) | $ | (4,351,377 | ) |
68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (continued) |
Net Change in Unrealized Appreciation/Depreciation on |
|
||||||||||||||
|
BHL |
|
FRA |
|
BLW |
||||||||||
Interest rate contracts: |
|||||||||||||||
Financial futures contracts |
| | $ | (119,889 | ) | ||||||||||
Foreign currency exchange contracts: |
|||||||||||||||
Foreign currency translations |
$ | (101,342 | ) | $ | (174,246 | ) | (794,807 | ) | |||||||
Credit contracts: |
|||||||||||||||
Swaps |
(214,639 | ) | (1,028,298 | ) | (1,067,093 | ) | |||||||||
Total |
$ | (315,981 | ) | $ | (1,202,544 | ) | $ | (1,981,789 | ) |
|
BHL |
|
FRA |
|
BLW |
|||||||||
Financial future contracts: |
||||||||||||||
Average number of contracts purchased |
| | 9 | |||||||||||
Average number of contracts sold |
| | 210 | |||||||||||
Average notional value of contracts purchased |
| | $ | 2,244,544 | ||||||||||
Average notional value of contracts sold |
| | $ | 25,724,164 | ||||||||||
Foreign currency exchange contracts: |
||||||||||||||
Average number of contracts-US dollars purchased |
4 | 5 | 8 | |||||||||||
Average number of contracts-US dollars sold |
1 | 2 | 2 | |||||||||||
Average US dollar amounts purchased |
$ | 5,382,315 | $ | 19,021,557 | $ | 87,954,777 | ||||||||
Average US dollar amounts sold |
$ | 193,609 | $ | 779,568 | $ | 6,248,088 | ||||||||
Options: |
||||||||||||||
Average number of option contracts purchased |
| 44 | 46 | |||||||||||
Average notional value of option contracts purchased |
| $ | 4,148,584 | $ | 4,337,156 | |||||||||
Credit default swaps: |
||||||||||||||
Average number of contracts-buy protection |
| | 2 | |||||||||||
Average number of contracts-sell protection |
10 | 12 | 28 | |||||||||||
Average notional value-buy protection |
| | $ | 1,000 | ||||||||||
Average notional value-sell protection |
$ | 1,779,719 | $ | 9,089,236 | $ | 12,759,253 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 69 |
Notes to Financial Statements (continued) |
BHL |
|
Assets |
|
Liabilities |
||||||
Derivative Financial Instruments: |
||||||||||
Foreign currency exchange contracts |
$ | 6,072 | $ | 94,096 | ||||||
OTC
swaps1 |
| 568,776 | ||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
6,072 | 662,872 | ||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
| | ||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 6,072 | $ | 662,872 |
FRA |
|
Assets |
|
Liabilities |
||||||
Derivative Financial Instruments: |
||||||||||
Foreign currency exchange contracts |
$ | 58,297 | $ | 275,485 | ||||||
OTC
swaps1 |
| 2,671,444 | ||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
58,297 | 2,946,929 | ||||||||
Derivatives not subject to an MNA or similar agreement |
| | ||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 58,297 | $ | 2,946,929 |
BLW |
|
Assets |
|
Liabilities |
||||||
Derivative Financial Instruments: |
||||||||||
Financial futures contracts |
$ | 19,703 | | |||||||
Foreign currency exchange contracts |
27,410 | $ | 1,491,342 | |||||||
OTC
swaps1 |
5,666 | 3,238,423 | ||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
52,779 | 4,729,765 | ||||||||
Derivatives not subject to an MNA or similar agreement |
(19,703 | ) | | |||||||
Total derivative assets and liabilities subject to an MNA |
$ | 33,076 | $ | 4,729,765 |
1 | Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
BHL |
||||||||||||||||||||||||
Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets2 |
||||||||||||||
Citibank N.A. |
$ | 6,072 | | | | $ | 6,072 |
Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset |
|
Non-cash Collateral Pledged |
|
Cash Collateral Pledged |
|
Net Amount of Derivative Liabilities3 |
||||||||||||
Deutsche Bank AG |
$ | 222,494 | | | | $ | 222,494 | |||||||||||||||
Goldman Sachs Bank USA |
314,072 | | | | 314,072 | |||||||||||||||||
JPMorgan Chase Bank N.A. |
83,101 | | | | 83,101 | |||||||||||||||||
Royal Bank of Scotland PLC |
43,205 | | | | 43,205 | |||||||||||||||||
Total |
$ | 662,872 | | | | $ | 662,872 |
2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
3 | Net amount represents the net amount payable due to the counterparty in the event of default. |
70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (continued) |
FRA |
|
|||||||||||||||||||||||
Counterparty |
|
|
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset1 |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets |
||||||||||||
Barclays Bank PLC
|
$31,839
|
$(31,839)
|
|
|
|
|||||||||||||||||||
Deutsche Bank AG
|
26,458
|
(26,458)
|
|
|
|
|||||||||||||||||||
Total
|
$58,297
|
$(58,297)
|
|
|
|
Counterparty |
|
|
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset1 |
|
Non-cash Collateral Pledged2 |
|
Cash Collateral Pledged2 |
|
Net Amount of Derivative Liabilities3 |
||||||||||
Barclays Bank PLC
|
$ 966,276
|
$(31,839)
|
|
$(934,437)
|
|
|||||||||||||||||
BNP
Paribas S.A.
|
12,476
|
|
|
|
$ 12,476
|
|||||||||||||||||
Deutsche Bank AG
|
513,301
|
(26,458)
|
|
(486,843)
|
|
|||||||||||||||||
Goldman Sachs International
|
926,239
|
|
$(926,239)
|
|
|
|||||||||||||||||
Goldman Sachs Bank USA
|
2,577
|
|
|
|
2,577
|
|||||||||||||||||
JPMorgan Chase Bank N.A.
|
450,886
|
|
|
|
450,886
|
|||||||||||||||||
Royal Bank of Scotland PLC
|
75,174
|
|
|
|
75,174
|
|||||||||||||||||
Total
|
$2,946,929
|
$(58,297)
|
$(926,239)
|
$(1,421,280)
|
$541,113
|
BLW |
|
|||||||||||||||||||||||
Counterparty |
|
|
|
Derivative Assets Subject to an MNA by Counterparty |
|
Derivatives Available for Offset1 |
|
Non-cash Collateral Received |
|
Cash Collateral Received |
|
Net Amount of Derivative Assets4 |
||||||||||||
Barclays Bank PLC
|
$20,117
|
$(20,117)
|
|
|
|
|||||||||||||||||||
Deutsche Bank AG
|
22
|
(22)
|
|
|
|
|||||||||||||||||||
HSBC Bank PLC
|
5,644
|
(5,644)
|
|
|
|
|||||||||||||||||||
State Street Bank and Trust Co.
|
7,293
|
(5,293)
|
|
|
$2,000
|
|||||||||||||||||||
Total
|
$33,076
|
$(31,076)
|
|
|
$2,000
|
Counterparty |
|
|
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
Derivatives Available for Offset1 |
|
Non-cash Collateral Pledged2 |
|
Cash Collateral Pledged2 |
|
Net Amount of Derivative Liabilities3 |
||||||||||
Barclays Bank PLC
|
$1,723,860
|
$(20,117)
|
|
$ (420,000)
|
$1,283,743
|
|||||||||||||||||
BNP
Paribas S.A.
|
5,360
|
|
|
|
5,360
|
|||||||||||||||||
Citibank N.A.
|
296,572
|
|
|
|
296,572
|
|||||||||||||||||
Deutsche Bank AG
|
273,920
|
(22)
|
|
(273,898)
|
|
|||||||||||||||||
Goldman Sachs & Co.
|
3,682
|
|
|
|
3,682
|
|||||||||||||||||
Goldman Sachs Bank USA
|
1,872,696
|
|
$(1,237,500)
|
(635,196)
|
|
|||||||||||||||||
HSBC Bank PLC
|
9,472
|
(5,644)
|
|
|
3,828
|
|||||||||||||||||
JPMorgan Chase Bank N.A.
|
321,227
|
|
|
|
321,227
|
|||||||||||||||||
Royal Bank of Scotland PLC
|
3,186
|
|
|
|
3,186
|
|||||||||||||||||
State Street Bank and Trust Co.
|
5,293
|
(5,293)
|
|
|
|
|||||||||||||||||
UBS
AG
|
214,497
|
|
|
|
214,497
|
|||||||||||||||||
Total
|
$4,729,765
|
$(31,076)
|
$(1,237,500)
|
$(1,329,094)
|
$2,132,095
|
1 | The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA. |
2 | Excess of the collateral pledged to the individual counterparty may not be shown for financial reporting purposes. |
3 | Net amount represents the net amount payable due to the counterparty in the event of default. |
4 | Net amount represents the net amount receivable from the counterparty in the event of default. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 71 |
Notes to Financial Statements (continued) |
BHL
|
1.00 | % | ||||
FRA. |
0.75 | % | ||||
BLW |
0.55 | % |
|
Purchases |
|
Sales |
|||||||
BLW |
| $ | 7,253,816 |
|
Purchases |
|
Sales |
|||||||
BHL
|
$ | 47,010,052 | $ | 46,830,847 | ||||||
FRA
|
$ | 205,908,691 | $ | 200,771,102 | ||||||
BLW |
$ | 275,043,119 | $ | 267,435,141 |
Expires August 31, |
|
BHL |
|
FRA |
|
BLW |
||||||||
2014 |
| $ | 2,237,399 | | ||||||||||
2015 |
| 1,444,704 | | |||||||||||
2016 |
| 20,623,334 | $ | 11,256,103 | ||||||||||
2017 |
| 30,228,590 | 9,996,868 | |||||||||||
2018 |
$ | 572,418 | 27,716,009 | 37,509,275 | ||||||||||
2019 |
| 2,206,081 | | |||||||||||
No
expiration date1 |
| 286,162 | | |||||||||||
Total |
$ | 572,418 | $ | 84,742,279 | $ | 58,762,246 |
1 | Must be utilized prior to losses subject to expiration. |
|
BHL |
|
FRA |
|
BLW |
|||||||||
Tax cost |
$ | 185,275,365 | $ | 820,962,050 | $ | 945,359,014 | ||||||||
Gross unrealized appreciation |
$ | 2,741,544 | $ | 15,640,005 | $ | 39,715,183 | ||||||||
Gross unrealized depreciation |
(940,716 | ) | (15,449,709 | ) | (19,117,987 | ) | ||||||||
Net unrealized appreciation |
$ | 1,800,828 | $ | 190,296 | $ | 20,597,196 |
|
Commitment Amounts |
|||||
BHL
|
$ | 64,000,000 | ||||
FRA |
$ | 280,000,000 |
72 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Notes to Financial Statements (concluded) |
|
Daily Weighted Average Interest Rate |
|||||
BHL
|
0.91 | % | ||||
FRA |
0.91 | % |
|
Six Months Ended February 28, 2014 |
|
Year Ended August 31, 2013 |
|||||||
BHL
|
| 16,935 | ||||||||
FRA
|
| 18,747,801 | 1 | |||||||
BLW |
| 49,145 |
1 | Includes 18,666,048 shares issued from the reorganization. |
|
Common Dividend Per Share |
|||||
BHL
|
$ | 0.0605 | ||||
FRA
|
$ | 0.0700 | ||||
BLW |
$ | 0.0995 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 73 |
Officers and Directors |
Karen
P. Robards, Vice Chairperson of the Board,
Chairperson of the Audit Committee and Director
Paul
L. Audet, Director
Michael J. Castellano, Director and Member of the
Audit Committee
Frank J. Fabozzi, Director and Member of the
Audit
Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B.
Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and
Chief Executive Officer
Brendan Kyne, Vice President
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife,
Treasurer
Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer
Janey Ahn, Secretary
BlackRock Advisors, LLC
Wilmington, DE 19809
BlackRock Financial Management, Inc.
New York, NY 10055
State Street Bank and
Trust Company
Boston, MA 02110
Common Shares
Computershare
Trust Company, N.A.
Canton, MA 02021
Deloitte
& Touche LLP
Boston, MA 02116
Skadden, Arps, Slate,
Meagher &
Flom LLP
New York, NY 10036
100 Bellevue Parkway
Wilmington, DE 19809
74 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Additional Information |
Dividend Policy
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 75 |
Additional Information (continued) |
General Information
76 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 |
Additional Information (concluded) |
Shelf Offering Program
BlackRock Privacy Principles
SEMI-ANNUAL REPORT | FEBRUARY 28, 2014 | 77 |
![]() |
CEFT-BK3-2/14-SAR |
![]() |
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this
Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
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 second fiscal quarter of 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 – Exhibits attached hereto
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Certifications – Attached hereto
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto
2 |
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 Defined Opportunity Credit Trust
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Defined Opportunity Credit Trust
Date: May 1, 2014
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 Defined Opportunity Credit Trust
Date: May 1, 2014
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Defined Opportunity Credit Trust
Date: May 1, 2014
3 |
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 Defined Opportunity Credit Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Defined Opportunity Credit Trust;
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 second fiscal quarter of 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: May 1, 2014
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive
officer) of
BlackRock Defined Opportunity Credit Trust
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, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Defined Opportunity Credit Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Defined Opportunity Credit Trust;
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 second fiscal quarter of 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: May 1, 2014
/s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Defined Opportunity Credit Trust
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 Defined Opportunity Credit Trust (the “registrant”), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 28, 2014 (the “Report”) fully complies with the requirements of Section 13a 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: May 1, 2014
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Defined Opportunity Credit Trust
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Defined Opportunity Credit Trust (the “registrant”), hereby certifies, to the best of his knowledge, that the registrant's Report on Form N-CSR for the period ended February 28, 2014 (the “Report”) fully complies with the requirements of Section 13a 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: May 1, 2014
/s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Defined Opportunity Credit Trust
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. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.
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