Name of Fund: | BlackRock Limited Duration Income Trust (BLW) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
JUNE 30, 2023 |
2023 Semi-Annual Report (Unaudited) |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Supplemental Information (unaudited) |
Total Cumulative Distributions for the Fiscal Period | % Breakdown of the Total Cumulative Distributions for the Fiscal Period | |||||||||||||||||||||||||||||||||||||||||||||
Fund Name | Net Income | Net Realized Capital Gains Short-Term | Net Realized Capital Gains Long-Term | Return of Capital(a) | Total Per Common Share | Net Income | Net Realized Capital Gains Short‑Term | Net Realized Capital Gains Long‑Term | Return of Capital | Total Per Common Share | ||||||||||||||||||||||||||||||||||||
DSU | $ | 0.469843 | $ | — | $ | — | $ | 0.022607 | $ | 0.492450 | 95 | % | — | % | — | % | 5 | % | 100 | % | ||||||||||||||||||||||||||
FRA | 0.609537 | — | — | 0.003083 | 0.612620 | 99 | — | — | 1 | 100 | ||||||||||||||||||||||||||||||||||||
BKT | 0.210531 | — | — | 0.318669 | 0.529200 | 40 | — | — | 60 | 100 | ||||||||||||||||||||||||||||||||||||
BLW | 0.494695 | — | — | 0.093905 | 0.588600 | 84 | — | — | 16 | 100 |
(a) | Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |
Fund Name | Amount Per Common Share | |||
DSU | $ | 0.091050 | ||
FRA | 0.117020 | |||
BLW | 0.098100 |
2 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Supplemental Information (unaudited) (continued) |
S U P P L E M E N T A L I N F O R M A T I O N | 3 |
Total Returns as of June 30, 2023 | ||||||||
6-Month | 12-Month | |||||||
U.S. large cap equities (S&P 500® Index) | 16.89% | 19.59% | ||||||
U.S. small cap equities (Russell 2000® Index) | 8.09 | 12.31 | ||||||
International equities (MSCI Europe, Australasia, Far East Index) | 11.67 | 18.77 | ||||||
Emerging market equities (MSCI Emerging Markets Index) | 4.89 | 1.75 | ||||||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) | 2.25 | 3.60 | ||||||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) | 1.70 | (3.97) | ||||||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) | 2.09 | (0.94) | ||||||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) | 2.67 | 3.19 | ||||||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 5.38 | 9.07 | ||||||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
4 | T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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6 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Symbol on New York Stock Exchange | DSU | |
Initial Offering Date | March 27, 1998 | |
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($9.79)(a) | 11.16% | |
Current Monthly Distribution per Common Share(b) | $0.091050 | |
Current Annualized Distribution per Common Share(b) | $1.092600 | |
Leverage as of June 30, 2023(c) | 22% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/23 | 12/31/22 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 9.79 | $ | 9.20 | 6.41 | % | $ | 9.96 | $ | 9.20 | ||||||||||
Net Asset Value | 10.72 | 10.44 | 2.68 | 10.81 | 10.44 |
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
Fund at NAV(a)(b) | 8.00 | % | 15.12 | % | 4.93 | % | 5.94 | % | ||||||||
Fund at Market Price(a)(b) | 11.92 | 17.43 | 5.30 | 5.08 | ||||||||||||
Reference Benchmark(c) | 5.94 | 9.94 | 3.77 | 4.27 | ||||||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | 5.38 | 9.07 | 3.34 | 4.43 | ||||||||||||
Morningstar LSTA Leveraged Loan Index(e) | 6.48 | 10.71 | 4.13 | 4.07 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index) (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), an unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
F U N D S U M M A R Y | 7 |
Fund Summary as of June 30, 2023 (continued) | BlackRock Debt Strategies Fund, Inc. (DSU) |
Asset Type | Percentage of Total Investments | |||
Floating Rate Loan Interests | 84.4 | % | ||
Corporate Bonds | 14.0 | |||
Other* | 1.6 |
Credit Rating(a)(b) | Percentage of Total Investments | |||
A | 0.1 | % | ||
BBB/Baa | 7.1 | |||
BB/Ba | 29.0 | |||
B | 54.6 | |||
CCC/Caa | 6.7 | |||
N/R(c) | 2.5 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
8 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Symbol on New York Stock Exchange | FRA | |
Initial Offering Date | October 31, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($12.21)(a) | 11.50% | |
Current Monthly Distribution per Common Share(b) | $0.117020 | |
Current Annualized Distribution per Common Share(b) | $1.404240 | |
Leverage as of June 30, 2023(c) | 23% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/23 | 12/31/22 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 12.21 | $ | 11.26 | 8.44 | % | $ | 12.30 | $ | 11.18 | ||||||||||
Net Asset Value | 13.14 | 12.81 | 2.58 | 13.24 | 12.80 |
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
Fund at NAV(a)(b) | 7.93 | % | 15.22 | % | 4.92 | % | 5.12 | % | ||||||||
Fund at Market Price(a)(b) | 14.10 | 17.12 | 4.74 | 4.20 | ||||||||||||
Morningstar LSTA Leveraged Loan Index(c) | 6.48 | 10.71 | 4.13 | 4.07 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), an unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
F U N D S U M M A R Y | 9 |
Fund Summary as of June 30, 2023 (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Asset Type | Percentage of Total Investments | |||
Floating Rate Loan Interests | 96.6 | % | ||
Corporate Bonds | 1.3 | |||
Investment Companies | 1.2 | |||
Other* | 0.9 |
Credit Rating(a)(b) | Percentage of Total Investments | |||
BBB/Baa | 7.0 | % | ||
BB/Ba | 26.7 | |||
B | 56.9 | |||
CCC/Caa | 5.9 | |||
C | — | (c) | ||
N/R(d) | 3.5 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | Rounds to less than 0.1% of total investments. |
(d) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
10 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2023 | BlackRock Income Trust, Inc. (BKT) |
Symbol on New York Stock Exchange | BKT | |
Initial Offering Date | July 22, 1988 | |
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($ 12.17)(a) | 8.70% | |
Current Monthly Distribution per Common Share(b) | $0.088200 | |
Current Annualized Distribution per Common Share(b) | $1.058400 | |
Leverage as of June 30, 2023(c) | 31% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/23 | 12/31/22 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 12.17 | $ | 12.34 | (1.38 | )% | $ | 13.27 | $ | 12.12 | ||||||||||
Net Asset Value | 12.74 | 13.10 | (2.75 | ) | 13.74 | 12.72 |
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
Fund at NAV(a)(b) | 1.40 | % | (4.89 | )% | (0.80 | )% | 0.93 | % | ||||||||
Fund at Market Price(a)(b) | 2.83 | (2.94 | ) | (0.01 | ) | 1.26 | ||||||||||
FTSE Mortgage Index(c) | 1.54 | (1.63 | ) | (0.01 | ) | 1.10 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization. |
F U N D S U M M A R Y | 11 |
Fund Summary as of June 30, 2023 (continued) | BlackRock Income Trust, Inc. (BKT) |
Asset Type(a) | Percentage of Total Investments | |||
U.S. Government Sponsored Agency Securities | 89.4 | % | ||
Non-Agency Mortgage-Backed Securities | 10.6 | |||
Asset-Backed Securities | — | (b) |
Credit Rating(a)(c) | Percentage of Total Investments | |||
AAA/Aaa(d) | 22.4 | % | ||
AA/Aa | 77.2 | |||
CCC/Caa | — | (b) | ||
N/R | 0.4 |
(a) | Excludes short-term securities. |
(b) | Rounds to less than 0.1% of total investments. |
(c) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
12 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality. |
Symbol on New York Stock Exchange | BLW | |
Initial Offering Date | July 30, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($12.88)(a) | 9.14% | |
Current Monthly Distribution per Common Share(b) | $0.098100 | |
Current Annualized Distribution per Common Share(b) | $1.177200 | |
Leverage as of June 30, 2023(c) | 33% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/23 | 12/31/22 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 12.88 | $ | 13.07 | (1.45 | )% | $ | 14.10 | $ | 12.46 | ||||||||||
Net Asset Value | 13.64 | 13.51 | 0.96 | 14.26 | 13.36 |
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
Fund at NAV(a)(b) | 5.54 | % | 10.54 | % | 3.75 | % | 5.32 | % | ||||||||
Fund at Market Price(a)(b) | 3.01 | 11.32 | 4.84 | 4.63 | ||||||||||||
Reference Benchmark(c) | 4.43 | 6.81 | 3.04 | 3.37 | ||||||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | 5.38 | 9.07 | 3.34 | 4.43 | ||||||||||||
Morningstar LSTA Leveraged Loan Index(e) | 6.48 | 10.71 | 4.13 | 4.07 | ||||||||||||
BATS S Benchmark(f) | 1.44 | 0.72 | 1.44 | 1.48 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index) (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), an unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
(f) | A composite index comprised of Bloomberg ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Corporate 1-5 year Index, Bloomberg CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg MBS 15 Yr Index and Bloomberg Credit Ex-Corporate 1-5 Yr Index. |
F U N D S U M M A R Y | 13 |
Fund Summary as of June 30, 2023 (continued) | BlackRock Limited Duration Income Trust (BLW) |
Asset Type | Percentage of Total Investments | |||
Corporate Bonds | 47.4 | % | ||
Floating Rate Loan Interests | 37.8 | |||
Asset-Backed Securities | 4.5 | |||
U.S. Government Sponsored Agency Securities | 3.7 | |||
Preferred Securities | 3.3 | |||
Non-Agency Mortgage-Backed Securities | 2.1 | |||
Other* | 1.2 |
Credit Rating(a)(b) | Percentage of Total Investments | |||
AAA/Aaa(c) | 5.6 | % | ||
AA/Aa | 0.6 | |||
A | 1.5 | |||
BBB/Baa | 11.9 | |||
BB/Ba | 31.6 | |||
B | 39.7 | �� | ||
CCC/Caa | 5.9 | |||
CC | 0.4 | |||
C | — | (d) | ||
N/R(e) | 2.8 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
(d) | Rounds to less than 0.1% of total investments. |
(e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
14 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities | ||||||||||
Golub Capital Partners CLO 66B Ltd., Series 2023-66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b) | USD | 1,000 | $ | 998,106 | ||||||
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b) | 1,000 | 1,000,956 | ||||||||
Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b) | 1,000 | 983,157 | ||||||||
Unique Pub Finance Co. PLC(c) | ||||||||||
Series A4, 5.66%, 06/30/27 | GBP | 32 | 40,449 | |||||||
Series N, 6.46%, 03/30/32 | 100 | 121,685 | ||||||||
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 9.93%, 04/20/36(a)(b) | USD | 1,000 | 1,000,292 | |||||||
Total Asset-Backed Securities — 0.8% (Cost: $4,189,153) | 4,144,645 | |||||||||
Shares | ||||||||||
Common Stocks | ||||||||||
Construction & Engineering — 0.0% | ||||||||||
McDermott International Ltd.(d) | 141,483 | 25,467 | ||||||||
Electrical Equipment — 0.0% | ||||||||||
SunPower Corp.(d) | 1,707 | 16,728 | ||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(e)(f) | 7,288 | — | ||||||||
Financial Services — 0.1% | ||||||||||
NMG Parent LLC | 1,477 | 182,163 | ||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Ameriforge Group, Inc. | 1,664 | 17 | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Kcad Holdings I Ltd.(e) | 1,075,282,733 | 10,752 | ||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||
Maxeon Solar Technologies Ltd.(d) | 213 | 5,998 | ||||||||
Total Common Stocks — 0.1% (Cost: $13,610,630) | 241,125 | |||||||||
Par (000) | ||||||||||
Corporate Bonds | ||||||||||
Aerospace & Defense — 0.6% | ||||||||||
Bombardier, Inc.(b) | ||||||||||
7.50%, 03/15/25 | USD | 5 | 5,009 | |||||||
7.13%, 06/15/26 | 380 | 377,440 | ||||||||
7.88%, 04/15/27 | 130 | 129,665 | ||||||||
6.00%, 02/15/28 | 206 | 194,691 | ||||||||
7.50%, 02/01/29 | 119 | 117,613 | ||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b) | 200 | 181,000 | ||||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b) | 200 | 195,551 |
Security | Par (000) | Value | ||||||||
Aerospace & Defense (continued) | ||||||||||
Spirit AeroSystems, Inc.(b) | ||||||||||
7.50%, 04/15/25 | USD | 10 | $ | 9,881 | ||||||
9.38%, 11/30/29 | 161 | 172,362 | ||||||||
TransDigm, Inc. | ||||||||||
6.25%, 03/15/26(b) | 929 | 924,460 | ||||||||
6.38%, 06/15/26 | 15 | 14,805 | ||||||||
7.50%, 03/15/27 | 33 | 33,047 | ||||||||
6.75%, 08/15/28(b) | 603 | 605,285 | ||||||||
Triumph Group, Inc., 9.00%, 03/15/28(b) | 221 | 225,650 | ||||||||
3,186,459 | ||||||||||
Air Freight & Logistics — 0.0% | ||||||||||
XPO, Inc., 6.25%, 06/01/28(b) | 36 | 35,396 | ||||||||
Automobile Components — 0.4% | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) | 618 | 618,378 | ||||||||
Clarios Global LP/Clarios U.S. Finance Co. | ||||||||||
6.25%, 05/15/26(b) | 271 | 269,255 | ||||||||
8.50%, 05/15/27(b) | 613 | 614,003 | ||||||||
6.75%, 05/15/28 | 200 | 199,301 | ||||||||
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(c) | EUR | 100 | 112,557 | |||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | USD | 12 | 10,932 | |||||||
Forvia, 3.75%, 06/15/28(c) | EUR | 100 | 98,794 | |||||||
Goodyear Tire & Rubber Co. | ||||||||||
9.50%, 05/31/25 | USD | 22 | 22,497 | |||||||
5.00%, 07/15/29 | 26 | 23,445 | ||||||||
5.63%, 04/30/33 | 30 | 26,117 | ||||||||
Titan International, Inc., 7.00%, 04/30/28 | 18 | 16,829 | ||||||||
ZF Finance GmbH, 5.75%, 08/03/26(c) | EUR | 100 | 109,375 | |||||||
2,121,483 | ||||||||||
Automobiles — 0.3% | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||
4.50%, 03/01/28 | USD | 35 | 32,088 | |||||||
5.00%, 02/15/32(b) | 73 | 63,561 | ||||||||
Ford Motor Co. | ||||||||||
4.35%, 12/08/26 | 9 | 8,698 | ||||||||
3.25%, 02/12/32 | 115 | 90,469 | ||||||||
6.10%, 08/19/32 | 180 | 174,448 | ||||||||
Ford Motor Credit Co. LLC | ||||||||||
3.81%, 01/09/24 | 200 | 197,150 | ||||||||
4.95%, 05/28/27 | 255 | 240,538 | ||||||||
4.87%, 08/03/27 | EUR | 100 | 106,960 | |||||||
6.80%, 05/12/28 | USD | 208 | 208,191 | |||||||
7.35%, 03/06/30 | 200 | 204,248 | ||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) | 39 | 34,301 | ||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | 90 | 77,017 | ||||||||
Lithia Motors, Inc., 3.88%, 06/01/29(b) | 42 | 36,492 | ||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | 59 | 46,847 | ||||||||
NM Holdings Co. LLC(d)(e)(g) | ||||||||||
12.00%, 06/01/09 | 5,150 | — | ||||||||
Series B, 9.50%, 07/01/05 | 5,125 | 1 | ||||||||
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(c) | EUR | 100 | 101,272 | |||||||
Wabash National Corp., 4.50%, 10/15/28(b) | USD | 70 | 60,698 | |||||||
1,682,979 |
S C H E D U L E O F I N V E S T M E N T S | 15 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Banks — 0.1% | ||||||||||
Banco BPM SpA, (3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28 | EUR | 150 | $ | 162,540 | ||||||
Banco Espirito Santo SA(d)(g) 2.63%, 05/08/17(c) | 100 | 25,098 | ||||||||
4.75%, 01/15/18(a) | 200 | 50,195 | ||||||||
4.00%, 01/21/19 | 100 | 25,097 | ||||||||
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34 | USD | 105 | 105,915 | |||||||
368,845 | ||||||||||
Beverages — 0.4% | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h) | 200 | 162,029 | ||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) 6.00%, 06/15/27 | 200 | 196,473 | ||||||||
4.00%, 09/01/29 | 285 | 225,718 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.13%, 08/15/26(c) | EUR | 100 | 96,855 | |||||||
Ball Corp. 6.00%, 06/15/29 | USD | 49 | 48,633 | |||||||
3.13%, 09/15/31 | 95 | 78,144 | ||||||||
Mauser Packaging Solutions Holding Co.(b) 7.88%, 08/15/26 | 724 | 719,300 | ||||||||
9.25%, 04/15/27 | 22 | 20,306 | ||||||||
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b) | 10 | 9,902 | ||||||||
Trivium Packaging Finance BV, 8.50%, 08/15/27(b) | 247 | 237,766 | ||||||||
1,795,126 | ||||||||||
Broadline Retail — 0.0% | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | 38 | 35,370 | ||||||||
Building Materials — 0.3% | ||||||||||
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | 67 | 63,315 | ||||||||
Emerald Debt Merger Sub LLC 6.38%, 12/15/30(c) | EUR | 100 | 108,711 | |||||||
6.63%, 12/15/30(b) | USD | 647 | 641,339 | |||||||
Jeld-Wen, Inc., 4.63%, 12/15/25(b) | 41 | 39,719 | ||||||||
Masonite International Corp.(b) Class C, 5.38%, 02/01/28 | 45 | 42,895 | ||||||||
Class C, 3.50%, 02/15/30 | 69 | 57,959 | ||||||||
New Enterprise Stone & Lime Co., Inc.(b) 5.25%, 07/15/28 | 26 | 23,661 | ||||||||
9.75%, 07/15/28 | 38 | 36,658 | ||||||||
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b) | 126 | 118,823 | ||||||||
Standard Industries, Inc. | ||||||||||
2.25%, 11/21/26(c) | EUR | 100 | 96,732 | |||||||
5.00%, 02/15/27(b) | USD | 45 | 42,887 | |||||||
4.75%, 01/15/28(b) | 12 | 11,175 | ||||||||
4.38%, 07/15/30(b) | 182 | 157,630 | ||||||||
3.38%, 01/15/31(b) | 31 | 24,956 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 124 | 117,151 | ||||||||
1,583,611 | ||||||||||
Building Products(b) — 0.3% | ||||||||||
Advanced Drainage Systems, Inc. | ||||||||||
5.00%, 09/30/27 | 29 | 27,446 |
Security | Par (000) | Value | ||||||||
Building Products (continued) | ||||||||||
Advanced Drainage Systems, Inc. (continued) | ||||||||||
6.38%, 06/15/30 | USD | 95 | $ | 93,981 | ||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | 39 | 34,515 | ||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 24 | 20,040 | ||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 109 | 95,920 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 27 | 25,510 | ||||||||
SRS Distribution, Inc. | ||||||||||
4.63%, 07/01/28 | 207 | 184,804 | ||||||||
6.13%, 07/01/29 | 116 | 100,181 | ||||||||
6.00%, 12/01/29 | 168 | 144,992 | ||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 | 546 | 494,813 | ||||||||
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(h) | 75 | 71,845 | ||||||||
1,294,047 | ||||||||||
Capital Markets — 0.3% | ||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b. | 150 | 153,745 | ||||||||
Blackstone Private Credit Fund | ||||||||||
7.05%, 09/29/25 | 25 | 24,935 | ||||||||
3.25%, 03/15/27 | 24 | 20,739 | ||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | 65 | 56,974 | ||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | 160 | 129,186 | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||
4.75%, 09/15/24 | 101 | 96,502 | ||||||||
6.25%, 05/15/26 | 19 | 17,292 | ||||||||
5.25%, 05/15/27 | 110 | 94,864 | ||||||||
4.38%, 02/01/29 | 87 | 68,356 | ||||||||
Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a) | 30 | 29,611 | ||||||||
NFP Corp.(b) | ||||||||||
4.88%, 08/15/28 | 158 | 141,123 | ||||||||
6.88%, 08/15/28 | 427 | 370,645 | ||||||||
7.50%, 10/01/30 | 34 | 32,919 | ||||||||
Northern Trust Corp., 6.13%, 11/02/32 | 52 | 53,911 | ||||||||
Owl Rock Capital Corp., 3.40%, 07/15/26 | 21 | 18,601 | ||||||||
Owl Rock Core Income Corp. | ||||||||||
5.50%, 03/21/25 | 55 | 52,925 | ||||||||
3.13%, 09/23/26 | 12 | 10,340 | ||||||||
7.75%, 09/16/27(b) | 58 | 57,707 | ||||||||
1,430,375 | ||||||||||
Chemicals — 0.5% | ||||||||||
Ashland LLC, 3.38%, 09/01/31(b) | 48 | 38,340 | ||||||||
Avient Corp., 7.13%, 08/01/30(b) | 39 | 39,446 | ||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | 150 | 127,688 | ||||||||
Chemours Co.(b) | ||||||||||
5.75%, 11/15/28 | 50 | 45,944 | ||||||||
4.63%, 11/15/29 | 24 | 20,283 | ||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b) | 498 | 434,443 | ||||||||
HB Fuller Co., 4.25%, 10/15/28 | 35 | 31,151 | ||||||||
Herens Holdco SARL, 4.75%, 05/15/28(b) | 200 | 155,000 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | 184 | 160,330 | ||||||||
Ingevity Corp., 3.88%, 11/01/28(b) | 23 | 19,637 | ||||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(h) | 82 | 54,120 |
16 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Chemicals (continued) | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | USD | 42 | $ | 35,078 | ||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 55 | 50,050 | ||||||||
Olympus Water U.S. Holding Corp., 9.63%, 11/15/28(c) | EUR | 100 | 104,755 | |||||||
Scotts Miracle-Gro Co., 4.38%, 02/01/32 | USD | 65 | 51,180 | |||||||
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | 154 | 122,373 | ||||||||
WESCO Distribution, Inc.(b) | ||||||||||
7.13%, 06/15/25 | 49 | 49,516 | ||||||||
7.25%, 06/15/28 | 153 | 156,069 | ||||||||
WR Grace Holdings LLC(b) | ||||||||||
4.88%, 06/15/27 | 55 | 51,009 | ||||||||
5.63%, 08/15/29 | 974 | 797,998 | ||||||||
7.38%, 03/01/31 | 48 | 47,039 | ||||||||
2,591,449 | ||||||||||
Commercial Services & Supplies(b) — 0.4% | ||||||||||
ADT Security Corp. | ||||||||||
4.13%, 08/01/29 | 9 | 7,774 | ||||||||
4.88%, 07/15/32 | 11 | 9,405 | ||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29 | 28 | 24,418 | ||||||||
APX Group, Inc. | ||||||||||
6.75%, 02/15/27 | 64 | 62,719 | ||||||||
5.75%, 07/15/29 | 86 | 74,640 | ||||||||
Fortress Transportation and Infrastructure Investors LLC | ||||||||||
6.50%, 10/01/25 | 146 | 143,834 | ||||||||
9.75%, 08/01/27 | 51 | 52,671 | ||||||||
5.50%, 05/01/28 | 215 | 196,726 | ||||||||
Garda World Security Corp., 9.50%, 11/01/27 | 16 | 15,457 | ||||||||
Herc Holdings, Inc., 5.50%, 07/15/27 | 119 | 114,019 | ||||||||
Hertz Corp., 5.00%, 12/01/29 | 76 | 62,824 | ||||||||
LABL, Inc., 9.50%, 11/01/28 | 117 | 119,034 | ||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29 | 39 | 33,642 | ||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29 | 74 | 66,230 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | ||||||||||
5.75%, 04/15/26 | 40 | 39,265 | ||||||||
6.25%, 01/15/28 | 353 | 330,691 | ||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 | 202 | 157,055 | ||||||||
United Rentals North America, Inc., 6.00%, 12/15/29 | 383 | 382,058 | ||||||||
Williams Scotsman International, Inc. | ||||||||||
6.13%, 06/15/25 | 49 | 48,636 | ||||||||
4.63%, 08/15/28 | 74 | 67,641 | ||||||||
2,008,739 | ||||||||||
Communications Equipment(b) — 0.1% | ||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25 | 153 | 142,607 | ||||||||
CommScope, Inc. | ||||||||||
8.25%, 03/01/27 | 35 | 27,999 | ||||||||
7.13%, 07/01/28 | 58 | 41,180 | ||||||||
4.75%, 09/01/29 | 161 | 126,932 | ||||||||
Viasat, Inc. | ||||||||||
5.63%, 09/15/25 | 132 | 127,907 | ||||||||
5.63%, 04/15/27 | 21 | 19,607 | ||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29 | 81 | 68,826 | ||||||||
555,058 | ||||||||||
Construction Materials(b) — 0.0% | ||||||||||
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29 | 10 | 8,537 |
Security | Par (000) | Value | ||||||||
Construction Materials (continued) | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | USD | 82 | $ | 76,260 | ||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 20 | 17,316 | ||||||||
Resideo Funding, Inc., 4.00%, 09/01/29 | 18 | 14,933 | ||||||||
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28 | 20 | 20,158 | ||||||||
137,204 | ||||||||||
Consumer Discretionary(b) — 0.6% | ||||||||||
APi Group DE, Inc. | ||||||||||
4.13%, 07/15/29 | 67 | 57,787 | ||||||||
4.75%, 10/15/29 | 32 | 28,819 | ||||||||
Carnival Corp. | ||||||||||
10.50%, 02/01/26 | 171 | 179,757 | ||||||||
7.63%, 03/01/26 | 49 | 47,991 | ||||||||
5.75%, 03/01/27 | 356 | 327,730 | ||||||||
9.88%, 08/01/27 | 99 | 103,122 | ||||||||
4.00%, 08/01/28 | 91 | 80,673 | ||||||||
6.00%, 05/01/29 | 154 | 137,496 | ||||||||
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 | 488 | 533,740 | ||||||||
CoreLogic, Inc., 4.50%, 05/01/28 | 185 | 149,156 | ||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26 | 52 | 46,800 | ||||||||
Life Time, Inc. | ||||||||||
5.75%, 01/15/26 | 101 | 98,428 | ||||||||
8.00%, 04/15/26 | 81 | 79,978 | ||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27 | 100 | 95,250 | ||||||||
NCL Corp. Ltd. | ||||||||||
5.88%, 03/15/26 | 110 | 102,912 | ||||||||
8.38%, 02/01/28 | 37 | 38,663 | ||||||||
7.75%, 02/15/29 | 14 | 13,297 | ||||||||
NCL Finance Ltd., 6.13%, 03/15/28 | 46 | 41,401 | ||||||||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 | 88 | 80,785 | ||||||||
Royal Caribbean Cruises Ltd. | ||||||||||
11.50%, 06/01/25 | 70 | 74,270 | ||||||||
4.25%, 07/01/26 | 24 | 22,031 | ||||||||
5.50%, 08/31/26 | 40 | 37,924 | ||||||||
5.38%, 07/15/27 | 43 | 40,207 | ||||||||
11.63%, 08/15/27 | 56 | 60,897 | ||||||||
5.50%, 04/01/28 | 58 | 54,087 | ||||||||
8.25%, 01/15/29 | 62 | 65,100 | ||||||||
9.25%, 01/15/29 | 113 | 120,392 | ||||||||
7.25%, 01/15/30 | 67 | 67,861 | ||||||||
Viking Cruises Ltd. | ||||||||||
5.88%, 09/15/27 | 58 | 53,309 | ||||||||
9.13%, 07/15/31 | 153 | 154,530 | ||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 | 45 | 41,175 | ||||||||
3,035,568 | ||||||||||
Consumer Finance — 0.4% | ||||||||||
Block, Inc. | ||||||||||
2.75%, 06/01/26 | 175 | 159,336 | ||||||||
3.50%, 06/01/31 | 208 | 172,270 | ||||||||
Capital One Financial Corp.(a) | ||||||||||
(1-day SOFR + 2.64%), 6.31%, 06/08/29 | 35 | 34,764 | ||||||||
(1-day SOFR + 2.86%), 6.38%, 06/08/34 | 25 | 24,821 | ||||||||
Discover Financial Services, 6.70%, 11/29/32 | 30 | 30,907 | ||||||||
Global Payments, Inc. | ||||||||||
3.20%, 08/15/29 | 181 | 157,322 | ||||||||
5.40%, 08/15/32 | 28 | 27,284 | ||||||||
Navient Corp. | ||||||||||
7.25%, 09/25/23 | 3 | 3,000 |
S C H E D U L E O F I N V E S T M E N T S | 17 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Consumer Finance (continued) | ||||||||||
Navient Corp. (continued) | ||||||||||
5.88%, 10/25/24 | USD | 77 | $ | 75,673 | ||||||
5.50%, 03/15/29 | 66 | 56,270 | ||||||||
9.38%, 07/25/30 | 38 | 37,797 | ||||||||
OneMain Finance Corp. | ||||||||||
6.88%, 03/15/25 | 20 | 19,803 | ||||||||
7.13%, 03/15/26 | 7 | 6,877 | ||||||||
6.63%, 01/15/28 | 8 | 7,546 | ||||||||
5.38%, 11/15/29 | 139 | 118,171 | ||||||||
4.00%, 09/15/30 | 76 | 58,520 | ||||||||
Sabre Global, Inc.(b) | ||||||||||
9.25%, 04/15/25 | 10 | 9,326 | ||||||||
7.38%, 09/01/25 | 63 | 55,919 | ||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 167 | 156,608 | ||||||||
SLM Corp., 3.13%, 11/02/26 | 56 | 48,440 | ||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b) | 741 | 743,291 | ||||||||
2,003,945 | ||||||||||
Consumer Staples Distribution & Retail(b) — 0.2% | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New | ||||||||||
Albertsons LP/Albertsons LLC | ||||||||||
3.25%, 03/15/26 | 12 | 11,083 | ||||||||
4.63%, 01/15/27 | 21 | 19,898 | ||||||||
5.88%, 02/15/28 | 107 | 103,976 | ||||||||
6.50%, 02/15/28 | 38 | 38,063 | ||||||||
3.50%, 03/15/29 | 35 | 30,297 | ||||||||
4.88%, 02/15/30 | 122 | 112,633 | ||||||||
Darling Ingredients, Inc., 6.00%, 06/15/30 | 94 | 91,806 | ||||||||
Lamb Weston Holdings, Inc. | ||||||||||
4.88%, 05/15/28 | 7 | 6,704 | ||||||||
4.13%, 01/31/30 | 113 | 100,990 | ||||||||
4.38%, 01/31/32 | 90 | 80,395 | ||||||||
Performance Food Group, Inc., 4.25%, 08/01/29 | 146 | 129,985 | ||||||||
Post Holdings, Inc. | ||||||||||
5.50%, 12/15/29 | 11 | 10,150 | ||||||||
4.63%, 04/15/30 | 36 | 31,549 | ||||||||
4.50%, 09/15/31 | 24 | 20,497 | ||||||||
U.S. Foods, Inc. | ||||||||||
6.25%, 04/15/25 | 51 | 50,979 | ||||||||
4.75%, 02/15/29 | 73 | 66,835 | ||||||||
4.63%, 06/01/30 | 13 | 11,651 | ||||||||
United Natural Foods, Inc., 6.75%, 10/15/28 | 26 | 21,551 | ||||||||
939,042 | ||||||||||
Containers & Packaging — 0.1% | ||||||||||
Clydesdale Acquisition Holdings, Inc.(b) | ||||||||||
6.63%, 04/15/29 | 137 | 130,657 | ||||||||
8.75%, 04/15/30 | 178 | 157,125 | ||||||||
Crown European Holdings SA, 5.00%, 05/15/28 | EUR | 100 | 110,075 | |||||||
LABL, Inc., 5.88%, 11/01/28(b) | USD | 68 | 61,845 | |||||||
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31 | 59 | 59,737 | ||||||||
Sealed Air Corp., 4.00%, 12/01/27(b) | 61 | 55,677 | ||||||||
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | 44 | 43,676 | ||||||||
Trident TPI Holdings, Inc., 12.75%, 12/31/28 | 27 | 27,999 | ||||||||
646,791 |
Security | Par (000) | Value | ||||||||
Diversified Consumer Services — 0.4% | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) | ||||||||||
6.63%, 07/15/26 | USD | 305 | $ | 289,428 | ||||||
9.75%, 07/15/27 | 118 | 104,307 | ||||||||
6.00%, 06/01/29 | 323 | 238,343 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b) | 400 | 337,544 | ||||||||
Brink’s Co., 5.50%, 07/15/25(b) | 15 | 14,822 | ||||||||
Clarivate Science Holdings Corp.(b) | ||||||||||
3.88%, 07/01/28 | 342 | 303,164 | ||||||||
4.88%, 07/01/29 | 153 | 135,727 | ||||||||
Garda World Security Corp.(b) | ||||||||||
4.63%, 02/15/27 | 44 | 40,260 | ||||||||
7.75%, 02/15/28 | 140 | 138,967 | ||||||||
Macquarie Airfinance Holdings Ltd., 8.38%, 05/01/28 | 28 | 28,390 | ||||||||
Rekeep SpA, 7.25%, 02/01/26(c) | EUR | 100 | 102,004 | |||||||
Service Corp. International, 3.38%, 08/15/30 | USD | 144 | 120,427 | |||||||
Sotheby’s, 7.38%, 10/15/27(b) | 200 | 179,879 | ||||||||
2,033,262 | ||||||||||
Diversified REITs — 0.2% | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | 51 | 42,950 | ||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | 35 | 25,676 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(b) | 59 | 52,878 | ||||||||
Iron Mountain, Inc., 5.63%, 07/15/32(b) | 44 | 39,361 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||||
4.63%, 08/01/29 | 178 | 134,561 | ||||||||
3.50%, 03/15/31 | 232 | 159,852 | ||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||
4.75%, 10/15/27 | 23 | 21,413 | ||||||||
7.25%, 07/15/28 | 86 | 86,880 | ||||||||
4.50%, 02/15/29(b) | 140 | 123,900 | ||||||||
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) | 74 | 61,974 | ||||||||
Service Properties Trust, 7.50%, 09/15/25 | 25 | 24,550 | ||||||||
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b) | 16 | 14,041 | ||||||||
788,036 | ||||||||||
Diversified Telecommunication Services — 0.4% | ||||||||||
British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83 | GBP | 100 | 124,672 | |||||||
Level 3 Financing, Inc.(b) | ||||||||||
3.40%, 03/01/27 | USD | 235 | 199,398 | |||||||
10.50%, 05/15/30 | 258 | 261,775 | ||||||||
Lumen Technologies, Inc., 4.00%, 02/15/27(b) | 276 | 205,678 | ||||||||
SoftBank Group Corp., 3.13%, 09/19/25(c) | EUR | 100 | 102,300 | |||||||
Telecom Italia Capital SA | ||||||||||
6.38%, 11/15/33 | USD | 53 | 44,961 | |||||||
6.00%, 09/30/34 | 132 | 106,452 | ||||||||
7.20%, 07/18/36 | 10 | 8,595 | ||||||||
7.72%, 06/04/38 | 19 | 16,800 |
18 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Diversified Telecommunication Services (continued) | ||||||||||
Zayo Group Holdings, Inc.(b) | ||||||||||
4.00%, 03/01/27 | USD | 890 | $ | 628,566 | ||||||
6.13%, 03/01/28 | 372 | 232,451 | ||||||||
1,931,648 | ||||||||||
Electric Utilities — 0.1% | ||||||||||
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i) | 100 | 87,390 | ||||||||
FirstEnergy Transmission LLC(b) | ||||||||||
5.45%, 07/15/44 | 115 | 106,341 | ||||||||
4.55%, 04/01/49 | 21 | 17,519 | ||||||||
Pacific Gas and Electric Co. | ||||||||||
6.10%, 01/15/29 | 65 | 63,954 | ||||||||
6.40%, 06/15/33 | 90 | 89,507 | ||||||||
6.75%, 01/15/53 | 45 | 44,410 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | 32 | 29,227 | ||||||||
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(e)(g) | 2,375 | — | ||||||||
Vistra Operations Co. LLC(b) | ||||||||||
5.50%, 09/01/26 | 5 | 4,811 | ||||||||
5.63%, 02/15/27 | 41 | �� | 39,298 | |||||||
5.00%, 07/31/27 | 5 | 4,680 | ||||||||
487,137 | ||||||||||
Electrical Equipment(b) — 0.1% | ||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | 263 | 258,793 | ||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 33 | 26,813 | ||||||||
Regal Rexnord Corp. | ||||||||||
6.05%, 02/15/26 | 30 | 30,038 | ||||||||
6.05%, 04/15/28 | 184 | 182,658 | ||||||||
6.30%, 02/15/30 | 70 | 69,793 | ||||||||
6.40%, 04/15/33 | 70 | 69,941 | ||||||||
638,036 | ||||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||
BWX Technologies, Inc.(b) | ||||||||||
4.13%, 06/30/28 | 86 | 78,462 | ||||||||
4.13%, 04/15/29 | 57 | 51,443 | ||||||||
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 | 32 | 27,419 | ||||||||
Imola Merger Corp., 4.75%, 05/15/29(b) | 186 | 161,765 | ||||||||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 980 | 882,954 | ||||||||
1,202,043 | ||||||||||
Energy Equipment & Services — 0.2% | ||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | ||||||||||
6.88%, 04/01/27 | 225 | 216,000 | ||||||||
6.25%, 04/01/28 | 37 | 34,738 | ||||||||
Enerflex Ltd., 9.00%, 10/15/27(b) | 83 | 80,756 | ||||||||
Noble Finance II LLC, 8.00%, 04/15/30 | 85 | 86,418 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||
6.88%, 04/01/26 | 111 | 108,735 | ||||||||
6.88%, 09/01/27 | 183 | 174,746 | ||||||||
Valaris Ltd., 8.38%, 04/30/30 | 136 | 136,457 | ||||||||
Vallourec SA, 8.50%, 06/30/26(c) | EUR | 9 | 9,811 | |||||||
Weatherford International Ltd.(b) | ||||||||||
6.50%, 09/15/28 | USD | 57 | 57,245 | |||||||
8.63%, 04/30/30 | 61 | 61,930 | ||||||||
966,836 |
Security | Par (000) | Value | ||||||||
Environmental, Maintenance & Security Service — 0.2% | ||||||||||
Clean Harbors, Inc., 6.38%, 02/01/31(b) | USD | 30 | $ | 30,188 | ||||||
Covanta Holding Corp. | ||||||||||
4.88%, 12/01/29(b) | 43 | 37,195 | ||||||||
5.00%, 09/01/30 | 21 | 17,811 | ||||||||
GFL Environmental, Inc.(b) | ||||||||||
4.25%, 06/01/25 | 4 | 3,860 | ||||||||
3.75%, 08/01/25 | 45 | 42,812 | ||||||||
5.13%, 12/15/26 | 113 | 109,021 | ||||||||
4.00%, 08/01/28 | 8 | 7,152 | ||||||||
3.50%, 09/01/28 | 53 | 47,169 | ||||||||
4.75%, 06/15/29 | 199 | 181,809 | ||||||||
4.38%, 08/15/29 | 44 | 39,175 | ||||||||
Stericycle, Inc., 3.88%, 01/15/29(b) | 49 | 43,507 | ||||||||
Tervita Corp., 11.00%, 12/01/25(b) | 25 | 26,521 | ||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | 189 | 175,203 | ||||||||
761,423 | ||||||||||
Financial Services — 0.3% | ||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | 200 | 154,797 | ||||||||
Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a) | 113 | 116,147 | ||||||||
Citigroup, Inc., Series Y, (5-year CMT + 3.00%), 4.15%(a)(i) | 10 | 8,045 | ||||||||
Enact Holdings, Inc., 6.50%, 08/15/25(b) | 129 | 126,720 | ||||||||
GGAM Finance Ltd.(b) | ||||||||||
7.75%, 05/15/26 | 11 | 11,041 | ||||||||
8.00%, 06/15/28 | 11 | 11,006 | ||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) | 26 | 23,320 | ||||||||
Home Point Capital, Inc., 5.00%, 02/01/26(b) | 199 | 178,420 | ||||||||
Intrum AB, 4.88%, 08/15/25(c) | EUR | 100 | 90,098 | |||||||
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) | USD | 200 | 163,963 | |||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | ||||||||||
5.25%, 10/01/25 | 12 | 11,332 | ||||||||
4.75%, 06/15/29 | 22 | 17,905 | ||||||||
MGIC Investment Corp., 5.25%, 08/15/28 | 47 | 44,333 | ||||||||
Nationstar Mortgage Holdings, Inc.(b) | ||||||||||
6.00%, 01/15/27 | 54 | 50,235 | ||||||||
5.75%, 11/15/31 | 70 | 57,501 | ||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) | 184 | 162,840 | ||||||||
Spectrum Brands, Inc.(b) | ||||||||||
5.00%, 10/01/29 | 8 | 7,141 | ||||||||
5.50%, 07/15/30 | 50 | 45,625 | ||||||||
1,280,469 | ||||||||||
Food Products — 0.2% | ||||||||||
Aramark International Finance SARL, 3.13%, 04/01/25(c) | EUR | 100 | 104,630 | |||||||
Aramark Services, Inc.(b) | ||||||||||
5.00%, 04/01/25 | USD | 15 | 14,780 | |||||||
6.38%, 05/01/25 | 69 | 68,936 | ||||||||
5.00%, 02/01/28 | 124 | 116,875 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.(b) 7.50%, 04/15/25 | 326 | 324,374 |
S C H E D U L E O F I N V E S T M E N T S | 19 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Food Products (continued) | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc.(b) (continued) | ||||||||||
4.63%, 11/15/28 | USD | 264 | $ | 240,240 | ||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | 60 | 48,073 | ||||||||
917,908 | ||||||||||
Gas Utilities — 0.0% | ||||||||||
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28 | 67 | 67,335 | ||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b) | 29 | 24,277 | ||||||||
91,612 | ||||||||||
Health Care Equipment & Supplies(b) — 0.0% | ||||||||||
Avantor Funding, Inc. | ||||||||||
4.63%, 07/15/28 | 114 | 105,669 | ||||||||
3.88%, 11/01/29 | 61 | 53,407 | ||||||||
Embecta Corp., 6.75%, 02/15/30 | 24 | 21,508 | ||||||||
Garden Spinco Corp., 8.63%, 07/20/30 | 64 | 68,784 | ||||||||
249,368 | ||||||||||
Health Care Providers & Services — 0.6% | ||||||||||
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) | 64 | 59,014 | ||||||||
AdaptHealth LLC(b) | ||||||||||
6.13%, 08/01/28 | 24 | 20,789 | ||||||||
5.13%, 03/01/30 | 9 | 7,290 | ||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | 105 | 90,534 | ||||||||
Cano Health LLC, 6.25%, 10/01/28(b) | 25 | 15,625 | ||||||||
Centene Corp. | ||||||||||
2.45%, 07/15/28 | 57 | 48,721 | ||||||||
3.00%, 10/15/30 | 160 | 133,328 | ||||||||
2.50%, 03/01/31 | 68 | 54,228 | ||||||||
2.63%, 08/01/31 | 2 | 1,594 | ||||||||
CHS/Community Health Systems, Inc.(b) | ||||||||||
6.00%, 01/15/29 | 164 | 137,965 | ||||||||
5.25%, 05/15/30 | 162 | 127,612 | ||||||||
4.75%, 02/15/31 | 41 | 30,987 | ||||||||
Encompass Health Corp. | ||||||||||
4.50%, 02/01/28 | 5 | 4,652 | ||||||||
4.75%, 02/01/30 | 137 | 124,739 | ||||||||
4.63%, 04/01/31 | 81 | 71,803 | ||||||||
HealthEquity, Inc., 4.50%, 10/01/29(b) | 171 | 150,708 | ||||||||
Legacy LifePoint Health LLC(b) | ||||||||||
6.75%, 04/15/25 | 163 | 151,398 | ||||||||
4.38%, 02/15/27 | 47 | 36,367 | ||||||||
Medline Borrower LP(b) | ||||||||||
3.88%, 04/01/29 | 116 | 100,811 | ||||||||
5.25%, 10/01/29 | 712 | 617,802 | ||||||||
ModivCare, Inc., 5.88%, 11/15/25(b) | 81 | 75,017 | ||||||||
Molina Healthcare, Inc.(b) | ||||||||||
4.38%, 06/15/28 | 24 | 22,124 | ||||||||
3.88%, 11/15/30 | 39 | 33,507 | ||||||||
3.88%, 05/15/32 | 53 | 44,433 | ||||||||
Surgery Center Holdings, Inc.(b) | ||||||||||
6.75%, 07/01/25 | 73 | 72,740 | ||||||||
10.00%, 04/15/27 | 111 | 113,498 | ||||||||
Teleflex, Inc. | ||||||||||
4.63%, 11/15/27 | 6 | 5,655 | ||||||||
4.25%, 06/01/28(b) | 31 | 28,326 |
Security | Par (000) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Tenet Healthcare Corp. | ||||||||||
4.88%, 01/01/26 | USD | 244 | $ | 237,653 | ||||||
6.25%, 02/01/27 | 89 | 88,089 | ||||||||
5.13%, 11/01/27 | 8 | 7,637 | ||||||||
6.13%, 10/01/28 | 55 | 52,949 | ||||||||
6.13%, 06/15/30 | 59 | 58,156 | ||||||||
6.75%, 05/15/31 | 376 | 376,916 | ||||||||
3,202,667 | ||||||||||
Health Care Technology(b) — 0.1% | ||||||||||
AthenaHealth Group, Inc., 6.50%, 02/15/30 | 464 | 390,521 | ||||||||
Catalent Pharma Solutions, Inc. | ||||||||||
5.00%, 07/15/27 | 85 | 77,978 | ||||||||
3.13%, 02/15/29 | 4 | 3,252 | ||||||||
3.50%, 04/01/30 | 49 | 39,690 | ||||||||
Charles River Laboratories International, Inc. | ||||||||||
4.25%, 05/01/28 | 46 | 42,116 | ||||||||
4.00%, 03/15/31 | 11 | 9,554 | ||||||||
Fortrea Holdings, Inc., 7.50%, 07/01/30 | 50 | 51,199 | ||||||||
614,310 | ||||||||||
Hotels, Restaurants & Leisure — 1.0% | ||||||||||
Boyd Gaming Corp. | ||||||||||
4.75%, 12/01/27 | 46 | 43,584 | ||||||||
4.75%, 06/15/31(b) | 39 | 34,841 | ||||||||
Boyne USA, Inc., 4.75%, 05/15/29(b) | 109 | 98,226 | ||||||||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) | ||||||||||
3.88%, 01/15/28 | 41 | 37,481 | ||||||||
4.38%, 01/15/28 | 77 | 71,084 | ||||||||
4.00%, 10/15/30 | 35 | 29,954 | ||||||||
Caesars Entertainment, Inc.(b) | ||||||||||
6.25%, 07/01/25 | 366 | 364,305 | ||||||||
8.13%, 07/01/27 | 304 | 311,135 | ||||||||
4.63%, 10/15/29 | 438 | 382,466 | ||||||||
7.00%, 02/15/30 | 395 | 396,675 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) | 45 | 45,532 | ||||||||
CCM Merger, Inc., 6.38%, 05/01/26(b) | 26 | 25,220 | ||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b) | 183 | 170,340 | ||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||||||||
5.50%, 05/01/25(b) | 89 | 88,329 | ||||||||
6.50%, 10/01/28 | 19 | 18,529 | ||||||||
Churchill Downs, Inc. | ||||||||||
5.50%, 04/01/27(b) | 155 | 149,022 | ||||||||
4.75%, 01/15/28(b) | 73 | 67,700 | ||||||||
6.75%, 05/01/31 | 105 | 103,819 | ||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) | ||||||||||
4.63%, 01/15/29 | 113 | 99,158 | ||||||||
6.75%, 01/15/30 | 570 | 485,091 | ||||||||
Hilton Domestic Operating Co., Inc.(b) | ||||||||||
5.75%, 05/01/28 | 103 | 101,426 | ||||||||
3.75%, 05/01/29 | 46 | 40,830 | ||||||||
4.00%, 05/01/31 | 94 | 81,637 | ||||||||
3.63%, 02/15/32 | 40 | 33,349 | ||||||||
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28 | 62 | 62,907 | ||||||||
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(c) | EUR | 100 | 109,529 |
20 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) | USD | 200 | $ | 164,750 | ||||||
MGM Resorts International, 5.75%, 06/15/25 | 73 | 72,346 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 71 | 62,696 | ||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | ||||||||||
5.63%, 09/01/29 | 34 | 25,753 | ||||||||
5.88%, 09/01/31 | 37 | 27,297 | ||||||||
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b) | 57 | 53,723 | ||||||||
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b) | 18 | 15,840 | ||||||||
Scientific Games International, Inc., 8.63%, 07/01/25(b) | 65 | 66,381 | ||||||||
Six Flags Entertainment Corp., 7.25%, 05/15/31(b) | 98 | 95,447 | ||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | 96 | 96,480 | ||||||||
Station Casinos LLC(b) | ||||||||||
4.50%, 02/15/28 | 69 | 61,932 | ||||||||
4.63%, 12/01/31 | 35 | 29,488 | ||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) | 89 | 89,106 | ||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 44 | 40,181 | ||||||||
Wynn Macau Ltd., 5.63%, 08/26/28(b) | 200 | 172,500 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | ||||||||||
5.13%, 10/01/29 | 202 | 181,031 | ||||||||
7.13%, 02/15/31 | 93 | 92,437 | ||||||||
4,799,557 | ||||||||||
Household Durables — 0.2% | ||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | ||||||||||
4.63%, 08/01/29 | 32 | 27,271 | ||||||||
4.63%, 04/01/30 | 46 | 39,266 | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | ||||||||||
5.00%, 06/15/29 | 67 | 53,649 | ||||||||
4.88%, 02/15/30 | 56 | 43,931 | ||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | 104 | 96,271 | ||||||||
KB Home, 7.25%, 07/15/30 | 21 | 21,265 | ||||||||
Mattamy Group Corp., 4.63%, 03/01/30(b) | 72 | 62,244 | ||||||||
NCR Corp.(b) | ||||||||||
5.00%, 10/01/28 | 57 | 50,868 | ||||||||
5.13%, 04/15/29 | 69 | 61,083 | ||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | 389 | 233,411 | ||||||||
Taylor Morrison Communities, Inc.(b) | ||||||||||
5.88%, 06/15/27 | 2 | 1,964 | ||||||||
5.13%, 08/01/30 | 20 | 18,466 | ||||||||
Tempur Sealy International, Inc.(b) | ||||||||||
4.00%, 04/15/29 | 67 | 58,002 | ||||||||
3.88%, 10/15/31 | 44 | 35,845 | ||||||||
Tri Pointe Homes, Inc., 5.70%, 06/15/28 | 18 | 17,388 | ||||||||
820,924 | ||||||||||
Household Products — 0.0% | ||||||||||
Central Garden & Pet Co. | ||||||||||
5.13%, 02/01/28 | 15 | 14,092 |
Security | Par (000) | Value | ||||||||
Household Products (continued) | ||||||||||
Central Garden & Pet Co. (continued) | ||||||||||
4.13%, 10/15/30 | USD | 59 | $ | 49,424 | ||||||
4.13%, 04/30/31(b) | 55 | 45,345 | ||||||||
108,861 | ||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||||
Calpine Corp.(b) | ||||||||||
5.25%, 06/01/26 | 28 | 27,040 | ||||||||
4.63%, 02/01/29 | 99 | 83,525 | ||||||||
5.00%, 02/01/31 | 14 | 11,579 | ||||||||
Clearway Energy Operating LLC(b) | ||||||||||
4.75%, 03/15/28 | 47 | 43,363 | ||||||||
3.75%, 01/15/32 | 82 | 66,740 | ||||||||
NRG Energy, Inc. | ||||||||||
5.75%, 01/15/28 | 22 | 20,848 | ||||||||
3.88%, 02/15/32(b) | 18 | 13,869 | ||||||||
7.00%, 03/15/33(b) | 50 | 50,414 | ||||||||
Talen Energy Supply LLC, 8.63%, 06/01/30 | 34 | 35,190 | ||||||||
TerraForm Power Operating LLC, 4.75%, | ||||||||||
01/15/30(b) | 74 | 65,305 | ||||||||
TransAlta Corp., 7.75%, 11/15/29 | 35 | 36,033 | ||||||||
453,906 | ||||||||||
Insurance(b) — 0.5% | ||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 | 43 | 37,230 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | ||||||||||
4.25%, 10/15/27 | 285 | 255,757 | ||||||||
6.75%, 10/15/27 | 792 | 744,480 | ||||||||
6.75%, 04/15/28 | 140 | 138,843 | ||||||||
5.88%, 11/01/29 | 453 | 394,074 | ||||||||
AmWINS Group, Inc., 4.88%, 06/30/29 | 89 | 80,366 | ||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27 | 4 | 3,921 | ||||||||
HUB International Ltd. | ||||||||||
7.00%, 05/01/26 | 345 | 344,087 | ||||||||
7.25%, 06/15/30 | 371 | 383,095 | ||||||||
Jones Deslauriers Insurance Management, Inc. | ||||||||||
8.50%, 03/15/30 | 126 | 128,546 | ||||||||
10.50%, 12/15/30 | 83 | 83,256 | ||||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30 | 49 | 43,375 | ||||||||
2,637,030 | ||||||||||
Interactive Media & Services — 0.1% | ||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28(b) iliad SA(c) | 36 | 31,327 | ||||||||
5.38%, 06/14/27 | EUR | 100 | 107,581 | |||||||
5.63%, 02/15/30 | 100 | 105,465 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) | USD | 92 | 81,254 | |||||||
325,627 | ||||||||||
Internet Software & Services(b) — 0.3% | ||||||||||
ANGI Group LLC, 3.88%, 08/15/28 | 80 | 65,320 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 | 71 | 60,836 | ||||||||
Match Group Holdings II LLC | ||||||||||
4.63%, 06/01/28 | 81 | 74,407 | ||||||||
3.63%, 10/01/31 | 53 | 43,563 | ||||||||
Uber Technologies, Inc. | ||||||||||
7.50%, 05/15/25 | 108 | 109,292 |
S C H E D U L E O F I N V E S T M E N T S | 21 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Internet Software & Services (continued) | ||||||||||
Uber Technologies, Inc. (continued) | ||||||||||
8.00%, 11/01/26 | USD | 308 | $ | 313,886 | ||||||
7.50%, 09/15/27 | 282 | 288,444 | ||||||||
6.25%, 01/15/28 | 260 | 258,716 | ||||||||
4.50%, 08/15/29 | 547 | 503,458 | ||||||||
1,717,922 | ||||||||||
IT Services — 0.5% | ||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | 50 | 40,664 | ||||||||
Booz Allen Hamilton, Inc.(b) | ||||||||||
3.88%, 09/01/28 | 75 | 67,835 | ||||||||
4.00%, 07/01/29 | 93 | 83,305 | ||||||||
CA Magnum Holdings, 5.38%, 10/31/26(b) | 201 | 179,525 | ||||||||
Camelot Finance SA, 4.50%, 11/01/26(b) | 136 | 128,117 | ||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29(b) | 143 | 126,087 | ||||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) | 63 | 57,797 | ||||||||
Fiserv, Inc., 2.25%, 06/01/27 | 1,385 | 1,243,759 | ||||||||
Gartner, Inc., 4.50%, 07/01/28(b) | 85 | 79,408 | ||||||||
KBR, Inc., 4.75%, 09/30/28(b) | 68 | 61,712 | ||||||||
McAfee Corp., 7.38%, 02/15/30(b) | 211 | 183,469 | ||||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(b) | 12 | 11,257 | ||||||||
Tempo Acquisition LLC/Tempo | ||||||||||
Acquisition Finance Corp., 5.75%, 06/01/25(b) | 123 | 122,867 | ||||||||
Twilio, Inc. | ||||||||||
3.63%, 03/15/29 | 52 | 44,239 | ||||||||
3.88%, 03/15/31 | 129 | 107,407 | ||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | 186 | 159,977 | ||||||||
2,697,425 | ||||||||||
Leisure Products — 0.0% | ||||||||||
Mattel, Inc. | ||||||||||
6.20%, 10/01/40 | 60 | 53,643 | ||||||||
5.45%, 11/01/41 | 119 | 98,655 | ||||||||
152,298 | ||||||||||
Machinery — 0.4% | ||||||||||
ATS Corp., 4.13%, 12/15/28(b) | 35 | 31,326 | ||||||||
Chart Industries, Inc.(b) | ||||||||||
7.50%, 01/01/30 | 206 | 210,173 | ||||||||
9.50%, 01/01/31 | 30 | 31,830 | ||||||||
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28 | 72 | 71,460 | ||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h) | 126 | 114,660 | ||||||||
Madison IAQ LLC, 5.88%, 06/30/29(b) | 1,139 | 922,486 | ||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29(b) | 24 | 21,295 | ||||||||
OT Merger Corp., 7.88%, 10/15/29(b) | 37 | 23,126 | ||||||||
Terex Corp., 5.00%, 05/15/29(b) | 102 | 94,827 | ||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b) | 171 | 155,183 | ||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b) | 200 | 181,417 | ||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27(c) | EUR | 100 | 97,393 | |||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) . | USD | 312 | 288,248 | |||||||
2,243,424 | ||||||||||
Marine Transportation — 0.0% | ||||||||||
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30 | 57 | 52,814 | ||||||||
Security | Par (000) | Value | ||||||||
Media — 1.6% | ||||||||||
Adelphia Communications Corp., 10.50%, 12/31/49(d)(e)(g) | USD | 400 | $ | — | ||||||
Altice Financing SA | ||||||||||
2.25%, 01/15/25(c) | EUR | 100 | 101,482 | |||||||
5.75%, 08/15/29(b) | USD | 436 | 337,752 | |||||||
Altice France Holding SA, 10.50%, 05/15/27(b) | 342 | 207,091 | ||||||||
AMC Networks, Inc., 4.25%, 02/15/29 | 39 | 20,965 | ||||||||
Cable One, Inc. | ||||||||||
0.00%, 03/15/26(j)(k) | 28 | 22,890 | ||||||||
1.13%, 03/15/28(j) | 66 | 49,665 | ||||||||
4.00%, 11/15/30(b) | 38 | 29,688 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(b) | ||||||||||
5.00%, 02/01/28 | 28 | 25,511 | ||||||||
6.38%, 09/01/29 | 385 | 362,731 | ||||||||
4.50%, 08/15/30 | 22 | 18,319 | ||||||||
7.38%, 03/01/31 | 790 | 769,801 | ||||||||
4.25%, 01/15/34 | 181 | 136,794 | ||||||||
Clear Channel International BV, 6.63%, 08/01/25(b) | 200 | 198,998 | ||||||||
Clear Channel Outdoor Holdings, Inc.(b) | ||||||||||
5.13%, 08/15/27 | 397 | 360,433 | ||||||||
7.75%, 04/15/28 | 168 | 131,880 | ||||||||
7.50%, 06/01/29 | 63 | 46,619 | ||||||||
CMG Media Corp., 8.88%, 12/15/27(b) | 79 | 55,367 | ||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | 338 | 328,305 | ||||||||
CSC Holdings LLC | ||||||||||
5.25%, 06/01/24 | 398 | 370,157 | ||||||||
5.50%, 04/15/27(b) | 200 | 166,398 | ||||||||
4.50%, 11/15/31(b) | 216 | 150,599 | ||||||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b) | 104 | 94,186 | ||||||||
DISH DBS Corp. | ||||||||||
7.75%, 07/01/26 | 85 | 52,102 | ||||||||
5.25%, 12/01/26(b) | 205 | 164,445 | ||||||||
DISH Network Corp., 11.75%, 11/15/27(b) | 201 | 196,158 | ||||||||
Frontier Communications Holdings LLC(b) | ||||||||||
5.00%, 05/01/28 | 21 | 18,119 | ||||||||
8.75%, 05/15/30 | 523 | 511,166 | ||||||||
GCI LLC, 4.75%, 10/15/28(b) | 35 | 29,841 | ||||||||
Iliad Holding SASU(b) | ||||||||||
6.50%, 10/15/26 | 220 | 207,641 | ||||||||
7.00%, 10/15/28 | 200 | 184,329 | ||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) | 180 | 168,705 | ||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(h) | 84 | 31,836 | ||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | 54 | 39,107 | ||||||||
Live Nation Entertainment, Inc.(b) | ||||||||||
4.88%, 11/01/24 | 9 | 8,860 | ||||||||
5.63%, 03/15/26 | 4 | 3,907 | ||||||||
6.50%, 05/15/27 | 380 | 382,023 | ||||||||
4.75%, 10/15/27 | 80 | 74,600 | ||||||||
3.75%, 01/15/28 | 35 | 31,237 | ||||||||
Odeon Finco PLC, 12.75%, 11/01/27(b) | 519 | 508,506 | ||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) 5.00%, 08/15/27 | 108 | 98,032 |
22 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) (continued) | ||||||||||
4.25%, 01/15/29 | USD | 71 | $ | 59,666 | ||||||
4.63%, 03/15/30 | 17 | 14,163 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b) | ||||||||||
4.50%, 09/15/26 | 728 | 580,409 | ||||||||
6.50%, 09/15/28 | 288 | 168,067 | ||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | 171 | 112,005 | ||||||||
Sirius XM Radio, Inc., 5.00%, 08/01/27(b) | 74 | 68,656 | ||||||||
Stagwell Global LLC, 5.63%, 08/15/29(b) | 32 | 27,383 | ||||||||
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(c)(h) | EUR | 118 | 108,191 | |||||||
TEGNA, Inc., 4.75%, 03/15/26(b) | USD | 11 | 10,503 | |||||||
Univision Communications, Inc.(b) | ||||||||||
6.63%, 06/01/27 | 78 | 75,391 | ||||||||
7.38%, 06/30/30 | 35 | 33,324 | ||||||||
7,954,003 | ||||||||||
Metals & Mining — 0.4% | ||||||||||
Arconic Corp.(b) | ||||||||||
6.00%, 05/15/25 | 13 | 13,103 | ||||||||
6.13%, 02/15/28 | 111 | 112,377 | ||||||||
ATI, Inc. | ||||||||||
5.88%, 12/01/27 | 48 | 46,453 | ||||||||
4.88%, 10/01/29 | 32 | 28,806 | ||||||||
5.13%, 10/01/31 | 88 | 78,400 | ||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | 285 | 281,527 | ||||||||
Carpenter Technology Corp. | ||||||||||
6.38%, 07/15/28 | 24 | 23,520 | ||||||||
7.63%, 03/15/30 | 72 | 72,814 | ||||||||
Constellium SE | ||||||||||
4.25%, 02/15/26(c) | EUR | 100 | 106,401 | |||||||
3.75%, 04/15/29(b) | USD | 250 | 212,689 | |||||||
ERO Copper Corp., 6.50%, 02/15/30(b) | 64 | 55,055 | ||||||||
Kaiser Aluminum Corp.(b) | ||||||||||
4.63%, 03/01/28 | 42 | 36,732 | ||||||||
4.50%, 06/01/31 | 144 | 114,794 | ||||||||
New Gold, Inc., 7.50%, 07/15/27(b) | 125 | 116,723 | ||||||||
Novelis Corp.(b) | ||||||||||
3.25%, 11/15/26 | 110 | 99,568 | ||||||||
4.75%, 01/30/30 | 366 | 325,267 | ||||||||
3.88%, 08/15/31 | 68 | 55,938 | ||||||||
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(c) | EUR | 100 | 95,542 | |||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | USD | 39 | 34,940 | |||||||
1,910,649 | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||
Starwood Property Trust, Inc., 5.50%, 11/01/23(b) | 9 | 8,922 | ||||||||
Multi-Utilities — 0.0% | ||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) | 69 | 70,078 | ||||||||
Offshore Drilling & Other Services(b) — 0.1% | ||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29 | 542 | 503,153 | ||||||||
Entegris, Inc., 4.38%, 04/15/28 | 74 | 66,968 | ||||||||
570,121 |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | USD | 132 | $ | 129,690 | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | ||||||||||
5.75%, 03/01/27 | 34 | 32,791 | ||||||||
5.75%, 01/15/28 | 15 | 14,299 | ||||||||
5.38%, 06/15/29 | 66 | 61,326 | ||||||||
Antero Resources Corp., 7.63%, 02/01/29(b) | 23 | 23,336 | ||||||||
Apache Corp. | ||||||||||
4.25%, 01/15/30 | 21 | 18,705 | ||||||||
5.10%, 09/01/40 | 28 | 22,750 | ||||||||
5.35%, 07/01/49 | 41 | 31,878 | ||||||||
Arcosa, Inc., 4.38%, 04/15/29(b) | 117 | 104,832 | ||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | ||||||||||
9.00%, 11/01/27 | 217 | 269,779 | ||||||||
8.25%, 12/31/28 | 220 | 216,349 | ||||||||
5.88%, 06/30/29 | 113 | 100,812 | ||||||||
Baytex Energy Corp., 8.50%, 04/30/30 | 35 | 34,180 | ||||||||
Buckeye Partners LP | ||||||||||
5.85%, 11/15/43 | 16 | 11,840 | ||||||||
5.60%, 10/15/44 | 1 | 720 | ||||||||
Callon Petroleum Co. | ||||||||||
8.25%, 07/15/25 | 6 | 5,955 | ||||||||
6.38%, 07/01/26 | 49 | 47,696 | ||||||||
8.00%, 08/01/28(b) | 163 | 161,192 | ||||||||
7.50%, 06/15/30(b) | 276 | 260,509 | ||||||||
Cellnex Finance Co. SA, 2.00%, 02/15/33(c) | EUR | 100 | 84,730 | |||||||
Cheniere Energy Partners LP | ||||||||||
4.50%, 10/01/29 | USD | 185 | 169,785 | |||||||
3.25%, 01/31/32 | 122 | 100,363 | ||||||||
Chesapeake Energy Corp., 6.75%, 04/15/29(b) | 132 | 130,975 | ||||||||
CITGO Petroleum Corp., 7.00%, 06/15/25(b) | 163 | 159,944 | ||||||||
Civitas Resources, Inc.(b) | ||||||||||
5.00%, 10/15/26 | 11 | 10,372 | ||||||||
8.38%, 07/01/28 | 195 | 197,203 | ||||||||
8.75%, 07/01/31 | 162 | 164,236 | ||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 32 | 27,142 | ||||||||
CNX Resources Corp., 7.38%, 01/15/31(b) | 32 | 31,134 | ||||||||
Comstock Resources, Inc., 6.75%, 03/01/29(b) | 319 | 291,868 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | 250 | 222,978 | ||||||||
Crescent Energy Finance LLC(b) | ||||||||||
7.25%, 05/01/26 | 180 | 168,932 | ||||||||
9.25%, 02/15/28 | 69 | 66,947 | ||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b) | ||||||||||
6.00%, 02/01/29 | 71 | 66,296 | ||||||||
8.00%, 04/01/29 | 28 | 28,348 | ||||||||
7.38%, 02/01/31 | 27 | 26,613 | ||||||||
CrownRock LP/CrownRock Finance, Inc.(b) | ||||||||||
5.63%, 10/15/25 | 171 | 168,469 | ||||||||
5.00%, 05/01/29 | 20 | 18,725 | ||||||||
DCP Midstream Operating LP(b) | ||||||||||
6.45%, 11/03/36 | 140 | 143,759 | ||||||||
6.75%, 09/15/37 | 6 | 6,368 | ||||||||
Diamondback Energy, Inc., 6.25%, 03/15/33 | 167 | 172,756 | ||||||||
DT Midstream, Inc.(b) 4.13%, 06/15/29 | 110 | 96,533 |
S C H E D U L E O F I N V E S T M E N T S | 23 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
DT Midstream, Inc.(b) (continued) | ||||||||||
4.38%, 06/15/31 | USD | 79 | $ | 68,039 | ||||||
Dycom Industries, Inc., 4.50%, 04/15/29(b) | 37 | 33,603 | ||||||||
Earthstone Energy Holdings LLC | ||||||||||
8.00%, 04/15/27(b) | 88 | 84,991 | ||||||||
9.88%, 07/15/31 | 85 | 84,018 | ||||||||
Energy Transfer LP, Series H, (5-year CMT + 5.69%), 6.50%(a)(i) | 144 | 130,798 | ||||||||
EnLink Midstream LLC | ||||||||||
5.63%, 01/15/28(b) | 103 | 99,671 | ||||||||
5.38%, 06/01/29 | 41 | 39,061 | ||||||||
6.50%, 09/01/30(b) | 76 | 75,907 | ||||||||
EnLink Midstream Partners LP | ||||||||||
4.85%, 07/15/26 | 39 | 37,635 | ||||||||
5.60%, 04/01/44 | 82 | 68,652 | ||||||||
5.45%, 06/01/47 | 18 | 14,796 | ||||||||
EQM Midstream Partners LP | ||||||||||
6.00%, 07/01/25(b) | 11 | 10,879 | ||||||||
4.13%, 12/01/26 | 17 | 15,811 | ||||||||
6.50%, 07/01/27(b) | 132 | 130,188 | ||||||||
7.50%, 06/01/30(b) | 67 | 67,800 | ||||||||
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | 26 | 25,535 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||
6.50%, 10/01/25 | 30 | 29,544 | ||||||||
7.75%, 02/01/28 | 15 | 14,267 | ||||||||
8.88%, 04/15/30 | 43 | 42,011 | ||||||||
Gulfport Energy Corp., 8.00%, 05/17/26(b) | 11 | 11,554 | ||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) | 20 | 19,829 | ||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | 77 | 67,183 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | ||||||||||
6.25%, 11/01/28 | 21 | 19,767 | ||||||||
5.75%, 02/01/29 | 66 | 59,762 | ||||||||
6.00%, 04/15/30 | 5 | 4,553 | ||||||||
ITT Holdings LLC, 6.50%, 08/01/29(b) | 109 | 91,830 | ||||||||
Kinetik Holdings LP, 5.88%, 06/15/30(b) | 155 | 147,326 | ||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) | 10 | 9,672 | ||||||||
MasTec, Inc., 4.50%, 08/15/28(b) | 56 | 51,667 | ||||||||
Matador Resources Co. | ||||||||||
5.88%, 09/15/26 | 54 | 52,328 | ||||||||
6.88%, 04/15/28 | 74 | 73,245 | ||||||||
Murphy Oil Corp. | ||||||||||
5.75%, 08/15/25 | 8 | 7,895 | ||||||||
5.88%, 12/01/27 | 20 | 19,430 | ||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 109 | 100,070 | ||||||||
Nabors Industries Ltd.(b) | ||||||||||
7.25%, 01/15/26 | 66 | 61,612 | ||||||||
7.50%, 01/15/28 | 90 | 78,755 | ||||||||
Nabors Industries, Inc. | ||||||||||
5.75%, 02/01/25 | 329 | 318,380 | ||||||||
7.38%, 05/15/27(b) | 116 | 110,377 | ||||||||
New Fortress Energy, Inc.(b) | ||||||||||
6.75%, 09/15/25 | 300 | 281,410 | ||||||||
6.50%, 09/30/26 | 321 | 287,198 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | 98 | 96,517 |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | USD | 84 | $ | 89,546 | ||||||
Northern Oil and Gas, Inc. | ||||||||||
8.13%, 03/01/28(b) | 228 | 223,440 | ||||||||
8.75%, 06/15/31 | 79 | 77,617 | ||||||||
NuStar Logistics LP | ||||||||||
6.00%, 06/01/26 | 123 | 119,815 | ||||||||
6.38%, 10/01/30 | 2 | 1,908 | ||||||||
Occidental Petroleum Corp. | ||||||||||
6.45%, 09/15/36 | 66 | 67,736 | ||||||||
6.20%, 03/15/40 | 72 | 70,962 | ||||||||
4.63%, 06/15/45 | 7 | 5,416 | ||||||||
PDC Energy, Inc. | ||||||||||
6.13%, 09/15/24 | 68 | 67,966 | ||||||||
5.75%, 05/15/26 | 6 | 5,976 | ||||||||
Permian Resources Operating LLC(b) | ||||||||||
5.38%, 01/15/26 | 32 | 30,423 | ||||||||
7.75%, 02/15/26 | 82 | 82,349 | ||||||||
6.88%, 04/01/27 | 37 | 36,445 | ||||||||
5.88%, 07/01/29 | 140 | 131,882 | ||||||||
Precision Drilling Corp., 6.88%, 01/15/29(b) | 4 | 3,614 | ||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | 103 | 95,013 | ||||||||
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | 14 | 12,810 | ||||||||
SM Energy Co. | ||||||||||
5.63%, 06/01/25 | 44 | 42,996 | ||||||||
6.75%, 09/15/26 | 36 | 35,090 | ||||||||
6.63%, 01/15/27 | 7 | 6,799 | ||||||||
6.50%, 07/15/28 | 62 | 59,520 | ||||||||
Southwestern Energy Co. | ||||||||||
5.38%, 02/01/29 | 85 | 80,041 | ||||||||
4.75%, 02/01/32 | 2 | 1,763 | ||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | ||||||||||
7.50%, 10/01/25 | 3 | 2,994 | ||||||||
6.00%, 03/01/27 | 14 | 13,138 | ||||||||
5.50%, 01/15/28 | 11 | 10,054 | ||||||||
6.00%, 12/31/30 | 10 | 8,810 | ||||||||
6.00%, 09/01/31 | 41 | 35,278 | ||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | 202 | 208,060 | ||||||||
Transocean Titan Financing Ltd., 8.38%, | ||||||||||
02/01/28(b) | 57 | 58,211 | ||||||||
Transocean, Inc.(b) | ||||||||||
7.50%, 01/15/26 | 212 | 201,400 | ||||||||
8.75%, 02/15/30 | 245 | 248,675 | ||||||||
Venture Global Calcasieu Pass LLC(b) | ||||||||||
3.88%, 08/15/29 | 292 | 255,088 | ||||||||
4.13%, 08/15/31 | 114 | 98,036 | ||||||||
3.88%, 11/01/33 | 233 | 190,800 | ||||||||
Venture Global LNG, Inc.(b) | ||||||||||
8.13%, 06/01/28 | 332 | 337,191 | ||||||||
8.38%, 06/01/31 | 506 | 510,133 | ||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | 51 | 47,006 | ||||||||
Western Midstream Operating LP | ||||||||||
6.15%, 04/01/33 | 20 | 20,158 | ||||||||
5.45%, 04/01/44 | 105 | 88,702 | ||||||||
5.30%, 03/01/48 | 39 | 32,554 |
24 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
Western Midstream Operating LP (continued) | ||||||||||
5.50%, 08/15/48 | USD | 17 | $ | 14,216 | ||||||
5.50%, 02/01/50 | 92 | 75,354 | ||||||||
10,951,666 | ||||||||||
Passenger Airlines — 0.6% | ||||||||||
Air Canada, 3.88%, 08/15/26(b) | 116 | 107,515 | ||||||||
Allegiant Travel Co.(b) | ||||||||||
8.50%, 02/05/24 | 1,065 | 1,062,338 | ||||||||
7.25%, 08/15/27 | 37 | 36,863 | ||||||||
American Airlines, Inc.(b) | ||||||||||
11.75%, 07/15/25 | 400 | 438,611 | ||||||||
7.25%, 02/15/28 | 8 | 7,952 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||||||||
5.50%, 04/20/26 | 190 | 188,237 | ||||||||
5.75%, 04/20/29 | 108 | 105,164 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | 73 | 70,746 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) | 90 | 85,188 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | 219 | 219,002 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) | 70 | 70,877 | ||||||||
United Airlines Pass-Through Trust | ||||||||||
Series 2020-1, Class A, 5.88%, 04/15/29 | 161 | 159,603 | ||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 | 14 | 13,076 | ||||||||
United Airlines, Inc.(b) | ||||||||||
4.38%, 04/15/26 | 57 | 54,156 | ||||||||
4.63%, 04/15/29 | 203 | 184,967 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.(b) | ||||||||||
7.88%, 05/01/27 | 33 | 29,649 | ||||||||
6.38%, 02/01/30 | 52 | 41,872 | ||||||||
2,875,816 | ||||||||||
Personal Care Products — 0.0% | ||||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 01/15/29(b) | 5 | 4,610 | ||||||||
Pharmaceuticals — 0.2% | ||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(c) | EUR | 100 | 99,785 | |||||||
Gruenenthal GmbH, 4.13%, 05/15/28(c) | 100 | 100,970 | ||||||||
Option Care Health, Inc., 4.38%, 10/31/29(b) | USD | 79 | 69,532 | |||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 04/30/28(b) | 200 | 177,506 | ||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) | 200 | 181,087 | ||||||||
Prestige Brands, Inc., 3.75%, 04/01/31(b) | 56 | 46,362 | ||||||||
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 | EUR | 100 | 98,402 | |||||||
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | USD | 203 | 180,797 | |||||||
954,441 |
Security | Par (000) | Value | ||||||||
Real Estate — 0.0% | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b) | USD | 30 | $ | 27,564 | ||||||
Real Estate Management & Development — 0.2% | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(b) | 101 | 91,405 | ||||||||
Howard Hughes Corp.(b) | ||||||||||
5.38%, 08/01/28 | 46 | 40,944 | ||||||||
4.38%, 02/01/31 | 53 | 42,296 | ||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp.(b) | ||||||||||
5.75%, 01/15/29 | 531 | 397,301 | ||||||||
5.25%, 04/15/30 | 43 | 30,559 | ||||||||
Starwood Property Trust, Inc., 4.38%, 01/15/27(b) | 21 | 18,086 | ||||||||
VICI Properties LP, 5.13%, 05/15/32 | 182 | 170,287 | ||||||||
790,878 | ||||||||||
Semiconductors & Semiconductor Equipment(b) — 0.1% | ||||||||||
Sensata Technologies BV, 4.00%, 04/15/29 | 36 | 32,050 | ||||||||
Sensata Technologies, Inc. | ||||||||||
4.38%, 02/15/30 | 169 | 151,128 | ||||||||
3.75%, 02/15/31 | 30 | 25,665 | ||||||||
Synaptics, Inc., 4.00%, 06/15/29 | 84 | 70,423 | ||||||||
279,266 | ||||||||||
Software — 0.7% | ||||||||||
Alteryx, Inc., 8.75%, 03/15/28(b) | 61 | 59,919 | ||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) | 122 | 109,190 | ||||||||
Boxer Parent Co., Inc.(b) | ||||||||||
7.13%, 10/02/25 | 148 | 148,131 | ||||||||
9.13%, 03/01/26 | 149 | 148,255 | ||||||||
Capstone Borrower, Inc., 8.00%, 06/15/30 | 78 | 77,026 | ||||||||
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b) | 173 | 171,061 | ||||||||
Cloud Software Group, Inc. | ||||||||||
6.50%, 03/31/29(b) | 834 | 742,578 | ||||||||
9.00%, 09/30/29 | 928 | 810,547 | ||||||||
Consensus Cloud Solutions, Inc.(b) | ||||||||||
6.00%, 10/15/26 | 23 | 20,873 | ||||||||
6.50%, 10/15/28 | 20 | 17,100 | ||||||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | 16 | 13,797 | ||||||||
Elastic NV, 4.13%, 07/15/29(b) | 120 | 103,521 | ||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | 39 | 33,666 | ||||||||
MicroStrategy, Inc., 6.13%, 06/15/28(b) | 144 | 129,110 | ||||||||
MSCI, Inc.(b) | ||||||||||
3.63%, 09/01/30 | 7 | 6,037 | ||||||||
3.88%, 02/15/31 | 11 | 9,532 | ||||||||
3.25%, 08/15/33 | 34 | 27,382 | ||||||||
Open Text Corp., 6.90%, 12/01/27(b) | 214 | 217,858 | ||||||||
PTC, Inc., 4.00%, 02/15/28(b) | 32 | 29,459 | ||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b) | 245 | 234,545 | ||||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | 188 | 152,546 | ||||||||
3,262,133 | ||||||||||
Specialized REITs — 0.1% | ||||||||||
Iron Mountain, Inc., 7.00%, 02/15/29 | 136 | 136,229 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | 120 | 119,047 | ||||||||
255,276 |
S C H E D U L E O F I N V E S T M E N T S | 25 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Specialty Retail(b) — 0.1% | ||||||||||
Arko Corp., 5.13%, 11/15/29 | USD | 58 | $ | 47,135 | ||||||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 | 253 | 251,375 | ||||||||
Staples, Inc., 7.50%, 04/15/26 | 54 | 44,599 | ||||||||
343,109 | ||||||||||
Technology Hardware, Storage & Peripherals(b) — 0.1% | ||||||||||
Coherent Corp., 5.00%, 12/15/29 | 126 | 113,729 | ||||||||
Seagate HDD Cayman | ||||||||||
8.25%, 12/15/29 | 92 | 96,091 | ||||||||
8.50%, 07/15/31 | 115 | 120,599 | ||||||||
330,419 | ||||||||||
Textiles, Apparel & Luxury Goods(b) — 0.0% | ||||||||||
Crocs, Inc. | ||||||||||
4.25%, 03/15/29 | 57 | 48,461 | ||||||||
4.13%, 08/15/31 | 13 | 10,498 | ||||||||
Hanesbrands, Inc. | ||||||||||
4.88%, 05/15/26 | 24 | 22,405 | ||||||||
9.00%, 02/15/31 | 71 | 71,558 | ||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 | 32 | 26,721 | ||||||||
Levi Strauss & Co., 3.50%, 03/01/31 | 82 | 67,855 | ||||||||
247,498 | ||||||||||
Transportation Infrastructure — 0.0% | ||||||||||
Azzurra Aeroporti SpA, 2.63%, 05/30/27(c) | EUR | 100 | 97,778 | |||||||
XPO Escrow Sub LLC, 7.50%, 11/15/27(b) | USD | 27 | 27,589 | |||||||
125,367 | ||||||||||
Wireless Telecommunication Services — 0.3% | ||||||||||
Altice France SA/France, 8.13%, 02/01/27(b) | 334 | 289,218 | ||||||||
SBA Communications Corp. | ||||||||||
3.13%, 02/01/29 | 283 | 239,887 | ||||||||
3.88%, 02/15/27 | 7 | 6,449 | ||||||||
T-Mobile U.S., Inc. | ||||||||||
3.38%, 04/15/29 | 67 | 60,504 | ||||||||
3.50%, 04/15/31 | 26 | 22,942 | ||||||||
VICI Properties LP/VICI Note Co., Inc.(b) | ||||||||||
5.63%, 05/01/24 | 18 | 17,889 | ||||||||
3.50%, 02/15/25 | 34 | 32,487 | ||||||||
4.63%, 06/15/25 | 147 | 142,038 | ||||||||
4.25%, 12/01/26 | 34 | 31,806 | ||||||||
4.63%, 12/01/29 | 133 | 120,747 | ||||||||
4.13%, 08/15/30 | 124 | 109,173 | ||||||||
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31(b) | 200 | 166,300 | ||||||||
Vodafone Group PLC, (5-year EUR Swap + 3.49%), 6.50%, 08/30/84(a)(c) | EUR | 100 | 109,634 | |||||||
1,349,074 | ||||||||||
Total Corporate Bonds — 17.8% (Cost: $103,281,315) | 88,936,920 | |||||||||
Floating Rate Loan Interests(a) | ||||||||||
Aerospace & Defense — 3.6% | ||||||||||
Atlas CC Acquisition Corp. | ||||||||||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | USD | 2,538 | 2,196,995 |
Security | Par (000) | Value | ||||||||
Aerospace & Defense (continued) | ||||||||||
Atlas CC Acquisition Corp. (continued) | ||||||||||
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | USD | 516 | $ | 446,873 | ||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 | 804 | 802,339 | ||||||||
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 | 324 | 317,190 | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||||
2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 | 1,165 | 1,154,299 | ||||||||
2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 | 2,168 | 2,147,258 | ||||||||
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26 | 758 | 644,589 | ||||||||
Peraton Corp. | ||||||||||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 | 1,474 | 1,426,227 | ||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 | 5,022 | 4,924,131 | ||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 | 1,175 | 1,173,743 | ||||||||
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 | 2,790 | 2,787,654 | ||||||||
18,021,298 | ||||||||||
Automobile Components — 0.5% | ||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 | 461 | 460,741 | ||||||||
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 | 2,046 | 2,038,962 | ||||||||
2,499,703 | ||||||||||
Automobiles — 0.5% | ||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 | 2,646 | 2,633,256 | ||||||||
Beverages — 0.9% | ||||||||||
Naked Juice LLC | ||||||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 | 1,565 | 1,232,246 | ||||||||
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 | 3,507 | 3,255,601 | ||||||||
4,487,847 | ||||||||||
Broadline Retail — 1.6% | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 | 1,367 | 1,362,786 | ||||||||
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(h) | 2,502 | 2,164,135 |
26 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Broadline Retail (continued) | ||||||||||
PUG LLC | ||||||||||
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(e) | USD | 321 | $ | 289,150 | ||||||
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 3,363 | 2,980,860 | ||||||||
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(e). | 575 | 573,842 | ||||||||
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(e) | 480 | 469,153 | ||||||||
7,839,926 | ||||||||||
Building Products — 1.6% | ||||||||||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 | 227 | 226,585 | ||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 | 311 | 297,432 | ||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 | 1,268 | 1,190,397 | ||||||||
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 | 702 | 697,894 | ||||||||
IPS Corp. | ||||||||||
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(e) | 919 | 716,820 | ||||||||
2021 Delayed Draw Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.00%, 10/02/28 | 91 | 2,740 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 | 524 | 482,462 | ||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.47%, 07/28/28 | 716 | 711,085 | ||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28 | EUR | 853 | 792,775 | |||||||
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 | USD | 3,007 | 2,959,047 | |||||||
8,077,237 | ||||||||||
Capital Markets — 2.9% | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 | 909 | 909,338 | ||||||||
Ascensus Holdings, Inc. | ||||||||||
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 | 2,373 | 2,111,614 | ||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 | 2,467 | 2,422,167 | ||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 | 985 | 986,462 | ||||||||
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 | 840 | 815,275 | ||||||||
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 | 1,354 | 1,345,947 |
Security | Par (000) | Value | ||||||||
Capital Markets (continued) | ||||||||||
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 | USD | 650 | $ | 645,947 | ||||||
Focus Financial Partners LLC | ||||||||||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 | 1,286 | 1,269,527 | ||||||||
2023 Term Loan B6, 06/30/28(l) | 714 | 708,823 | ||||||||
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 | 517 | 516,166 | ||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 | 592 | 579,448 | ||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 | 2,299 | 2,218,859 | ||||||||
�� | 14,529,573 | |||||||||
Chemicals — 4.9% | ||||||||||
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.20%, 09/30/29 | 815 | 696,825 | ||||||||
Aruba Investments Holdings LLC | ||||||||||
2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28 | 1,275 | 1,122,000 | ||||||||
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 | 675 | 649,800 | ||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. LIBOR US + 4.75%), 9.99%, 08/27/26 | 2,885 | 2,821,953 | ||||||||
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 | 569 | 429,634 | ||||||||
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 | 863 | 823,873 | ||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 | 1,737 | 1,735,269 | ||||||||
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 | 264 | 265,046 | ||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 | 1,220 | 1,208,112 | ||||||||
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 | 615 | 610,935 | ||||||||
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 | 939 | 791,529 | ||||||||
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 | 1,644 | 1,619,022 | ||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 | 2,397 | 2,394,025 | ||||||||
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 | 1,846 | 1,797,130 | ||||||||
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 | 664 | 656,736 | ||||||||
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(l) | 612 | 590,451 |
S C H E D U L E O F I N V E S T M E N T S | 27 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Chemicals (continued) | ||||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 | USD | 1,507 | $ | 1,477,659 | ||||||
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 | 1,515 | 1,506,792 | ||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 | 925 | 910,322 | ||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 | 1,429 | 1,416,462 | ||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 | 322 | 326,077 | ||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 | 836 | 829,143 | ||||||||
24,678,795 | ||||||||||
Commercial Services & Supplies — 3.5% | ||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 | 2,292 | 2,224,926 | ||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(e) | 682 | 665,057 | ||||||||
Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(e)(l) | 595 | 594,244 | ||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 | 1,726 | 1,720,802 | ||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 | 609 | 607,817 | ||||||||
Covanta Holding Corp. | ||||||||||
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 75 | 74,120 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 987 | 977,136 | ||||||||
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 | 410 | 402,435 | ||||||||
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 | 646 | 645,719 | ||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 | 1,398 | 1,382,144 | ||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 | 684 | 557,946 | ||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 | 1,472 | 1,470,364 | ||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 | 4,188 | 4,187,876 |
Security | Par (000) | Value | ||||||||
Commercial Services & Supplies (continued) | ||||||||||
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 | USD | 1,453 | $ | 1,333,928 | ||||||
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 | 684 | 663,305 | ||||||||
17,507,819 | ||||||||||
Communications Equipment — 0.2% | ||||||||||
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 | 189 | 188,527 | ||||||||
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 | 861 | 831,314 | ||||||||
1,019,841 | ||||||||||
Construction & Engineering — 0.7% | ||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 | 883 | 872,918 | ||||||||
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 | 925 | 920,070 | ||||||||
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 | 1,538 | 1,453,133 | ||||||||
3,246,121 | ||||||||||
Construction Materials — 0.8% | ||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 | 1,051 | 1,046,175 | ||||||||
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 | 731 | 614,110 | ||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 | 954 | 930,740 | ||||||||
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 | 1,404 | 1,401,735 | ||||||||
3,992,760 | ||||||||||
Consumer Staples Distribution & Retail — 0.3% | ||||||||||
U.S. Foods, Inc. | ||||||||||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 | 597 | 595,917 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 | 779 | 777,863 | ||||||||
1,373,780 | ||||||||||
Containers & Packaging — 1.5% | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 | 2,962 | 2,936,159 | ||||||||
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 | 1,144 | 1,139,390 | ||||||||
Pregis TopCo Corp. | ||||||||||
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 | 537 | 533,404 | ||||||||
2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26 | 614 | 606,540 |
28 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Containers & Packaging (continued) | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 | USD | 1,275 | $ | 1,273,725 | ||||||
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 | 1,005 | 987,576 | ||||||||
7,476,794 | ||||||||||
Distributors — 0.2% | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 | 867 | 801,376 | ||||||||
Diversified Consumer Services — 2.7% | ||||||||||
2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26 | 839 | 804,202 | ||||||||
Ascend Learning LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 | 681 | 576,010 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 | 1,679 | 1,575,250 | ||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 | 808 | 804,001 | ||||||||
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 | 1,271 | 1,256,701 | ||||||||
Sotheby’s | ||||||||||
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 | 1,650 | 1,605,972 | ||||||||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27 | 360 | 350,100 | ||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 | 911 | 902,857 | ||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 | 2,670 | 2,171,146 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 | 2,267 | 2,245,029 | ||||||||
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 | 1,043 | 1,022,384 | ||||||||
13,313,652 | ||||||||||
Diversified REITs — 0.2% | ||||||||||
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 | 750 | 749,025 | ||||||||
Diversified Telecommunication Services — 5.2% | ||||||||||
Altice Financing SA | ||||||||||
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(e) | 643 | 629,793 | ||||||||
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 | 1,714 | 1,681,488 | ||||||||
Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27 | 198 | 190,060 |
Security | Par (000) | Value | ||||||||
Diversified Telecommunication Services (continued) | ||||||||||
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 | USD | 7,168 | $ | 7,148,178 | ||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 | 712 | 627,324 | ||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 | 1,575 | 1,574,300 | ||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 | 1,544 | 1,435,060 | ||||||||
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 | 1,616 | 1,240,197 | ||||||||
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 | 759 | 607,547 | ||||||||
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 | 2,388 | 1,985,821 | ||||||||
Virgin Media Bristol LLC | ||||||||||
2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 | 1,212 | 1,205,504 | ||||||||
USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28 | 2,578 | 2,553,096 | ||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.68%, 01/15/27 | GBP | 1,400 | 1,695,998 | |||||||
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 | USD | 4,386 | 3,432,557 | |||||||
26,006,923 | ||||||||||
Electric Utilities — 0.1% | ||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 | 651 | 650,457 | ||||||||
Electrical Equipment — 0.3% | ||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(e) | 1,330 | 1,293,722 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 | 1,392 | 1,387,173 | ||||||||
Energy Equipment & Services — 0.6% | ||||||||||
Lealand Finance Co. BV | ||||||||||
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 | 46 | 34,517 | ||||||||
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(h) | 347 | 194,298 | ||||||||
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 | 2,674 | 2,665,294 | ||||||||
2,894,109 | ||||||||||
Entertainment — 4.0% | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 | 1,306 | 1,016,890 | ||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 | 87 | 87,719 |
S C H E D U L E O F I N V E S T M E N T S | 29 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Entertainment (continued) | ||||||||||
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 | USD | 813 | $ | 805,345 | ||||||
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 | 1,465 | 1,435,985 | ||||||||
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 | 1,411 | 1,406,875 | ||||||||
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 | 1,104 | 1,103,448 | ||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 | 3,449 | 3,194,151 | ||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 | 2,239 | 2,231,274 | ||||||||
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 | 1,497 | 1,490,182 | ||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 | 1,691 | 1,685,018 | ||||||||
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 | 765 | 763,207 | ||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 | 2,567 | 2,557,578 | ||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 | 2,416 | 2,407,419 | ||||||||
20,185,091 | ||||||||||
Financial Services — 4.4% | ||||||||||
ABG Intermediate Holdings 2 LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.20%, 12/20/29 | 181 | 167,425 | ||||||||
2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 | 718 | 714,057 | ||||||||
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 | 1,726 | 1,530,452 | ||||||||
Belron Finance U.S. LLC | ||||||||||
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 | 1,957 | 1,955,973 | ||||||||
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 | 1,122 | 1,120,421 | ||||||||
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 | 1,702 | 1,698,722 | ||||||||
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 | 426 | 425,736 | ||||||||
Deerfield Dakota Holding LLC | ||||||||||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 | 5,607 | 5,430,808 |
Security | Par (000) | Value | ||||||||
Financial Services (continued) | ||||||||||
Deerfield Dakota Holding LLC (continued) | ||||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 | USD | 1,594 | $ | 1,476,442 | ||||||
FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25 | — | (m) | 184 | |||||||
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 | 435 | 416,594 | ||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 | 1,503 | 1,496,285 | ||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 | 2,247 | 2,209,093 | ||||||||
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(e)(l) | 1,288 | 783,426 | ||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 | 672 | 656,775 | ||||||||
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 | 854 | 852,866 | ||||||||
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 | 1,083 | 1,072,261 | ||||||||
22,007,520 | ||||||||||
Food Products — 3.0% | ||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 | 1,172 | 1,073,343 | ||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25 | 1,328 | 1,230,426 | ||||||||
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 | 2,900 | 2,880,557 | ||||||||
Froneri International Ltd., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 | 3,238 | 3,216,540 | ||||||||
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 | 453 | 396,860 | ||||||||
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 | 918 | 914,896 | ||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 | 911 | 910,150 | ||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 | 1,660 | 1,639,084 | ||||||||
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 | 2,055 | 1,983,016 | ||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 | 600 | 598,328 | ||||||||
14,843,200 |
30 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Ground Transportation — 0.7% | ||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 | USD | 507 | $ | 489,987 | ||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 | 566 | 558,099 | ||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.80%, 08/04/25 | 1,318 | 1,178,349 | ||||||||
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 | 1,452 | 1,454,188 | ||||||||
3,680,623 | ||||||||||
Health Care Equipment & Supplies — 1.4% | ||||||||||
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28 | 2,139 | 2,088,609 | ||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 | 624 | 571,833 | ||||||||
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 | 671 | 670,461 | ||||||||
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 | 3,734 | 3,688,004 | ||||||||
7,018,907 | ||||||||||
Health Care Providers & Services — 2.3% | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 | 894 | 888,934 | ||||||||
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 | 1,604 | 1,596,394 | ||||||||
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 | 1,909 | 1,898,917 | ||||||||
Envision Healthcare Corp. | ||||||||||
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 | — | (m) | 495 | |||||||
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 | 1,390 | 293,818 | ||||||||
EyeCare Partners LLC | ||||||||||
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 | 1,925 | 1,410,533 | ||||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 | 508 | 337,082 | ||||||||
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 | 465 | 332,218 | ||||||||
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28 | 1,391 | 1,335,312 | ||||||||
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 | 1,182 | 1,093,502 | ||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 | 536 | 473,690 |
Security | Par (000) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 | USD | 605 | $ | 603,485 | ||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 | 46 | 44,768 | ||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 | 550 | 515,281 | ||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 | 509 | 508,338 | ||||||||
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 | 291 | 290,618 | ||||||||
11,623,385 | ||||||||||
Health Care Technology — 2.4% | ||||||||||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 | 2,605 | 2,504,226 | ||||||||
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 | 4,092 | 3,757,905 | ||||||||
Verscend Holding Corp. | ||||||||||
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(e) | 2,740 | 2,740,000 | ||||||||
2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 | 3,214 | 3,209,047 | ||||||||
12,211,178 | ||||||||||
Hotels, Restaurants & Leisure — 5.2% | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26 | 1,194 | 1,154,076 | ||||||||
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(e) | 140 | 139,650 | ||||||||
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 | 785 | 765,835 | ||||||||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 | 2,694 | 2,672,804 | ||||||||
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 | 1,128 | 1,127,146 | ||||||||
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 | 1,550 | 1,546,958 | ||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 | 1,309 | 1,295,646 | ||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 | 3,245 | 3,198,997 | ||||||||
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 | 1,008 | 1,009,066 | ||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 | 2,367 | 2,369,936 |
S C H E D U L E O F I N V E S T M E N T S | 31 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 | USD | 2,127 | $ | 2,104,798 | ||||||
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 | 818 | 564,048 | ||||||||
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 | 1,275 | 1,269,548 | ||||||||
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 | 409 | 407,452 | ||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 | 704 | 702,018 | ||||||||
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 | 587 | 584,629 | ||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 | 1,040 | 1,038,738 | ||||||||
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 | 1,948 | 1,940,129 | ||||||||
Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28 | 1,976 | 1,961,703 | ||||||||
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 | 172 | 172,496 | ||||||||
26,025,673 | ||||||||||
Household Durables — 1.2% | ||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 | 1,419 | 1,189,349 | ||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 | 2,077 | 1,965,065 | ||||||||
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(l) | 412 | 411,775 | ||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 | 720 | 580,589 | ||||||||
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 | 2,072 | 1,814,488 | ||||||||
5,961,266 | ||||||||||
Household Products — 0.4% | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 | 1,512 | 1,509,329 | ||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26 | 353 | 346,979 | ||||||||
1,856,308 |
Security | Par (000) | Value | ||||||||
Independent Power and Renewable Electricity Producers — 0.8% | ||||||||||
Calpine Corp. | ||||||||||
2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 | USD | 1,035 | $ | 1,032,981 | ||||||
Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26 | 1,874 | 1,871,071 | ||||||||
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 | 1,046 | 1,038,833 | ||||||||
3,942,885 | ||||||||||
Industrial Conglomerates — 0.1% | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 | 951 | 703,784 | ||||||||
Insurance — 4.1% | ||||||||||
Alliant Holdings Intermediate LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 | 3,266 | 3,243,782 | ||||||||
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 | 3,526 | 3,500,870 | ||||||||
AmWINS Group, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 | 2,327 | 2,303,917 | ||||||||
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 | 447 | 445,173 | ||||||||
AssuredPartners, Inc. | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 1,275 | 1,262,892 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 | 760 | 751,675 | ||||||||
HUB International Ltd. | ||||||||||
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 | 396 | 395,400 | ||||||||
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 | 4,422 | 4,431,890 | ||||||||
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 | 1,165 | 1,162,419 | ||||||||
USI, Inc. | ||||||||||
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 | 244 | 243,811 | ||||||||
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 | 2,917 | 2,909,482 | ||||||||
20,651,311 | ||||||||||
Interactive Media & Services — 1.3% | ||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 | 380 | 374,869 | ||||||||
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 | 1,143 | 1,143,051 | ||||||||
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 | 1,769 | 1,765,675 |
32 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Interactive Media & Services (continued) | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 | USD | 1,921 | $ | 1,916,654 | ||||||
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 | 618 | 616,718 | ||||||||
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 | 895 | 892,895 | ||||||||
6,709,862 | ||||||||||
IT Services — 2.9% | ||||||||||
Asurion LLC | ||||||||||
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 | 251 | 241,344 | ||||||||
2021 2nd Lien Term Loan B3, (1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28 | 985 | 835,734 | ||||||||
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 | 1,402 | 1,172,423 | ||||||||
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 | 1,095 | 1,039,526 | ||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 | 1,886 | 1,881,681 | ||||||||
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 | 2,807 | 2,761,786 | ||||||||
Go Daddy Operating Co. LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 | 1,678 | 1,674,861 | ||||||||
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 | 1,269 | 1,270,338 | ||||||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 | 3,326 | 3,302,946 | ||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 | 566 | 541,678 | ||||||||
14,722,317 | ||||||||||
Leisure Products — 0.4% | ||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(e) | 849 | 808,570 | ||||||||
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 | 296 | 294,530 | ||||||||
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 | 1,039 | 1,037,659 | ||||||||
2,140,759 | ||||||||||
Life Sciences Tools & Services — 2.3% | ||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 | 1,342 | 1,340,202 | ||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 | 1,842 | 1,799,002 | ||||||||
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 | 119 | 102,180 |
Security | Par (000) | Value | ||||||||
Life Sciences Tools & Services (continued) | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 | USD | 1,701 | $ | 1,632,577 | ||||||
Fortrea Holdings, Inc., Term Loan B, 06/12/30(l) | 381 | 380,810 | ||||||||
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 2,010 | 2,008,871 | ||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 | 1,287 | 1,285,669 | ||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 | 2,668 | 2,644,350 | ||||||||
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 501 | 500,513 | ||||||||
11,694,174 | ||||||||||
Machinery — 5.0% | ||||||||||
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(e) | 1,724 | 1,710,899 | ||||||||
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 | 262 | 261,525 | ||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 | 330 | 328,420 | ||||||||
Filtration Group Corp. | ||||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 | 1,021 | 1,016,081 | ||||||||
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 | 2,088 | 2,085,714 | ||||||||
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 | 2,124 | 2,111,330 | ||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 | 2,464 | 2,459,105 | ||||||||
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 | 3,245 | 3,174,454 | ||||||||
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 | 1,948 | 1,938,377 | ||||||||
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 | 1,728 | 1,704,523 | ||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 | 4,184 | 4,077,137 | ||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 | 1,989 | 1,969,250 | ||||||||
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 | 2,126 | 2,116,233 | ||||||||
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 | 110 | 110,044 | ||||||||
25,063,092 | ||||||||||
Media — 4.0% | ||||||||||
AVSC Holding Corp.(l) | ||||||||||
2020 Term Loan B1, 03/03/25 | 865 | 842,354 |
S C H E D U L E O F I N V E S T M E N T S | 33 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
AVSC Holding Corp.(l) (continued) | ||||||||||
2020 Term Loan B3, 10/15/26 | USD | 812 | $ | 843,774 | ||||||
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 | 428 | 419,267 | ||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 | 2,554 | 2,550,974 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26 | 3,087 | 2,941,846 | ||||||||
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26 | — | (m) | 183 | |||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 | 1,377 | 1,364,825 | ||||||||
CSC Holdings LLC | ||||||||||
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 | 872 | 838,782 | ||||||||
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 | 1,826 | 1,590,918 | ||||||||
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 | 1,954 | 1,907,678 | ||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 | 467 | 453,188 | ||||||||
ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28 | 804 | 805,609 | ||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 | 745 | 576,508 | ||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26 | 912 | 910,188 | ||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(e) | 1,565 | 1,177,806 | ||||||||
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(e) | 876 | 871,769 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 | 1,876 | 1,845,177 | ||||||||
19,940,846 | ||||||||||
Oil, Gas & Consumable Fuels — 1.1% | ||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 | 3,251 | 3,180,134 | ||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 | 228 | 226,136 |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 | USD | 1,664 | $ | 1,648,494 | ||||||
Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28 | 563 | 562,756 | ||||||||
5,617,520 | ||||||||||
Passenger Airlines — 2.3% | ||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 | 1,434 | 1,462,417 | ||||||||
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 | 1,784 | 1,781,824 | ||||||||
American Airlines, Inc. | ||||||||||
2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27 | 146 | 141,891 | ||||||||
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 | 2,190 | 2,147,711 | ||||||||
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 | 741 | 717,914 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 | 2,335 | 2,423,305 | ||||||||
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 | 2,583 | 2,577,983 | ||||||||
11,253,045 | ||||||||||
Personal Care Products — 1.1% | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 | 5,278 | 5,242,694 | ||||||||
Pharmaceuticals — 1.6% | ||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 | 1,059 | 1,018,561 | ||||||||
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 | 774 | 751,268 | ||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 | 954 | 717,457 | ||||||||
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 | 1,273 | 1,248,406 | ||||||||
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 | 1,904 | 1,900,990 | ||||||||
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 | 1,238 | 1,236,266 | ||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(e) | 1,086 | 1,039,496 | ||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28 | 133 | 133,022 | ||||||||
8,045,466 |
34 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Professional Services — 3.8% | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 | USD | 1,516 | $ | 1,511,521 | ||||||
CoreLogic, Inc. | ||||||||||
2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29 | 1,248 | 1,001,520 | ||||||||
Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 | 3,061 | 2,759,091 | ||||||||
Dun & Bradstreet Corp. | ||||||||||
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 | 617 | 614,873 | ||||||||
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 | 2,010 | 2,010,740 | �� | |||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 527 | 514,599 | ||||||||
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 1,141 | 1,114,966 | ||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 | 1,931 | 1,913,887 | ||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(e) | 1,736 | 1,627,390 | ||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 | 829 | 827,320 | ||||||||
Trans Union LLC | ||||||||||
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 | 1,626 | 1,620,564 | ||||||||
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 | 1,963 | 1,956,835 | ||||||||
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 | 1,451 | 1,421,822 | ||||||||
18,895,128 | ||||||||||
Real Estate Management & Development — 0.4% | ||||||||||
Cushman & Wakefield U.S. Borrower LLC | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 | 641 | 635,117 | ||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(e) | 1,617 | 1,564,138 | ||||||||
2,199,255 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 | 988 | 987,537 | ||||||||
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 | 545 | 537,381 | ||||||||
1,524,918 | ||||||||||
Software — 11.4% | ||||||||||
Applied Systems, Inc. | ||||||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27 | 630 | 629,609 |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
Applied Systems, Inc. (continued) | ||||||||||
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 | USD | 680 | $ | 680,718 | ||||||
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 | 658 | 633,525 | ||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 | 1,757 | 1,740,666 | ||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 | 1,470 | 1,464,109 | ||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 | 1,218 | 1,213,666 | ||||||||
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 | 3,878 | 3,621,344 | ||||||||
Cloudera, Inc. | ||||||||||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(e) | 676 | 608,400 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 | 739 | 719,517 | ||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 | 1,045 | 972,299 | ||||||||
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 | 330 | 300,026 | ||||||||
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 | 249 | 247,119 | ||||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 | 2,777 | 2,766,713 | ||||||||
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 | 2,660 | 2,650,616 | ||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 | 636 | 635,556 | ||||||||
Magenta Buyer LLC | ||||||||||
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 | 2,084 | 1,561,915 | ||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 | 1,907 | 1,229,952 | ||||||||
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 | 3,019 | 2,882,354 | ||||||||
MH Sub I LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 | 1,724 | 1,494,737 | ||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 | 6,856 | 6,568,165 | ||||||||
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 | 1,469 | 1,461,218 |
S C H E D U L E O F I N V E S T M E N T S | 35 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28 | USD | 824 | $ | 725,120 | ||||||
Proofpoint, Inc. | ||||||||||
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 | 2,456 | 2,401,177 | ||||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29 | 1,281 | 1,239,367 | ||||||||
RealPage, Inc. | ||||||||||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 | 5,401 | 5,278,407 | ||||||||
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 | 2,629 | 2,539,249 | ||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 | 1,123 | 1,121,737 | ||||||||
Sophia LP | ||||||||||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28 | 2,509 | 2,496,455 | ||||||||
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 | 1,953 | 1,930,324 | ||||||||
SS&C Technologies, Inc. | ||||||||||
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 | 346 | 345,142 | ||||||||
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 | 308 | 308,048 | ||||||||
2018 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 | 1,630 | 1,628,087 | ||||||||
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 | 1,216 | 1,176,252 | ||||||||
Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 | 1,473 | 1,451,524 | ||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 | 287 | 282,752 | ||||||||
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 | 191 | 190,683 | ||||||||
57,196,548 | ||||||||||
Specialty Retail — 1.9% | ||||||||||
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 | 1,220 | 1,197,376 | ||||||||
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 | 499 | 495,040 | ||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 | 2,630 | 2,604,017 | ||||||||
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 | 3,238 | 3,227,643 |
Security | Par (000) | Value | ||||||||
Specialty Retail (continued) | ||||||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 | USD | 965 | $ | 962,714 | ||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 | 747 | 720,261 | ||||||||
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 | 205 | 190,383 | ||||||||
9,397,434 | ||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 | 683 | 461,255 | ||||||||
Vericast Corp., 2022 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.75%), 13.25%, 06/16/26 | — | (m) | 1 | |||||||
461,256 | ||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||||
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 | 831 | 832,011 | ||||||||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(e) | 470 | 470,997 | ||||||||
1,303,008 | ||||||||||
Trading Companies & Distributors — 2.2% | ||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 | 1,209 | 1,204,028 | ||||||||
Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 | 3,541 | 3,518,108 | ||||||||
SRS Distribution, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 | 2,397 | 2,324,732 | ||||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 | 860 | 837,496 | ||||||||
TMK Hawk Parent Corp.(e) | ||||||||||
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 | 1,014 | 999,112 | ||||||||
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 | 3,197 | 1,933,912 | ||||||||
10,817,388 | ||||||||||
Transportation Infrastructure — 0.5% | ||||||||||
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 | 671 | 667,117 | ||||||||
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 | 825 | 816,527 |
36 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Transportation Infrastructure (continued) | ||||||||||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 | USD | 737 | $ | 689,371 | ||||||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 | 222 | 207,605 | ||||||||
2,380,620 | ||||||||||
Wireless Telecommunication Services — 0.9% | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 | 494 | 452,072 | ||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 | 824 | 821,667 | ||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 | 3,283 | 3,281,908 | ||||||||
4,555,647 | ||||||||||
Total Floating Rate Loan Interests — 106.9% (Cost: $549,868,047) | 534,353,295 | |||||||||
Shares | ||||||||||
Investment Companies | ||||||||||
Equity Funds — 0.1% | ||||||||||
Janus Henderson AAA CLO ETF | 10,000 | 498,500 | ||||||||
Fixed Income Funds — 0.8% | ||||||||||
Invesco Senior Loan ETF | 116,200 | 2,444,848 | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(n) | 20,000 | 1,501,400 | ||||||||
3,946,248 | ||||||||||
Total Investment Companies — 0.9% (Cost: $4,445,634) | 4,444,748 | |||||||||
Benefical Interest (000) | ||||||||||
Other Interests | ||||||||||
Capital Markets — 0.0% | ||||||||||
Millennium Lender Claim Trust(e)(o) | USD | 1,156 | — | |||||||
Industrial Conglomerates — 0.0% | ||||||||||
Millennium Corp. Claim(e)(o) | 1,084 | — | ||||||||
Total Other Interests — 0.0% (Cost: $ — ) | — | |||||||||
Par (000) | ||||||||||
Preferred Securities | ||||||||||
Capital Trusts — 0.3%(a) | ||||||||||
Automobiles — 0.0% | ||||||||||
General Motors Financial Co., Inc., Series C, 5.70%(i) | USD | 50 | 43,892 | |||||||
Banks(i) — 0.1% | ||||||||||
AIB Group PLC, 5.25%(c) | EUR | 200 | 203,574 |
Security | Par (000) | Value | ||||||||
Banks (continued) | ||||||||||
Citigroup, Inc., Series P, 5.95% | USD | 220 | $ | 210,986 | ||||||
Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46% | 10 | 9,941 | ||||||||
PNC Financial Services Group, Inc. | ||||||||||
6.25%, 12/31/99 | 72 | 64,638 | ||||||||
Series V, 6.20% | 67 | 62,454 | ||||||||
551,593 | ||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||
Telefonica Europe BV, 6.14%(c)(i) | EUR | 100 | 105,164 | |||||||
Electric Utilities — 0.1% | ||||||||||
Edison International, Series B, 5.00%(i) | USD | 55 | 47,515 | |||||||
EDP - Energias de Portugal SA, 5.94%, 04/23/83(c) | EUR | 100 | 108,030 | |||||||
Electricite de France SA, 3.38%(c)(i) | 200 | 167,124 | ||||||||
322,669 | ||||||||||
Financial Services — 0.0% | ||||||||||
Barclays PLC, 4.38%(i) | USD | 200 | 135,880 | |||||||
Independent Power and Renewable Electricity Producers(b)(i) — 0.1% | ||||||||||
NRG Energy, Inc., 10.25% | 112 | 105,613 | ||||||||
Vistra Corp., 7.00% | 77 | 67,182 | ||||||||
172,795 | ||||||||||
1,331,993 | ||||||||||
Shares | ||||||||||
Preferred Stocks — 0.0% | ||||||||||
Financial Services — 0.0% | ||||||||||
Alliant Holdings, Inc.(e) | 83 | 78,858 | ||||||||
78,858 | ||||||||||
Total Preferred Securities — 0.3% (Cost: $1,589,000) | 1,410,851 | |||||||||
Warrants | ||||||||||
Consumer Discretionary — 0.0% | ||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(d) | 3,030 | — | ||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Turbo Cayman Ltd.(d)(e) | 1 | — | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(d) | 1,152 | 13,663 | ||||||||
Total Warrants — 0.0% (Cost: $ — ) | 13,663 | |||||||||
Total Investments — 126.8% (Cost: $676,983,779) | 633,545,247 | |||||||||
Liabilities in Excess of Other Assets — (26.8)% | (133,795,867 | ) | ||||||||
Net Assets — 100.0% | $ | 499,749,380 | ||||||||
S C H E D U L E O F I N V E S T M E N T S | 37 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) | Non-income producing security. |
(e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0. |
(g) | Issuer filed for bankruptcy and/or is in default. |
(h) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(i) | Perpetual security with no stated maturity date. |
(j) | Convertible security. |
(k) | Zero-coupon bond. |
(l) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(m) | Rounds to less than 1,000. |
(n) | Affiliate of the Fund. |
(o) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
Affiliated Issuer | Value at 12/31/22 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Shares Held at 06/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | $ | 482,274 | $ | — | $ | (482,274 | )(b) | $ | — | $ | — | $ | — | — | $ | 21,554 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | — | 4,175,600 | (2,611,534 | ) | (45,666 | ) | (17,000 | ) | 1,501,400 | 20,000 | 38,397 | — | ||||||||||||||||||||||||
$ | (45,666 | ) | $ | (17,000 | ) | $ | 1,501,400 | $ | 59,951 | $ | — | |||||||||||||||||||||||||
(a) | As of period end, the entity is no longer held. |
(b) | Represents net amount purchased (sold). |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
USD | 104,394 | EUR | 95,000 | BNP Paribas SA | 09/20/23 | $ | 334 | |||||||||||||||||
USD | 520,854 | EUR | 474,635 | BNP Paribas SA | 09/20/23 | 952 | ||||||||||||||||||
USD | 3,365,658 | EUR | 3,067,000 | BNP Paribas SA | 09/20/23 | 6,150 | ||||||||||||||||||
USD | 295,633 | EUR | 269,365 | Toronto-Dominion Bank | 09/20/23 | 578 | ||||||||||||||||||
USD | 1,696,470 | GBP | 1,323,000 | BNP Paribas SA | 09/20/23 | 15,903 | ||||||||||||||||||
23,917 | ||||||||||||||||||||||||
USD | 100,805 | EUR | 93,000 | Bank of America N.A. | 09/20/23 | (1,065 | ) | |||||||||||||||||
USD | 162,197 | EUR | 150,000 | Bank of America N.A. | 09/20/23 | (2,109 | ) | |||||||||||||||||
USD | 5,379 | EUR | 5,000 | Barclays Bank PLC | 09/20/23 | (98 | ) | |||||||||||||||||
USD | 126,629 | GBP | 100,000 | Barclays Bank PLC | 09/20/23 | (398 | ) | |||||||||||||||||
(3,670 | ) | |||||||||||||||||||||||
$ | 20,247 | |||||||||||||||||||||||
38 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment Frequency | | | Termination Date | | | Credit Rating | (a) | | Notional Amount (000) | (b) | Value | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | ||||||||||
CDX.NA.HY.39.V2 | 5.00 | % | Quarterly | 12/20/27 | B | USD 4,049 | $ | 136,225 | $ | (57,122 | ) | $ | 193,347 | |||||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Casino, Guichard-Perrachon S.A. | 5.00 | % | Quarterly | BNP Paribas SA | 12/20/23 | CC | EUR | 6 | $ | (6,042 | ) | $ | (298 | ) | $ | (5,744 | ) | |||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Bank of America N.A. | 06/20/26 | BB- | EUR | 4 | 50 | (104 | ) | 154 | |||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International | 12/20/26 | BB- | EUR | 1 | (7 | ) | 49 | (56 | ) | ||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International | 12/20/26 | BB- | EUR | 10 | (43 | ) | 306 | (349 | ) | ||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | Credit Suisse International | 06/20/27 | NR | EUR | 8 | 774 | 297 | 477 | ||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | CCC+ | EUR | 15 | (3,733 | ) | (3,166 | ) | (567 | ) | |||||||||||||||||||||
United Group B.V. | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | B | EUR | 5 | (446 | ) | (636 | ) | 190 | ||||||||||||||||||||||
United Group B.V. | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | B | EUR | 5 | (540 | ) | (832 | ) | 292 | ||||||||||||||||||||||
K&S AG | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/28 | BBB- | EUR | 5 | 676 | 529 | 147 | ||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/28 | BB | EUR | 14 | (497 | ) | (995 | ) | 498 | ||||||||||||||||||||||
$ | (9,808 | ) | $ | (4,850 | ) | $ | (4,958 | ) | ||||||||||||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | (57,122 | ) | $ | 193,347 | $ | — | |||||||
OTC Swaps | 1,181 | (6,031 | ) | 1,758 | (6,716 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
S C H E D U L E O F I N V E S T M E N T S | 39 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 23,917 | $ | — | $ | — | $ | 23,917 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | 193,347 | — | — | — | — | 193,347 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 2,939 | — | — | — | — | 2,939 | |||||||||||||||||||||
$ | — | $ | 196,286 | $ | — | $ | 23,917 | $ | — | $ | — | $ | 220,203 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 3,670 | $ | — | $ | — | $ | 3,670 | ||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 12,747 | — | — | — | — | 12,747 | |||||||||||||||||||||
$ | — | $ | 12,747 | $ | — | $ | 3,670 | $ | — | $ | — | $ | 16,417 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | (53,804 | ) | $ | — | $ | — | $ | (53,804 | ) | ||||||||||||
Swaps | — | 99,148 | — | — | — | — | 99,148 | |||||||||||||||||||||
$ | — | $ | 99,148 | $ | — | $ | (53,804 | ) | $ | — | $ | — | $ | 45,344 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 18,089 | $ | — | $ | — | $ | 18,089 | ||||||||||||||
Swaps | — | 134,250 | — | — | — | — | 134,250 | |||||||||||||||||||||
$ | — | $ | 134,250 | $ | — | $ | 18,089 | $ | — | $ | — | $ | 152,339 | |||||||||||||||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 6,049,542 | ||
Average amounts sold — in USD | $ | 280,340 | ||
Credit default swaps: | ||||
Average notional value — sell protection | $ | 4,164,004 |
40 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 23,917 | $ | 3,670 | ||||
Swaps — centrally cleared | 29,406 | — | ||||||
Swaps — OTC(a) | 2,939 | 12,747 | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 56,262 | 16,417 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (29,406 | ) | — | |||||
Total derivative assets and liabilities subject to an MNA | $ | 26,856 | $ | 16,417 | ||||
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset | (a) | | Non-Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | (b)(c) | |||||
Bank of America N.A. | $ | 344 | $ | (344 | ) | $ | — | $ | — | $ | — | |||||||||
BNP Paribas SA | 23,339 | (6,042 | ) | — | — | 17,297 | ||||||||||||||
Credit Suisse International | 1,129 | (405 | ) | — | — | 724 | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,466 | (1,466 | ) | — | — | — | ||||||||||||||
Toronto-Dominion Bank | 578 | — | — | — | 578 | |||||||||||||||
$ | 26,856 | $ | (8,257 | ) | $ | — | $ | — | $ | 18,599 | ||||||||||
Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | | Derivatives Available for Offset | (a) | | Non-Cash Collateral Pledged | | | Cash Collateral Pledged | | | Net Amount of Derivative Liabilities | (b)(d) | |||||
Bank of America N.A. | $ | 7,647 | $ | (344 | ) | $ | — | $ | — | $ | 7,303 | |||||||||
Barclays Bank PLC | 496 | — | — | — | 496 | |||||||||||||||
BNP Paribas SA | 6,042 | (6,042 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 405 | (405 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,827 | (1,466 | ) | — | — | 361 | ||||||||||||||
$ | 16,417 | $ | (8,257 | ) | $ | — | $ | — | $ | 8,160 | ||||||||||
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 4,144,645 | $ | — | $ | 4,144,645 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | — | 25,467 | — | 25,467 |
S C H E D U L E O F I N V E S T M E N T S | 41 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks (continued) | ||||||||||||||||
Electrical Equipment | $ | 16,728 | $ | — | $ | — | $ | 16,728 | ||||||||
Energy Equipment & Services | — | — | — | — | ||||||||||||
Financial Services | — | 182,163 | — | 182,163 | ||||||||||||
Industrial Conglomerates | — | 17 | — | 17 | ||||||||||||
Oil, Gas & Consumable Fuels | — | — | 10,752 | 10,752 | ||||||||||||
Semiconductors & Semiconductor Equipment | 5,998 | — | — | 5,998 | ||||||||||||
Corporate Bonds | — | 88,936,919 | 1 | 88,936,920 | ||||||||||||
Floating Rate Loan Interests | — | 512,645,949 | 21,707,346 | 534,353,295 | ||||||||||||
Investment Companies | 4,444,748 | — | — | 4,444,748 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 1,331,993 | — | 1,331,993 | ||||||||||||
Preferred Stocks | — | — | 78,858 | 78,858 | ||||||||||||
Warrants | 13,663 | — | — | 13,663 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (19,097 | ) | — | (19,097 | ) | ||||||||||
$ | 4,481,137 | $ | 607,248,056 | $ | 21,796,957 | $ | 633,526,150 | |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 195,105 | $ | — | $ | 195,105 | ||||||||
Foreign Currency Exchange Contracts | — | 23,917 | — | 23,917 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (6,716 | ) | — | (6,716 | ) | ||||||||||
Foreign Currency Exchange Contracts | — | (3,670 | ) | — | (3,670 | ) | ||||||||||
$ | — | $ | 208,636 | $ | — | $ | 208,636 | |||||||||
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Preferred Stocks | Warrants | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2022 | $ | 12,356 | $ | 1 | $ | 11,366,161 | $ | — | (a) | $ | 75,612 | $ | — | (a) | $ | 11,454,130 | ||||||||||||
Transfers into Level 3(b) | — | — | 9,798,043 | — | — | — | 9,798,043 | |||||||||||||||||||||
Transfers out of Level 3(c) | — | — | (2,186,294 | ) | — | — | — | (2,186,294 | ) | |||||||||||||||||||
Accrued discounts/premiums | — | — | 231,453 | — | — | — | 231,453 | |||||||||||||||||||||
Net realized gain (loss) | (254,730 | ) | — | (38,174 | ) | — | — | — | (292,904 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | 254,111 | — | 337,684 | — | 3,246 | — | 595,041 | |||||||||||||||||||||
Purchases | — | — | 4,368,028 | — | — | — | 4,368,028 | |||||||||||||||||||||
Sales | (985 | ) | — | (2,169,555 | ) | — | — | — | (2,170,540 | ) | ||||||||||||||||||
Closing balance, as of June 30, 2023 | $ | 10,752 | $ | 1 | $ | 21,707,346 | $ | — | (a) | $ | 78,858 | $ | — | (a) | $ | 21,796,957 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) | $ | — | $ | — | $ | 294,504 | $ | — | $ | 3,245 | $ | — | $ | 297,749 | ||||||||||||||
(a) | Rounds to less than $1. |
(b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. |
42 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Debt Strategies Fund, Inc. (DSU) |
S C H E D U L E O F I N V E S T M E N T S | 43 |
Schedule of Investments (unaudited) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities | ||||||||||
Golub Capital Partners CLO 66B Ltd., Series 2023- 66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b) | USD | 1,000 | $ | 998,106 | ||||||
Palmer Square CLO Ltd., (3-mo. Term SOFR + 5.00%), 6.80%, 04/20/36 | 1,000 | 1,000,646 | ||||||||
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b) | 1,000 | 1,000,956 | ||||||||
Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b) | 1,000 | 983,157 | ||||||||
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 9.93%, 04/20/36(a)(b) | 1,000 | 1,000,292 | ||||||||
Total Asset-Backed Securities — 1.1% (Cost: $5,000,000) | 4,983,157 | |||||||||
Shares | ||||||||||
Common Stocks | ||||||||||
Construction & Engineering — 0.0% | ||||||||||
McDermott International Ltd.(c) | 123,933 | 22,308 | ||||||||
Electrical Equipment — 0.0% | ||||||||||
SunPower Corp.(c) | 1,860 | 18,228 | ||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(e) | 6,099 | — | ||||||||
Financial Services — 0.1% | ||||||||||
NMG Parent LLC | 3,613 | 445,602 | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Kcad Holdings I Ltd.(d) | 309,827,230 | 3,099 | ||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||
Maxeon Solar Technologies Ltd.(c) | 232 | 6,533 | ||||||||
Total Common Stocks — 0.1% (Cost: $5,514,227) | 495,770 | |||||||||
Par (000) | ||||||||||
Corporate Bonds | ||||||||||
Automobile Components — 0.1% | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) | USD | 446 | 446,273 | |||||||
Building Materials — 0.0% | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 118 | 111,483 | ||||||||
Building Products — 0.1% | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28(b) | 250 | 226,562 | ||||||||
Capital Markets — 0.0% | ||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) | 119 | 121,971 | ||||||||
Chemicals(b) — 0.1% | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 | 51 | 44,439 | ||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 | 388 | 317,889 | ||||||||
362,328 |
Security | Par (000) | Value | ||||||||
Commercial Services & Supplies — 0.0% | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(b) | USD | 207 | $ | 193,918 | ||||||
Construction Materials — 0.0% | ||||||||||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(b) | 1,013 | 96,235 | ||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||
Zayo Group Holdings, Inc., 6.13%, 03/01/28(b) | 251 | 156,842 | ||||||||
Electric Utilities — 0.0% | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(c)(d)(f) | 1,710 | — | ||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||
Vertiv Group Corp., 4.13%, 11/15/28(b) | 901 | 811,777 | ||||||||
Health Care Providers & Services — 0.1% | ||||||||||
Medline Borrower LP, 5.25%, 10/01/29(b) | 384 | 333,196 | ||||||||
Hotels, Restaurants & Leisure(b) — 0.2% | ||||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29 | 390 | 340,552 | ||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 | 641 | 545,515 | ||||||||
886,067 | ||||||||||
Insurance — 0.1% | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(b) | 357 | 335,580 | ||||||||
Internet Software & Services(b) — 0.1% | ||||||||||
Expedia Group, Inc., 6.25%, 05/01/25 | 337 | 338,096 | ||||||||
Uber Technologies, Inc., 4.50%, 08/15/29 | 381 | 350,672 | ||||||||
688,768 | ||||||||||
Media(b) — 0.2% | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(g) | 263 | 99,751 | ||||||||
Odeon Finco PLC, 12.75%, 11/01/27 | 607 | 594,728 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 | 573 | 456,833 | ||||||||
1,151,312 | ||||||||||
Passenger Airlines — 0.3% | ||||||||||
Allegiant Travel Co., 8.50%, 02/05/24(b) | 1,195 | 1,192,012 | ||||||||
Real Estate Management & Development — 0.1% | ||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29(b) | 510 | 381,588 | ||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) | 138 | 133,342 | ||||||||
Total Corporate Bonds — 1.6% (Cost: $8,950,480) | 7,629,254 | |||||||||
Floating Rate Loan Interests(a) | ||||||||||
Aerospace & Defense — 3.5% | ||||||||||
Atlas CC Acquisition Corp. | ||||||||||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | 2,832 | 2,451,898 | ||||||||
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | 576 | 498,691 | ||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 | 704 | 702,579 | ||||||||
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 | 371 | 363,893 |
44 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Aerospace & Defense (continued) | ||||||||||
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26 | USD | 758 | $ | 644,589 | ||||||
Peraton Corp. | ||||||||||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 | 1,699 | 1,644,132 | ||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 | 5,671 | 5,560,235 | ||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 | 1,340 | 1,338,566 | ||||||||
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 | 3,001 | 2,998,425 | ||||||||
16,203,008 | ||||||||||
Automobile Components — 0.6% | ||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 | 523 | 522,131 | ||||||||
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 | 2,264 | 2,256,212 | ||||||||
2,778,343 | ||||||||||
Automobiles — 0.5% | ||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 | 2,532 | 2,519,247 | ||||||||
Beverages — 1.1% | ||||||||||
Naked Juice LLC | ||||||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 | 1,804 | 1,420,596 | ||||||||
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 | 3,875 | 3,597,221 | ||||||||
5,017,817 | ||||||||||
Broadline Retail — 1.7% | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 | 1,605 | 1,599,430 | ||||||||
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(g) | 1,724 | 1,493,451 | ||||||||
PUG LLC | ||||||||||
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d) | 366 | 328,941 | ||||||||
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 3,765 | 3,337,081 | ||||||||
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d) | 632 | 631,624 | ||||||||
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d) | 543 | 530,306 | ||||||||
7,920,833 | ||||||||||
Building Products — 1.9% | ||||||||||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 | 261 | 261,444 | ||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 | 265 | 252,957 |
Security | Par (000) | Value | ||||||||
Building Products (continued) | ||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 | USD | 1,459 | $ | 1,369,658 | ||||||
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 | 794 | 789,696 | ||||||||
IPS Corp. | ||||||||||
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(d) | 1,046 | 815,880 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 | 596 | 549,581 | ||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28 | 815 | 809,156 | ||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28 | EUR | 853 | 792,775 | |||||||
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 | USD | 3,156 | 3,104,949 | |||||||
8,746,096 | ||||||||||
Capital Markets — 3.5% | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 | 1,016 | 1,015,915 | ||||||||
Ascensus Holdings, Inc. | ||||||||||
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 | 2,699 | 2,401,649 | ||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 | 2,821 | 2,769,746 | ||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 | 1,155 | 1,156,414 | ||||||||
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 | 963 | 934,254 | ||||||||
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 | 1,590 | 1,580,857 | ||||||||
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 | 716 | 712,224 | ||||||||
Focus Financial Partners LLC | ||||||||||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 | 1,463 | 1,443,178 | ||||||||
2023 Term Loan B6, 06/30/28(h) | 788 | 782,287 | ||||||||
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 | 1,162 | 1,160,221 | ||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 | 670 | 656,196 | ||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 | 1,680 | 1,622,106 | ||||||||
16,235,047 | ||||||||||
Chemicals — 5.5% | ||||||||||
Aruba Investments Holdings LLC | ||||||||||
2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28 | 1,440 | 1,267,200 | ||||||||
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 | 762 | 733,615 | ||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26 | 2,502 | 2,447,135 |
S C H E D U L E O F I N V E S T M E N T S | 45 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Chemicals (continued) | ||||||||||
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 | USD | 644 | $ | 486,044 | ||||||
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 | 952 | 909,139 | ||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 | 1,972 | 1,970,316 | ||||||||
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 | 292 | 293,051 | ||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 | 1,384 | 1,371,063 | ||||||||
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 | 678 | 673,518 | ||||||||
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 | 1,069 | 900,603 | ||||||||
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 | 1,815 | 1,787,589 | ||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 | 2,082 | 2,079,283 | ||||||||
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 | 2,039 | 1,984,513 | ||||||||
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 | 734 | 725,970 | ||||||||
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(h) | 677 | 653,163 | ||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 | 1,709 | 1,676,230 | ||||||||
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 | 1,721 | 1,711,467 | ||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 | 1,047 | 1,030,642 | ||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 | 1,640 | 1,625,540 | ||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 | 159 | 158,232 | ||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 | 926 | 918,288 | ||||||||
25,402,601 | ||||||||||
Commercial Services & Supplies — 4.4% | ||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 | 2,609 | 2,532,489 | ||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d) | 783 | 763,513 | ||||||||
Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(d)(h) | 761 | 759,975 |
Security | Par (000) | Value | ||||||||
Commercial Services & Supplies (continued) | ||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 | USD | 1,958 | $ | 1,951,535 | ||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 | 694 | 692,400 | ||||||||
Covanta Holding Corp. | ||||||||||
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 86 | 84,792 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 1,129 | 1,117,826 | ||||||||
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 | 490 | 480,617 | ||||||||
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 | 728 | 727,849 | ||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 | 1,597 | 1,578,898 | ||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 | 802 | 653,644 | ||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 | 1,918 | 1,916,196 | ||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 | 4,779 | 4,779,363 | ||||||||
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 | 1,643 | 1,508,452 | ||||||||
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 | 778 | 754,796 | ||||||||
20,302,345 | ||||||||||
Communications Equipment — 0.2% | ||||||||||
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 | 212 | 212,467 | ||||||||
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 | 949 | 915,864 | ||||||||
1,128,331 | ||||||||||
Construction & Engineering — 0.8% | ||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 | 978 | 966,712 | ||||||||
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 | 1,045 | 1,039,502 | ||||||||
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 | 1,742 | 1,646,682 | ||||||||
3,652,896 | ||||||||||
Construction Materials — 1.0% | ||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 | 1,188 | 1,182,776 | ||||||||
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 | 842 | 706,793 |
46 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Construction Materials (continued) | ||||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 | USD | 1,100 | $ | 1,073,111 | ||||||
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 | 1,598 | 1,595,918 | ||||||||
4,558,598 | ||||||||||
Consumer Staples Distribution & Retail — 0.3% | ||||||||||
U.S. Foods, Inc. | ||||||||||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 | 675 | 673,852 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 | 891 | 889,627 | ||||||||
1,563,479 | ||||||||||
Containers & Packaging — 1.9% | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 | 3,470 | 3,439,770 | ||||||||
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 | 1,262 | 1,256,914 | ||||||||
Pregis TopCo Corp. | ||||||||||
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 | 612 | 607,623 | ||||||||
2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26 | 697 | 689,262 | ||||||||
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27 | 1,483 | 1,480,680 | ||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 | 307 | 306,451 | ||||||||
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 | 1,142 | 1,114,879 | ||||||||
8,895,579 | ||||||||||
Distributors — 0.2% | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 | 1,016 | 938,721 | ||||||||
Diversified Consumer Services — 3.1% | ||||||||||
2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26 | 951 | 911,261 | ||||||||
Ascend Learning LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 | 781 | 660,593 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 | 1,915 | 1,796,062 | ||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 | 923 | 918,718 | ||||||||
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 | 1,408 | 1,392,160 |
Security | Par (000) | Value | ||||||||
Diversified Consumer Services (continued) | ||||||||||
Sotheby’s | ||||||||||
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 | USD | 1,771 | $ | 1,723,798 | ||||||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27 | 395 | 384,137 | ||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 | 223 | 221,443 | ||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 | 2,959 | 2,406,166 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 | 2,559 | 2,534,685 | ||||||||
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 | 1,225 | 1,200,976 | ||||||||
14,149,999 | ||||||||||
Diversified REITs — 0.2% | ||||||||||
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 | 829 | 827,712 | ||||||||
Diversified Telecommunication Services — 5.4% | ||||||||||
Altice Financing SA | ||||||||||
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d) | 1,078 | 1,056,730 | ||||||||
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 | 1,547 | 1,517,839 | ||||||||
Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27 | 232 | 223,177 | ||||||||
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 | 6,623 | 6,613,056 | ||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 | 808 | 710,925 | ||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 | 1,794 | 1,792,945 | ||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 | 1,766 | 1,641,583 | ||||||||
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 | 1,790 | 1,373,755 | ||||||||
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 | 868 | 694,081 | ||||||||
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 | 2,547 | 2,118,660 | ||||||||
Virgin Media Bristol LLC | ||||||||||
2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 | 1,335 | 1,327,844 | ||||||||
USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28 | 988 | 978,580 |
S C H E D U L E O F I N V E S T M E N T S | 47 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Diversified Telecommunication Services (continued) | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.71%, 01/15/27 | GBP | 1,000 | $ | 1,211,427 | ||||||
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 | USD | 5,045 | 3,948,536 | |||||||
25,209,138 | ||||||||||
Electric Utilities — 0.1% | ||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 | 498 | 497,759 | ||||||||
Electrical Equipment — 0.3% | ||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d) | 1,521 | 1,479,085 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 | 1,591 | 1,585,340 | ||||||||
Energy Equipment & Services — 0.7% | ||||||||||
Lealand Finance Co. BV | ||||||||||
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 | 40 | 30,182 | ||||||||
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(g) | 305 | 170,663 | ||||||||
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 | 3,077 | 3,067,477 | ||||||||
3,268,322 | ||||||||||
Entertainment — 4.5% | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 | 1,499 | 1,167,120 | ||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 | 101 | 101,252 | ||||||||
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 | 905 | 896,255 | ||||||||
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 | 1,575 | 1,543,515 | ||||||||
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 | 1,560 | 1,555,020 | ||||||||
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 | 1,291 | 1,290,354 | ||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 | 3,851 | 3,567,004 | ||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 | 2,518 | 2,509,210 | ||||||||
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 | 1,492 | 1,484,928 | ||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 | 416 | 414,896 |
Security | Par (000) | Value | ||||||||
Entertainment (continued) | ||||||||||
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 | USD | 896 | $ | 894,460 | ||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 | 2,709 | 2,699,019 | ||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 | 2,700 | 2,690,457 | ||||||||
20,813,490 | ||||||||||
Financial Services — 5.1% | ||||||||||
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 | 796 | 791,414 | ||||||||
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 | 1,905 | 1,689,264 | ||||||||
Belron Finance U.S. LLC | ||||||||||
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 | 433 | 432,433 | ||||||||
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 | 862 | 860,306 | ||||||||
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 | 2,982 | 2,976,121 | ||||||||
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 | 471 | 470,708 | ||||||||
Deerfield Dakota Holding LLC | ||||||||||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 | 6,147 | 5,953,664 | ||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 | 1,806 | 1,672,808 | ||||||||
FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25 | 614 | 613,748 | ||||||||
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 | 506 | 485,374 | ||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 | 1,306 | 1,300,151 | ||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 | 2,539 | 2,496,167 | ||||||||
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(h) | 1,509 | 917,710 | ||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 | 768 | 750,433 | ||||||||
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 | 968 | 966,061 | ||||||||
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 | 1,223 | 1,210,275 | ||||||||
23,586,637 | ||||||||||
Food Products — 3.5% | ||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 | 1,183 | 1,083,644 |
48 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Food Products (continued) | ||||||||||
8th Avenue Food & Provisions, Inc. (continued) | ||||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25 | USD | 1,516 | $ | 1,404,177 | ||||||
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 | 3,212 | 3,190,945 | ||||||||
Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 | 3,533 | 3,508,738 | ||||||||
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 | 497 | 436,110 | ||||||||
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 | 1,019 | 1,015,554 | ||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 | 1,012 | 1,011,065 | ||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 | 1,873 | 1,849,487 | ||||||||
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 | 2,272 | 2,191,824 | ||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 | 680 | 678,107 | ||||||||
16,369,651 | ||||||||||
Ground Transportation — 0.8% | ||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 | 576 | 556,457 | ||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 | 655 | 646,511 | ||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.66%, 08/04/25 | 1,168 | 1,044,380 | ||||||||
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 | 1,604 | 1,606,684 | ||||||||
3,854,032 | ||||||||||
Health Care Equipment & Supplies — 1.7% | ||||||||||
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28 | 2,445 | 2,386,707 | ||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 | 686 | 628,388 | ||||||||
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 | 761 | 760,508 | ||||||||
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 | 4,326 | 4,272,826 | ||||||||
8,048,429 | ||||||||||
Health Care Providers & Services — 2.9% | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 | 1,018 | 1,012,017 | ||||||||
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 | 1,828 | 1,819,563 |
Security | Par (000) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 | USD | 2,180 | $ | 2,167,828 | ||||||
Envision Healthcare Corp. | ||||||||||
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 | — | (i) | 417 | |||||||
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 | 1,170 | 247,330 | ||||||||
EyeCare Partners LLC | ||||||||||
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 | 1,660 | 1,216,449 | ||||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 | 581 | 385,706 | ||||||||
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 | 532 | 380,199 | ||||||||
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28 | 1,612 | 1,547,499 | ||||||||
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 | 1,334 | 1,235,109 | ||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 | 611 | 539,971 | ||||||||
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 | 697 | 695,690 | ||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 | 52 | 50,483 | ||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 | 1,102 | 1,032,742 | ||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 | 595 | 593,811 | ||||||||
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 | 335 | 334,111 | ||||||||
13,258,925 | ||||||||||
Health Care Technology — 2.9% | ||||||||||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 | 2,984 | 2,868,887 | ||||||||
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 | 4,532 | 4,162,078 | ||||||||
Verscend Holding Corp. | ||||||||||
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(d) | 3,092 | 3,092,000 | ||||||||
2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 | 3,101 | 3,096,312 | ||||||||
13,219,277 | ||||||||||
Hotels, Restaurants & Leisure — 6.2% | ||||||||||
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d) | 155 | 154,613 | ||||||||
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 | 894 | 872,741 |
S C H E D U L E O F I N V E S T M E N T S | 49 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 | USD | 2,418 | $ | 2,398,452 | ||||||
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 | 1,244 | 1,242,751 | ||||||||
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 | 1,809 | 1,805,060 | ||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 | 1,462 | 1,447,894 | ||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 | 4,103 | 4,044,120 | ||||||||
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 | 1,176 | 1,176,912 | ||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 | 3,050 | 3,053,622 | ||||||||
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 | 2,391 | 2,372,117 | ||||||||
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 | 905 | 624,301 | ||||||||
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 | 1,475 | 1,469,219 | ||||||||
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 | 477 | 474,865 | ||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 | 810 | 807,666 | ||||||||
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 | 686 | 683,719 | ||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 | 1,104 | 1,103,379 | ||||||||
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 | 2,039 | 2,030,554 | ||||||||
Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28 | 2,251 | 2,234,542 | ||||||||
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 | 534 | 533,679 | ||||||||
28,530,206 | ||||||||||
Household Durables — 1.4% | ||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 | 1,636 | 1,371,546 |
Security | Par (000) | Value | ||||||||
Household Durables (continued) | ||||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 | USD | 2,396 | $ | 2,266,659 | ||||||
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(h) | 464 | 463,737 | ||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 | 821 | 661,824 | ||||||||
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 | 2,018 | 1,767,481 | ||||||||
6,531,247 | ||||||||||
Household Products — 0.5% | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 | 1,722 | 1,719,542 | ||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26 | 405 | 397,238 | ||||||||
2,116,780 | ||||||||||
Independent Power and Renewable Electricity Producers — 0.7% | ||||||||||
Calpine Corp. | ||||||||||
2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 | 699 | 697,853 | ||||||||
Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26 | 1,496 | 1,493,529 | ||||||||
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 | 1,184 | 1,175,271 | ||||||||
3,366,653 | ||||||||||
Industrial Conglomerates — 0.2% | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 | 1,081 | 799,755 | ||||||||
Insurance — 4.9% | ||||||||||
Alliant Holdings Intermediate LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 | 3,769 | 3,743,101 | ||||||||
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 | 3,876 | 3,848,175 | ||||||||
AmWINS Group, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 | 2,574 | 2,548,259 | ||||||||
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 | 494 | 492,764 | ||||||||
AssuredPartners, Inc. | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 1,397 | 1,383,974 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 | 876 | 866,038 | ||||||||
HUB International Ltd. | ||||||||||
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 | 465 | 463,949 | ||||||||
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 | 4,591 | 4,599,658 |
50 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Insurance (continued) | ||||||||||
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 | USD | 1,352 | $ | 1,349,527 | ||||||
USI, Inc. | ||||||||||
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 | 212 | 212,010 | ||||||||
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 | 3,219 | 3,211,144 | ||||||||
22,718,599 | ||||||||||
Interactive Media & Services — 1.6% | ||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 | 428 | 422,617 | ||||||||
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 | 1,295 | 1,295,016 | ||||||||
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 | 1,831 | 1,827,445 | ||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 | 2,198 | 2,193,085 | ||||||||
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 | 716 | 714,406 | ||||||||
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 | 1,049 | 1,046,445 | ||||||||
7,499,014 | ||||||||||
IT Services — 3.5% | ||||||||||
Asurion LLC | ||||||||||
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 | 294 | 283,191 | ||||||||
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.51%, 01/31/28 | 1,117 | 947,139 | ||||||||
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 | 1,596 | 1,334,655 | ||||||||
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 | 1,334 | 1,266,053 | ||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 | 2,141 | 2,136,097 | ||||||||
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 | 3,245 | 3,192,663 | ||||||||
Go Daddy Operating Co. LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 | 728 | 727,035 | ||||||||
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 | 1,482 | 1,483,555 | ||||||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 | 4,009 | 3,980,537 | ||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 | 646 | 618,713 | ||||||||
15,969,638 |
Security | Par (000) | Value | ||||||||
Leisure Products — 0.5% | ||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d) | USD | 971 | $ | 922,820 | ||||||
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 | 343 | 340,827 | ||||||||
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 | 1,148 | 1,146,205 | ||||||||
2,409,852 | ||||||||||
Life Sciences Tools & Services — 2.8% | ||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 | 1,524 | 1,521,811 | ||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 | 1,584 | 1,546,472 | ||||||||
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 | 140 | 119,959 | ||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 | 1,978 | 1,899,151 | ||||||||
Fortrea Holdings, Inc., Term Loan B, 06/12/30(h) | 422 | 421,789 | ||||||||
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 2,293 | 2,292,158 | ||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 | 1,483 | 1,481,611 | ||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 | 3,053 | 3,025,247 | ||||||||
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 571 | 571,095 | ||||||||
12,879,293 | ||||||||||
Machinery — 5.8% | ||||||||||
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d) | 1,966 | 1,951,102 | ||||||||
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 | 301 | 301,001 | ||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 | 373 | 371,407 | ||||||||
Filtration Group Corp. | ||||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 | 1,167 | 1,161,794 | ||||||||
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 | 2,365 | 2,362,300 | ||||||||
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 | 2,406 | 2,391,512 |
S C H E D U L E O F I N V E S T M E N T S | 51 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Machinery (continued) | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 | USD | 2,213 | $ | 2,208,535 | ||||||
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 | 3,692 | 3,611,464 | ||||||||
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 | 2,148 | 2,136,879 | ||||||||
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 | 1,940 | 1,912,976 | ||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 | 3,854 | 3,756,051 | ||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 | 2,265 | 2,242,784 | ||||||||
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 | 2,417 | 2,405,741 | ||||||||
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 | 125 | 124,782 | ||||||||
26,938,328 | ||||||||||
Media — 4.7% | ||||||||||
AVSC Holding Corp. | ||||||||||
2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25 | 1,000 | 974,441 | ||||||||
2020 Term Loan B3, 10/15/26(h) | 941 | 977,329 | ||||||||
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 | 1,025 | 1,003,553 | ||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 | 2,591 | 2,588,431 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26 | 3,413 | 3,253,215 | ||||||||
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26 | — | (i) | 277 | |||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 | 1,588 | 1,574,379 | ||||||||
CSC Holdings LLC | ||||||||||
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 | 1,178 | 1,133,277 | ||||||||
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 | 1,561 | 1,359,904 | ||||||||
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 | 2,252 | 2,199,583 | ||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 | 547 | 530,171 | ||||||||
ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28 | 569 | 570,803 | ||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 | 868 | 670,887 |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26 | USD | 794 | $ | 792,219 | ||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d) | 1,804 | 1,357,344 | ||||||||
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d) | 1,008 | 1,002,781 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 | 1,617 | 1,590,433 | ||||||||
21,579,027 | ||||||||||
Oil, Gas & Consumable Fuels — 1.4% | ||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 | 3,671 | 3,590,802 | ||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 | 265 | 262,514 | ||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 | 1,915 | 1,896,991 | ||||||||
Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28 | 636 | 636,287 | ||||||||
6,386,594 | ||||||||||
Passenger Airlines — 2.8% | ||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 | 1,636 | 1,668,444 | ||||||||
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 | 2,027 | 2,024,126 | ||||||||
American Airlines, Inc. | ||||||||||
2017 1st Lien Term Loan, (6-mo. LIBOR US + 3.50%), 7.00%, 01/29/27 | 273 | 265,981 | ||||||||
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 | 2,415 | 2,368,366 | ||||||||
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 | 822 | 795,747 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 | 2,580 | 2,677,582 | ||||||||
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 | 2,921 | 2,914,984 | ||||||||
12,715,230 | ||||||||||
Personal Care Products — 1.3% | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 | 6,029 | 5,988,881 | ||||||||
Pharmaceuticals — 2.0% | ||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 | 1,207 | 1,161,029 | ||||||||
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 | 855 | 829,888 |
52 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Pharmaceuticals (continued) | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 | USD | 1,108 | $ | 833,468 | ||||||
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 | 1,462 | 1,433,939 | ||||||||
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 | 2,175 | 2,171,357 | ||||||||
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 | 1,404 | 1,402,117 | ||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d) | 1,228 | 1,175,469 | ||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28 | 154 | 153,609 | ||||||||
9,160,876 | ||||||||||
Professional Services — 4.6% | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 | 1,723 | 1,717,484 | ||||||||
CoreLogic, Inc. | ||||||||||
2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29 | 1,416 | 1,135,939 | ||||||||
Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 | 3,356 | 3,025,869 | ||||||||
Dun & Bradstreet Corp. | ||||||||||
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 | 708 | 705,382 | ||||||||
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 | 2,321 | 2,321,182 | ||||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 605 | 591,451 | ||||||||
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 1,311 | 1,281,476 | ||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 | 2,033 | 2,015,694 | ||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d) | 2,001 | 1,875,825 | ||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 | 972 | 969,486 | ||||||||
Trans Union LLC 2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 | 1,843 | 1,836,221 |
Security | Par (000) | Value | ||||||||
Professional Services (continued) | ||||||||||
Trans Union LLC (continued) 2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 | USD | 2,244 | $ | 2,236,807 | ||||||
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 | 1,651 | 1,622,330 | ||||||||
21,335,146 | ||||||||||
Real Estate Management & Development — 0.5% | ||||||||||
Cushman & Wakefield U.S. Borrower LLC | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 | 744 | 736,749 | ||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d) | 1,825 | 1,765,162 | ||||||||
2,501,911 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.4% | ||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 | 1,151 | 1,151,300 | ||||||||
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 | 623 | 613,873 | ||||||||
1,765,173 | ||||||||||
Software — 13.4% | ||||||||||
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 | 981 | 981,997 | ||||||||
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 | 762 | 734,160 | ||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 | 2,024 | 2,006,211 | ||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 | 1,674 | 1,668,221 | ||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 | 1,376 | 1,371,324 | ||||||||
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 | 4,530 | 4,229,558 | ||||||||
Cloudera, Inc. | ||||||||||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d) | 780 | 702,000 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 | 861 | 838,932 | ||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 | 1,190 | 1,107,392 | ||||||||
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 | 385 | 350,030 |
S C H E D U L E O F I N V E S T M E N T S | 53 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 | USD | 283 | $ | 281,306 | ||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 | 3,267 | 3,254,964 | ||||||||
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 | 3,054 | 3,043,165 | ||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 | 726 | 725,363 | ||||||||
Magenta Buyer LLC | ||||||||||
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 | 2,408 | 1,805,017 | ||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 | 2,204 | 1,421,390 | ||||||||
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 | 3,458 | 3,301,004 | ||||||||
MH Sub I LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 | 2,021 | 1,752,075 | ||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 | 7,577 | 7,258,417 | ||||||||
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 | 1,627 | 1,617,719 | ||||||||
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28 | 930 | 818,400 | ||||||||
Proofpoint, Inc. | ||||||||||
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 | 2,789 | 2,725,869 | ||||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29 | 1,451 | 1,403,843 | ||||||||
RealPage, Inc. | ||||||||||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 | 6,193 | 6,051,864 | ||||||||
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 | 2,965 | 2,863,833 | ||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 | 1,239 | 1,238,319 | ||||||||
Sophia LP | ||||||||||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28 | 2,779 | 2,765,105 | ||||||||
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 | 2,292 | 2,264,925 | ||||||||
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 | 1,402 | 1,355,965 | ||||||||
Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 | 1,629 | 1,604,874 |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 | USD | 325 | $ | 320,939 | ||||||
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 | 217 | 216,504 | ||||||||
62,080,685 | ||||||||||
Specialty Retail — 2.6% | ||||||||||
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28 | GBP | 1,000 | 1,226,667 | |||||||
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 | USD | 1,431 | 1,405,199 | |||||||
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 | 565 | 561,567 | ||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 | 2,979 | 2,949,408 | ||||||||
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 | 3,664 | 3,651,336 | ||||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 | 1,133 | 1,130,572 | ||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 | 862 | 830,261 | ||||||||
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 | 243 | 225,408 | ||||||||
11,980,418 | ||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 | 797 | 538,274 | ||||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||||
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 | 967 | 969,127 | ||||||||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d) | 520 | 520,997 | ||||||||
1,490,124 | ||||||||||
Trading Companies & Distributors — 2.6% | ||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 | 1,368 | 1,362,725 | ||||||||
Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 | 4,078 | 4,051,387 | ||||||||
SRS Distribution, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 | 2,757 | 2,674,183 | ||||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 | 985 | 959,477 | ||||||||
TMK Hawk Parent Corp.(d) | ||||||||||
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 | 963 | 948,162 | ||||||||
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 | 3,034 | 1,835,387 | ||||||||
11,831,321 |
54 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Transportation Infrastructure — 0.6% | ||||||||||
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 | USD | 743 | $ | 738,488 | ||||||
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 | 927 | 918,275 | ||||||||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 | 844 | 789,136 | ||||||||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 | 246 | 230,049 | ||||||||
2,675,948 | ||||||||||
Wireless Telecommunication Services — 1.1% | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 | 819 | 749,499 | ||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 | 935 | 932,567 | ||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 | 3,325 | 3,323,656 | ||||||||
5,005,722 | ||||||||||
Total Floating Rate Loan Interests — 125.1% (Cost: $595,403,288) | 578,825,432 | |||||||||
Shares | ||||||||||
Investment Companies | ||||||||||
Equity Funds — 0.1% | ||||||||||
Janus Henderson AAA CLO ETF | 10,000 | 498,500 | ||||||||
Fixed Income Funds — 1.4% | ||||||||||
Invesco Senior Loan ETF | 64,300 | 1,352,872 | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(j) | 70,000 | 5,254,900 | ||||||||
6,607,772 | ||||||||||
Total Investment Companies — 1.5% (Cost: $7,176,265) | 7,106,272 | |||||||||
Benefical Interest (000) | ||||||||||
Other Interests | ||||||||||
Capital Markets — 0.0% | ||||||||||
Millennium Lender Claim Trust(d)(k) | USD | 1,607 | — | |||||||
Security | Benefical Interest (000) | Value | ||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Millennium Corp. Claim(d)(k) | USD | 1,508 | $ | — | ||||||
Total Other Interests — 0.0% (Cost: $ — ) | — | |||||||||
Shares | ||||||||||
Warrants | ||||||||||
Consumer Discretionary — 0.0% | ||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(c) | 1,895 | — | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(c) | 999 | 11,848 | ||||||||
Total Warrants — 0.0% (Cost: $ — ) | 11,848 | |||||||||
Total Investments — 129.4% (Cost: $622,044,260) | 599,051,733 | |||||||||
Liabilities in Excess of Other Assets — (29.4)% | (136,188,621 | ) | ||||||||
Net Assets — 100.0% | $ | 462,863,112 | ||||||||
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Non-income producing security. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0. |
(f) | Issuer filed for bankruptcy and/or is in default. |
(g) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(i) | Rounds to less than 1,000. |
(j) | Affiliate of the Fund. |
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
S C H E D U L E O F I N V E S T M E N T S | 55 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Affiliated Issuer | Value at 12/31/22 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Shares Held at 06/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | $ | — | $ | 16,323,678 | $ (16,323,678 | ) | $ | — | $ | — | $ | — | — | $ | 5,158 | $ | — | |||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 736,300 | 7,972,560 | (3,380,993 | ) | (37,207 | ) | (35,760 | ) | 5,254,900 | 70,000 | 129,929 | — | ||||||||||||||||||||||||
$ | (37,207 | ) | $ | (35,760 | ) | $ | 5,254,900 | $ | 135,087 | $ | — | |||||||||||||||||||||||||
(a) | As of period end, the entity is no longer held. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 539,755 | EUR | 491,859 | BNP Paribas SA | 09/20/23 | $ | 986 | |||||||||||||||
USD | 306,363 | EUR | 279,141 | Toronto-Dominion Bank | 09/20/23 | 599 | ||||||||||||||||
USD | 2,374,801 | GBP | 1,852,000 | BNP Paribas SA | 09/20/23 | 22,262 | ||||||||||||||||
$ | 23,847 | |||||||||||||||||||||
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CDX.NA.HY.39.V2 | 5.00 | % | Quarterly | 12/20/27 | B | USD | 4,480 | $ | 150,713 | $ | (63,197 | ) | $ | 213,910 | ||||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | (63,197 | ) | $ | 213,910 | $ | — |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
56 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 23,847 | $ | — | $ | — | $ | 23,847 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | 213,910 | — | — | — | — | 213,910 | |||||||||||||||||||||
$ | — | $ | 213,910 | $ | — | $ | 23,847 | $ | — | $ | — | $ | 237,757 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | (98,893 | ) | $ | — | $ | — | $ | (98,893 | ) | ||||||||||||
Swaps | — | 120,142 | — | — | — | — | 120,142 | |||||||||||||||||||||
$ | — | $ | 120,142 | $ | — | $ | (98,893 | ) | $ | — | $ | — | $ | 21,249 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 6,962 | $ | — | $ | — | $ | 6,962 | ||||||||||||||
Swaps | — | 143,402 | — | — | — | — | 143,402 | |||||||||||||||||||||
$ | — | $ | 143,402 | $ | — | $ | 6,962 | $ | — | $ | — | $ | 150,364 | |||||||||||||||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 3,190,931 | ||
Credit default swaps: | ||||
Average notional value — sell protection | $ | 4,502,375 |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 23,847 | $ | — | ||||
Swaps — centrally cleared | 32,533 | — | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 56,380 | — | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (32,533 | ) | — | |||||
Total derivative assets and liabilities subject to an MNA | $ | 23,847 | $ | — | ||||
S C H E D U L E O F I N V E S T M E N T S | 57 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset | | | Non‑Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | (a)(b) | |||||
BNP Paribas SA | $ | 23,248 | $ | — | $ | — | $ | — | $ | 23,248 | ||||||||||
Toronto-Dominion Bank | 599 | — | — | — | 599 | |||||||||||||||
$ | 23,847 | $ | — | $ | — | $ | — | $ | 23,847 | |||||||||||
(a) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 4,983,157 | $ | — | $ | 4,983,157 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | — | 22,308 | — | 22,308 | ||||||||||||
Electrical Equipment | 18,228 | — | — | 18,228 | ||||||||||||
Energy Equipment & Services | — | — | — | — | ||||||||||||
Financial Services | — | 445,602 | — | 445,602 | ||||||||||||
Oil, Gas & Consumable Fuels | — | — | 3,099 | 3,099 | ||||||||||||
Semiconductors & Semiconductor Equipment | 6,533 | — | — | 6,533 | ||||||||||||
Corporate Bonds | — | 7,629,254 | — | 7,629,254 | ||||||||||||
Floating Rate Loan Interests | — | 554,238,006 | 24,587,426 | 578,825,432 | ||||||||||||
Investment Companies | 7,106,272 | — | — | 7,106,272 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Warrants | 11,848 | — | — | 11,848 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (21,575 | ) | — | (21,575 | ) | ||||||||||
$ | 7,142,881 | $ | 567,296,752 | $ | 24,590,525 | $ | 599,030,158 | |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 213,910 | $ | — | $ | 213,910 | ||||||||
Foreign Currency Exchange Contracts | — | 23,847 | — | 23,847 | ||||||||||||
$ | — | $ | 237,757 | $ | — | $ | 237,757 | |||||||||
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
58 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Total | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2022 | $ | 4,440 | $ | — | (a) | $ | 12,129,451 | $ | — | (a) | $ | 12,133,891 | ||||||||||||||||
Transfers into Level 3(b) | — | — | 11,247,218 | — | 11,247,218 | |||||||||||||||||||||||
Transfers out of Level 3(c) | — | — | (1,692,162 | ) | — | (1,692,162 | ) | |||||||||||||||||||||
Accrued discounts/premiums | — | — | 228,810 | — | 228,810 | |||||||||||||||||||||||
Net realized gain (loss) | (213,184 | ) | — | (43,592 | ) | — | (256,776 | ) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | 212,665 | — | 338,425 | — | 551,090 | |||||||||||||||||||||||
Purchases | — | — | 5,041,133 | — | 5,041,133 | |||||||||||||||||||||||
Sales | (822 | ) | — | (2,661,857 | ) | — | (2,662,679 | ) | ||||||||||||||||||||
Closing balance, as of June 30, 2023 | $ | 3,099 | $ | — | (a) | $ | 24,587,426 | $ | — | (a) | $ | 24,590,525 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) | $ | — | $ | — | $ | 289,540 | $ | — | $ | 289,540 | ||||||||||||||||||
(a) | Rounds to less than $1. |
(b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. |
S C H E D U L E O F I N V E S T M E N T S | 59 |
Schedule of Investments (unaudited) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
Sterling COOFS Trust(a) | ||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | $ | 537 | $ | 5,371 | ||||
Series 2004-2, Class Note, 2.08%, 03/30/30(b)(c) | 324 | 3,322 | ||||||
Total Asset-Backed Securities — 0.0% (Cost: $79,485) | 8,693 | |||||||
Non-Agency Mortgage-Backed Securities | ||||||||
Collateralized Mortgage Obligations — 7.8% | ||||||||
Fannie Mae, Series 2020-57, Class LI, 2.00%, 08/25/50 | 5,500 | 4,001,101 | ||||||
Freddie Mac REMICS | ||||||||
Series 3745, Class LK, 4.00%, 10/15/40 | 3,500 | 3,335,806 | ||||||
Series 5249, Class LB, 4.00%, 08/25/52 | 6,295 | 5,741,495 | ||||||
Ginnie Mae Mortgage-Backed Securities, Series 2022-63, Class ZM, 3.50%, 10/20/50 | 4,338 | 3,526,535 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
Series 2018-2, Class MA, 3.50%, 11/25/57 | 541 | 508,750 | ||||||
Series 2018-4, Class MA, 3.50%, 03/25/58 | 3,108 | 2,914,738 | ||||||
Series 2019-1, Class MA, 3.50%, 07/25/58 | 979 | 916,326 | ||||||
Series 2019-2, Class MA, 3.50%, 08/25/58 | 392 | 366,535 | ||||||
Small Business Administration, Series 2000-1, 1.00%, 03/15/21(a) | 4 | — | ||||||
21,311,286 | ||||||||
Commercial Mortgage-Backed Securities — 1.9% | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, (1-mo. LIBOR US + 0.85%), 6.04%, 09/15/34(b)(c) | 607 | 602,983 | ||||||
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.01%, 04/15/36(b)(c) | 250 | 240,662 | ||||||
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 6.84%, 03/15/40(b)(c) | 500 | 492,545 | ||||||
BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.31%, 10/15/39(b)(c) | 750 | 748,824 | ||||||
Citigroup Commercial Mortgage CGCMT, 6.01%, 06/10/28 | 340 | 339,352 | ||||||
CSAIL Commercial Mortgage Trust(b) | ||||||||
Series 2018-C14, Class XA, 0.70%, 11/15/51 | 1,995 | 47,702 | ||||||
Series 2019-C16, Class XA, 1.71%, 06/15/52 | 6,356 | 425,624 | ||||||
GS Mortgage Securities Corp. Trust, Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.34%, 08/15/39(b)(c) | 560 | 560,175 | ||||||
GS Mortgage Securities Trust, Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.24%, 03/15/28(b)(c) | 280 | 275,439 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1-mo. LIBOR US + 0.95%), 6.14%, 06/15/35(b)(c) | 100 | 95,013 | ||||||
RMBS Miravet Mira 2023 Mile, 6.75%, 06/10/28 | 569 | 567,293 | ||||||
Wells Fargo Commercial Mortgage Trust(b) | ||||||||
Series 2018-AUS, Class A, 4.19%, 08/17/36(c) | 583 | 525,408 | ||||||
Series 2018-C44, Class XA, 0.87%, 05/15/51 | 4,810 | 128,202 | ||||||
5,049,222 | ||||||||
Interest Only Collateralized Mortgage Obligations — 4.7% | ||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 | 133 | 23,270 | ||||||
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50 | 27,161 | 4,117,559 |
Security | Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac, Series 3744, Class CI, 3.00%, 06/25/51 | $ | 19,505 | $ | 2,748,636 | ||||
Freddie Mac REMICS | ||||||||
Series 5083, Class IN, 4.50%, 07/25/32 | 13,084 | 1,279,944 | ||||||
Series 5138, Class IP, 3.00%, 04/25/51 | 18,114 | 2,726,593 | ||||||
Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52 | 11,830 | 1,827,230 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37(a) | 18,826 | 2 | ||||||
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(a)(b) | 5,746 | 6 | ||||||
12,723,240 | ||||||||
Principal Only Collateralized Mortgage Obligations — 2.3% | ||||||||
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 4.00%, 09/25/23 | 7 | 7,268 | ||||||
Fannie Mae, Series 2011-90, Class AO, 4.41%, 09/25/41 | 3,646 | 2,754,595 | ||||||
Fannie Mae Strip | ||||||||
4.98%, 07/25/33 | 1,912 | 1,590,994 | ||||||
4.68%, 09/25/39 | 2,232 | 1,717,709 | ||||||
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2.58%, 02/25/36 | 91 | 63,344 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 5.00%, 11/25/35 | 45 | 24,560 | ||||||
6,158,470 | ||||||||
Total Non-Agency Mortgage-Backed Securities — 16.7% (Cost: $46,414,394) | 45,242,218 | |||||||
U.S. Government Sponsored Agency Securities | ||||||||
Agency Obligations — 3.5% | ||||||||
Federal Housing Administration, 7.43%, 05/15/23(a) | — | (d) | — | |||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(e) | 13,000 | 9,637,803 | ||||||
9,637,803 | ||||||||
Collateralized Mortgage Obligations — 60.5% | ||||||||
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 | 2 | 1,803 | ||||||
Fannie Mae REMICS | ||||||||
Series 1993-247, Class SN, (12-mo. LIBOR US + 63.85%), 10.00%, 12/25/23(b) | 1 | 1,354 | ||||||
Series 2004-31, Class ZG, 7.50%, 05/25/34 | 1,976 | 2,115,013 | ||||||
Series 2004-84, Class SD, (1-mo. LIBOR US + 12.75%), 3.99%, 04/25/34(b) | 134 | 132,138 | ||||||
Series 2005-73, Class DS, (1-mo. LIBOR US + 17.55%), 4.16%, 08/25/35(b) | 41 | 38,049 | ||||||
Series 2010-134, Class DB, 4.50%, 12/25/40 | 6,394 | 6,201,481 | ||||||
Series 2010-136, Class CY, 4.00%, 12/25/40 | 3,060 | 2,914,017 | ||||||
Series 2010-47, Class JB, 5.00%, 05/25/30 | 1,977 | 1,936,335 | ||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 | 14,350 | 13,592,763 | ||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 3,821 | 3,611,198 | ||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 | 31,036 | 30,232,814 | ||||||
Series 2012-104, Class QD, 4.00%, 09/25/42 | 1,639 | 1,505,987 | ||||||
Series 2013-81, Class YK, 4.00%, 08/25/43 | 7,000 | 6,505,637 | ||||||
Series 2018-32, Class PS, (1-mo. LIBOR US + 7.23%), 1.22%, 05/25/48(b) | 4,380 | 3,718,430 | ||||||
Series 2018-50, Class EB, 4.00%, 07/25/48 | 2,001 | 1,912,314 | ||||||
Freddie Mac REMICS | ||||||||
Series 2218, Class Z, 8.50%, 03/15/30 | 336 | 351,919 | ||||||
Series 2731, Class ZA, 4.50%, 01/15/34 | 1,537 | 1,483,231 |
60 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||
Collateralized Mortgage Obligations (continued) | ||||||
Freddie Mac REMICS (continued) | ||||||
Series 2927, Class BZ, 5.50%, 02/15/35 | $ 1,538 | $ | 1,527,733 | |||
Series 3745, Class ZA, 4.00%, 10/15/40 | 1,242 | 1,176,969 | ||||
Series 3762, Class LN, 4.00%, 11/15/40 | 2,000 | 1,895,384 | ||||
Series 3780, Class ZA, 4.00%, 12/15/40 | 3,260 | 3,101,250 | ||||
Series 3856, Class PB, 5.00%, 05/15/41 | 6,568 | 6,559,273 | ||||
Series 3960, Class PL, 4.00%, 11/15/41 | 2,859 | 2,718,084 | ||||
Series 3963, Class JB, 4.50%, 11/15/41 | 551 | 532,532 | ||||
Series 4016, Class BX, 4.00%, 09/15/41 | 15,408 | 14,650,986 | ||||
Series 4269, Class PM, 4.00%, 08/15/41 | 8,884 | 8,276,851 | ||||
Series 4299, Class JY, 4.00%, 01/15/44 | 1,000 | 935,086 | ||||
Series 4384, Class LB, 3.50%, 08/15/43 | 4,030 | 3,812,801 | ||||
Series 4615, Class LB, 4.50%, 09/15/41 | 7,281 | 7,135,590 | ||||
Series 4748, Class BM, 3.50%, 11/15/47 | 3,351 | 2,884,592 | ||||
Series 4774, Class L, 4.50%, 03/15/48 | 5,500 | 5,358,062 | ||||
Series 4830, Class AV, 4.00%, 10/15/33 | 1,069 | 993,388 | ||||
Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(b) | 74 | 72,833 | ||||
Ginnie Mae | ||||||
Series 2011-88, Class PY, 4.00%, 06/20/41 | 7,829 | 7,456,318 | ||||
Series 2012-16, Class HJ, 4.00%, 09/20/40 | 5,467 | 5,264,314 | ||||
Series 2015-96, Class ZM, 4.00%, 07/20/45 | 8,611 | 7,900,865 | ||||
Series 2018-91, Class ZL, 4.00%, 07/20/48 | 6,255 | 5,674,412 | ||||
164,181,806 | ||||||
Commercial Mortgage-Backed Securities(b) — 0.6% | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates | ||||||
Series K094, Class X1, 1.01%, 06/25/29 | 1,401 | 59,618 | ||||
Series K104, Class X1, 1.25%, 01/25/30 | 1,349 | 77,278 | ||||
Series K105, Class X1, 1.64%, 01/25/30 | 1,818 | 143,045 | ||||
Series K107, Class X1, 1.71%, 01/25/30 | 1,229 | 101,533 | ||||
Series K109, Class X1, 1.70%, 04/25/30 | 938 | 77,692 | ||||
Series K110, Class X1, 1.81%, 04/25/30 | 393 | 34,239 | ||||
Series K113, Class X1, 1.48%, 06/25/30 | 1,591 | 117,747 | ||||
Series K115, Class X1, 1.43%, 06/25/30 | 1,951 | 140,665 | ||||
Series K120, Class X1, 1.13%, 10/25/30 | 3,887 | 219,946 | ||||
Series K122, Class X1, 0.97%, 11/25/30 | 1,668 | 82,787 | ||||
Ginnie Mae | ||||||
Series 2013-63, Class IO, 0.75%, 09/16/51 | 3,503 | 74,098 | ||||
Series 2014-169, Class IO, 0.62%, 10/16/56 | 12,757 | 272,658 | ||||
Series 2016-113, Class IO, 1.18%, 02/16/58 | 3,419 | 175,291 | ||||
1,576,597 | ||||||
Interest Only Collateralized Mortgage Obligations — 7.5% | ||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 | 32 | 1,526 | ||||
Fannie Mae REMICS | ||||||
Series 1997-90, Class M, 6.00%, 01/25/28 | 29 | 336 | ||||
Series 2006-36, Class PS, (1-mo. LIBOR US + 6.60%), 1.45%, 05/25/36(b) | 2,176 | 166,742 | ||||
Series 2011-134, Class ST, (1-mo. LIBOR US + 6.00%), 0.85%, 12/25/41(b) | 12,577 | 1,269,899 | ||||
Series 2013-10, Class PI, 3.00%, 02/25/43 | 3,723 | 439,784 | ||||
Series 2013-45, Class EI, 4.00%, 04/25/43 | 1,338 | 120,531 | ||||
Series 2015-66, Class AS, (1-mo. LIBOR US + 6.25%), 1.10%, 09/25/45(b) | 10,993 | 696,524 | ||||
Series 2017-70, Class SA, (1-mo. LIBOR US + 6.15%), 1.00%, 09/25/47(b) | 16,982 | 1,782,644 | ||||
Series 2020-12, Class JI, 4.50%, 03/25/50 | 7,567 | 1,512,527 |
Security | Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICS (continued) | ||||||||
Series 2021-23, Class CI, 3.50%, 07/25/46 | $ | 18,941 | $ | 3,147,265 | ||||
Freddie Mac REMICS | ||||||||
Series 3744, Class PI, 4.00%, 06/15/39 | 1,078 | 41,907 | ||||||
Series 3796, Class WS, (1-mo. LIBOR US + 6.55%), 1.36%, 02/15/40(b) | 189 | 430 | ||||||
Series 3923, Class SD, (1-mo. LIBOR US + 6.00%), 0.81%, 09/15/41(b) | 16,227 | 1,328,423 | ||||||
Series 3954, Class SL, (1-mo. LIBOR US + 6.00%), 0.81%, 11/15/41(b) | 9,786 | 881,062 | ||||||
Series 4026, Class IO, 4.50%, 04/15/32 | 580 | 46,905 | ||||||
Series 4119, Class SC, (1-mo. LIBOR US + 6.15%), 0.96%, 10/15/42(b) | 222 | 21,663 | ||||||
Series 4706, Class IG, 4.00%, 07/15/47 | 8,064 | 1,338,676 | ||||||
Series 5013, Class JI, 4.00%, 09/25/50 | 19,777 | 2,886,269 | ||||||
Ginnie Mae | ||||||||
Series 2009-116, Class KS, (1-mo. LIBOR US + 6.47%), 1.31%, 12/16/39(b) | 360 | 24,317 | ||||||
Series 2011-52, Class MJ, (1-mo. LIBOR US + 6.65%), 1.50%, 04/20/41(b) | 2,686 | 116,531 | ||||||
Series 2011-52, Class NS, (1-mo. LIBOR US + 6.67%), 1.51%, 04/16/41(b) | 3,389 | 210,113 | ||||||
Series 2012-97, Class JS, (1-mo. LIBOR US + 6.25%), 1.09%, 08/16/42(b) | 4,503 | 109,168 | ||||||
Series 2017-101, Class SL, (1-mo. LIBOR US + 6.20%), 1.04%, 07/20/47(b) | 8,716 | 931,982 | ||||||
Series 2022-60, Class IH, 2.50%, 02/20/51 | 24,207 | 3,282,640 | ||||||
20,357,864 | ||||||||
Mortgage-Backed Securities — 67.8% | ||||||||
Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 - 01/01/57(f) | 31,620 | 30,317,078 | ||||||
Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39(f) | 4,446 | 4,556,123 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
7.50%, 09/15/23 - 11/15/23 | — | (d) | 41 | |||||
8.00%, 05/15/26 - 06/15/27 | 8 | 7,860 | ||||||
5.00%, 10/20/39 | 999 | 1,014,428 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
4.50%, 09/01/25 - 10/01/52(f) | 36,725 | 35,738,216 | ||||||
5.50%, 02/01/33 - 10/01/39(f) | 3,326 | 3,409,812 | ||||||
5.00%, 06/01/33 - 07/13/53(f)(g)(h) | 29,462 | 29,107,511 | ||||||
2.50%, 07/18/38(g) | 180 | 163,864 | ||||||
6.50%, 10/01/38 - 10/01/39 | 1,130 | 1,183,065 | ||||||
4.00%, 01/01/41 - 10/01/52(f) | 40,574 | 38,373,041 | ||||||
3.00%, 07/13/53(g) | 41,900 | 36,873,637 | ||||||
3.50%, 07/13/53(g) | 3,664 | 3,338,677 | ||||||
184,083,353 | ||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 7.00%, 02/25/29 | 16 | 14,512 |
S C H E D U L E O F I N V E S T M E N T S | 61 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Principal Only Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICS, Series 2002-13, Class PR, 4.00%, 03/25/32 | $ | 21 | $ | 19,090 | ||||
Freddie Mac REMICS, Series 1691, Class B, 4.00%, 03/15/24 | 5 | 5,032 | ||||||
38,634 | ||||||||
Total U.S. Government Sponsored Agency Securities — 139.9% (Cost: $428,128,155) | 379,876,057 | |||||||
Total Long-Term Investments — 156.6% (Cost: $474,622,034) | 425,126,968 | |||||||
Short-Term Securities | ||||||||
Borrowed Bond Agreement(i) — 0.3% | ||||||||
BNP Paribas SA, 5.10%, open(j) (Purchased 03/15/2023 to be repurchased at $784,133, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $754,268, respectively) | 784 | 784,035 | ||||||
Shares | ||||||||
Money Market Funds — 2.2% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.98%(k)(l) | 6,098,856 | 6,098,856 | ||||||
Total Short-Term Securities — 2.5% (Cost: $6,882,891) | 6,882,891 | |||||||
Options Purchased — 0.1% (Cost: $228,000) | 140,398 | |||||||
Total Investments Before Borrowed Bonds — 159.2% (Cost: $481,732,925) | 432,150,257 | |||||||
Security | Par (000) | Value | ||||||
Borrowed Bonds | ||||||||
U.S. Governments Obligations — (0.3)% | ||||||||
U.S. Treasury Bonds, 2.75%, 11/15/42(m) | $ (917) | $ | (754,268 | ) | ||||
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) | (754,268 | ) | ||||||
Total Investments, Net of Borrowed Bonds — 158.9% (Cost: $480,890,578) | 431,395,989 | |||||||
Liabilities in Excess of Other Assets — (58.9)% | (159,833,794 | ) | ||||||
Net Assets — 100.0% | $ 271,562,195 | |||||||
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Rounds to less than 1,000. |
(e) | Zero-coupon bond. |
(f) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) | Represents or includes a TBA transaction. |
(h) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(i) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(j) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(k) | Affiliate of the Fund. |
(l) | Annualized 7-day yield as of period end. |
(m) | All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
Affiliated Issuer | Value at 12/31/22 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Shares Held at 06/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T‑Fund, Institutional Class | $ | 5,814,963 | $ | 283,893 | (a) | $ | — | $ | — | $ | — | $ | 6,098,856 | 6,098,856 | $ | 141,813 | $ | — | ||||||||||||||||||
(a) | Represents net amount purchased (sold). |
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||||
Cantor Fitzgerald & Co. | 5.21 | % | 05/09/23 | 07/13/23 | $ | 6,077,087 | $ | 6,121,942 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Cantor Fitzgerald & Co. | 5.21 | 05/09/23 | 07/13/23 | 6,200,926 | 6,246,694 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Cantor Fitzgerald & Co. | 5.21 | 05/09/23 | 07/13/23 | 2,088,700 | 2,106,138 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
62 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) |
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||||||
Cantor Fitzgerald & Co. | 5.21 | % | 05/09/23 | 07/13/23 | $ | 6,076,566 | $ | 6,121,416 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,971,883 | 5,987,649 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,811,506 | 5,826,848 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,937,336 | 5,953,011 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 2,091,422 | 2,096,944 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 4,438,561 | 4,450,279 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,854,456 | 5,869,911 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 2,765,289 | 2,772,589 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 1,448,255 | 1,452,079 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 3,749,852 | 3,759,751 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 3,050,508 | 3,058,561 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 1,277,320 | 1,280,693 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 2,348,677 | 2,354,877 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 2,614,745 | 2,621,647 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,815,536 | 5,830,889 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 3,053,692 | 3,061,754 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 5,891,182 | 5,906,735 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 1,194,543 | 1,197,697 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 4,620,473 | 4,632,671 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 1,279,740 | 1,283,119 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 991,366 | 993,983 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 20,661,266 | 20,715,812 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 5.28 | 06/08/23 | 07/13/23 | 8,863,547 | 8,886,947 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
$ | 120,174,434 | $ | 120,590,636 | |||||||||||||||||||||||
S C H E D U L E O F I N V E S T M E N T S | 63 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
10-Year U.S. Treasury Note | 369 | 09/20/23 | $ | 41,443 | $ | (1,009,760 | ) | |||||||||
Short Contracts | ||||||||||||||||
10-Year U.S. Ultra Long Treasury Note | 167 | 09/20/23 | 19,795 | 227,740 | ||||||||||||
U.S. Long Bond | 130 | 09/20/23 | 16,526 | 70,485 | ||||||||||||
2-Year U.S. Treasury Note | 172 | 09/29/23 | 34,983 | 591,305 | ||||||||||||
5-Year U.S. Treasury Note | 62 | 09/29/23 | 6,643 | 128,796 | ||||||||||||
1,018,326 | ||||||||||||||||
$ | 8,566 | |||||||||||||||
Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/13/33 | | 1-Day SOFR, 1.09% | Quarterly | 3.00 | % | Semi‑Annual | | Deutsche Bank AG | | 12/11/23 | 3.00 | % | USD 15,000 | $ | 140,398 | |||||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective | Termination | Notional | Upfront Premium Paid | Unrealized Appreciation | ||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||||||||
1-Day SOFR, 1.09% | Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD 137 | $ | (14,575 | ) | $ | (16 | ) | $ | (14,559 | ) | |||||||||||||||||||||||||
0.18% | Quarterly | 1‑Day FEDL, 5.08% | Quarterly | N/A | 10/21/25 | USD 137 | 14,608 | 13 | 14,595 | |||||||||||||||||||||||||||||||
$ | 33 | $ | (3 | ) | $ | 36 | ||||||||||||||||||||||||||||||||||
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps(a) | $ | 13 | $ | (16 | ) | $ | 14,595 | $ | (14,559 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
64 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 1,018,326 | $ | — | $ | 1,018,326 | ||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | — | — | 140,398 | — | 140,398 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) | — | — | — | — | 14,595 | — | 14,595 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 1,173,319 | $ | — | $ | 1,173,319 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 1,009,760 | $ | — | $ | 1,009,760 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | — | — | — | 14,559 | — | 14,559 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 1,024,319 | $ | — | $ | 1,024,319 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 682,998 | $ | — | $ | 682,998 | ||||||||||||||
Swaps | — | — | — | — | (16 | ) | — | (16 | ) | |||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 682,982 | $ | — | $ | 682,982 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (55,430 | ) | $ | — | $ | (55,430 | ) | ||||||||||||
Options purchased(a) | — | — | — | — | (87,602 | ) | — | (87,602 | ) | |||||||||||||||||||
Swaps | — | — | — | — | 43 | — | 43 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | (142,989 | ) | $ | — | $ | (142,989 | ) | |||||||||||||
(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | ||||
Average notional value of contracts — long | $ | 43,561,563 | ||
Average notional value of contracts — short | $ | 87,549,532 | ||
Options: | ||||
Average notional value of swaption contracts purchased | $ | 15,000,000 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 136,615 | ||
Average notional value — receives fixed rate | $ | 136,615 |
S C H E D U L E O F I N V E S T M E N T S | 65 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Income Trust, Inc. (BKT) |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Futures contracts | $ | — | $ | 127,542 | ||||
Options | 140,398 | — | ||||||
Swaps — centrally cleared | 71 | — | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 140,469 | 127,542 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (71 | ) | (127,542 | ) | ||||
Total derivative assets and liabilities subject to an MNA | $ | 140,398 | $ | — | ||||
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset | | | Non-Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | (a) | |||||
Deutsche Bank AG | $ | 140,398 | $ | — | $ | — | $ | — | $ | 140,398 | ||||||||||
(a) | Net amount represents the net amount receivable from the counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 8,693 | $ | 8,693 | ||||||||
Non-Agency Mortgage-Backed Securities | — | 45,242,210 | 8 | 45,242,218 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 379,876,057 | — | 379,876,057 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Borrowed Bond Agreement | — | 784,035 | — | 784,035 | ||||||||||||
Money Market Funds | 6,098,856 | — | — | 6,098,856 | ||||||||||||
Options Purchased | ||||||||||||||||
Interest Rate Contracts | — | 140,398 | — | 140,398 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
Borrowed Bonds | — | (754,268 | ) | — | (754,268 | ) | ||||||||||
$ | 6,098,856 | $ | 425,288,432 | $ | 8,701 | $ | 431,395,989 | |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest Rate Contracts | $ | 1,018,326 | $ | 14,595 | $ | — | $ | 1,032,921 | ||||||||
Liabilities | ||||||||||||||||
Interest Rate Contracts | (1,009,760 | ) | (14,559 | ) | — | (1,024,319 | ) | |||||||||
$ | 8,566 | $ | 36 | $ | — | $ | 8,602 | |||||||||
(a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
66 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities | ||||||||||
AIMCO CLO, Series 2017-AA, Class CR, (3-mo. LIBOR US + 2.10%), 7.35%, 04/20/34(a)(b) | USD | 1,000 | $ | 966,017 | ||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3-mo. LIBOR US + 3.00%), 8.26%, 10/21/28(a)(b) | 1,000 | 945,126 | ||||||||
ALM Ltd., Series 2020-1A, Class D, (3-mo. LIBOR US + 6.00%), 11.26%, 10/15/29(a)(b) | 285 | 259,176 | ||||||||
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3-mo. LIBOR US + 5.50%), 10.77%, 01/28/31(a)(b) | 850 | 698,475 | ||||||||
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3-mo. LIBOR US + 2.60%), 7.87%, 01/28/31(a)(b) | 250 | 227,476 | ||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3-mo. LIBOR US + 3.50%), 8.77%, 01/28/31(a)(b) | 1,000 | 943,555 | ||||||||
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. LIBOR US + 0.90%), 6.16%, 07/18/29(a)(b) | 445 | 442,102 | ||||||||
Argent Securities Trust, Series 2006-W5, Class A1A, (1-mo. LIBOR US + 0.30%), 5.45%, 06/25/36(a) | 4,114 | 2,662,409 | ||||||||
Bain Capital Credit CLO Ltd.(a)(b) | ||||||||||
Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.30%), 8.57%, 07/19/34 | 300 | 265,017 | ||||||||
Series 2021-3A, Class D, (3-mo. LIBOR US + 3.10%), 8.37%, 07/24/34 | 250 | 224,075 | ||||||||
Barings CLO Ltd., Series 2017-1A, Class D, (3-mo. LIBOR US + 3.60%), 8.86%, 07/18/29(a)(b) | 250 | 244,959 | ||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3-mo. LIBOR US + 0.87%), 6.13%, 07/15/29(a)(b) | 160 | 159,346 | ||||||||
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3-mo. LIBOR US + 2.05%), 7.31%, 07/15/34(a)(b) | 250 | 238,375 | ||||||||
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3-mo. LIBOR US + 2.90%), 8.16%, 04/15/34(a)(b) | 500 | 454,549 | ||||||||
Carlyle U.S. CLO Ltd., Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.02%), 6.27%, 04/20/31(a)(b) | 250 | 247,825 | ||||||||
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 04/20/32(a)(b) | 250 | 243,581 | ||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. LIBOR US + 6.44%), 11.69%, 07/20/32(a)(b) | 500 | 446,067 | ||||||||
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b) | 250 | 246,935 | ||||||||
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. LIBOR US + 1.60%), 6.86%, 07/15/33(a)(b) | 500 | 491,308 | ||||||||
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 6.85%, 04/20/35(a)(b) | 450 | 432,616 | ||||||||
CIFC Funding I Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.10%), 8.35%, 04/20/32(a)(b) | 500 | 483,132 | ||||||||
CIFC Funding Ltd., Series 2013-4A, Class DRR, (3-mo. LIBOR US + 2.80%), 8.09%, 04/27/31(a)(b) | 250 | 236,118 |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities (continued) | ||||||||||
CIFC Funding VII Ltd.(a)(b) | ||||||||||
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.42%, 10/22/35 | USD | 250 | $ | 250,140 | ||||||
Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.01%, 10/22/35 | 500 | 496,972 | ||||||||
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(c) | 334 | 217,607 | ||||||||
Clear Creek CLO, Series 2015-1A, Class DR, (3‑mo. LIBOR US + 2.95%), 8.20%, 10/20/30(a)(b) | 250 | 234,463 | ||||||||
Countrywide Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1-mo. LIBOR US + 0.14%), 5.29%, 06/25/37(a) | 518 | 475,803 | ||||||||
Dryden 106 CLO Ltd., Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 13.43%, 10/15/35(a)(b) | 500 | 500,090 | ||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3-mo. LIBOR US + 2.65%), 7.91%, 04/18/31(a)(b) | 250 | 228,468 | ||||||||
Elmwood CLO I Ltd., Series 2019-1A, Class ER, (3-mo. LIBOR US + 7.71%), 12.96%, 10/20/33(a)(b) | 250 | 245,216 | ||||||||
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. LIBOR US + 6.80%), 12.05%, 04/20/34(a)(b) | 250 | 244,434 | ||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. LIBOR US + 1.70%), 6.96%, 04/15/33(a)(b) | 500 | 491,179 | ||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 10/20/34(a)(b) | 436 | 425,898 | ||||||||
Generate CLO 3 Ltd., Series 3A, Class DR, (3-mo. LIBOR US + 3.60%), 8.85%, 10/20/29(a)(b) | 250 | 245,910 | ||||||||
Generate CLO 4 Ltd., Series 4A, Class ER, (3-mo. LIBOR US + 6.75%), 12.00%, 04/20/32(a)(b) | 1,000 | 932,751 | ||||||||
Generate CLO 6 Ltd., Series DR, Class 6A, (3-mo. LIBOR US + 3.50%), 8.77%, 01/22/35(a)(b) | 750 | 701,248 | ||||||||
Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3-mo. LIBOR US + 6.56%), 11.81%, 07/20/34(a)(b) | 250 | 235,826 | ||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3-mo. LIBOR US + 6.45%), 11.71%, 04/15/33(a)(b) | 250 | 218,946 | ||||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. LIBOR US + 1.80%), 7.06%, 07/15/34(a)(b) | 250 | 248,715 | ||||||||
Jay Park CLO Ltd., Series 2016-1A, Class CR, (3-mo. LIBOR US + 2.65%), 7.90%, 10/20/27(a)(b) | 250 | 245,055 | ||||||||
LCM XIII LP, Series 13A, Class AR3, (3-mo. LIBOR US + 0.87%), 6.14%, 07/19/27(a)(b) | 389 | 386,514 | ||||||||
Madison Park Funding XLV Ltd., (3-mo. LIBOR US + 1.70%), 7.27%, 07/15/34(a)(b) | 300 | 291,750 | ||||||||
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. LIBOR US + 3.60%), 8.86%, 07/21/30(a)(b) | 500 | 487,875 | ||||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. LIBOR US + 0.94%), 6.20%, 10/21/30(a)(b) | 496 | 491,009 | ||||||||
Madison Park Funding XXIX Ltd.(a)(b) | ||||||||||
Series 2018-29A, Class D, (3-mo. LIBOR US + 3.00%), 8.26%, 10/18/30 | 510 | 491,375 |
S C H E D U L E O F I N V E S T M E N T S | 67 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities (continued) | ||||||||||
Madison Park Funding XXIX Ltd.(a)(b) (continued) | ||||||||||
Series 2018-29A, Class E, (3-mo. LIBOR US + 5.70%), 10.96%, 10/18/30 | USD | 250 | $ | 233,243 | ||||||
Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, (3-mo. LIBOR US + 0.97%), 6.23%, 04/25/29(a)(b) | 975 | 968,992 | ||||||||
Madison Park Funding XXVI Ltd., Series 2007-4A, Class DR, (3-mo. LIBOR US + 3.00%), 8.30%, 07/29/30(a)(b) | 250 | 235,195 | ||||||||
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 07/15/33(a)(b) | 800 | 788,494 | ||||||||
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b) | 250 | 243,750 | ||||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3-mo. LIBOR US + 6.50%), 11.76%, 07/15/34(a)(b) | 790 | 718,953 | ||||||||
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3-mo. LIBOR US + 6.10%), 11.37%, 01/20/32(a)(b) | 425 | 391,304 | ||||||||
Neuberger Berman Loan Advisers NBLA CLO 52 Ltd., Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 10.82%, 10/24/35(a)(b) | 500 | 500,151 | ||||||||
OCP CLO Ltd.(a)(b) | ||||||||||
Series 2017-14A, Class A2, (3-mo. LIBOR US + 1.50%), 6.88%, 11/20/30 | 300 | 294,280 | ||||||||
Series 2019-16A, Class DR, (3-mo. LIBOR US + 3.15%), 8.36%, 04/10/33 | 250 | 231,747 | ||||||||
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. LIBOR US + 3.05%), 8.31%, 07/15/34(a)(b) | 250 | 231,769 | ||||||||
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class E, (3-mo. LIBOR US + 6.30%), 11.55%, 07/20/30(a)(b) | 500 | 433,047 | ||||||||
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, (3-mo. LIBOR US + 0.97%), 6.24%, 07/19/30(a)(b) | 1,697 | 1,686,054 | ||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2, (3-mo. LIBOR US + 1.40%), 6.66%, 01/25/31(a)(b) | 250 | 243,278 | ||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. LIBOR US + 1.70%), 6.96%, 10/25/34(a)(b) | 250 | 244,303 | ||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3-mo. LIBOR US + 3.15%), 8.41%, 10/17/29(a)(b) | 250 | 243,369 | ||||||||
OZLM XXI Ltd., Series 2017-21A, Class D, (3-mo. LIBOR US + 5.54%), 10.79%, 01/20/31(a)(b) | 250 | 206,592 | ||||||||
Rad CLO Ltd., Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.35%, 10/20/35(a)(b) | 250 | 240,676 | ||||||||
Regatta IX Funding Ltd., Series 2022-1A, Class D, (3-mo. LIBOR US + 3.90%), 9.16%, 04/17/30(a)(b) | 500 | 486,546 | ||||||||
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. LIBOR US + 1.45%), 6.71%, 01/15/34(a)(b) | 300 | 293,360 | ||||||||
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3-mo. LIBOR US + 3.10%), 8.35%, 01/20/35(a)(b) | 250 | 241,535 |
Security | Par (000) | Value | ||||||||
Asset-Backed Securities (continued) | ||||||||||
Regatta XXV Funding Ltd., (3-mo. Term SOFR + 8.41%), 13.65%, 07/15/36(a)(b) | USD | 500 | $ | 490,000 | ||||||
Regional Management Issuance Trust, 3.88%, 10/17/33(d) | 980 | 846,524 | ||||||||
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. LIBOR US + 2.85%), 8.11%, 10/15/29(a)(b) | 500 | 470,124 | ||||||||
Sterling COOFS Trust(b)(d) | ||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29(a) | 637 | 6,375 | ||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 | 878 | 5,520 | ||||||||
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 6.92%, 04/23/35(a)(b) | 300 | 294,546 | ||||||||
Trimaran CAVU Ltd.(a)(b) | ||||||||||
Series 2021-1A, Class D, (3-mo. LIBOR US + 3.45%), 8.72%, 04/23/32 | 250 | 240,991 | ||||||||
Series 2021-2A, Class D1, (3-mo. LIBOR US + 3.25%), 8.51%, 10/25/34 | 500 | 478,488 | ||||||||
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27(e) | GBP | 32 | 40,449 | |||||||
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 10/17/32(a)(b) | USD | 500 | 494,125 | |||||||
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.35%), 8.62%, 10/24/34(a)(b) | 500 | 478,425 | ||||||||
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3-mo. LIBOR US + 3.35%), 8.61%, 10/15/34(a)(b) | 250 | 238,807 | ||||||||
Total Asset-Backed Securities — 6.9% (Cost: $34,738,867) | 33,586,495 | |||||||||
Shares | ||||||||||
Common Stocks | ||||||||||
Construction & Engineering — 0.0% | ||||||||||
McDermott International Ltd.(f) | 47,837 | 8,611 | ||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(g) | 2,869 | — | ||||||||
Financial Services — 0.0% | ||||||||||
NMG Parent LLC | 1,330 | 164,033 | ||||||||
Household Products — 0.0% | ||||||||||
Berkline Benchcraft Equity LLC(d) | 3,155 | — | ||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Ameriforge Group, Inc. | 801 | 8 | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Kcad Holdings I Ltd.(d) | 546,753,936 | 5,467 | ||||||||
Total Common Stocks — 0.0% (Cost: $6,822,812) | 178,119 | |||||||||
68 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Corporate Bonds | ||||||||||
Aerospace & Defense — 3.1% | ||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(b) | USD | 156 | $ | 150,882 | ||||||
Bombardier, Inc.(b) | ||||||||||
7.50%, 03/15/25 | 17 | 17,029 | ||||||||
7.13%, 06/15/26(h) | 1,191 | 1,182,976 | ||||||||
7.88%, 04/15/27(h) | 605 | 603,442 | ||||||||
6.00%, 02/15/28(h) | 539 | 509,411 | ||||||||
7.50%, 02/01/29(h) | 660 | 652,308 | ||||||||
7.45%, 05/01/34 | 100 | 114,000 | ||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(h) | 423 | 382,815 | ||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 | 4 | 3,955 | ||||||||
Northrop Grumman Corp., 3.85%, 04/15/45(h) | 600 | 488,947 | ||||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b)(h) | 1,018 | 995,354 | ||||||||
Spirit AeroSystems, Inc.(b) | ||||||||||
7.50%, 04/15/25 | 32 | 31,620 | ||||||||
9.38%, 11/30/29(h) | 607 | 649,839 | ||||||||
TransDigm, Inc. | ||||||||||
6.25%, 03/15/26(b)(h) | 5,693 | 5,665,177 | ||||||||
6.38%, 06/15/26 | 46 | 45,402 | ||||||||
7.50%, 03/15/27 | 105 | 105,149 | ||||||||
6.75%, 08/15/28(b) | 2,352 | 2,360,914 | ||||||||
Triumph Group, Inc., 9.00%, 03/15/28(b)(h) | 881 | 899,535 | ||||||||
14,858,755 | ||||||||||
Automobile Components — 1.3% | ||||||||||
Aptiv PLC, 4.40%, 10/01/46(h) | 240 | 185,824 | ||||||||
Clarios Global LP, 6.75%, 05/15/25(b) | 528 | 528,323 | ||||||||
Clarios Global LP/Clarios U.S. Finance Co. | ||||||||||
4.38%, 05/15/26(e) | EUR | 200 | 207,676 | |||||||
6.25%, 05/15/26(b)(h) | USD | 1,409 | 1,399,926 | |||||||
8.50%, 05/15/27(b)(h) | 2,555 | 2,559,180 | ||||||||
6.75%, 05/15/28(b)(h) | 798 | 795,209 | ||||||||
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(e) | EUR | 100 | 112,557 | |||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b). | USD | 174 | 158,508 | |||||||
Forvia, 3.75%, 06/15/28(e) | EUR | 100 | 98,794 | |||||||
Goodyear Tire & Rubber Co. | ||||||||||
5.00%, 07/15/29(h) | USD | 104 | 93,781 | |||||||
5.63%, 04/30/33 | 109 | 94,892 | ||||||||
ZF Finance GmbH, 2.00%, 05/06/27(e) | EUR | 100 | 94,798 | |||||||
6,329,468 | ||||||||||
Automobiles — 1.5% | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||
4.50%, 03/01/28 | USD | 129 | 118,268 | |||||||
4.75%, 03/01/30 | 124 | 110,186 | ||||||||
5.00%, 02/15/32(b) | 130 | 113,190 | ||||||||
Ford Motor Co. | ||||||||||
4.35%, 12/08/26 | 11 | 10,631 | ||||||||
3.25%, 02/12/32(h) | 469 | 368,955 | ||||||||
6.10%, 08/19/32(h) | 179 | 173,479 | ||||||||
Ford Motor Credit Co. LLC | ||||||||||
3.81%, 01/09/24(h) | 629 | 620,036 | ||||||||
2.75%, 06/14/24 | GBP | 100 | 121,240 | |||||||
4.69%, 06/09/25 | USD | 200 | 192,653 | |||||||
5.13%, 06/16/25(h) | 490 | 476,540 | ||||||||
3.38%, 11/13/25 | 200 | 185,975 | ||||||||
4.39%, 01/08/26(h) | 400 | 378,561 | ||||||||
6.86%, 06/05/26 | GBP | 108 | 133,664 |
Security | Par (000) | Value | ||||||||
Automobiles (continued) | ||||||||||
Ford Motor Credit Co. LLC (continued) | ||||||||||
2.70%, 08/10/26 | USD | 295 | $ | 263,369 | ||||||
4.95%, 05/28/27(h) | 200 | 188,657 | ||||||||
6.80%, 05/12/28(h) | 582 | 582,534 | ||||||||
7.35%, 03/06/30(h) | 600 | 612,745 | ||||||||
3.63%, 06/17/31(h) | 400 | 327,850 | ||||||||
General Motors Financial Co., Inc., 6.00%, 01/09/28(h) | 1,000 | 1,008,014 | ||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) | 122 | 107,302 | ||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | 292 | 249,876 | ||||||||
Lithia Motors, Inc., 3.88%, 06/01/29(b) | 131 | 113,820 | ||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | 178 | 141,336 | ||||||||
Renault SA, 2.38%, 05/25/26(e) | EUR | 100 | 100,771 | |||||||
TML Holdings Pte. Ltd., 4.35%, 06/09/26(e)(h) | USD | 200 | 186,282 | |||||||
Wabash National Corp., 4.50%, 10/15/28(b) | 220 | 190,766 | ||||||||
7,076,700 | ||||||||||
Banks — 0.6% | ||||||||||
Banco BPM SpA(a)(e) | ||||||||||
(3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28 | EUR | 150 | 162,540 | |||||||
(5-year EUR Swap + 3.17%), 2.88%, 06/29/31 | 100 | 95,226 | ||||||||
Banco Espirito Santo SA(e)(f)(i) | ||||||||||
4.75%, 01/15/18 | 100 | 25,098 | ||||||||
4.00%, 01/21/19 | 100 | 25,098 | ||||||||
Bangkok Bank PCL, (5-year CMT + 4.73%), 5.00%(a)(e)(j) | USD | 201 | 190,625 | |||||||
Bank of Communications Co. Ltd., (5-year CMT + 3.35%), 3.80%(a)(e)(j) | 200 | 191,872 | ||||||||
Chong Hing Bank Ltd., (5-year CMT + 3.86%), 5.70%(a)(e)(j) | 250 | 242,565 | ||||||||
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34(a)(h) | 430 | 433,746 | ||||||||
Credit Suisse AG/New York, 5.00%, 07/09/27(h) | 1,200 | 1,158,469 | ||||||||
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)(h) | 200 | 190,406 | ||||||||
Krung Thai Bank PCL, (5-year CMT + 3.53%), 4.40%(a)(e)(h)(j) | 202 | 185,357 | ||||||||
2,901,002 | ||||||||||
Beverages — 2.1% | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(h) | 800 | 764,633 | ||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h)(k) | 834 | 675,244 | ||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) | ||||||||||
6.00%, 06/15/27(h) | 400 | 392,946 | ||||||||
3.25%, 09/01/28 | 200 | 171,794 | ||||||||
4.00%, 09/01/29(h) | 2,234 | 1,769,314 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | ||||||||||
5.25%, 04/30/25(b) | 200 | 195,619 | ||||||||
2.13%, 08/15/26(e) | EUR | 200 | 193,709 | |||||||
5.25%, 08/15/27(b) | USD | 202 | 171,110 | |||||||
Ball Corp., 6.00%, 06/15/29(h) | 193 | 191,553 | ||||||||
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b)(h) | 211 | 192,537 | ||||||||
Mauser Packaging Solutions Holding Co.(b) | ||||||||||
7.88%, 08/15/26(h) | 3,282 | 3,260,695 | ||||||||
9.25%, 04/15/27 | 92 | 84,916 |
S C H E D U L E O F I N V E S T M E N T S | 69 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Beverages (continued) | ||||||||||
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b) | USD | 39 | $ | 38,617 | ||||||
Trivium Packaging Finance BV(b)(h) | ||||||||||
5.50%, 08/15/26 | 1,004 | 963,995 | ||||||||
8.50%, 08/15/27 | 965 | 928,925 | ||||||||
9,995,607 | ||||||||||
Biotechnology — 0.0% | ||||||||||
Cidron Aida Finco SARL, 5.00%, 04/01/28(e) | EUR | 100 | 98,632 | |||||||
Broadline Retail — 0.0% | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b)(h) | USD | 123 | 114,487 | |||||||
Building Materials — 1.1% | ||||||||||
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | 207 | 195,614 | ||||||||
Emerald Debt Merger Sub LLC | ||||||||||
6.38%, 12/15/30(e) | EUR | 100 | 108,711 | |||||||
6.63%, 12/15/30(b)(h) | USD | 2,594 | 2,571,303 | |||||||
James Hardie International Finance DAC, 5.00%, 01/15/28(b) | 200 | 187,382 | ||||||||
Jeld-Wen, Inc.(b) | ||||||||||
6.25%, 05/15/25 | 146 | 147,278 | ||||||||
4.63%, 12/15/25 | 171 | 165,656 | ||||||||
Masonite International Corp., Class C, 5.38%, 02/01/28(b) | 101 | 96,275 | ||||||||
New Enterprise Stone & Lime Co., Inc.(b) | ||||||||||
5.25%, 07/15/28 | 81 | 73,712 | ||||||||
9.75%, 07/15/28 | 205 | 197,759 | ||||||||
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b)(h) | 552 | 520,560 | ||||||||
Standard Industries, Inc.(b) | ||||||||||
5.00%, 02/15/27 | 209 | 199,187 | ||||||||
4.75%, 01/15/28 | 80 | 74,499 | ||||||||
4.38%, 07/15/30(h) | 697 | 603,670 | ||||||||
3.38%, 01/15/31 | 326 | 262,444 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 92 | 86,919 | ||||||||
5,490,969 | ||||||||||
Building Products(b) — 0.9% | ||||||||||
Advanced Drainage Systems, Inc. | ||||||||||
5.00%, 09/30/27 | 306 | 289,603 | ||||||||
6.38%, 06/15/30(h) | 412 | 407,579 | ||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | 123 | 108,855 | ||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 83 | 69,305 | ||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 371 | 326,480 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 87 | 82,198 | ||||||||
SRS Distribution, Inc.(h) | ||||||||||
4.63%, 07/01/28 | 492 | 439,245 | ||||||||
6.13%, 07/01/29 | 499 | 430,952 | ||||||||
6.00%, 12/01/29 | 685 | 591,189 | ||||||||
White Cap Buyer LLC, 6.88%, 10/15/28(h) | 1,482 | 1,343,063 | ||||||||
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(k) | 235 | 225,114 | ||||||||
4,313,583 | ||||||||||
Capital Markets — 1.2% | ||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) | 77 | 78,922 |
Security | Par (000) | Value | ||||||||
Capital Markets (continued) | ||||||||||
Blackstone Private Credit Fund | ||||||||||
7.05%, 09/29/25 | USD | 79 | $ | 78,795 | ||||||
3.25%, 03/15/27 | 75 | 64,809 | ||||||||
Charles Schwab Corp., Series H, (10-year CMT + 3.08%), 4.00%(a)(h)(j) | 2,000 | 1,459,500 | ||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(h) | 214 | 187,575 | ||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32(h) | 498 | 402,092 | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||
6.25%, 05/15/26(h) | 432 | 393,170 | ||||||||
5.25%, 05/15/27(h) | 674 | 581,258 | ||||||||
4.38%, 02/01/29 | 323 | 253,781 | ||||||||
Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a)(h) | 100 | 98,704 | ||||||||
NFP Corp.(b)(h) | ||||||||||
4.88%, 08/15/28 | 550 | 491,252 | ||||||||
6.88%, 08/15/28 | 1,386 | 1,203,076 | ||||||||
7.50%, 10/01/30 | 105 | 101,662 | ||||||||
Northern Trust Corp., 6.13%, 11/02/32(h) | 219 | 227,047 | ||||||||
Owl Rock Capital Corp., 3.40%, 07/15/26 | 63 | 55,803 | ||||||||
Owl Rock Core Income Corp. | ||||||||||
3.13%, 09/23/26 | 43 | 37,053 | ||||||||
7.75%, 09/16/27(b)(h) | 302 | 300,471 | ||||||||
6,014,970 | ||||||||||
Chemicals — 1.6% | ||||||||||
Ashland LLC, 3.38%, 09/01/31(b) | 164 | 130,993 | ||||||||
Avient Corp., 7.13%, 08/01/30(b) | 106 | 107,211 | ||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b)(h) | 447 | 380,509 | ||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b)(h) | 170 | 160,233 | ||||||||
Chemours Co.(b) | ||||||||||
5.75%, 11/15/28 | 46 | 42,269 | ||||||||
4.63%, 11/15/29 | 175 | 147,895 | ||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b)(h) | 1,508 | 1,315,543 | ||||||||
HB Fuller Co., 4.25%, 10/15/28 | 110 | 97,904 | ||||||||
Herens Holdco SARL, 4.75%, 05/15/28(b)(h) | 612 | 474,300 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)(h) | 352 | 306,719 | ||||||||
INEOS Quattro Finance 2 PLC, 2.50%, 01/15/26(e) | EUR | 100 | 97,494 | |||||||
Ingevity Corp., 3.88%, 11/01/28(b) | USD | 84 | 71,717 | |||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(k) | 259 | 170,940 | ||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | 133 | 111,081 | ||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 169 | 153,790 | ||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | 67 | 65,458 | ||||||||
Olympus Water U.S. Holding Corp. | ||||||||||
9.63%, 11/15/28(e) | EUR | 100 | 104,755 | |||||||
9.75%, 11/15/28(b)(h) | USD | 538 | 524,711 | |||||||
Sasol Financing USA LLC, 5.50%, 03/18/31 | 200 | 156,968 | ||||||||
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)(h) | 439 | 400,211 | ||||||||
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b)(h) | 460 | 365,530 | ||||||||
WESCO Distribution, Inc.(b)(h) | ||||||||||
7.13%, 06/15/25 | 676 | 683,122 | ||||||||
7.25%, 06/15/28 | 636 | 648,756 |
70 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Chemicals (continued) | ||||||||||
WR Grace Holdings LLC(b) | ||||||||||
4.88%, 06/15/27 | USD | 122 | $ | 113,147 | ||||||
5.63%, 08/15/29(h) | 1,131 | 926,628 | ||||||||
7.38%, 03/01/31 | 197 | 193,056 | ||||||||
7,950,940 | ||||||||||
Commercial Services & Supplies — 1.5% | ||||||||||
ADT Security Corp.(b) | ||||||||||
4.13%, 08/01/29 | 27 | 23,321 | ||||||||
4.88%, 07/15/32 | 39 | 33,345 | ||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | 200 | 188,000 | ||||||||
APX Group, Inc., 5.75%, 07/15/29(b)(h) | 268 | 232,598 | ||||||||
Cablevision Lightpath LLC, 3.88%, 09/15/27(b) | 200 | 167,500 | ||||||||
Fortress Transportation and Infrastructure Investors LLC(b) | ||||||||||
6.50%, 10/01/25(h) | 545 | 536,914 | ||||||||
9.75%, 08/01/27 | 227 | 234,439 | ||||||||
5.50%, 05/01/28(h) | 663 | 606,647 | ||||||||
Garda World Security Corp., 9.50%, 11/01/27(b) | 68 | 65,694 | ||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b)(h) | 626 | 599,800 | ||||||||
Hertz Corp.(b) | ||||||||||
4.63%, 12/01/26 | 126 | 113,715 | ||||||||
5.00%, 12/01/29(h) | 101 | 83,490 | ||||||||
LABL, Inc., 9.50%, 11/01/28(b) | 439 | 446,632 | ||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | 125 | 107,826 | ||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | 239 | 213,905 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | ||||||||||
5.25%, 04/15/24 | 113 | 112,068 | ||||||||
5.75%, 04/15/26 | 608 | 596,830 | ||||||||
6.25%, 01/15/28(h) | 180 | 168,624 | ||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(h) | 653 | 507,708 | ||||||||
United Rentals North America, Inc., 6.00%, 12/15/29(b)(h) | 1,720 | 1,715,770 | ||||||||
Verisure Holding AB, 9.25%, 10/15/27(e) | EUR | 100 | 115,940 | |||||||
Williams Scotsman International, Inc.(b) | ||||||||||
6.13%, 06/15/25(h) | USD | 403 | 400,010 | |||||||
4.63%, 08/15/28 | 243 | 222,119 | ||||||||
7,492,895 | ||||||||||
Communications Equipment(b) — 0.5% | ||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25(h) . | 713 | 664,565 | ||||||||
CommScope, Inc.(h) | ||||||||||
6.00%, 03/01/26 | 301 | 280,524 | ||||||||
8.25%, 03/01/27 | 158 | 126,397 | ||||||||
7.13%, 07/01/28 | 138 | 97,980 | ||||||||
4.75%, 09/01/29 | 416 | 327,975 | ||||||||
Viasat, Inc. | ||||||||||
5.63%, 09/15/25(h) | 484 | 468,991 | ||||||||
5.63%, 04/15/27 | 67 | 62,555 | ||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29(h) | 261 | 221,773 | ||||||||
2,250,760 | ||||||||||
Construction Materials(b) — 0.1% | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(h) | 331 | 307,831 | ||||||||
Resideo Funding, Inc., 4.00%, 09/01/29 | 59 | 48,947 |
Security | Par (000) | Value | ||||||||
Construction Materials (continued) | ||||||||||
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28 | USD | 77 | $ | 77,610 | ||||||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26 | 662 | 62,890 | ||||||||
497,278 | ||||||||||
Consumer Discretionary — 2.2% | ||||||||||
APi Group DE, Inc.(b) | ||||||||||
4.13%, 07/15/29 | 132 | 113,849 | ||||||||
4.75%, 10/15/29 | 100 | 90,060 | ||||||||
Carnival Corp. | ||||||||||
10.13%, 02/01/26(e) | EUR | 100 | 114,412 | |||||||
10.50%, 02/01/26(b)(h) | USD | 668 | 702,210 | |||||||
7.63%, 03/01/26(b)(h) | 152 | 148,869 | ||||||||
5.75%, 03/01/27(b)(h) | 1,028 | 946,367 | ||||||||
9.88%, 08/01/27(b) | 262 | 272,908 | ||||||||
4.00%, 08/01/28(b)(h) | 477 | 422,870 | ||||||||
6.00%, 05/01/29(b)(h) | 518 | 462,488 | ||||||||
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b) | 2,122 | 2,320,892 | ||||||||
CoreLogic, Inc., 4.50%, 05/01/28(b)(h) | 700 | 564,375 | ||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26(b) | 91 | 81,900 | ||||||||
Life Time, Inc.(b) | ||||||||||
5.75%, 01/15/26 | 340 | 331,341 | ||||||||
8.00%, 04/15/26 | 257 | 253,757 | ||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27(b)(h) | 305 | 290,513 | ||||||||
NCL Corp. Ltd.(b) | ||||||||||
5.88%, 03/15/26(h) | 333 | 311,543 | ||||||||
8.38%, 02/01/28(h) | 132 | 137,933 | ||||||||
7.75%, 02/15/29 | 42 | 39,892 | ||||||||
NCL Finance Ltd., 6.13%, 03/15/28(b)(h) | 261 | 234,905 | ||||||||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b) | 255 | 234,093 | ||||||||
Royal Caribbean Cruises Ltd.(b) | ||||||||||
11.50%, 06/01/25 | 86 | 91,246 | ||||||||
4.25%, 07/01/26 | 72 | 66,093 | ||||||||
5.50%, 08/31/26 | 136 | 128,943 | ||||||||
5.38%, 07/15/27 | 134 | 125,297 | ||||||||
11.63%, 08/15/27 | 176 | 191,389 | ||||||||
5.50%, 04/01/28(h) | 118 | 110,040 | ||||||||
8.25%, 01/15/29 | 191 | 200,550 | ||||||||
9.25%, 01/15/29(h) | 345 | 367,567 | ||||||||
7.25%, 01/15/30 | 267 | 270,429 | ||||||||
Viking Cruises Ltd.(b) | ||||||||||
5.88%, 09/15/27 | 236 | 216,912 | ||||||||
9.13%, 07/15/31 | 606 | 612,060 | ||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | 162 | 148,230 | ||||||||
10,603,933 | ||||||||||
Consumer Finance — 1.7% | ||||||||||
Block, Inc.(h) | ||||||||||
2.75%, 06/01/26 | 698 | 635,524 | ||||||||
3.50%, 06/01/31 | 1,133 | 938,376 | ||||||||
Capital One Financial Corp.(a)(h) | ||||||||||
(1-day SOFR + 2.60%), 5.82%, 02/01/34 | 440 | 419,793 | ||||||||
(1-day SOFR + 2.64%), 6.31%, 06/08/29 | 140 | 139,057 | ||||||||
(1-day SOFR + 2.86%), 6.38%, 06/08/34 | 100 | 99,284 | ||||||||
Discover Financial Services, 6.70%, 11/29/32 | 85 | 87,570 | ||||||||
Equifax, Inc., 2.60%, 12/15/25 | 59 | 54,887 | ||||||||
Ford Motor Credit Co. LLC, 7.20%, 06/10/30(h) | 576 | 581,305 |
S C H E D U L E O F I N V E S T M E N T S | 71 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Consumer Finance (continued) | ||||||||||
Global Payments, Inc. | ||||||||||
3.20%, 08/15/29(h) | USD | 564 | $ | 490,220 | ||||||
5.40%, 08/15/32 | 86 | 83,802 | ||||||||
Navient Corp. | ||||||||||
7.25%, 09/25/23 | 77 | 77,000 | ||||||||
6.13%, 03/25/24 | 86 | 85,327 | ||||||||
5.88%, 10/25/24 | 82 | 80,587 | ||||||||
5.50%, 03/15/29 | 211 | 179,892 | ||||||||
9.38%, 07/25/30 | 150 | 149,197 | ||||||||
OneMain Finance Corp. | ||||||||||
6.88%, 03/15/25 | 303 | 300,010 | ||||||||
7.13%, 03/15/26(h) | 331 | 325,205 | ||||||||
3.50%, 01/15/27 | 304 | 260,814 | ||||||||
6.63%, 01/15/28(h) | 240 | 226,385 | ||||||||
5.38%, 11/15/29(h) | 105 | 89,265 | ||||||||
4.00%, 09/15/30 | 110 | 84,700 | ||||||||
Sabre Global, Inc.(b)(h) | ||||||||||
9.25%, 04/15/25 | 211 | 196,779 | ||||||||
7.38%, 09/01/25 | 379 | 336,404 | ||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)(h) | 550 | 515,773 | ||||||||
Shift4 Payments, Inc., 0.00%, 12/15/25(l)(m) | 174 | 188,964 | ||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b)(h) | 1,817 | 1,822,618 | ||||||||
8,448,738 | ||||||||||
Consumer Staples Distribution & Retail — 0.8% | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) | ||||||||||
3.25%, 03/15/26 | 642 | 592,932 | ||||||||
7.50%, 03/15/26 | 107 | 108,814 | ||||||||
4.63%, 01/15/27 | 477 | 451,960 | ||||||||
5.88%, 02/15/28(h) | 320 | 310,957 | ||||||||
6.50%, 02/15/28 | 152 | 152,252 | ||||||||
3.50%, 03/15/29 | 30 | 25,969 | ||||||||
4.88%, 02/15/30(h) | 214 | 197,569 | ||||||||
Bellis Acquisition Co. PLC, 3.25%, 02/16/26(e) | GBP | 100 | 106,046 | |||||||
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(h) | USD | 434 | 423,868 | |||||||
Lamb Weston Holdings, Inc.(b) | ||||||||||
4.88%, 05/15/28 | 257 | 246,138 | ||||||||
4.13%, 01/31/30(h) | 312 | 278,839 | ||||||||
4.38%, 01/31/32(h) | 355 | 317,113 | ||||||||
Performance Food Group, Inc., 4.25%, 08/01/29(b)(h) | 299 | 266,203 | ||||||||
Post Holdings, Inc.(b) | ||||||||||
5.75%, 03/01/27 | 89 | 86,875 | ||||||||
4.63%, 04/15/30(h) | 118 | 103,410 | ||||||||
4.50%, 09/15/31 | 13 | 11,102 | ||||||||
U.S. Foods, Inc.(b) | ||||||||||
4.75%, 02/15/29(h) | 335 | 306,709 | ||||||||
4.63%, 06/01/30 | 39 | 34,953 | ||||||||
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 34 | 28,182 | ||||||||
4,049,891 | ||||||||||
Containers & Packaging — 0.5% | ||||||||||
Clydesdale Acquisition Holdings, Inc.(b)(h) | ||||||||||
6.63%, 04/15/29 | 558 | 532,164 | ||||||||
8.75%, 04/15/30 | 584 | 515,511 | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 196 | 185,610 | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26(h) | 424 | 410,926 |
Security | Par (000) | Value | ||||||||
Containers & Packaging (continued) | ||||||||||
Crown European Holdings SA, 5.00%, 05/15/28(e) | EUR | 100 | $ | 110,075 | ||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28(b) | USD | 60 | 51,225 | |||||||
Graphic Packaging International LLC(b) | ||||||||||
4.75%, 07/15/27 | 89 | 84,618 | ||||||||
3.50%, 03/15/28 | 9 | 8,048 | ||||||||
LABL, Inc., 5.88%, 11/01/28(b)(h) | 220 | 200,086 | ||||||||
OI European Group BV, 6.25%, 05/15/28(b) | EUR | 115 | 128,128 | |||||||
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31(b) | USD | 235 | 237,938 | |||||||
Sealed Air Corp., 5.13%, 12/01/24(b) | 46 | 45,457 | ||||||||
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | 158 | 156,835 | ||||||||
2,666,621 | ||||||||||
Diversified Consumer Services — 1.8% | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(h) | ||||||||||
6.63%, 07/15/26 | 1,737 | 1,648,315 | ||||||||
9.75%, 07/15/27 | 676 | 597,552 | ||||||||
6.00%, 06/01/29 | 1,356 | 1,000,600 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b)(h) | 1,963 | 1,655,284 | ||||||||
Clarivate Science Holdings Corp.(b)(h) | ||||||||||
3.88%, 07/01/28 | 757 | 671,039 | ||||||||
4.88%, 07/01/29 | 735 | 652,023 | ||||||||
Garda World Security Corp.(b) | ||||||||||
4.63%, 02/15/27 | 261 | 238,815 | ||||||||
7.75%, 02/15/28 | 520 | 516,163 | ||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) | 140 | 137,200 | ||||||||
Rekeep SpA, 7.25%, 02/01/26(e) | EUR | 100 | 102,004 | |||||||
Service Corp. International(h) | ||||||||||
5.13%, 06/01/29 | USD | 238 | 224,248 | |||||||
3.38%, 08/15/30 | 263 | 219,947 | ||||||||
4.00%, 05/15/31 | 333 | 285,058 | ||||||||
Sotheby’s, 7.38%, 10/15/27(b)(h) | 1,046 | 940,765 | ||||||||
8,889,013 | ||||||||||
Diversified REITs — 0.9% | ||||||||||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50(h) | 450 | 335,615 | ||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | 160 | 134,744 | ||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)(h) | 108 | 79,229 | ||||||||
Healthpeak OP LLC, 2.88%, 01/15/31(h) | 1,000 | 844,504 | ||||||||
Iron Mountain, Inc., 5.63%, 07/15/32(b) | 19 | 16,997 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||||
2.55%, 12/05/23 | GBP | 104 | 126,945 | |||||||
4.63%, 08/01/29 | USD | 304 | 229,812 | |||||||
3.50%, 03/15/31(h) | 1,154 | 795,126 | ||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||
4.75%, 10/15/27(h) | 704 | 655,424 | ||||||||
7.25%, 07/15/28(b) | 327 | 330,345 | ||||||||
4.50%, 02/15/29(b) | 256 | 226,560 | ||||||||
Service Properties Trust, 7.50%, 09/15/25 | 96 | 94,272 |
72 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Diversified REITs (continued) | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26(h) | USD | 650 | $ | 621,698 | ||||||
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b) | 50 | 43,878 | ||||||||
4,535,149 | ||||||||||
Diversified Telecommunication Services — 2.0% | ||||||||||
AT&T, Inc., 4.30%, 02/15/30(h) | 1,350 | 1,281,453 | ||||||||
British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83(a)(e) | GBP | 100 | 124,672 | |||||||
Level 3 Financing, Inc.(b)(h) | ||||||||||
3.40%, 03/01/27 | USD | 1,094 | 928,259 | |||||||
10.50%, 05/15/30 | 1,214 | 1,231,764 | ||||||||
Lumen Technologies, Inc., 4.00%, 02/15/27(b)(h) | 1,135 | 845,813 | ||||||||
SoftBank Group Corp., 3.88%, 07/06/32(e) | EUR | 100 | 82,522 | |||||||
Telecom Italia Capital SA | ||||||||||
6.38%, 11/15/33 | USD | 205 | 173,904 | |||||||
6.00%, 09/30/34(h) | 424 | 341,936 | ||||||||
7.20%, 07/18/36 | 81 | 69,623 | ||||||||
7.72%, 06/04/38 | 28 | 24,758 | ||||||||
Telecom Italia SpA | ||||||||||
4.00%, 04/11/24(e) | EUR | 150 | 161,356 | |||||||
5.30%, 05/30/24(b)(h) | USD | 200 | 194,391 | |||||||
Verizon Communications, Inc., 3.70%, 03/22/61(h) | 1,000 | 727,220 | ||||||||
Zayo Group Holdings, Inc.(b)(h) | ||||||||||
4.00%, 03/01/27 | 3,882 | 2,741,679 | ||||||||
6.13%, 03/01/28 | 946 | 591,126 | ||||||||
9,520,476 | ||||||||||
Electric Utilities — 0.8% | ||||||||||
Black Hills Corp., 3.15%, 01/15/27(h) | 305 | 282,618 | ||||||||
Comision Federal de Electricidad, 4.88%, 01/15/24(e) | 200 | 197,654 | ||||||||
Electricite de France SA, (5-year CMT + 5.41%), 9.13%(a)(b)(j) | 205 | 210,223 | ||||||||
Enel Finance International NV, 3.63%, 05/25/27(b)(h) | 900 | 847,387 | ||||||||
FirstEnergy Transmission LLC, 5.45%, 07/15/44(b)(h) | 381 | 352,312 | ||||||||
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(e) | 250 | 218,965 | ||||||||
NextEra Energy Operating Partners LP(b) | ||||||||||
4.25%, 07/15/24 | 170 | 166,266 | ||||||||
4.25%, 09/15/24 | 9 | 8,595 | ||||||||
Pacific Gas and Electric Co.(h) | ||||||||||
6.10%, 01/15/29 | 245 | 241,059 | ||||||||
6.40%, 06/15/33 | 355 | 353,057 | ||||||||
6.75%, 01/15/53 | 175 | 172,707 | ||||||||
Palomino Funding Trust I, 7.23%, 05/17/28(b)(h) | 250 | 250,123 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(h) | 319 | 291,353 | ||||||||
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(e)(h) | 162 | 159,001 | ||||||||
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(f)(i) | 780 | — | ||||||||
Tierra Mojada Luxembourg II SARL, 5.75%, 12/01/40(e) | 183 | 155,641 | ||||||||
3,906,961 | ||||||||||
Electrical Equipment(b) — 0.3% | ||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(h) | 416 | 409,346 | ||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 104 | 84,502 |
Security | Par (000) | Value | ||||||||
Electrical Equipment (continued) | ||||||||||
Regal Rexnord Corp. | ||||||||||
6.05%, 02/15/26 | USD | 90 | $ | 90,114 | ||||||
6.05%, 04/15/28(h) | 590 | 585,698 | ||||||||
6.30%, 02/15/30(h) | 200 | 199,408 | ||||||||
6.40%, 04/15/33(h) | 205 | 204,827 | ||||||||
1,573,895 | ||||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 | 212 | 181,649 | ||||||||
Imola Merger Corp., 4.75%, 05/15/29(b)(h) | 510 | 443,550 | ||||||||
Vertiv Group Corp., 4.13%, 11/15/28(b)(h) | 920 | 828,895 | ||||||||
1,454,094 | ||||||||||
Energy Equipment & Services — 0.7% | ||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | ||||||||||
6.88%, 04/01/27 | 304 | 291,840 | ||||||||
6.25%, 04/01/28(h) | 729 | 684,429 | ||||||||
Halliburton Co., 3.80%, 11/15/25(h) | 3 | 2,897 | ||||||||
Noble Finance II LLC, 8.00%, 04/15/30(b) | 337 | 342,621 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp.(h) | ||||||||||
6.88%, 04/01/26 | 510 | 499,593 | ||||||||
6.88%, 09/01/27 | 452 | 431,612 | ||||||||
Valaris Ltd., 8.38%, 04/30/30(b)(h) | 543 | 544,825 | ||||||||
Vallourec SA, 8.50%, 06/30/26(e) | EUR | 34 | 37,066 | |||||||
Weatherford International Ltd.(b) | ||||||||||
6.50%, 09/15/28 | USD | 167 | 167,718 | |||||||
8.63%, 04/30/30(h) | 314 | 318,786 | ||||||||
3,321,387 | ||||||||||
Environmental, Maintenance & Security Service — 0.9% | ||||||||||
Clean Harbors, Inc.(b) | ||||||||||
4.88%, 07/15/27(h) | 250 | 239,382 | ||||||||
5.13%, 07/15/29(h) | 129 | 122,047 | ||||||||
6.38%, 02/01/31 | 108 | 108,676 | ||||||||
Covanta Holding Corp. | ||||||||||
4.88%, 12/01/29(b) | 142 | 122,830 | ||||||||
5.00%, 09/01/30 | 70 | 59,369 | ||||||||
GFL Environmental, Inc.(b) | ||||||||||
4.25%, 06/01/25 | 103 | 99,396 | ||||||||
3.75%, 08/01/25(h) | 312 | 296,827 | ||||||||
5.13%, 12/15/26 | 243 | 234,443 | ||||||||
4.00%, 08/01/28(h) | 431 | 385,336 | ||||||||
3.50%, 09/01/28 | 160 | 142,398 | ||||||||
4.75%, 06/15/29(h) | 378 | 345,345 | ||||||||
4.38%, 08/15/29(h) | 317 | 282,240 | ||||||||
Republic Services, Inc., 3.38%, 11/15/27(h) | 750 | 705,392 | ||||||||
Tervita Corp., 11.00%, 12/01/25(b) | 114 | 120,938 | ||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(h) | 1,132 | 1,049,362 | ||||||||
4,313,981 | ||||||||||
Financial Services — 1.8% | ||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)(h) | 403 | 311,916 | ||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) | 200 | 192,750 | ||||||||
Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a)(h) | 346 | 355,636 | ||||||||
Barclays PLC, 5.20%, 05/12/26(h) | 200 | 192,950 | ||||||||
BNP Paribas SA, (5-year CMT + 3.34%), 4.63%(a)(b)(h)(j) | 1,500 | 1,070,625 |
S C H E D U L E O F I N V E S T M E N T S | 73 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Financial Services (continued) | ||||||||||
Deutsche Bank AG, (1-day SOFR + 3.18%), 6.72%, 01/18/29(a)(h) | USD | 1,100 | $ | 1,101,568 | ||||||
GGAM Finance Ltd.(b) | ||||||||||
7.75%, 05/15/26 | 45 | 45,169 | ||||||||
8.00%, 06/15/28 | 45 | 45,023 | ||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(k) | 231 | 210,908 | ||||||||
Goldman Sachs Group, Inc., Series R, (5-year CMT + 3.22%), 4.95%(a)(h)(j) | 730 | 688,193 | ||||||||
Home Point Capital, Inc., 5.00%, 02/01/26(b)(h) | 841 | 754,027 | ||||||||
HSBC Holdings PLC(h) | ||||||||||
4.38%, 11/23/26 | 395 | 373,321 | ||||||||
(5-year USD ICE Swap + 4.37%), 6.38%(a)(j) | 500 | 478,825 | ||||||||
(1-day SOFR + 3.35%), 7.39%, 11/03/28(a) | 265 | 279,677 | ||||||||
ION Trading Technologies SARL, 5.75%, 05/15/28(b) | 200 | 172,642 | ||||||||
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) | 325 | 266,440 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | ||||||||||
5.25%, 10/01/25 | 43 | 40,604 | ||||||||
4.25%, 02/01/27 | 170 | 147,715 | ||||||||
4.75%, 06/15/29 | 67 | 54,527 | ||||||||
Lloyds Banking Group PLC, (5-year CMT + 4.82%), 6.75%(a)(h)(j) | 450 | 411,845 | ||||||||
MGIC Investment Corp., 5.25%, 08/15/28(h) | 167 | 157,524 | ||||||||
Nationstar Mortgage Holdings, Inc.(b) | ||||||||||
6.00%, 01/15/27(h) | 147 | 136,752 | ||||||||
5.13%, 12/15/30 | 104 | 84,365 | ||||||||
5.75%, 11/15/31 | 114 | 93,645 | ||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b)(h) | 811 | 717,735 | ||||||||
Spectrum Brands, Inc.(b) | ||||||||||
5.00%, 10/01/29 | 141 | 125,853 | ||||||||
5.50%, 07/15/30 | 154 | 140,525 | ||||||||
8,650,760 | ||||||||||
Food Products — 0.7% | ||||||||||
Aramark International Finance SARL, 3.13%, 04/01/25(e) | EUR | 138 | 144,389 | |||||||
Aramark Services, Inc.(b)(h) | ||||||||||
5.00%, 04/01/25 | USD | 495 | 487,748 | |||||||
6.38%, 05/01/25 | 188 | 187,827 | ||||||||
5.00%, 02/01/28 | 436 | 410,948 | ||||||||
BRF SA, 4.88%, 01/24/30(e) | 200 | 161,250 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.(b)(h) | ||||||||||
7.50%, 04/15/25 | 1,178 | 1,172,123 | ||||||||
4.63%, 11/15/28 | 608 | 553,280 | ||||||||
Darling Global Finance BV, 3.63%, 05/15/26(e) | EUR | 120 | 127,670 | |||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | USD | 129 | 103,357 | |||||||
3,348,592 | ||||||||||
Gas Utilities(b) — 0.1% | ||||||||||
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28 | 263 | 264,315 | ||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 91 | 76,181 | ||||||||
340,496 |
Security | Par (000) | Value | ||||||||
Ground Transportation — 0.4% | ||||||||||
Danaos Corp., 8.50%, 03/01/28(b) | USD | 100 | $ | 100,320 | ||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(h) | 1,377 | 1,342,231 | ||||||||
Union Pacific Corp., 3.20%, 05/20/41(h) | 600 | 471,528 | ||||||||
1,914,079 | ||||||||||
Health Care Equipment & Supplies — 0.2% | ||||||||||
Avantor Funding, Inc. | ||||||||||
2.63%, 11/01/25(e) | EUR | 100 | 104,544 | |||||||
4.63%, 07/15/28(b)(h) | USD | 665 | 616,404 | |||||||
3.88%, 11/01/29(b) | 209 | 182,985 | ||||||||
Embecta Corp., 6.75%, 02/15/30(b) | 75 | 67,212 | ||||||||
Garden Spinco Corp., 8.63%, 07/20/30(b) | 199 | 213,875 | ||||||||
1,185,020 | ||||||||||
Health Care Providers & Services — 2.7% | ||||||||||
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) | 115 | 109,980 | ||||||||
AdaptHealth LLC(b) | ||||||||||
6.13%, 08/01/28 | 73 | 63,234 | ||||||||
5.13%, 03/01/30 | 26 | 21,060 | ||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | 324 | 279,363 | ||||||||
Cano Health LLC, 6.25%, 10/01/28(b) | 78 | 48,750 | ||||||||
CHS/Community Health Systems, Inc.(b) | ||||||||||
5.63%, 03/15/27 | 185 | 163,029 | ||||||||
6.00%, 01/15/29(h) | 525 | 441,656 | ||||||||
5.25%, 05/15/30(h) | 540 | 425,373 | ||||||||
4.75%, 02/15/31(h) | 242 | 182,900 | ||||||||
Elevance Health, Inc., 3.65%, 12/01/27(h) | 1,000 | 944,116 | ||||||||
Encompass Health Corp. | ||||||||||
4.50%, 02/01/28 | 15 | 13,955 | ||||||||
4.75%, 02/01/30(h) | 390 | 355,096 | ||||||||
4.63%, 04/01/31 | 255 | 226,047 | ||||||||
HCA, Inc., 5.50%, 06/15/47(h) | 650 | 612,228 | ||||||||
HealthEquity, Inc., 4.50%, 10/01/29(b)(h) | 738 | 650,423 | ||||||||
IQVIA, Inc., 6.50%, 05/15/30(b) | 211 | 213,083 | ||||||||
Legacy LifePoint Health LLC(b)(h) | ||||||||||
6.75%, 04/15/25 | 351 | 326,016 | ||||||||
4.38%, 02/15/27 | 253 | 195,763 | ||||||||
Medline Borrower LP(b)(h) | ||||||||||
3.88%, 04/01/29 | 581 | 504,926 | ||||||||
5.25%, 10/01/29 | 1,339 | 1,161,849 | ||||||||
ModivCare, Inc., 5.88%, 11/15/25(b)(h) | 236 | 218,569 | ||||||||
Molina Healthcare, Inc.(b) | ||||||||||
4.38%, 06/15/28 | 46 | 42,405 | ||||||||
3.88%, 11/15/30 | 80 | 68,733 | ||||||||
3.88%, 05/15/32(h) | 141 | 118,207 | ||||||||
Surgery Center Holdings, Inc.(b)(h) | ||||||||||
6.75%, 07/01/25 | 305 | 303,913 | ||||||||
10.00%, 04/15/27 | 621 | 634,973 | ||||||||
Teleflex, Inc. | ||||||||||
4.63%, 11/15/27 | 80 | 75,400 | ||||||||
4.25%, 06/01/28(b)(h) | 331 | 302,449 | ||||||||
Tenet Healthcare Corp. | ||||||||||
4.88%, 01/01/26(h) | 1,077 | 1,048,987 | ||||||||
6.25%, 02/01/27 | 179 | 177,169 | ||||||||
5.13%, 11/01/27(h) | 216 | 206,210 | ||||||||
4.63%, 06/15/28 | 81 | 75,653 | ||||||||
6.13%, 10/01/28(h) | 183 | 176,174 | ||||||||
6.13%, 06/15/30 | 250 | 246,425 |
74 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Health Care Providers & Services (continued) | ||||||||||
Tenet Healthcare Corp. (continued) | ||||||||||
6.75%, 05/15/31(b)(h) | USD | 856 | $ | 858,085 | ||||||
UnitedHealth Group, Inc., 3.75%, 07/15/25(h) | 1,470 | 1,430,924 | ||||||||
12,923,123 | ||||||||||
Health Care Technology(b) — 0.7% | ||||||||||
AthenaHealth Group, Inc., 6.50%, 02/15/30(h) | 1,674 | 1,408,906 | ||||||||
Catalent Pharma Solutions, Inc. | ||||||||||
5.00%, 07/15/27(h) | 365 | 334,847 | ||||||||
3.13%, 02/15/29 | 157 | 127,652 | ||||||||
3.50%, 04/01/30(h) | 50 | 40,500 | ||||||||
Charles River Laboratories International, Inc. | ||||||||||
4.25%, 05/01/28 | 159 | 145,576 | ||||||||
4.00%, 03/15/31 | 42 | 36,479 | ||||||||
Fortrea Holdings, Inc., 7.50%, 07/01/30 | 196 | 200,698 | ||||||||
IQVIA, Inc.(h) | ||||||||||
5.00%, 10/15/26 | 463 | 447,060 | ||||||||
5.00%, 05/15/27 | 437 | 420,335 | ||||||||
3,162,053 | ||||||||||
Hotels, Restaurants & Leisure — 3.4% | ||||||||||
Boyd Gaming Corp. | ||||||||||
4.75%, 12/01/27 | 133 | 126,015 | ||||||||
4.75%, 06/15/31(b)(h) | 333 | 297,487 | ||||||||
Boyne USA, Inc., 4.75%, 05/15/29(b)(h) | 344 | 309,999 | ||||||||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) | ||||||||||
5.75%, 04/15/25 | 207 | 206,688 | ||||||||
3.88%, 01/15/28(h) | 208 | 190,148 | ||||||||
4.38%, 01/15/28(h) | 134 | 123,705 | ||||||||
4.00%, 10/15/30 | 103 | 88,151 | ||||||||
Caesars Entertainment, Inc.(b)(h) | ||||||||||
6.25%, 07/01/25 | 1,144 | 1,138,702 | ||||||||
8.13%, 07/01/27 | 1,508 | 1,543,391 | ||||||||
4.63%, 10/15/29 | 184 | 160,671 | ||||||||
7.00%, 02/15/30 | 1,527 | 1,533,474 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(h) | 478 | 483,652 | ||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b)(h) | 731 | 680,428 | ||||||||
Champion Path Holdings Ltd., 4.50%, 01/27/26(e) | 232 | 203,309 | ||||||||
Churchill Downs, Inc.(b) | ||||||||||
5.50%, 04/01/27(h) | 695 | 668,195 | ||||||||
4.75%, 01/15/28 | 137 | 127,054 | ||||||||
6.75%, 05/01/31 | 417 | 412,309 | ||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) | ||||||||||
4.63%, 01/15/29(h) | 483 | 423,832 | ||||||||
6.75%, 01/15/30 | 68 | 57,871 | ||||||||
Fortune Star BVI Ltd., 6.75%, 07/02/23(e) | 200 | 199,880 | ||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||
5.38%, 05/01/25(b) | 145 | 143,148 | ||||||||
5.75%, 05/01/28(b) | 200 | 196,943 | ||||||||
3.75%, 05/01/29(b) | 146 | 129,591 | ||||||||
4.88%, 01/15/30(h) | 501 | 467,142 | ||||||||
4.00%, 05/01/31(b) | 189 | 164,143 | ||||||||
3.63%, 02/15/32(b) | 15 | 12,506 | ||||||||
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | 246 | 249,598 | ||||||||
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(e) | EUR | 100 | 109,529 |
Security | Par (000) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
Melco Resorts Finance Ltd. | ||||||||||
4.88%, 06/06/25(b) | USD | 200 | $ | 188,790 | ||||||
5.25%, 04/26/26(e) | 250 | 232,010 | ||||||||
5.38%, 12/04/29(b)(h) | 600 | 494,250 | ||||||||
Merlin Entertainments Ltd., 5.75%, 06/15/26(b)(h) | 600 | 578,246 | ||||||||
MGM China Holdings Ltd. | ||||||||||
5.88%, 05/15/26(e)(h) | 250 | 238,040 | ||||||||
4.75%, 02/01/27(b) | 200 | 180,250 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 235 | 207,516 | ||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | ||||||||||
5.63%, 09/01/29 | 116 | 87,864 | ||||||||
5.88%, 09/01/31 | 116 | 85,579 | ||||||||
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b) | 177 | 166,822 | ||||||||
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b) | 70 | 61,600 | ||||||||
Scientific Games International, Inc.(b) | ||||||||||
8.63%, 07/01/25 | 203 | 207,314 | ||||||||
7.00%, 05/15/28(h) | 174 | 173,071 | ||||||||
7.25%, 11/15/29(h) | 51 | 51,064 | ||||||||
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(h) | 402 | 391,528 | ||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(h) | 269 | 270,344 | ||||||||
Station Casinos LLC, 4.63%, 12/01/31(b) | 277 | 233,372 | ||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) | 154 | 154,184 | ||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 158 | 144,286 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)(h) | 192 | 181,873 | ||||||||
Wynn Macau Ltd. | ||||||||||
5.50%, 01/15/26(e) | 347 | 321,626 | ||||||||
5.63%, 08/26/28(b)(h) | 600 | 517,500 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(h) | ||||||||||
5.13%, 10/01/29 | 773 | 692,757 | ||||||||
7.13%, 02/15/31 | 318 | 316,073 | ||||||||
16,623,520 | ||||||||||
Household Durables — 0.6% | ||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | ||||||||||
4.63%, 08/01/29 | 100 | 85,223 | ||||||||
4.63%, 04/01/30 | 145 | 123,772 | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | ||||||||||
5.00%, 06/15/29 | 208 | 166,552 | ||||||||
4.88%, 02/15/30(h) | 364 | 285,554 | ||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | 253 | 234,199 | ||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) | 131 | 128,380 | ||||||||
Mattamy Group Corp., 4.63%, 03/01/30(b)(h) | 199 | 172,034 | ||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 50 | 48,040 | ||||||||
NCR Corp.(b) | ||||||||||
5.75%, 09/01/27 | 220 | 219,942 | ||||||||
5.00%, 10/01/28 | 110 | 98,167 | ||||||||
5.13%, 04/15/29(h) | 145 | 128,363 | ||||||||
6.13%, 09/01/29 | 92 | 92,077 | ||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)(h) | 539 | 323,415 | ||||||||
Taylor Morrison Communities, Inc.(b) 5.88%, 06/15/27 | 255 | 250,459 |
S C H E D U L E O F I N V E S T M E N T S | 75 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Household Durables (continued) | ||||||||||
Taylor Morrison Communities, Inc.(b) (continued) | ||||||||||
5.13%, 08/01/30 | USD | 54 | $ | 49,858 | ||||||
Tempur Sealy International, Inc.(b) | ||||||||||
4.00%, 04/15/29 | 204 | 176,602 | ||||||||
3.88%, 10/15/31 | 97 | 79,021 | ||||||||
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24 | 11 | 10,918 | ||||||||
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | 15 | 14,189 | ||||||||
2,686,765 | ||||||||||
Household Products — 0.0% | ||||||||||
Berkline Benchcraft LLC, 4.50%, 05/03/12(d)(f)(i) | 200 | — | ||||||||
Central Garden & Pet Co. | ||||||||||
5.13%, 02/01/28 | 15 | 14,092 | ||||||||
4.13%, 10/15/30(h) | 194 | 162,513 | ||||||||
176,605 | ||||||||||
Independent Power and Renewable Electricity Producers — 0.7% | ||||||||||
Calpine Corp.(b) | ||||||||||
5.25%, 06/01/26 | 221 | 213,420 | ||||||||
5.13%, 03/15/28(h) | 1,060 | 945,946 | ||||||||
4.63%, 02/01/29 | 106 | 89,430 | ||||||||
5.00%, 02/01/31 | 43 | 35,564 | ||||||||
Clearway Energy Operating LLC(b) | ||||||||||
4.75%, 03/15/28(h) | 336 | 310,000 | ||||||||
3.75%, 01/15/32 | 262 | 213,244 | ||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(e)(h) | 200 | 186,484 | ||||||||
NRG Energy, Inc. | ||||||||||
6.63%, 01/15/27(h) | 720 | 714,730 | ||||||||
5.75%, 01/15/28 | 63 | 59,702 | ||||||||
3.88%, 02/15/32(b) | 10 | 7,705 | ||||||||
7.00%, 03/15/33(b)(h) | 205 | 206,698 | ||||||||
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | 134 | 138,690 | ||||||||
TerraForm Power Operating LLC(b) | ||||||||||
5.00%, 01/31/28 | 96 | 88,383 | ||||||||
4.75%, 01/15/30 | 186 | 164,145 | ||||||||
TransAlta Corp., 7.75%, 11/15/29 | 109 | 112,216 | ||||||||
3,486,357 | ||||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Emerald Debt Merger Sub LLC, 6.38%, 12/15/30(b) | EUR | 160 | 173,937 | |||||||
Insurance — 2.0% | ||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | USD | 136 | 117,751 | |||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(h) | ||||||||||
4.25%, 10/15/27 | 1,317 | 1,181,866 | ||||||||
6.75%, 10/15/27 | 2,364 | 2,222,160 | ||||||||
6.75%, 04/15/28 | 558 | 553,390 | ||||||||
5.88%, 11/01/29 | 1,128 | 981,270 | ||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(h) | 360 | 341,820 | ||||||||
AmWINS Group, Inc., 4.88%, 06/30/29(b) | 285 | 257,350 | ||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(b)(h) | 304 | 297,994 | ||||||||
HUB International Ltd.(b) | ||||||||||
7.00%, 05/01/26(h) | 1,280 | 1,276,614 | ||||||||
7.25%, 06/15/30 | 1,472 | 1,519,987 | ||||||||
Jones Deslauriers Insurance Management, Inc.(b) | ||||||||||
8.50%, 03/15/30 | 506 | 516,226 |
Security | Par (000) | Value | ||||||||
Insurance (continued) | ||||||||||
Jones Deslauriers Insurance Management, Inc.(b) (continued) | ||||||||||
10.50%, 12/15/30 | USD | 256 | $ | 256,788 | ||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30(b) | 183 | 161,992 | ||||||||
9,685,208 | ||||||||||
Interactive Media & Services — 0.2% | ||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28(b) | 110 | 95,721 | ||||||||
Cablevision Lightpath LLC, 5.63%, 09/15/28(b)(h) | 400 | 296,321 | ||||||||
iliad SA(e) | ||||||||||
5.38%, 06/14/27 | EUR | 100 | 107,581 | |||||||
5.63%, 02/15/30 | 100 | 105,465 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) | USD | 264 | 233,165 | |||||||
838,253 | ||||||||||
Internet Software & Services — 1.0% | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) | ||||||||||
5.25%, 12/01/27 | 303 | 287,850 | ||||||||
3.50%, 03/01/29 | 204 | 174,796 | ||||||||
Match Group Holdings II LLC(b) | ||||||||||
4.63%, 06/01/28 | 157 | 144,220 | ||||||||
5.63%, 02/15/29 | 177 | 165,957 | ||||||||
4.13%, 08/01/30 | 198 | 169,587 | ||||||||
3.63%, 10/01/31(h) | 153 | 125,757 | ||||||||
Uber Technologies, Inc. | ||||||||||
7.50%, 05/15/25(b)(h) | 667 | 674,977 | ||||||||
0.00%, 12/15/25(h)(l)(m) | 916 | 835,416 | ||||||||
8.00%, 11/01/26(b) | 419 | 427,008 | ||||||||
7.50%, 09/15/27(b)(h) | 622 | 636,215 | ||||||||
6.25%, 01/15/28(b) | 402 | 400,014 | ||||||||
4.50%, 08/15/29(b)(h) | 972 | 894,627 | ||||||||
4,936,424 | ||||||||||
IT Services — 0.9% | ||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | 150 | 121,990 | ||||||||
CA Magnum Holdings, 5.38%, 10/31/26(b)(h) | 382 | 341,187 | ||||||||
Camelot Finance SA, 4.50%, 11/01/26(b)(h) | 624 | 587,833 | ||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29(b)(h) | 615 | 542,264 | ||||||||
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(e) | EUR | 100 | 109,456 | |||||||
Fair Isaac Corp., 4.00%, 06/15/28(b)(h) | USD | 366 | 335,771 | |||||||
Gartner, Inc.(b) | ||||||||||
4.50%, 07/01/28 | 23 | 21,487 | ||||||||
3.63%, 06/15/29 | 57 | 50,178 | ||||||||
KBR, Inc., 4.75%, 09/30/28(b) | 209 | 189,673 | ||||||||
La Financiere Atalian SASU, 5.13%, 05/15/25(e) | EUR | 100 | 74,872 | |||||||
McAfee Corp., 7.38%, 02/15/30(b)(h) | USD | 786 | 683,445 | |||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(b) | 47 | 44,091 | ||||||||
Science Applications International Corp., 4.88%, 04/01/28(b)(h) | 289 | 268,780 | ||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b) | 163 | 162,824 | ||||||||
Twilio, Inc. | ||||||||||
3.63%, 03/15/29 | 142 | 120,807 | ||||||||
3.88%, 03/15/31(h) | 319 | 265,604 | ||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)(h) | 692 | 595,183 | ||||||||
4,515,445 |
76 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Leisure Products(h) — 0.1% | ||||||||||
Mattel, Inc. | ||||||||||
6.20%, 10/01/40 | USD | 219 | $ | 195,798 | ||||||
5.45%, 11/01/41 | 278 | 230,470 | ||||||||
426,268 | ||||||||||
Machinery — 1.1% | ||||||||||
ATS Corp., 4.13%, 12/15/28(b) | 108 | 96,664 | ||||||||
Chart Industries, Inc.(b) | ||||||||||
7.50%, 01/01/30(h) | 623 | 635,619 | ||||||||
9.50%, 01/01/31 | 92 | 97,613 | ||||||||
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | 283 | 280,877 | ||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h)(k) | 240 | 218,400 | ||||||||
Madison IAQ LLC, 5.88%, 06/30/29(b)(h) | 696 | 563,697 | ||||||||
OT Merger Corp., 7.88%, 10/15/29(b) | 115 | 71,877 | ||||||||
Terex Corp., 5.00%, 05/15/29(b)(h) | 333 | 309,583 | ||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b)(h) | 852 | 773,190 | ||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)(h) | 400 | 362,834 | ||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27(e) | EUR | 205 | 199,655 | |||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(h) | USD | 1,633 | 1,508,684 | |||||||
5,118,693 | ||||||||||
Marine Transportation — 0.0% | ||||||||||
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30(h) | 178 | 164,929 | ||||||||
Media — 6.8% | ||||||||||
Altice Financing SA | ||||||||||
3.00%, 01/15/28(e) | EUR | 100 | 84,079 | |||||||
5.00%, 01/15/28(b)(h) | USD | 378 | 302,084 | |||||||
5.75%, 08/15/29(b)(h) | 1,324 | 1,025,651 | ||||||||
AMC Networks, Inc. | ||||||||||
4.75%, 08/01/25 | 189 | 165,313 | ||||||||
4.25%, 02/15/29 | 123 | 66,121 | ||||||||
Block Communications, Inc., 4.88%, 03/01/28(b) | 92 | 76,130 | ||||||||
Cable One, Inc. | ||||||||||
0.00%, 03/15/26(l)(m) | 88 | 71,940 | ||||||||
1.13%, 03/15/28(h)(l) | 620 | 466,550 | ||||||||
4.00%, 11/15/30(b)(h) | 151 | 117,969 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(b)(h) | ||||||||||
5.13%, 05/01/27 | 565 | 526,153 | ||||||||
5.00%, 02/01/28 | 701 | 638,674 | ||||||||
6.38%, 09/01/29 | 734 | 691,545 | ||||||||
4.75%, 03/01/30 | 246 | 210,351 | ||||||||
4.25%, 02/01/31 | 764 | 618,053 | ||||||||
7.38%, 03/01/31 | 1,419 | 1,382,718 | ||||||||
4.75%, 02/01/32 | 260 | 212,025 | ||||||||
4.25%, 01/15/34 | 442 | 334,049 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital(h) | ||||||||||
4.91%, 07/23/25 | 2,425 | 2,378,069 | ||||||||
5.38%, 05/01/47 | 425 | 351,286 | ||||||||
Clear Channel International BV, 6.63%, 08/01/25(b)(h) | 384 | 382,075 | ||||||||
Clear Channel Outdoor Holdings, Inc.(b)(h) | ||||||||||
5.13%, 08/15/27 | 2,109 | 1,914,746 | ||||||||
7.75%, 04/15/28 | 330 | 259,050 | ||||||||
7.50%, 06/01/29 | 731 | 540,923 | ||||||||
CMG Media Corp., 8.88%, 12/15/27(b)(h) | 315 | 220,766 |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)(h) | USD | 1,866 | $ | 1,812,476 | ||||||
CSC Holdings LLC(h) | ||||||||||
5.25%, 06/01/24 | 164 | 152,527 | ||||||||
5.50%, 04/15/27(b) | 200 | 166,398 | ||||||||
11.25%, 05/15/28(b) | 900 | 872,757 | ||||||||
6.50%, 02/01/29(b) | 865 | 698,951 | ||||||||
4.13%, 12/01/30(b) | 330 | 230,844 | ||||||||
4.50%, 11/15/31(b) | 469 | 326,994 | ||||||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(h) | 429 | 388,518 | ||||||||
Discovery Communications LLC, 3.45%, 03/15/25(h) | 170 | 162,742 | ||||||||
DISH DBS Corp. | ||||||||||
7.75%, 07/01/26(h) | 601 | 368,392 | ||||||||
5.25%, 12/01/26(b)(h) | 1,000 | 802,173 | ||||||||
5.75%, 12/01/28(b) | 174 | 129,418 | ||||||||
DISH Network Corp., 11.75%, 11/15/27(b)(h) | 179 | 174,688 | ||||||||
Frontier Communications Holdings LLC(b)(h) | ||||||||||
5.88%, 10/15/27 | 267 | 245,042 | ||||||||
5.00%, 05/01/28 | 753 | 649,696 | ||||||||
8.75%, 05/15/30 | 1,028 | 1,004,740 | ||||||||
GCI LLC, 4.75%, 10/15/28(b) | 107 | 91,228 | ||||||||
Iliad Holding SASU(b)(h) | ||||||||||
6.50%, 10/15/26 | 1,423 | 1,343,060 | ||||||||
7.00%, 10/15/28 | 743 | 684,782 | ||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48(h) | 200 | 186,141 | ||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b)(h) | 360 | 337,411 | ||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(k) | 419 | 147,998 | ||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | 232 | 168,014 | ||||||||
Live Nation Entertainment, Inc.(b) | ||||||||||
4.88%, 11/01/24 | 31 | 30,519 | ||||||||
5.63%, 03/15/26 | 16 | 15,629 | ||||||||
6.50%, 05/15/27(h) | 1,582 | 1,590,421 | ||||||||
4.75%, 10/15/27(h) | 288 | 268,560 | ||||||||
3.75%, 01/15/28 | 196 | 174,930 | ||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | 177 | 165,798 | ||||||||
Network i2i Ltd., (5-year CMT + 4.27%), 5.65%(a)(e)(h)(j) | 300 | 290,598 | ||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | ||||||||||
5.00%, 08/15/27(h) | 558 | 506,497 | ||||||||
4.25%, 01/15/29(h) | 256 | 215,132 | ||||||||
4.63%, 03/15/30 | 55 | 45,821 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b)(h) | ||||||||||
4.50%, 09/15/26 | 894 | 712,755 | ||||||||
6.50%, 09/15/28 | 1,482 | 864,843 | ||||||||
Sable International Finance Ltd., 5.75%, 09/07/27(b) | 200 | 183,856 | ||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b)(h) | 468 | 306,540 | ||||||||
Sirius XM Radio, Inc.(b)(h) | ||||||||||
3.13%, 09/01/26 | 491 | 439,566 | ||||||||
5.00%, 08/01/27 | 812 | 753,365 | ||||||||
Stagwell Global LLC, 5.63%, 08/15/29(b) | 101 | 86,429 | ||||||||
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(e)(k) | EUR | 118 | 108,191 | |||||||
TEGNA, Inc., 4.75%, 03/15/26(b) | USD | 45 | 42,966 |
S C H E D U L E O F I N V E S T M E N T S | 77 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | USD | 200 | $ | 183,400 | ||||||
Univision Communications, Inc.(b) | ||||||||||
5.13%, 02/15/25 | 133 | 130,174 | ||||||||
6.63%, 06/01/27 | 188 | 181,711 | ||||||||
7.38%, 06/30/30(h) | 174 | 165,668 | ||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31(b)(h) | 449 | 369,567 | ||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(h) | 754 | 659,549 | ||||||||
VZ Secured Financing BV, 3.50%, 01/15/32(e) | EUR | 100 | 83,883 | |||||||
Ziggo Bond Co. BV(b)(h) | ||||||||||
6.00%, 01/15/27 | USD | 199 | 182,646 | |||||||
5.13%, 02/28/30 | 225 | 170,377 | ||||||||
Ziggo BV, 4.88%, 01/15/30(b) | 200 | 165,986 | ||||||||
33,276,687 | ||||||||||
Metals & Mining — 1.9% | ||||||||||
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24(e) | 250 | 248,430 | ||||||||
Arconic Corp.(b) | ||||||||||
6.00%, 05/15/25 | 83 | 83,660 | ||||||||
6.13%, 02/15/28(h) | 378 | 382,689 | ||||||||
ATI, Inc. | ||||||||||
5.88%, 12/01/27 | 171 | 165,488 | ||||||||
4.88%, 10/01/29 | 101 | 90,919 | ||||||||
5.13%, 10/01/31 | 273 | 243,219 | ||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(h) | 1,143 | 1,129,071 | ||||||||
Carpenter Technology Corp. | ||||||||||
6.38%, 07/15/28 | 81 | 79,380 | ||||||||
7.63%, 03/15/30(h) | 326 | 329,684 | ||||||||
Constellium SE | ||||||||||
4.25%, 02/15/26(e) | EUR | 100 | 106,401 | |||||||
5.88%, 02/15/26(b)(h) | USD | 588 | 576,082 | |||||||
5.63%, 06/15/28(b)(h) | 500 | 470,464 | ||||||||
3.75%, 04/15/29(b)(h) | 756 | 643,172 | ||||||||
First Quantum Minerals Ltd., 8.63%, 06/01/31(b) | 331 | 337,620 | ||||||||
JSW Steel Ltd., 5.95%, 04/18/24(e) | 200 | 198,348 | ||||||||
Kaiser Aluminum Corp.(b)(h) | ||||||||||
4.63%, 03/01/28 | 163 | 142,553 | ||||||||
4.50%, 06/01/31 | 347 | 276,622 | ||||||||
New Gold, Inc., 7.50%, 07/15/27(b)(h) | 545 | 508,910 | ||||||||
Novelis Corp.(b)(h) | ||||||||||
3.25%, 11/15/26 | 809 | 732,281 | ||||||||
4.75%, 01/30/30 | 951 | 845,160 | ||||||||
3.88%, 08/15/31 | 1,030 | 847,290 | ||||||||
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(e) | EUR | 200 | 191,084 | |||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | USD | 122 | 109,301 | |||||||
Stillwater Mining Co., 4.00%, 11/16/26(e)(h) | 200 | 177,512 | ||||||||
Vedanta Resources Finance II PLC, 13.88%, 01/21/24(e) | 200 | 182,074 | ||||||||
9,097,414 | ||||||||||
Multi-Utilities — 0.2% | ||||||||||
American Water Capital Corp., 4.45%, 06/01/32(h) | 900 | 871,361 | ||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) | 272 | 276,248 | ||||||||
1,147,609 |
Security | Par (000) | Value | ||||||||
Offshore Drilling & Other Services(b) — 0.4% | ||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29(h) | USD | 2,108 | $ | 1,956,911 | ||||||
Entegris, Inc., 4.38%, 04/15/28 | 169 | 152,942 | ||||||||
2,109,853 | ||||||||||
Oil, Gas & Consumable Fuels — 9.3% | ||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(h) | 591 | 580,657 | ||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | ||||||||||
5.75%, 03/01/27 | 298 | 287,402 | ||||||||
5.75%, 01/15/28 | 59 | 56,244 | ||||||||
5.38%, 06/15/29(h) | 206 | 191,411 | ||||||||
Apache Corp. | ||||||||||
4.25%, 01/15/30(h) | 61 | 54,333 | ||||||||
5.10%, 09/01/40(h) | 157 | 127,562 | ||||||||
5.35%, 07/01/49 | 137 | 106,517 | ||||||||
Arcosa, Inc., 4.38%, 04/15/29(b)(h) | 374 | 335,105 | ||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | ||||||||||
9.00%, 11/01/27(h) | 580 | 721,068 | ||||||||
8.25%, 12/31/28(h) | 880 | 865,396 | ||||||||
5.88%, 06/30/29 | 134 | 119,547 | ||||||||
Baytex Energy Corp., 8.50%, 04/30/30(b) | 139 | 135,743 | ||||||||
Buckeye Partners LP | ||||||||||
4.13%, 03/01/25(b) | 262 | 248,900 | ||||||||
5.85%, 11/15/43 | 145 | 107,300 | ||||||||
5.60%, 10/15/44 | 86 | 61,920 | ||||||||
Callon Petroleum Co. | ||||||||||
8.25%, 07/15/25 | 44 | 43,670 | ||||||||
6.38%, 07/01/26 | 162 | 157,690 | ||||||||
8.00%, 08/01/28(b)(h) | 1,033 | 1,021,543 | ||||||||
7.50%, 06/15/30(b)(h) | 530 | 500,252 | ||||||||
Cellnex Finance Co. SA, 1.25%, 01/15/29(e) | EUR | 100 | 90,392 | |||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(e)(l) | 100 | 87,028 | ||||||||
Cheniere Energy Partners LP(h) | ||||||||||
4.50%, 10/01/29 | USD | 630 | 578,186 | |||||||
3.25%, 01/31/32 | 380 | 312,607 | ||||||||
Chesapeake Energy Corp.(b) | ||||||||||
5.88%, 02/01/29 | 41 | 38,945 | ||||||||
6.75%, 04/15/29(h) | 436 | 432,615 | ||||||||
Civitas Resources, Inc.(b) | ||||||||||
5.00%, 10/15/26 | 36 | 33,943 | ||||||||
8.38%, 07/01/28(h) | 772 | 780,724 | ||||||||
8.75%, 07/01/31 | 638 | 646,804 | ||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 96 | 81,426 | ||||||||
CNX Resources Corp., 7.38%, 01/15/31(b) | 97 | 94,375 | ||||||||
Comstock Resources, Inc.(b)(h) | ||||||||||
6.75%, 03/01/29 | 468 | 428,195 | ||||||||
5.88%, 01/15/30 | 353 | 306,464 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)(h) | 1,617 | 1,442,223 | ||||||||
Crescent Energy Finance LLC(b)(h) | ||||||||||
7.25%, 05/01/26 | 708 | 664,465 | ||||||||
9.25%, 02/15/28 | 254 | 246,441 | ||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b) | ||||||||||
5.63%, 05/01/27 | 52 | 49,296 | ||||||||
6.00%, 02/01/29(h) | 326 | 304,402 | ||||||||
8.00%, 04/01/29 | 45 | 45,558 | ||||||||
7.38%, 02/01/31 | 96 | 94,623 |
78 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
CrownRock LP/CrownRock Finance, Inc.(b) | ||||||||||
5.63%, 10/15/25(h) | USD | 670 | $ | 660,084 | ||||||
5.00%, 05/01/29 | 59 | 55,239 | ||||||||
DCP Midstream Operating LP(b)(h) | ||||||||||
6.45%, 11/03/36 | 162 | 166,349 | ||||||||
6.75%, 09/15/37 | 295 | 313,078 | ||||||||
Diamondback Energy, Inc., 6.25%, 03/15/33(h) | 602 | 622,750 | ||||||||
DT Midstream, Inc.(b)(h) | ||||||||||
4.13%, 06/15/29 | 328 | 287,845 | ||||||||
4.38%, 06/15/31 | 418 | 360,004 | ||||||||
Dycom Industries, Inc., 4.50%, 04/15/29(b) | 119 | 108,076 | ||||||||
Earthstone Energy Holdings LLC(b) | ||||||||||
8.00%, 04/15/27(h) | 272 | 262,700 | ||||||||
9.88%, 07/15/31 | 329 | 325,200 | ||||||||
Ecopetrol SA | ||||||||||
8.88%, 01/13/33 | 122 | 120,265 | ||||||||
5.88%, 05/28/45 | 78 | 52,935 | ||||||||
eG Global Finance PLC(b)(h) | ||||||||||
6.75%, 02/07/25 | 396 | 384,615 | ||||||||
8.50%, 10/30/25 | 252 | 244,507 | ||||||||
Enbridge, Inc., (3-mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(h) | 1,565 | 1,440,010 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b)(h) | 386 | 377,577 | ||||||||
Energean Israel Finance Ltd., 8.50%, 09/30/33(b)(e) | 74 | 73,809 | ||||||||
Energy Transfer LP(h) | ||||||||||
3.90%, 07/15/26 | 235 | 223,330 | ||||||||
Series H, (5-year CMT + 5.69%), 6.50%(a)(j) | 456 | 414,194 | ||||||||
EnLink Midstream LLC(h) | ||||||||||
5.63%, 01/15/28(b) | 348 | 336,754 | ||||||||
5.38%, 06/01/29 | 272 | 259,137 | ||||||||
6.50%, 09/01/30(b) | 231 | 230,719 | ||||||||
EnLink Midstream Partners LP | ||||||||||
4.15%, 06/01/25 | 7 | 6,791 | ||||||||
4.85%, 07/15/26 | 115 | 110,975 | ||||||||
5.60%, 04/01/44 | 226 | 189,213 | ||||||||
5.45%, 06/01/47 | 60 | 49,320 | ||||||||
EQM Midstream Partners LP | ||||||||||
6.00%, 07/01/25(b) | 128 | 126,587 | ||||||||
4.13%, 12/01/26 | 100 | 93,003 | ||||||||
6.50%, 07/01/27(b)(h) | 364 | 359,003 | ||||||||
4.50%, 01/15/29(b) | 21 | 18,730 | ||||||||
7.50%, 06/01/30(b) | 84 | 85,003 | ||||||||
4.75%, 01/15/31(b)(h) | 506 | 443,248 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||
6.50%, 10/01/25 | 112 | 110,297 | ||||||||
7.75%, 02/01/28(h) | 164 | 155,985 | �� | |||||||
8.88%, 04/15/30 | 153 | 149,480 | ||||||||
Gulfport Energy Corp., 8.00%, 05/17/26(b) | 37 | 37,174 | ||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) | 60 | 59,486 | ||||||||
Hess Corp., 4.30%, 04/01/27 | 50 | 47,955 | ||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30(b)(h) | 240 | 209,400 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | ||||||||||
6.25%, 11/01/28 | 145 | 136,489 | ||||||||
5.75%, 02/01/29 | 186 | 168,421 | ||||||||
6.00%, 04/15/30 | 21 | 19,122 | ||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(e)(h) | 200 | 192,412 | ||||||||
HTA Group Ltd., 7.00%, 12/18/25(b)(h) | 200 | 188,962 | ||||||||
IHS Holding Ltd., 6.25%, 11/29/28(b) | 200 | 163,912 | ||||||||
Impulsora Pipeline LLC, 6.05%, 01/01/43(d) | 1,345 | 1,159,163 |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29(b)(h) | USD | 343 | $ | 288,971 | ||||||
Kinetik Holdings LP, 5.88%, 06/15/30(b)(h) | 471 | 447,681 | ||||||||
Leviathan Bond Ltd., 6.75%, 06/30/30(b)(e) | 61 | 56,598 | ||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) | 32 | 30,949 | ||||||||
Matador Resources Co.(h) | ||||||||||
5.88%, 09/15/26 | 436 | 422,504 | ||||||||
6.88%, 04/15/28(b) | 248 | 245,469 | ||||||||
Medco Bell Pte. Ltd., 6.38%, 01/30/27(e) | 250 | 234,867 | ||||||||
MPLX LP, 4.25%, 12/01/27(h) | 185 | 175,690 | ||||||||
Murphy Oil Corp. | ||||||||||
5.75%, 08/15/25 | 14 | 13,817 | ||||||||
5.88%, 12/01/27 | 56 | 54,403 | ||||||||
5.88%, 12/01/42 | 29 | 24,099 | ||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 146 | 134,038 | ||||||||
Nabors Industries Ltd.(b) | ||||||||||
7.25%, 01/15/26 | 199 | 185,770 | ||||||||
7.50%, 01/15/28(h) | 296 | 259,018 | ||||||||
Nabors Industries, Inc.(h) | ||||||||||
5.75%, 02/01/25 | 1,057 | 1,022,880 | ||||||||
7.38%, 05/15/27(b) | 377 | 358,727 | ||||||||
New Fortress Energy, Inc.(b)(h) | ||||||||||
6.75%, 09/15/25 | 854 | 801,082 | ||||||||
6.50%, 09/30/26 | 1,366 | 1,222,155 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)(h) | 241 | 237,354 | ||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b)(h) | 227 | 241,988 | ||||||||
Northern Oil and Gas, Inc.(b)(h) | ||||||||||
8.13%, 03/01/28 | 1,102 | 1,079,960 | ||||||||
8.75%, 06/15/31 | 323 | 317,347 | ||||||||
NuStar Logistics LP | ||||||||||
6.00%, 06/01/26 | 163 | 158,780 | ||||||||
6.38%, 10/01/30 | 25 | 23,851 | ||||||||
Occidental Petroleum Corp. | ||||||||||
6.45%, 09/15/36(h) | 132 | 135,472 | ||||||||
6.20%, 03/15/40(h) | 428 | 421,832 | ||||||||
4.63%, 06/15/45 | 28 | 21,664 | ||||||||
PDC Energy, Inc. | ||||||||||
6.13%, 09/15/24 | 75 | 74,962 | ||||||||
5.75%, 05/15/26(h) | 235 | 234,059 | ||||||||
Permian Resources Operating LLC(b) | ||||||||||
5.38%, 01/15/26 | 52 | 49,438 | ||||||||
7.75%, 02/15/26(h) | 607 | 609,582 | ||||||||
6.88%, 04/01/27 | 143 | 140,855 | ||||||||
5.88%, 07/01/29(h) | 392 | 369,268 | ||||||||
Petroleos Mexicanos | ||||||||||
4.25%, 01/15/25 | 37 | 34,865 | ||||||||
6.50%, 03/13/27 | 130 | 115,375 | ||||||||
8.75%, 06/02/29 | 130 | 116,369 | ||||||||
5.95%, 01/28/31(h) | 158 | 115,124 | ||||||||
6.70%, 02/16/32 | 97 | 73,618 | ||||||||
Precision Drilling Corp., 6.88%, 01/15/29(b) | 12 | 10,842 | ||||||||
Puma International Financing SA, 5.13%, 10/06/24(b) | 200 | 194,000 | ||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29(b)(h) | 196 | 180,801 | ||||||||
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | 51 | 46,665 | ||||||||
SM Energy Co. | ||||||||||
5.63%, 06/01/25 | 175 | 171,008 | ||||||||
6.75%, 09/15/26(h) | 156 | 152,055 | ||||||||
6.63%, 01/15/27 | 21 | 20,396 | ||||||||
6.50%, 07/15/28(h) | 198 | 190,080 |
S C H E D U L E O F I N V E S T M E N T S | 79 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||
Southwestern Energy Co. | ||||||||||
5.70%, 01/23/25 | USD | 18 | $ | 17,905 | ||||||
5.38%, 02/01/29(h) | 252 | 237,299 | ||||||||
4.75%, 02/01/32 | 5 | 4,407 | ||||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||||
6.00%, 04/15/27 | 63 | 62,070 | ||||||||
5.88%, 03/15/28 | 124 | 119,242 | ||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | ||||||||||
7.50%, 10/01/25 | 13 | 12,975 | ||||||||
6.00%, 03/01/27 | 41 | 38,475 | ||||||||
5.50%, 01/15/28 | 72 | 65,807 | ||||||||
6.00%, 12/31/30 | 28 | 24,668 | ||||||||
6.00%, 09/01/31 | 131 | 112,717 | ||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26(b)(h) | 764 | 786,920 | ||||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(h) | 280 | 263,537 | ||||||||
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b)(h) | 175 | 178,719 | ||||||||
Transocean, Inc.(b)(h) | ||||||||||
7.50%, 01/15/26 | 235 | 223,250 | ||||||||
11.50%, 01/30/27 | 206 | 213,467 | ||||||||
8.75%, 02/15/30 | 972 | 986,580 | ||||||||
Venture Global Calcasieu Pass LLC(b)(h) | ||||||||||
3.88%, 08/15/29 | 830 | 725,080 | ||||||||
4.13%, 08/15/31 | 421 | 362,046 | ||||||||
3.88%, 11/01/33 | 888 | 727,171 | ||||||||
Venture Global LNG, Inc.(b)(h) | ||||||||||
8.13%, 06/01/28 | 1,319 | 1,339,622 | ||||||||
8.38%, 06/01/31 | 2,022 | 2,038,514 | ||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | 159 | 146,549 | ||||||||
Vivo Energy Investments BV, 5.13%, 09/24/27(b) | 200 | 180,192 | ||||||||
Western Midstream Operating LP | ||||||||||
6.15%, 04/01/33 | 75 | 75,592 | ||||||||
5.45%, 04/01/44(h) | 209 | 176,558 | ||||||||
5.30%, 03/01/48(h) | 199 | 166,110 | ||||||||
5.50%, 08/15/48 | 99 | 82,790 | ||||||||
5.50%, 02/01/50(h) | 620 | 507,823 | ||||||||
45,472,693 | ||||||||||
Passenger Airlines — 1.3% | ||||||||||
ABRA Global Finance, (6.00% Cash & 5.50% PIK), 11.50%, 03/02/28(b)(k) | 188 | 153,230 | ||||||||
Air Canada, 3.88%, 08/15/26(b)(h) | 464 | 430,060 | ||||||||
Allegiant Travel Co., 7.25%, 08/15/27(b) | 113 | 112,583 | ||||||||
American Airlines, Inc.(b) | ||||||||||
11.75%, 07/15/25(h) | 955 | 1,047,184 | ||||||||
7.25%, 02/15/28 | 84 | 83,500 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||||||||
5.50%, 04/20/26 | 288 | 285,475 | ||||||||
5.75%, 04/20/29 | 1,085 | 1,053,435 | ||||||||
Avianca Midco 2 PLC, 9.00%, 12/01/28(b) | 152 | 126,447 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b)(h) | 205 | 194,040 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)(h) | 857 | 858,595 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) | 256 | 257,914 | ||||||||
United Airlines Pass-Through Trust(h) | ||||||||||
Series 2020-1, Class A, 5.88%, 04/15/29 | 505 | 500,896 |
Security | Par (000) | Value | ||||||||
Passenger Airlines (continued) | ||||||||||
United Airlines Pass-Through Trust(h) (continued) | ||||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 | USD | 34 | $ | 32,690 | ||||||
United Airlines, Inc.(b) | ||||||||||
4.38%, 04/15/26 | 514 | 488,354 | ||||||||
4.63%, 04/15/29(h) | 690 | 628,706 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27(b) | 127 | 114,103 | ||||||||
6,367,212 | ||||||||||
Pharmaceuticals — 1.1% | ||||||||||
AbbVie, Inc., 4.25%, 11/14/28(h) | �� 1,000 | 969,962 | ||||||||
Bayer AG, (5-year EUR Swap + 3.75%), 4.50%, 03/25/82(a)(e) | EUR | 100 | 102,901 | |||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(e) | 100 | 99,785 | ||||||||
CVS Health Corp., 3.75%, 04/01/30(h) | USD | 1,000 | 917,277 | |||||||
Gruenenthal GmbH, 4.13%, 05/15/28(e) | EUR | 100 | 100,970 | |||||||
Jazz Securities DAC, 4.38%, 01/15/29(b)(h) | USD | 200 | 178,438 | |||||||
Option Care Health, Inc., 4.38%, 10/31/29(b)(h) | 245 | 215,639 | ||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(h) | ||||||||||
4.13%, 04/30/28 | 428 | 379,863 | ||||||||
5.13%, 04/30/31 | 398 | 328,360 | ||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26(b)(h) | 484 | 438,230 | ||||||||
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29 | EUR | 100 | 111,327 | |||||||
Teva Pharmaceutical Finance Netherlands III BV(h) | ||||||||||
3.15%, 10/01/26 | USD | 570 | 507,656 | |||||||
4.75%, 05/09/27 | 400 | 367,554 | ||||||||
7.88%, 09/15/29 | 200 | 205,218 | ||||||||
8.13%, 09/15/31 | 200 | 208,350 | ||||||||
5,131,530 | ||||||||||
Real Estate — 0.0% | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b) | 98 | 90,042 | ||||||||
Real Estate Management & Development — 0.5% | ||||||||||
Agps Bondco PLC, 5.50%, 11/13/26(e)(f)(i) | EUR | 100 | 41,466 | |||||||
CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25(e)(f)(i) | USD | 200 | 21,500 | |||||||
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24(e)(h) | 200 | 117,528 | ||||||||
Easy Tactic Ltd., (6.50% Cash or 7.50% PIK), 7.50%, 07/11/27(k) | 218 | 16,440 | ||||||||
Fantasia Holdings Group Co. Ltd.(e)(f)(i) | ||||||||||
11.75%, 04/17/22 | 400 | 24,000 | ||||||||
11.88%, 06/01/23 | 200 | 12,000 | ||||||||
9.25%, 07/28/23 | 200 | 12,000 | ||||||||
9.88%, 10/19/23 | 200 | 12,000 | ||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) | 100 | 97,651 | ||||||||
Howard Hughes Corp.(b) | ||||||||||
5.38%, 08/01/28 | 65 | 57,855 | ||||||||
4.13%, 02/01/29 | 149 | 123,259 | ||||||||
4.38%, 02/01/31 | 100 | 79,804 | ||||||||
Jingrui Holdings Ltd., 12.00%, 07/25/22(e)(f)(i) | 200 | 12,157 | ||||||||
Modern Land China Co. Ltd.(e)(f)(i)(k) | ||||||||||
(2.00% Cash or 2.00% PIK), 7.00%, 12/30/23 | 162 | 8,907 | ||||||||
(9.00% Cash or 9.00% PIK), 9.00%, 12/30/27 | 324 | 17,815 | ||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp.(b) | ||||||||||
5.75%, 01/15/29 | 456 | 341,185 | ||||||||
5.25%, 04/15/30 | 135 | 95,942 |
80 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Real Estate Management & Development (continued) | ||||||||||
Ronshine China Holdings Ltd., 6.75%, 08/05/24(e)(f)(i) | USD | 200 | $ | 9,000 | ||||||
Sinic Holdings Group Co. Ltd., 10.50%, 12/31/79(e)(f)(i) | 200 | 2,000 | ||||||||
Theta Capital Pte. Ltd., 8.13%, 01/22/25(e) | 200 | 166,246 | ||||||||
VICI Properties LP, 5.13%, 05/15/32(h) | 851 | 796,233 | ||||||||
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(e)(h) | 200 | 194,000 | ||||||||
Yuzhou Group Holdings Co. Ltd.(e)(f)(i) | ||||||||||
7.70%, 02/20/25 | 200 | 11,000 | ||||||||
8.30%, 05/27/25 | 200 | 11,000 | ||||||||
2,280,988 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.9% | ||||||||||
Broadcom, Inc., 4.11%, 09/15/28(h) | 1,594 | 1,505,992 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 | 33 | 31,302 | ||||||||
QUALCOMM, Inc., 1.65%, 05/20/32(h) | 1,779 | 1,403,902 | ||||||||
Sensata Technologies BV(b) | ||||||||||
5.63%, 11/01/24 | 229 | 227,272 | ||||||||
5.00%, 10/01/25 | 324 | 317,204 | ||||||||
4.00%, 04/15/29 | 168 | 149,568 | ||||||||
5.88%, 09/01/30 | 237 | 230,432 | ||||||||
Sensata Technologies, Inc.(b) | ||||||||||
4.38%, 02/15/30(h) | 584 | 522,240 | ||||||||
3.75%, 02/15/31 | 34 | 29,087 | ||||||||
Synaptics, Inc., 4.00%, 06/15/29(b)(h) | 172 | 144,199 | ||||||||
4,561,198 | ||||||||||
Software — 2.4% | ||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b)(h) | 444 | 432,900 | ||||||||
Alteryx, Inc., 8.75%, 03/15/28(b)(h) | 244 | 239,678 | ||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(b)(h) | 386 | 345,470 | ||||||||
Boxer Parent Co., Inc. | ||||||||||
6.50%, 10/02/25(e) | EUR | 100 | 107,610 | |||||||
7.13%, 10/02/25(b)(h) | USD | 398 | 398,352 | |||||||
9.13%, 03/01/26(b)(h) | 696 | 692,520 | ||||||||
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | 304 | 300,203 | ||||||||
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(h) | 517 | 511,205 | ||||||||
Cloud Software Group, Inc.(b)(h) | ||||||||||
6.50%, 03/31/29 | 3,405 | 3,031,747 | ||||||||
9.00%, 09/30/29 | 1,874 | 1,636,816 | ||||||||
Consensus Cloud Solutions, Inc.(b) | ||||||||||
6.00%, 10/15/26 | 71 | 64,432 | ||||||||
6.50%, 10/15/28 | 64 | 54,720 | ||||||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | 41 | 35,356 | ||||||||
Elastic NV, 4.13%, 07/15/29(b)(h) | 376 | 324,366 | ||||||||
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28(b) | 200 | 170,000 | ||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)(h) | 169 | 145,885 | ||||||||
MicroStrategy, Inc., 6.13%, 06/15/28(b)(h) | 451 | 404,364 | ||||||||
Open Text Corp., 6.90%, 12/01/27(b)(h) | 871 | 886,704 | ||||||||
Oracle Corp., 3.60%, 04/01/50(h) | 785 | 560,929 |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b)(h) | USD | 1,017 | $ | 973,602 | ||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(h) | 609 | 494,152 | ||||||||
11,811,011 | ||||||||||
Specialized REITs(b) — 0.2% | ||||||||||
Iron Mountain, Inc., 7.00%, 02/15/29 | 601 | 602,011 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(h) | 480 | 476,190 | ||||||||
1,078,201 | ||||||||||
Specialty Retail(b) — 0.3% | ||||||||||
Arko Corp., 5.13%, 11/15/29(h) | 181 | 147,093 | ||||||||
PetSmart, Inc./PetSmart Finance Corp. | ||||||||||
4.75%, 02/15/28 | 343 | 316,971 | ||||||||
7.75%, 02/15/29(h) | 587 | 583,230 | ||||||||
Staples, Inc., 7.50%, 04/15/26 | 214 | 176,746 | ||||||||
1,224,040 | ||||||||||
Technology Hardware, Storage & Peripherals(b) — 0.3% | ||||||||||
Coherent Corp., 5.00%, 12/15/29(h) | 422 | 380,901 | ||||||||
Seagate HDD Cayman | ||||||||||
8.25%, 12/15/29 | 359 | 374,965 | ||||||||
8.50%, 07/15/31 | 455 | 477,154 | ||||||||
1,233,020 | ||||||||||
Textiles, Apparel & Luxury Goods(b) — 0.1% | ||||||||||
Crocs, Inc., 4.25%, 03/15/29 | 25 | 21,255 | ||||||||
Hanesbrands, Inc. | ||||||||||
4.88%, 05/15/26 | 95 | 88,686 | ||||||||
9.00%, 02/15/31(h) | 283 | 285,226 | ||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 | 98 | 81,834 | ||||||||
Levi Strauss & Co., 3.50%, 03/01/31 | 16 | 13,240 | ||||||||
William Carter Co., 5.63%, 03/15/27 | 160 | 155,252 | ||||||||
645,493 | ||||||||||
Transportation Infrastructure — 0.2% | ||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | 200 | 192,478 | ||||||||
Azzurra Aeroporti SpA(e) | ||||||||||
2.13%, 05/30/24 | EUR | 100 | 105,507 | |||||||
2.63%, 05/30/27 | 100 | 97,778 | ||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(e) | USD | 200 | 176,988 | |||||||
Heathrow Finance PLC, 4.13%, 09/01/29(c)(e) | GBP | 100 | 102,711 | |||||||
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b)(h) | USD | 435 | 418,440 | |||||||
XPO Escrow Sub LLC, 7.50%, 11/15/27(b)(h) | 85 | 86,856 | ||||||||
1,180,758 | ||||||||||
Wireless Telecommunication Services — 1.0% | ||||||||||
Altice France SA/France | ||||||||||
5.88%, 02/01/27(e) | EUR | 100 | 90,570 | |||||||
8.13%, 02/01/27(b)(h) | USD | 507 | 439,022 | |||||||
5.50%, 01/15/28(b)(h) | 381 | 287,696 | ||||||||
5.13%, 07/15/29(b)(h) | 702 | 498,331 |
S C H E D U L E O F I N V E S T M E N T S | 81 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Wireless Telecommunication Services (continued) | ||||||||||
Altice France SA/France (continued) 5.50%, 10/15/29(b)(h) | USD | 372 | $ | 266,033 | ||||||
Kenbourne Invest SA, 6.88%, 11/26/24(b) | 275 | 238,694 | ||||||||
Rogers Communications, Inc., 5.00%, 03/15/44(h) | 545 | 479,213 | ||||||||
SBA Communications Corp., 3.13%, 02/01/29(h) | 721 | 611,159 | ||||||||
VICI Properties LP/VICI Note Co., Inc.(b) | ||||||||||
5.63%, 05/01/24 | 54 | 53,667 | ||||||||
3.50%, 02/15/25 | 108 | 103,194 | ||||||||
4.63%, 06/15/25 | 75 | 72,468 | ||||||||
4.25%, 12/01/26 | 104 | 97,290 | ||||||||
4.63%, 12/01/29(h) | 414 | 375,858 | ||||||||
4.13%, 08/15/30(h) | 378 | 332,803 | ||||||||
Vmed O2 U.K. Financing I PLC | ||||||||||
4.00%, 01/31/29(e) | GBP | 100 | 100,381 | |||||||
4.50%, 07/15/31(e) | 100 | 96,026 | ||||||||
4.75%, 07/15/31(b)(h) | USD | 597 | 496,405 | |||||||
4,638,810 | ||||||||||
Total Corporate Bonds — 71.9% (Cost: $375,900,421) | 350,373,271 | |||||||||
Floating Rate Loan Interests(a) | ||||||||||
Aerospace & Defense — 1.6% | ||||||||||
Atlas CC Acquisition Corp. | ||||||||||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | 1,459 | 1,263,028 | ||||||||
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 | 297 | 256,964 | ||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 | 282 | 281,557 | ||||||||
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 | 154 | 150,811 | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||||
2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 | 594 | 588,455 | ||||||||
2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 | 1,105 | 1,094,645 | ||||||||
Peraton Corp. | ||||||||||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 | 455 | 440,270 | ||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 | 1,844 | 1,807,741 | ||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 | 591 | 590,368 | ||||||||
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 | 1,091 | 1,090,083 | ||||||||
7,563,922 | ||||||||||
Automobile Components — 0.3% | ||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 | 216 | 215,814 | ||||||||
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 | 1,221 | 1,216,800 | ||||||||
1,432,614 |
Security | Par (000) | Value | ||||||||
Automobiles — 0.2% | ||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 | USD | 825 | $ | 821,268 | ||||||
Beverages — 0.6% | ||||||||||
Naked Juice LLC | ||||||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 | 861 | 678,088 | ||||||||
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 | 2,208 | 2,049,413 | ||||||||
2,727,501 | ||||||||||
Broadline Retail — 0.8% | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 | 761 | 758,364 | ||||||||
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(k) | 1,238 | 1,068,722 | ||||||||
PUG LLC | ||||||||||
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d) | 110 | 99,036 | ||||||||
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 1,880 | 1,666,377 | ||||||||
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d) | 290 | 289,910 | ||||||||
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d) | 225 | 219,766 | ||||||||
4,102,175 | ||||||||||
Building Products — 0.7% | ||||||||||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 | 109 | 109,331 | ||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 | 76 | 72,273 | ||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 | 796 | 747,686 | ||||||||
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 | 357 | 355,363 | ||||||||
IPS Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 | 257 | 237,240 | ||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28 | 333 | 330,272 | ||||||||
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 | 1,459 | 1,435,151 | ||||||||
3,287,316 | ||||||||||
Capital Markets — 1.4% | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 | 910 | 910,179 | ||||||||
Ascensus Holdings, Inc. | ||||||||||
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 | 380 | 337,860 | ||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 | 1,494 | 1,467,209 |
82 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Capital Markets (continued) | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 | USD | 533 | $ | 533,872 | ||||||
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 | 803 | 778,597 | ||||||||
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 | 754 | 749,183 | ||||||||
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 | 322 | 320,501 | ||||||||
Focus Financial Partners LLC | ||||||||||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 | 622 | 613,662 | ||||||||
2023 Term Loan B6, 06/30/28(n) | 402 | 399,085 | ||||||||
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 | 220 | 219,995 | ||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 | 297 | 290,683 | ||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 | 268 | 258,511 | ||||||||
6,879,337 | ||||||||||
Chemicals — 2.3% | ||||||||||
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 09/30/28 | 585 | 544,983 | ||||||||
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 | 333 | 321,133 | ||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26 | 1,025 | 1,002,728 | ||||||||
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 | 251 | 189,564 | ||||||||
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 | 473 | 451,934 | ||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 | 840 | 837,575 | ||||||||
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 | 150 | 150,026 | ||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 | 409 | 405,082 | ||||||||
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 | 298 | 296,030 | ||||||||
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 | 395 | 332,975 | ||||||||
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 | 888 | 875,174 | ||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 | 579 | 578,622 |
Security | Par (000) | Value | ||||||||
Chemicals (continued) | ||||||||||
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 | USD | 973 | $ | 946,624 | ||||||
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 | 362 | 358,040 | ||||||||
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(n) | 346 | 333,817 | ||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 | 947 | 928,464 | ||||||||
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 | 663 | 659,831 | ||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 | 428 | 421,123 | ||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 | 797 | 789,985 | ||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 | 90 | 89,766 | ||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 | 448 | 443,834 | ||||||||
10,957,310 | ||||||||||
Commercial Services & Supplies — 2.2% | ||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 | 1,584 | 1,537,326 | ||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d) | 325 | 316,602 | ||||||||
Aramark Services, Inc. | ||||||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.72%, 04/06/28 | 383 | 382,229 | ||||||||
2023 Term Loan B6, 06/22/30(d)(n) | 516 | 515,094 | ||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 | 1,044 | 1,041,021 | ||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 | 419 | 418,981 | ||||||||
Covanta Holding Corp. | ||||||||||
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 36 | 36,116 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 | 481 | 476,128 | ||||||||
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 | 162 | 158,834 | ||||||||
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 | 345 | 344,817 | ||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 | 605 | 598,053 | ||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 | 530 | 431,659 |
S C H E D U L E O F I N V E S T M E N T S | 83 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Commercial Services & Supplies (continued) | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 | USD | 755 | $ | 753,997 | ||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 | 2,272 | 2,272,108 | ||||||||
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 | 973 | 893,769 | ||||||||
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 | 549 | 532,295 | ||||||||
10,709,029 | ||||||||||
Communications Equipment — 0.1% | ||||||||||
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 | 113 | 112,718 | ||||||||
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 | 478 | 461,317 | ||||||||
574,035 | ||||||||||
Construction & Engineering — 0.4% | ||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 | 649 | 641,062 | ||||||||
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 | 424 | 421,883 | ||||||||
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 | 703 | 664,570 | ||||||||
1,727,515 | ||||||||||
Construction Materials — 0.5% | ||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 | 765 | 761,636 | ||||||||
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 | 392 | 328,988 | ||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 | 493 | 481,350 | ||||||||
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 | 665 | 664,341 | ||||||||
2,236,315 | ||||||||||
Consumer Finance — 0.0% | ||||||||||
Credo Technology Group Holding Ltd., Term Loan B, (Defaulted), 0.00%, 02/17/24(d)(f)(i) | 24 | 3,185 | ||||||||
Consumer Staples Distribution & Retail — 0.2% | ||||||||||
U.S. Foods, Inc. | ||||||||||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 | 618 | 616,876 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 | 376 | 376,013 | ||||||||
992,889 | ||||||||||
Containers & Packaging — 0.6% | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 | 1,619 | 1,605,254 | ||||||||
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 | 507 | 504,957 |
Security | Par (000) | Value | ||||||||
Containers & Packaging (continued) | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 | USD | 135 | $ | 133,684 | ||||||
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27 | 137 | 136,739 | ||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 | 193 | 192,718 | ||||||||
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 | 514 | 504,650 | ||||||||
3,078,002 | ||||||||||
Distributors — 0.1% | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 | 670 | 619,680 | ||||||||
Diversified Consumer Services — 1.4% | ||||||||||
Ascend Learning LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 | 299 | 252,903 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 | 864 | 810,714 | ||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 | 751 | 747,876 | ||||||||
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 | 682 | 674,328 | ||||||||
Sotheby’s, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 | 1,201 | 1,169,063 | ||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 | 307 | 303,686 | ||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 | 1,370 | 1,114,534 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 | 1,225 | 1,212,714 | ||||||||
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 | 629 | 615,440 | ||||||||
6,901,258 | ||||||||||
Diversified REITs — 0.1% | ||||||||||
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 | 422 | 421,326 | ||||||||
Diversified Telecommunication Services — 2.2% | ||||||||||
Altice Financing SA | ||||||||||
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d) | 434 | 424,982 | ||||||||
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 | 522 | 512,291 | ||||||||
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 | 3,070 | 3,065,087 | ||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 | �� | 349 | 307,376 |
84 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Diversified Telecommunication Services (continued) | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 | USD | 676 | $ | 676,147 | ||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 | 889 | 826,027 | ||||||||
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 | 994 | 763,068 | ||||||||
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 | 384 | 307,158 | ||||||||
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 | 1,445 | 1,201,606 | ||||||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 | 607 | 603,746 | ||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 | 2,342 | 1,832,764 | ||||||||
10,520,252 | ||||||||||
Electric Utilities — 0.2% | ||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 | 869 | 867,993 | ||||||||
Electrical Equipment — 0.1% | ||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d) | 625 | 607,686 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 | 607 | 604,548 | ||||||||
Energy Equipment & Services — 0.3% | ||||||||||
Lealand Finance Co. BV | ||||||||||
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 | 16 | 11,832 | ||||||||
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(k) | 117 | 65,694 | ||||||||
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 | 1,479 | 1,474,267 | ||||||||
1,551,793 | ||||||||||
Entertainment — 2.3% | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 | 663 | 516,470 | ||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 | 46 | 45,614 | ||||||||
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 | 484 | 479,254 | ||||||||
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 | 931 | 912,535 | ||||||||
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 | 733 | 730,780 |
Security | Par (000) | Value | ||||||||
Entertainment (continued) | ||||||||||
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 | USD | 609 | $ | 608,695 | ||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 | 2,184 | 2,022,814 | ||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 | 1,067 | 1,063,688 | ||||||||
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 | 716 | 711,979 | ||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 | 523 | 521,658 | ||||||||
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 | 589 | 588,204 | ||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 | 1,587 | 1,581,226 | ||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 | 1,432 | 1,426,600 | ||||||||
11,209,517 | ||||||||||
Financial Services — 2.2% | ||||||||||
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 | 366 | 364,138 | ||||||||
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 | 856 | 758,572 | ||||||||
Belron Finance U.S. LLC | ||||||||||
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 | 178 | 177,555 | ||||||||
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 | 405 | 404,623 | ||||||||
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 | 918 | 916,018 | ||||||||
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 | 220 | 219,864 | ||||||||
Deerfield Dakota Holding LLC | ||||||||||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 | 2,788 | 2,700,245 | ||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 | 792 | 733,590 | ||||||||
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 | 390 | 373,632 | ||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 | 1,044 | 1,038,906 | ||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 | 1,090 | 1,071,836 | ||||||||
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(n) | 512 | 316,885 |
S C H E D U L E O F I N V E S T M E N T S | 85 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Financial Services (continued) | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 | USD | 341 | $ | 333,741 | ||||||
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 | 427 | 426,433 | ||||||||
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 | 776 | 767,616 | ||||||||
10,603,654 | ||||||||||
Food Products — 1.9% | ||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 | 647 | 593,111 | ||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1-mo. LIBOR US + 2.50%), 7.65%, 10/10/26 | 134 | 130,563 | ||||||||
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 | 1,884 | 1,871,725 | ||||||||
Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 | 1,982 | 1,968,972 | ||||||||
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 | 234 | 204,971 | ||||||||
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 | 744 | 743,540 | ||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 | 426 | 425,557 | ||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 | 1,097 | 1,082,886 | ||||||||
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 | 1,118 | 1,079,542 | ||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 | 1,377 | 1,373,073 | ||||||||
9,473,940 | ||||||||||
Ground Transportation — 0.3% | ||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 | 272 | 263,035 | ||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 | 286 | 281,813 | ||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.76%, 08/04/25 | 368 | 329,193 | ||||||||
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 | 816 | 817,296 | ||||||||
1,691,337 | ||||||||||
Health Care Equipment & Supplies — 1.0% | ||||||||||
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28. | 1,583 | 1,544,820 | ||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 | 437 | 400,451 |
Security | Par (000) | Value | ||||||||
Health Care Equipment & Supplies (continued) | ||||||||||
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 | USD | 282 | $ | 281,887 | ||||||
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 | 2,603 | 2,571,624 | ||||||||
4,798,782 | ||||||||||
Health Care Providers & Services — 1.2% | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 | 462 | 459,120 | ||||||||
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 | 766 | 762,679 | ||||||||
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 | 1,230 | 1,223,623 | ||||||||
Envision Healthcare Corp. | ||||||||||
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 | — | (o) | 218 | |||||||
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 | 607 | 128,385 | ||||||||
EyeCare Partners LLC | ||||||||||
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 | 850 | 623,004 | ||||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 | 176 | 116,831 | ||||||||
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 | 194 | 138,331 | ||||||||
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 | 816 | 755,069 | ||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 | 247 | 218,286 | ||||||||
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 | 610 | 609,037 | ||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 | 21 | 20,003 | ||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 | 617 | 578,149 | ||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 | 279 | 278,911 | ||||||||
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 | 126 | 125,539 | ||||||||
6,037,185 | ||||||||||
Health Care Technology — 1.0% | ||||||||||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 | 1,593 | 1,531,938 |
86 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Health Care Technology (continued) | ||||||||||
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 | USD | 2,189 | $ | 2,010,469 | ||||||
Verscend Holding Corp., 2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 | 1,255 | 1,252,980 | ||||||||
4,795,387 | ||||||||||
Hotels, Restaurants & Leisure — 3.4% | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26 | 868 | 838,701 | ||||||||
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d) | 78 | 77,805 | ||||||||
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 | 297 | 290,144 | ||||||||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 | 1,368 | 1,357,569 | ||||||||
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 | 590 | 588,986 | ||||||||
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 | 1,093 | 1,091,024 | ||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 | 756 | 748,845 | ||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 | 2,168 | 2,137,072 | ||||||||
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 | 619 | 619,741 | ||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 | 1,357 | 1,358,361 | ||||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.94%, 06/22/26 | 1,057 | 1,055,756 | ||||||||
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 | 1,403 | 1,391,940 | ||||||||
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 | 493 | 340,062 | ||||||||
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 | 612 | 609,605 | ||||||||
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 | 225 | 224,049 | ||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 | 611 | 609,533 | ||||||||
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 | 304 | 302,224 | ||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 | 557 | 556,602 |
Security | Par (000) | Value | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 | USD | 1,023 | $ | 1,018,516 | ||||||
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 08/03/28 | 1,241 | 1,231,769 | ||||||||
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 | 199 | 199,104 | ||||||||
16,647,408 | ||||||||||
Household Durables — 0.8% | ||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 | 689 | 577,690 | ||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 | 1,398 | 1,322,726 | ||||||||
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(n) | 185 | 185,299 | ||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 | 449 | 361,954 | ||||||||
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 | 1,430 | 1,251,713 | ||||||||
3,699,382 | ||||||||||
Household Products — 0.3% | ||||||||||
Diamond BC BV, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 | 1,361 | 1,359,207 | ||||||||
Independent Power and Renewable Electricity Producers — 0.2% | ||||||||||
Calpine Corp., 2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 | 283 | 282,332 | ||||||||
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 | 632 | 627,488 | ||||||||
909,820 | ||||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 | 259 | 191,941 | ||||||||
Insurance — 2.0% | ||||||||||
Alliant Holdings Intermediate LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 | 2,447 | 2,430,049 | ||||||||
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 | 1,289 | 1,280,278 | ||||||||
AmWINS Group, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 | 1,109 | 1,097,707 | ||||||||
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 | 224 | 223,083 | ||||||||
AssuredPartners, Inc. | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 | 1,083 | 1,073,128 | ||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 | 281 | 278,105 | ||||||||
HUB International Ltd. | ||||||||||
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 | 304 | 304,001 |
S C H E D U L E O F I N V E S T M E N T S | 87 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Insurance (continued) | ||||||||||
HUB International Ltd. (continued) | ||||||||||
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 | USD | 1,473 | $ | 1,475,397 | ||||||
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 | 647 | 645,269 | ||||||||
USI, Inc. | ||||||||||
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 | 82 | 81,913 | ||||||||
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 | 1,088 | 1,085,042 | ||||||||
9,973,972 | ||||||||||
Interactive Media & Services — 0.8% | ||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 | 207 | 203,644 | ||||||||
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 | 562 | 561,757 | ||||||||
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 | 989 | 987,467 | ||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 | 1,130 | 1,127,195 | ||||||||
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 | 307 | 306,794 | ||||||||
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 | 483 | 481,891 | ||||||||
3,668,748 | ||||||||||
IT Services — 1.5% | ||||||||||
Asurion LLC | ||||||||||
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 | 747 | 718,415 | ||||||||
2021 2nd Lien Term Loan B3, (1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28 | 364 | 308,719 | ||||||||
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 | 646 | 540,218 | ||||||||
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 | 469 | 445,434 | ||||||||
Epicor Software Corp. | ||||||||||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 | 296 | 295,322 | ||||||||
2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 07/30/27 | 285 | 281,696 | ||||||||
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 | 1,312 | 1,290,670 | ||||||||
Go Daddy Operating Co. LLC | ||||||||||
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 | 819 | 817,100 | ||||||||
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 | 652 | 652,605 |
Security | Par (000) | Value | ||||||||
IT Services (continued) | ||||||||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 | USD | 1,767 | $ | 1,754,530 | ||||||
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 | 261 | 249,756 | ||||||||
7,354,465 | ||||||||||
Leisure Products — 0.2% | ||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d) | 296 | 281,732 | ||||||||
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 | 308 | 307,068 | ||||||||
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 | 529 | 527,792 | ||||||||
1,116,592 | ||||||||||
Life Sciences Tools & Services — 1.4% | ||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 | 1,031 | 1,030,007 | ||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 | 1,032 | 1,007,904 | ||||||||
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 | 93 | 79,659 | ||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 | 631 | 605,743 | ||||||||
Fortrea Holdings, Inc., Term Loan B, 06/12/30(n) | 212 | 211,894 | ||||||||
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 1,044 | 1,043,332 | ||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 | 959 | 958,156 | ||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 | 1,507 | 1,493,226 | ||||||||
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 | 260 | 259,947 | ||||||||
6,689,868 | ||||||||||
Machinery — 2.8% | ||||||||||
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d) | 921 | 914,274 | ||||||||
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 | 164 | 163,823 | ||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 | 148 | 147,016 | ||||||||
Filtration Group Corp. | ||||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 | 490 | 487,993 |
88 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Machinery (continued) | ||||||||||
Filtration Group Corp. (continued) | ||||||||||
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 | USD | 1,104 | $ | 1,102,791 | ||||||
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 | 600 | 599,224 | ||||||||
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 | 1,202 | 1,194,143 | ||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 | 562 | 560,610 | ||||||||
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 | 1,826 | 1,786,650 | ||||||||
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 | 1,065 | 1,060,003 | ||||||||
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 | 1,015 | 1,001,201 | ||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 | 1,804 | 1,757,631 | ||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 | 1,401 | 1,389,654 | ||||||||
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 | 1,223 | 1,217,264 | ||||||||
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 | 439 | 438,123 | ||||||||
13,820,400 | ||||||||||
Media — 1.8% | ||||||||||
AVSC Holding Corp. | ||||||||||
2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25 | 652 | 632,778 | ||||||||
2020 Term Loan B3, 10/15/26(n) | 363 | 376,949 | ||||||||
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 | 404 | 395,281 | ||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 | 601 | 600,419 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. LIBOR US + 3.50%), 8.81%, 08/21/26 | 1,603 | 1,527,805 | ||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 | 668 | 662,501 | ||||||||
CSC Holdings LLC | ||||||||||
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 | 471 | 453,158 | ||||||||
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 | 861 | 750,094 | ||||||||
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 | 1,144 | 1,117,172 | ||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 | 300 | 290,568 |
Security | Par (000) | Value | ||||||||
Media (continued) | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 | USD | 368 | $ | 284,870 | ||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d) | 798 | 600,450 | ||||||||
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d) | 426 | 424,557 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 | 510 | 501,621 | ||||||||
8,618,223 | ||||||||||
Oil, Gas & Consumable Fuels — 0.6% | ||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 | 1,776 | 1,737,706 | ||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 | 102 | 101,270 | ||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 | 892 | 883,436 | ||||||||
2,722,412 | ||||||||||
Passenger Airlines — 1.7% | ||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 | 1,502 | 1,532,447 | ||||||||
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 | 1,166 | 1,164,750 | ||||||||
American Airlines, Inc. | ||||||||||
2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27 | 1,572 | 1,530,499 | ||||||||
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 | 1,160 | 1,137,600 | ||||||||
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 | 475 | 459,586 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 | 1,233 | 1,279,317 | ||||||||
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 | 1,321 | 1,318,498 | ||||||||
8,422,697 | ||||||||||
Personal Care Products — 0.8% | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 | 3,907 | 3,880,718 | ||||||||
Pharmaceuticals — 1.0% | ||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 | 671 | 645,188 | ||||||||
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 | 410 | 397,958 |
S C H E D U L E O F I N V E S T M E N T S | 89 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Pharmaceuticals (continued) | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 | USD | 578 | $ | 434,817 | ||||||
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 | 1,088 | 1,067,384 | ||||||||
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 | 1,072 | 1,070,190 | ||||||||
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 | 826 | 824,134 | ||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d) | 625 | 598,705 | ||||||||
5,038,376 | ||||||||||
Professional Services — 2.3% | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 | 764 | 761,805 | ||||||||
CoreLogic, Inc., Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 | 1,996 | 1,799,610 | ||||||||
Dun & Bradstreet Corp. | ||||||||||
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 | 302 | 301,042 | ||||||||
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 | 1,947 | 1,947,138 | ||||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 308 | 301,192 | ||||||||
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 | 668 | 652,582 | ||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 | 942 | 934,135 | ||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d) | 1,081 | 1,013,280 | ||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 | 299 | 298,770 | ||||||||
Trans Union LLC | ||||||||||
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 | 748 | 745,002 | ||||||||
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 | 1,296 | 1,291,813 | ||||||||
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 | 1,059 | 1,037,582 | ||||||||
11,083,951 |
Security | Par (000) | Value | ||||||||
Real Estate Management & Development — 0.3% | ||||||||||
Cushman & Wakefield U.S. Borrower LLC | ||||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 | USD | 380 | $ | 376,423 | ||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d) | 979 | 946,590 | ||||||||
1,323,013 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 | 755 | 755,046 | ||||||||
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 | 252 | 247,873 | ||||||||
1,002,919 | ||||||||||
Software — 5.6% | ||||||||||
Applied Systems, Inc. | ||||||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27 | 90 | 89,944 | ||||||||
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 | 245 | 245,145 | ||||||||
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 | 331 | 319,158 | ||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 | 746 | 739,406 | ||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 | 723 | 720,279 | ||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 | 1,201 | 1,196,810 | ||||||||
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 | 2,563 | 2,393,245 | ||||||||
Cloudera, Inc. | ||||||||||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d) | 457 | 411,300 | ||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 | 378 | 368,320 | ||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 | 513 | 477,878 | ||||||||
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 | 186 | 169,106 | ||||||||
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 | 112 | 111,350 | ||||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 | 1,550 | 1,544,196 |
90 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Software (continued) | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 | USD | 1,227 | $ | 1,222,756 | ||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 | 308 | 307,909 | ||||||||
Magenta Buyer LLC | ||||||||||
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 | 1,012 | 758,723 | ||||||||
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 | 936 | 603,550 | ||||||||
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 | 1,626 | 1,551,746 | ||||||||
MH Sub I LLC | ||||||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 | 1,005 | 870,882 | ||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 | 3,346 | 3,205,171 | ||||||||
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 | 764 | 759,271 | ||||||||
Proofpoint, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 | 1,751 | 1,711,910 | ||||||||
RealPage, Inc. | ||||||||||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 | 3,436 | 3,357,436 | ||||||||
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 | 480 | 463,598 | ||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 | 604 | 603,141 | ||||||||
Sophia LP, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 | 743 | 733,768 | ||||||||
SS&C Technologies, Inc. | ||||||||||
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 | 496 | 495,012 | ||||||||
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 | 442 | 441,850 | ||||||||
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 | 453 | 438,229 | ||||||||
Ultimate Software Group, Inc. | ||||||||||
2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.27%, 05/04/26 | 58 | 56,710 | ||||||||
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 | 763 | 752,387 | ||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 | 134 | 132,152 | ||||||||
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 | 88 | 88,389 | ||||||||
27,340,727 | ||||||||||
Specialty Retail — 1.4% | ||||||||||
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28 | GBP | 1,000 | 1,226,667 |
Security | Par (000) | Value | ||||||||
Specialty Retail (continued) | ||||||||||
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 | USD | 1,107 | $ | 1,086,377 | ||||||
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 | 232 | 230,888 | ||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 | 1,261 | 1,248,647 | ||||||||
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 | 1,610 | 1,604,187 | ||||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 | 755 | 752,978 | ||||||||
Restoration Hardware, Inc. | ||||||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 | 361 | 348,174 | ||||||||
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 10/20/28 | 313 | 301,960 | ||||||||
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 | 97 | 89,699 | ||||||||
6,889,577 | ||||||||||
Technology Hardware, Storage & Peripherals — 0.0% | ||||||||||
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 | 277 | 186,674 | ||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 | 432 | 432,519 | ||||||||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d) | 238 | 238,999 | ||||||||
671,518 | ||||||||||
Trading Companies & Distributors — 1.1% | ||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 | 609 | 607,189 | ||||||||
Core & Main LP, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 | 1,801 | 1,788,739 | ||||||||
SRS Distribution, Inc. | ||||||||||
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 | 1,810 | 1,755,564 | ||||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 | 405 | 394,407 | ||||||||
TMK Hawk Parent Corp.(d) | ||||||||||
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 | 163 | 165,826 | ||||||||
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 | 1,297 | 786,743 | ||||||||
5,498,468 | ||||||||||
Transportation Infrastructure — 0.3% | ||||||||||
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 | 358 | 355,862 |
S C H E D U L E O F I N V E S T M E N T S | 91 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Transportation Infrastructure (continued) | ||||||||||
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 | USD | 242 | $ | 239,974 | ||||||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 | 628 | 587,343 | ||||||||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 | 161 | 150,560 | ||||||||
1,333,739 | ||||||||||
Wireless Telecommunication Services — 0.4% | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 | 419 | 383,717 | ||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 | 368 | 367,146 | ||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 | 1,047 | 1,046,494 | ||||||||
1,797,357 | ||||||||||
Total Floating Rate Loan Interests — 57.3% (Cost: $285,076,466) | 279,038,923 | |||||||||
Foreign Agency Obligations | ||||||||||
Bahrain — 0.1% | ||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29(e) | 200 | 197,962 | ||||||||
Chile — 0.0% | ||||||||||
Chile Government International Bond, 4.34%, 03/07/42(h) | 200 | 177,440 | ||||||||
Colombia — 0.1% | ||||||||||
Colombia Government International Bond(h) | ||||||||||
3.13%, 04/15/31 | 430 | 324,766 | ||||||||
8.00%, 04/20/33 | 200 | 203,350 | ||||||||
528,116 | ||||||||||
Dominican Republic — 0.1% | ||||||||||
Dominican Republic International Bond(b) | ||||||||||
4.50%, 01/30/30 | 200 | 174,796 | ||||||||
7.05%, 02/03/31 | 150 | 149,418 | ||||||||
4.88%, 09/23/32(h) | 300 | 255,303 | ||||||||
579,517 | ||||||||||
Egypt — 0.0% | ||||||||||
Egypt Government International Bond, 7.50%, 02/16/61(b) | 200 | 99,694 | ||||||||
Guatemala — 0.0% | ||||||||||
Guatemala Government Bond, 4.65%, 10/07/41(b) | 200 | 159,654 | ||||||||
Ivory Coast — 0.1% | ||||||||||
Ivory Coast Government International Bond, 6.38%, 03/03/28(e)(h) | 200 | 192,302 | ||||||||
Morocco — 0.0% | ||||||||||
Morocco Government International Bond, 2.38%, 12/15/27(b) | 200 | 174,420 | ||||||||
Security | Par (000) | Value | ||||||||
Nigeria — 0.1% | ||||||||||
Nigeria Government International Bond, 8.38%, 03/24/29(b) | USD | 200 | $ | 179,616 | ||||||
Oman — 0.1% | ||||||||||
Oman Government International Bond, 6.50%, 03/08/47(e) | 308 | 286,193 | ||||||||
Paraguay — 0.0% | ||||||||||
Paraguay Government International Bond, 5.40%, 03/30/50(e) | 200 | 171,318 | ||||||||
Romania — 0.1% | ||||||||||
Romanian Government International Bond | ||||||||||
5.25%, 11/25/27(b) | 122 | 118,954 | ||||||||
2.50%, 02/08/30(e) | EUR | 138 | 123,835 | |||||||
2.12%, 07/16/31(e) | 156 | 128,561 | ||||||||
371,350 | ||||||||||
South Africa — 0.1% | ||||||||||
Republic of South Africa Government International Bond | ||||||||||
4.85%, 09/30/29 | USD | 200 | 175,668 | |||||||
5.00%, 10/12/46 | 230 | 152,557 | ||||||||
328,225 | ||||||||||
Sri Lanka — 0.0% | ||||||||||
Sri Lanka Government International Bond(e)(f)(i) | ||||||||||
6.85%, 03/14/24(h) | 200 | 87,568 | ||||||||
6.35%, 06/28/24 | 200 | 88,352 | ||||||||
175,920 | ||||||||||
Ukraine — 0.0% | ||||||||||
Ukraine Government International Bond(f)(i) | ||||||||||
9.75%, 11/01/30(e) | 236 | 58,174 | ||||||||
7.25%, 03/15/35(b) | 200 | 45,754 | ||||||||
103,928 | ||||||||||
Total Foreign Agency Obligations — 0.8% (Cost: $4,527,533) | 3,725,655 | |||||||||
Shares | ||||||||||
Investment Companies | ||||||||||
Fixed Income Funds — 1.0% | ||||||||||
Invesco Senior Loan ETF | 230,501 | 4,849,741 | ||||||||
Total Investment Companies — 1.0% (Cost: $4,877,550) | 4,849,741 | |||||||||
Par (000) | ||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||
Collateralized Mortgage Obligations — 2.2% | ||||||||||
Alternative Loan Trust | ||||||||||
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | USD | 995 | 571,953 | |||||||
Series 2006-J8, Class A5, 6.00%, 02/25/37 | 1,762 | 796,078 | ||||||||
Series 2007-19, Class 1A1, 6.00%, 08/25/37 | 545 | 279,576 |
92 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||
CHL Mortgage Pass-Through Trust | ||||||||||
Series 2005-17, Class 1A6, 5.50%, 09/25/35 | USD | 94 | $ | 85,231 | ||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 612 | 261,634 | ||||||||
Series 2007-HY5, Class 3A1, 4.03%, 09/25/37(a) . | 243 | 213,265 | ||||||||
COLT Mortgage Loan Trust(b)(c) | ||||||||||
Series 2022-7, Class A1, 5.16%, 04/25/67 | 2,211 | 2,151,785 | ||||||||
Series 2022-9, Class A1, 6.79%, 12/25/67 | 291 | 291,107 | ||||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66(a)(b) | 212 | 167,715 | ||||||||
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b) | 1,462 | 1,381,948 | ||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.00%, 10/25/35(a) | 307 | 171,838 | ||||||||
JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b) | 390 | 364,178 | ||||||||
OBX Trust, Series 2022-NQM9, Class A1A, 6.45%, 09/25/62(b)(c) | 94 | 93,743 | ||||||||
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b)(c) | 587 | 553,629 | ||||||||
Verus Securitization Trust(b)(c) | ||||||||||
Series 2022-3, Class A1, 4.13%, 02/25/67 | 1,439 | 1,314,304 | ||||||||
Series 2022-7, Class A1, 5.15%, 07/25/67 | 1,703 | 1,637,941 | ||||||||
Series 2022-INV2, Class A1, 6.79%, 10/25/67 | 442 | 442,023 | ||||||||
10,777,948 | ||||||||||
Commercial Mortgage-Backed Securities(b) — 0.9% | ||||||||||
BX Commercial Mortgage Trust(a) | ||||||||||
Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.18%, 10/15/36 | 1,096 | 1,089,350 | ||||||||
Series 2021-CIP, Class A, (1-mo. LIBOR US + 0.92%), 6.11%, 12/15/38 | 1,000 | 974,912 | ||||||||
Series 2021-XL2, Class A, (1-mo. LIBOR US + 0.69%), 5.88%, 10/15/38 | 454 | 440,702 | ||||||||
BX Trust, Series 2022 VAMF, Class A, (1-mo. Term SOFR + 0.85%), 6.00%, 01/15/39(a) | 1,200 | 1,166,135 | ||||||||
Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36 | 800 | 794,589 | ||||||||
4,465,688 | ||||||||||
Total Non-Agency Mortgage-Backed Securities — 3.1% (Cost: $16,311,226) | 15,243,636 | |||||||||
Benefical Interest (000) | ||||||||||
Other Interests | ||||||||||
Capital Markets — 0.0% | ||||||||||
Millennium Lender Claim Trust(d)(p) | USD | 918 | — | |||||||
Security | Benefical Interest (000) | Value | ||||||||
Industrial Conglomerates — 0.0% | ||||||||||
Millennium Corp. Claim(d)(p) | USD | 861 | $ | — | ||||||
Total Other Interests — 0.0% (Cost: $ — ) | — | |||||||||
Par (000) | ||||||||||
Preferred Securities | ||||||||||
Capital Trusts — 3.7%(a) | ||||||||||
Automobiles — 0.1% | ||||||||||
General Motors Financial Co., Inc., Series C, 5.70%(h)(j) | USD | 365 | 320,413 | |||||||
Banks(j) — 1.0% | ||||||||||
AIB Group PLC, 5.25%(e) | EUR | 200 | 203,574 | |||||||
Bank of East Asia Ltd., 5.88%(e) | USD | 250 | 227,828 | |||||||
Citigroup, Inc., Series P, 5.95% | 65 | 62,337 | ||||||||
Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46% | 35 | 34,792 | ||||||||
Industrial & Commercial Bank of China Ltd., 3.20%(e) | 200 | 186,154 | ||||||||
ING Groep NV, 3.88%(h) | 1,750 | 1,245,627 | ||||||||
Kasikornbank PCL, 5.28%(e)(h) | 200 | 188,092 | ||||||||
Nordea Bank Abp, 3.75%(b)(h) | 560 | 414,344 | ||||||||
PNC Financial Services Group, Inc.(h) 6.25%, 12/31/99 | 289 | 259,450 | ||||||||
Series V, 6.20% | 290 | 270,323 | ||||||||
Rizal Commercial Banking Corp., 6.50%(e) | 200 | 176,712 | ||||||||
Wells Fargo & Co., Series S, 5.90%(h) | 1,500 | 1,479,375 | ||||||||
4,748,608 | ||||||||||
Diversified Telecommunication Services — 0.1% | ||||||||||
Telefonica Europe BV, 6.14%(e)(j) | EUR | 200 | 210,329 | |||||||
Electric Utilities — 0.4% | ||||||||||
Edison International, Series B, 5.00%(j) | USD | 175 | 151,183 | |||||||
EDP - Energias de Portugal SA, 5.94%, 04/23/83(e) | EUR | 100 | 108,030 | |||||||
Electricite de France SA, 3.00%(e)(j) | 200 | 184,369 | ||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(h) | USD | 1,750 | 1,618,702 | |||||||
2,062,284 | ||||||||||
Financial Services(j) — 2.0% | ||||||||||
Bank of America Corp.(h) | ||||||||||
Series DD, 6.30% | 215 | 214,409 | ||||||||
Series X, 6.25% | 1,929 | 1,904,888 | ||||||||
Series Z, 6.50% | 143 | 142,602 | ||||||||
Barclays PLC | ||||||||||
4.38%(h) | 455 | 309,127 | ||||||||
8.00% | 210 | 187,614 | ||||||||
BNP Paribas SA, 6.88%(e) | EUR | 200 | 208,923 | |||||||
Credit Agricole SA, 4.75%(b)(h) | USD | 200 | 159,000 | |||||||
HSBC Holdings PLC, 6.00%(h) | 415 | 370,906 |
S C H E D U L E O F I N V E S T M E N T S | 93 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||
Financial Services (continued) | ||||||||||
JPMorgan Chase & Co., Series FF, 5.00%(h) | USD | 2,000 | $ | 1,953,750 | ||||||
Lloyds Banking Group PLC | ||||||||||
8.00% | 265 | 242,117 | ||||||||
7.50%(h) | 1,250 | 1,168,938 | ||||||||
NatWest Group PLC, 6.00%(h) | 1,185 | 1,096,125 | ||||||||
Societe Generale SA, 5.38%(b)(h) | 2,250 | 1,669,453 | ||||||||
Woori Bank, 4.25%(e) | 250 | 240,135 | ||||||||
9,867,987 | ||||||||||
Independent Power and Renewable Electricity Producers(b)(j) — 0.1% | ||||||||||
NRG Energy, Inc., 10.25% | 452 | 426,222 | ||||||||
Vistra Corp., 7.00% | 240 | 209,400 | ||||||||
635,622 | ||||||||||
Media — 0.0% | ||||||||||
SES SA, 2.88%(e)(j) | EUR | 100 | 92,343 | |||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Abertis Infraestructuras Finance BV, 3.25%(e)(j) | 100 | 97,821 | ||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
Vodafone Group PLC, 2.63%, 08/27/80(e) | 100 | 98,194 | ||||||||
18,133,601 | ||||||||||
Shares | ||||||||||
Preferred Stocks — 1.3% | ||||||||||
Capital Markets(a)(j) — 1.3% | ||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% | 140,000 | 3,571,400 | ||||||||
Morgan Stanley | ||||||||||
Series F, 6.88% | 55,000 | 1,392,600 | ||||||||
Series K, 5.90% | 53,253 | 1,251,978 | ||||||||
6,215,978 | ||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $136,229)(g) | 139,135 | 1,392 | ||||||||
6,217,370 | ||||||||||
Total Preferred Securities — 5.0% (Cost: $27,083,574) | 24,350,971 | |||||||||
Par (000) | ||||||||||
U.S. Government Sponsored Agency Securities | ||||||||||
Commercial Mortgage-Backed Securities — 0.1% | ||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K042, Class X1, 1.15%, 12/25/24(a) | USD | 31,670 | 386,122 | |||||||
Mortgage-Backed Securities(q) — 5.5% | ||||||||||
Uniform Mortgage-Backed Securities | ||||||||||
3.50%, 07/13/53 | 9,000 | 8,200,899 | ||||||||
5.00%, 07/13/53 | 9,600 | 9,406,500 | ||||||||
5.50%, 07/13/53 | 9,500 | 9,453,984 | ||||||||
27,061,383 | ||||||||||
Total U.S. Government Sponsored Agency Securities — 5.6% (Cost: $27,501,297) | 27,447,505 | |||||||||
Security | Shares | Value | ||||||||
Warrants | ||||||||||
Consumer Discretionary — 0.0% | ||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(f) | 1,720 | $ | — | |||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(f) | 345 | 4,092 | ||||||||
Total Warrants — 0.0% (Cost: $ — ) | 4,092 | |||||||||
Total Investments — 151.6% (Cost: $782,839,746) | 738,798,408 | |||||||||
Liabilities in Excess of Other Assets — (51.6)% | (251,621,547 | ) | ||||||||
Net Assets — 100.0% | $ 487,176,861 | |||||||||
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(f) | Non-income producing security. |
(g) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,392, representing less than 0.05% of its net assets as of period end, and an original cost of $136,229. |
(h) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(i) | Issuer filed for bankruptcy and/or is in default. |
(j) | Perpetual security with no stated maturity date. |
(k) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(l) | Convertible security. |
(m) | Zero-coupon bond. |
(n) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(o) | Rounds to less than 1,000. |
(p) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(q) | Represents or includes a TBA transaction. |
94 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Affiliated Issuer | Value at 12/31/22 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/23 | Shares Held at 06/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | $ | 1,474,663 | $ | — | $ (1,474,663) | (b) | $ | — | $ | — | $ | — | — | $ | 59,588 | $ | — | |||||||||||||||||||
(a) | As of period end, the entity is no longer held. |
(b) | Represents net amount purchased (sold). |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
HSBC Securities (USA), Inc. | 5.25 | %(b) | 11/29/22 | Open | $ | 811,250 | $ | 833,723 | Corporate Bonds | Open/Demand | ||||||||||||||||
HSBC Securities (USA), Inc. | 5.25 | (b) | 12/28/22 | Open | 670,312 | 686,730 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 5.25 | (b) | 12/28/22 | Open | 900,000 | 922,044 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/30/22 | Open | 191,595 | 196,221 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 5.25 | (b) | 01/12/23 | Open | 479,400 | 490,327 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/17/23 | Open | 321,630 | 324,969 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.24 | (b) | 04/17/23 | Open | 468,022 | 472,823 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/17/23 | Open | 269,625 | 272,385 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/17/23 | Open | 227,500 | 229,829 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.25 | (b) | 04/17/23 | Open | 1,105,500 | 1,117,016 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 04/17/23 | Open | 499,356 | 504,714 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 04/17/23 | Open | 477,750 | 482,876 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.25 | (b) | 04/19/23 | Open | 453,750 | 458,287 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.25 | (b) | 04/19/23 | Open | 453,750 | 458,287 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.25 | (b) | 04/19/23 | Open | 825,750 | 834,007 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.30 | (b) | 04/19/23 | Open | 390,600 | 394,545 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.30 | (b) | 04/19/23 | Open | 443,125 | 447,601 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.30 | (b) | 04/19/23 | Open | 1,810,000 | 1,828,281 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.30 | (b) | 04/19/23 | Open | 1,211,875 | 1,224,115 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.35 | (b) | 04/19/23 | Open | 2,385,000 | 2,409,327 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.50 | (b) | 04/19/23 | Open | 1,050,000 | 1,061,025 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.50 | (b) | 04/19/23 | Open | 1,077,894 | 1,089,261 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.50 | (b) | 04/19/23 | Open | 315,563 | 318,876 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 5.50 | (b) | 04/19/23 | Open | 893,194 | 902,572 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | (1.75 | )(b) | 04/19/23 | Open | 248,775 | 247,904 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.25 | (b) | 04/19/23 | Open | 140,000 | 141,400 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 29,095 | 29,389 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 199,681 | 201,698 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 135,850 | 137,222 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 286,869 | 289,766 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 564,800 | 570,504 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.30 | (b) | 04/19/23 | Open | 782,325 | 790,226 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.45 | (b) | 04/19/23 | Open | 386,000 | 390,014 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.45 | (b) | 04/19/23 | Open | 292,230 | 295,269 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 294,058 | 297,145 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 1,406,497 | 1,421,266 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 385,447 | 389,495 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 563,622 | 569,541 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 775,149 | 783,288 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 1,009,917 | 1,020,522 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 502,567 | 507,844 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S | 95 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
Barclays Capital, Inc. | 5.50 | %(b) | 04/19/23 | Open | $ | 304,395 | $ | 307,591 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 517,440 | 522,873 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 04/19/23 | Open | 343,865 | 347,476 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.07 | (b) | 04/19/23 | Open | 830,000 | 838,001 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.14 | (b) | 04/19/23 | Open | 981,250 | 990,847 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.20 | (b) | 04/19/23 | Open | 1,442,500 | 1,456,781 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.24 | (b) | 04/19/23 | Open | 92,040 | 92,959 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.24 | (b) | 04/19/23 | Open | 265,350 | 267,934 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.25 | (b) | 04/19/23 | Open | 1,252,125 | 1,264,321 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.31 | (b) | 04/19/23 | Open | 511,231 | 516,405 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.40 | (b) | 04/19/23 | Open | 626,580 | 633,034 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 04/19/23 | Open | 349,777 | 353,401 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 04/19/23 | Open | 348,365 | 351,974 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/19/23 | Open | 168,750 | 170,505 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/19/23 | Open | 452,760 | 457,469 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/19/23 | Open | 252,350 | 254,974 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/19/23 | Open | 2,182,500 | 2,205,198 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/19/23 | Open | 455,756 | 460,496 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.48 | (b) | 04/19/23 | Open | 448,496 | 453,187 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.25 | (b) | 04/19/23 | Open | 661,250 | 667,862 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.27 | (b) | 04/19/23 | Open | 176,000 | 177,767 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.27 | (b) | 04/19/23 | Open | 331,500 | 334,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.27 | (b) | 04/19/23 | Open | 174,300 | 176,050 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.30 | (b) | 04/19/23 | Open | 454,195 | 458,782 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.32 | (b) | 04/19/23 | Open | 286,130 | 289,031 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.33 | (b) | 04/19/23 | Open | 372,427 | 376,211 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.34 | (b) | 04/19/23 | Open | 253,500 | 256,081 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.34 | (b) | 04/19/23 | Open | 361,387 | 365,066 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.34 | (b) | 04/19/23 | Open | 256,165 | 258,773 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.10 | (b) | 04/19/23 | Open | 752,917 | 760,221 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 896,250 | 905,177 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 656,851 | 663,393 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 1,458,750 | 1,473,279 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 289,294 | 292,175 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 546,159 | 551,598 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 255,000 | 257,540 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 116,149 | 117,306 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 191,499 | 193,406 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 191,648 | 193,556 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 04/19/23 | Open | 694,444 | 701,360 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.25 | (b) | 04/19/23 | Open | 162,256 | 163,878 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 04/19/23 | Open | 333,900 | 337,239 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 04/19/23 | Open | 154,275 | 155,818 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 04/19/23 | Open | 887,500 | 896,375 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 04/19/23 | Open | 270,688 | 273,394 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 1,438,585 | 1,453,057 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 1,372,612 | 1,386,421 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 213,850 | 216,001 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 598,000 | 604,016 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 2,801 | 2,829 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.28 | (b) | 04/19/23 | Open | 321,188 | 324,419 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.38 | (b) | 04/19/23 | Open | 354,134 | 357,767 | Corporate Bonds | Open/Demand |
96 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
RBC Capital Markets, LLC | 5.38 | %(b) | 04/19/23 | Open | $ | 339,911 | $ | 343,399 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 498,482 | 503,617 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 513,585 | 518,875 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 285,525 | 288,466 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 193,965 | 195,963 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 415,471 | 419,751 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 274,050 | 276,873 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 195,625 | 197,640 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 356,310 | 359,980 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 437,100 | 441,602 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 469,665 | 474,503 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 466,665 | 471,472 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 312,570 | 315,789 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 99,814 | 100,842 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 245,745 | 248,276 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 387,500 | 391,491 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 317,106 | 320,372 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 303,500 | 306,626 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 254,806 | 257,431 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 269,798 | 272,576 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 04/19/23 | Open | 160,000 | 161,648 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.42 | (b) | 04/19/23 | Open | 310,853 | 314,067 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 04/19/23 | Open | 282,370 | 285,188 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.35 | (b) | 04/19/23 | Open | 147,169 | 148,670 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.42 | (b) | 04/19/23 | Open | 258,515 | 261,188 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.42 | (b) | 04/19/23 | Open | 294,120 | 297,161 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 04/28/23 | Open | 493,537 | 498,100 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.43 | (b) | 04/28/23 | Open | 1,155,787 | 1,166,431 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.20 | (b) | 05/01/23 | Open | 165,408 | 166,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.32 | (b) | 05/01/23 | Open | 921,531 | 929,318 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.34 | (b) | 05/01/23 | Open | 425,340 | 428,948 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/01/23 | Open | 245,745 | 247,785 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/01/23 | Open | 218,730 | 220,545 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.38 | (b) | 05/01/23 | Open | 236,570 | 238,593 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 05/01/23 | Open | 141,855 | 143,073 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 05/01/23 | Open | 850,314 | 857,612 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 05/01/23 | Open | 691,976 | 697,916 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.45 | (b) | 05/02/23 | Open | 284,606 | 287,032 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 05/03/23 | Open | 238,851 | 240,872 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 05/04/23 | Open | 176,175 | 177,612 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.12 | (b) | 05/05/23 | Open | 145,290 | 146,406 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 05/05/23 | Open | 1,008,330 | 1,016,497 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.05 | (b) | 05/10/23 | Open | 464,446 | 467,769 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 05/10/23 | Open | 368,740 | 371,577 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/10/23 | Open | 118,384 | 119,261 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 05/10/23 | Open | 193,050 | 194,527 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 05/10/23 | Open | 1,520,697 | 1,532,288 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 05/10/23 | Open | 1,114,511 | 1,123,006 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 05/10/23 | Open | 1,452,559 | 1,463,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 05/12/23 | Open | 115,159 | 115,971 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 05/17/23 | Open | 725,000 | 729,785 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.29 | (b) | 05/22/23 | Open | 1,740,922 | 1,751,155 | Capital Trusts | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 05/22/23 | Open | 1,653,109 | 1,662,752 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 05/22/23 | Open | 198,338 | 199,492 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 05/22/23 | Open | 192,173 | 193,291 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 05/22/23 | Open | 224,485 | 225,792 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.42 | (b) | 05/22/23 | Open | 188,250 | 189,384 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 05/23/23 | Open | 751,494 | 755,857 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 05/25/23 | Open | 322,575 | 324,327 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S | 97 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
Credit Agricole Corporate and Investment Bank | 5.34 | %(b) | 05/25/23 | Open | $ | 292,539 | $ | 294,101 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 5.39 | (b) | 05/25/23 | Open | 234,825 | 236,091 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 4.25 | (b) | 05/30/23 | Open | 205,265 | 206,016 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 4.90 | (b) | 05/30/23 | Open | 162,525 | 163,211 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.05 | (b) | 05/30/23 | Open | 873,410 | 877,208 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.10 | (b) | 05/30/23 | Open | 931,250 | 935,340 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.20 | (b) | 05/30/23 | Open | 262,681 | 263,857 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.20 | (b) | 05/30/23 | Open | 570,500 | 573,055 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.25 | (b) | 05/30/23 | Open | 340,377 | 341,872 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.35 | (b) | 05/30/23 | Open | 145,438 | 146,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.40 | (b) | 05/30/23 | Open | 384,975 | 386,666 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 05/30/23 | Open | 649,600 | 652,637 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 05/30/23 | Open | 1,293,750 | 1,299,822 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 05/30/23 | Open | 982,187 | 986,797 | Capital Trusts | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.25 | (b) | 05/30/23 | Open | 850,860 | 854,707 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 5.36 | (b) | 05/30/23 | Open | 854,352 | 858,296 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 05/30/23 | Open | 407,550 | 409,410 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 269,100 | 270,312 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 621,719 | 624,519 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 222,500 | 223,502 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 156,413 | 157,117 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 323,500 | 324,957 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 05/30/23 | Open | 285,500 | 286,786 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 05/30/23 | Open | 754,861 | 758,274 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 05/30/23 | Open | 156,863 | 157,572 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 05/30/23 | Open | 269,306 | 270,524 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 05/30/23 | Open | 412,500 | 414,365 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 05/30/23 | Open | 163,231 | 163,990 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.28 | (b) | 05/30/23 | Open | 184,500 | 185,339 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 05/30/23 | Open | 541,500 | 544,009 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 05/30/23 | Open | 502,275 | 504,602 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 05/30/23 | Open | 489,137 | 491,412 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.45 | (b) | 05/30/23 | Open | 375,990 | 377,755 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.45 | (b) | 05/30/23 | Open | 442,200 | 444,275 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.45 | (b) | 05/30/23 | Open | 813,435 | 817,252 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/01/23 | Open | 299,250 | 300,511 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/01/23 | Open | 140,814 | 141,426 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.42 | (b) | 06/01/23 | Open | 124,740 | 125,285 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/02/23 | Open | 342,805 | 344,092 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/02/23 | Open | 198,400 | 199,145 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 0.00 | 06/06/23 | 07/19/23 | 380,625 | 380,625 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 3.25 | 06/06/23 | 07/19/23 | 369,076 | 369,876 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 3.90 | 06/06/23 | 07/19/23 | 136,800 | 137,156 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.75 | 06/06/23 | 07/19/23 | 1,893,750 | 1,899,747 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.90 | 06/06/23 | 07/19/23 | 486,019 | 487,606 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.90 | 06/06/23 | 07/19/23 | 750,885 | 753,338 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.95 | 06/06/23 | 07/19/23 | 201,960 | 202,626 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.00 | 06/06/23 | 07/19/23 | 361,972 | 363,179 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.00 | 06/06/23 | 07/19/23 | 297,510 | 298,502 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.05 | 06/06/23 | 07/19/23 | 241,313 | 242,125 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.08 | 06/06/23 | 07/19/23 | 393,750 | 395,083 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 130,500 | 130,944 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 1,157,389 | 1,161,324 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 181,560 | 182,177 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 474,375 | 475,988 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 457,444 | 458,999 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/06/23 | 07/19/23 | 1,195,090 | 1,199,153 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 147,960 | 148,468 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 93,130 | 93,450 | Corporate Bonds | Up to 30 Days |
98 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
BofA Securities, Inc. | 5.15 | % | 06/06/23 | 07/19/23 | $ | 148,063 | $ | 148,571 | Corporate Bonds | Up to 30 Days | ||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 337,500 | 338,659 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 128,678 | 129,119 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 489,047 | 490,727 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 230,108 | 230,898 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 292,793 | 293,798 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 193,125 | 193,788 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 141,250 | 141,735 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 122,351 | 122,771 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 814,714 | 817,511 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 421,740 | 423,188 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 651,435 | 653,672 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 146,319 | 146,821 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/06/23 | 07/19/23 | 129,150 | 129,593 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/06/23 | 07/19/23 | 61,484 | 61,697 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/06/23 | 07/19/23 | 276,925 | 277,885 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/06/23 | 07/19/23 | 452,897 | 454,468 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 285,180 | 286,178 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 238,248 | 239,081 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 334,687 | 335,859 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 256,869 | 257,768 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 437,062 | 438,592 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 1,650,825 | 1,656,603 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 389,812 | 391,177 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 152,235 | 152,768 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 1,178,451 | 1,182,576 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 146,250 | 146,762 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 301,388 | 302,442 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 66,019 | 66,250 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 115,635 | 116,040 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 394,212 | 395,592 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 141,788 | 142,284 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/06/23 | 07/19/23 | 139,440 | 139,928 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.28 | 06/06/23 | 07/19/23 | 137,335 | 137,818 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.28 | 06/06/23 | 07/19/23 | 249,000 | 249,876 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 238,800 | 239,644 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 150,700 | 151,232 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 250,040 | 250,923 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 399,309 | 400,720 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 492,000 | 493,738 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 201,273 | 201,984 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 165,573 | 166,158 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/06/23 | 07/19/23 | 1,020,250 | 1,023,855 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 115,210 | 115,620 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 884,972 | 888,123 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 541,325 | 543,252 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 217,500 | 218,274 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 292,388 | 293,428 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 303,240 | 304,320 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 169,494 | 170,097 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/06/23 | 07/19/23 | 330,925 | 332,103 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/06/23 | 07/19/23 | 492,429 | 494,185 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.40 | 06/06/23 | 07/19/23 | 682,830 | 685,288 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 289,000 | 290,050 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 486,750 | 488,519 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 500,425 | 502,243 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 98,238 | 98,594 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 508,587 | 510,435 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 106,718 | 107,105 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 131,091 | 131,568 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 138,000 | 138,501 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 284,525 | 285,559 | Corporate Bonds | Up to 30 Days |
S C H E D U L E O F I N V E S T M E N T S | 99 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
BofA Securities, Inc. | 5.45 | % | 06/06/23 | 07/19/23 | $ | 141,470 | $ | 141,984 | Corporate Bonds | Up to 30 Days | ||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 160,800 | 161,384 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 129,775 | 130,247 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 499,625 | 501,440 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 292,000 | 293,061 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 142,578 | 143,096 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 336,600 | 337,823 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 321,535 | 322,703 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 743,750 | 746,452 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 90,034 | 90,361 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 382,007 | 383,395 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 317,200 | 318,352 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/06/23 | 07/19/23 | 192,750 | 193,450 | Foreign Agency Obligations | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.50 | 06/06/23 | 07/19/23 | 346,756 | 348,028 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.50 | 06/06/23 | 07/19/23 | 198,690 | 199,419 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Merrill Lynch International | 5.15 | 06/06/23 | 07/19/23 | 98,405 | 98,743 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Merrill Lynch International | 5.20 | 06/06/23 | 07/19/23 | 181,500 | 182,129 | Foreign Agency Obligations | Up to 30 Days | |||||||||||||||||||
BNP Paribas SA | 5.20 | (b) | 06/07/23 | Open | 330,059 | 331,155 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/07/23 | Open | 781,250 | 783,845 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/07/23 | Open | 292,033 | 293,003 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/07/23 | Open | 205,188 | 205,873 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/07/23 | Open | 2,464,300 | 2,472,755 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/07/23 | Open | 491,597 | 493,293 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/07/23 | Open | 430,125 | 431,609 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 5.00 | 06/08/23 | 07/19/23 | 157,750 | 158,232 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/08/23 | 07/19/23 | 529,505 | 531,204 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/08/23 | 07/19/23 | 725,254 | 727,581 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/08/23 | 07/19/23 | 403,750 | 405,045 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/08/23 | 07/19/23 | 492,949 | 494,545 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.34 | 06/08/23 | 07/19/23 | 328,280 | 329,351 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/08/23 | 07/19/23 | 295,470 | 296,436 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/08/23 | 07/19/23 | 235,943 | 236,714 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 2.00 | 06/08/23 | 07/21/23 | 380,625 | 381,090 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 4.25 | 06/08/23 | 07/21/23 | 192,225 | 192,724 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 132,446 | 132,863 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 251,561 | 252,353 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 359,016 | 360,146 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 225,908 | 226,618 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 293,220 | 294,143 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 109,650 | 109,995 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 482,827 | 484,347 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 596,250 | 598,127 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 41,375 | 41,505 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 153,239 | 153,721 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/08/23 | 07/21/23 | 188,625 | 189,219 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.20 | 06/08/23 | 07/21/23 | 214,125 | 214,805 | Capital Trusts | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.20 | 06/08/23 | 07/21/23 | 194,355 | 194,973 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.20 | 06/08/23 | 07/21/23 | 549,450 | 551,196 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.20 | 06/08/23 | 07/21/23 | 322,479 | 323,503 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.20 | 06/08/23 | 07/21/23 | 135,000 | 135,429 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 108,599 | 108,947 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 371,047 | 372,238 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 353,220 | 354,353 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 347,951 | 349,068 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 224,640 | 225,361 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/08/23 | 07/21/23 | 252,243 | 253,052 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 548,437 | 550,247 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 973,350 | 976,562 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 202,875 | 203,544 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 258,825 | 259,679 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 735,430 | 737,857 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 436,000 | 437,439 | Corporate Bonds | Up to 30 Days |
100 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
J.P. Morgan Securities LLC | 5.40 | % | 06/08/23 | 07/21/23 | $ | 222,744 | $ | 223,479 | Corporate Bonds | Up to 30 Days | ||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 183,438 | 184,043 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 304,000 | 305,003 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 446,489 | 447,962 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 462,875 | 464,402 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 171,300 | 171,865 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 430,025 | 431,444 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 518,300 | 520,010 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 334,688 | 335,792 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 379,312 | 380,564 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 238,560 | 239,347 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 560,000 | 561,848 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 338,125 | 339,241 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 209,148 | 209,838 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 265,545 | 266,421 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 147,689 | 148,176 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 245,875 | 246,686 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 488,565 | 490,177 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 382,075 | 383,336 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 468,750 | 470,297 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 554,400 | 556,229 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 244,000 | 244,805 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 225,420 | 226,164 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/08/23 | 07/21/23 | 446,511 | 447,985 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 06/08/23 | Open | 503,089 | 504,780 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/08/23 | Open | 919,320 | 922,258 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Merrill Lynch International | 5.35 | 06/12/23 | 07/19/23 | 1,167,315 | 1,170,438 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/12/23 | Open | 235,856 | 236,493 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/14/23 | Open | 517,545 | 518,787 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/15/23 | 07/19/23 | 374,687 | 375,507 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.45 | 06/15/23 | 07/19/23 | 648,369 | 649,841 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BNP Paribas SA | 5.19 | (b) | 06/15/23 | Open | 237,735 | 238,249 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.19 | (b) | 06/15/23 | Open | 212,381 | 212,841 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/15/23 | Open | 1,186,474 | 1,189,044 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 246,269 | 246,813 | Capital Trusts | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 924,401 | 926,443 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 307,625 | 308,304 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 648,375 | 649,807 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 435,240 | 436,201 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 542,969 | 544,168 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/15/23 | Open | 531,812 | 532,987 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.38 | (b) | 06/15/23 | Open | 819,500 | 821,337 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 3.00 | 06/16/23 | 07/19/23 | 408,870 | 409,245 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.00 | 06/16/23 | 07/19/23 | 71,890 | 72,000 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/16/23 | 07/19/23 | 596,732 | 597,672 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.15 | 06/16/23 | 07/19/23 | 315,555 | 316,052 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 38,505 | 38,567 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 169,873 | 170,145 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 104,186 | 104,353 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 178,459 | 178,745 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 122,795 | 122,992 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 288,585 | 289,048 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 399,031 | 399,671 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/16/23 | 07/19/23 | 2,531,242 | 2,535,303 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 138,250 | 138,474 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 110,636 | 110,815 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 106,755 | 106,928 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 144,271 | 144,505 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 110,061 | 110,239 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 195,500 | 195,817 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 77,175 | 77,300 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 551,950 | 552,844 | Corporate Bonds | Up to 30 Days |
S C H E D U L E O F I N V E S T M E N T S | 101 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
BofA Securities, Inc. | 5.30 | % | 06/16/23 | 07/19/23 | $ | 164,315 | $ | 164,581 | Corporate Bonds | Up to 30 Days | ||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 676,125 | 677,220 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 218,601 | 218,955 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 78,488 | 78,615 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/16/23 | 07/19/23 | 159,750 | 160,009 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/20/23 | Open | 533,444 | 534,244 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/20/23 | Open | 392,947 | 393,537 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | (3.75 | ) | 06/21/23 | 07/18/23 | 92,625 | 92,577 | Corporate Bonds | Up to 30 Days | ||||||||||||||||||
Barclays Capital, Inc. | 4.50 | 06/21/23 | 07/18/23 | 56,445 | 56,508 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 4.50 | 06/21/23 | 07/18/23 | 310,000 | 310,349 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.20 | 06/21/23 | 07/18/23 | 165,000 | 165,214 | Capital Trusts | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.20 | 06/21/23 | 07/18/23 | 726,000 | 726,944 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 251,180 | 251,513 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 1,446,052 | 1,447,968 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 245,279 | 245,604 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 265,488 | 265,839 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 562,650 | 563,395 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 250,100 | 250,431 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 290,734 | 291,119 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 339,527 | 339,977 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 601,735 | 602,532 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.30 | 06/21/23 | 07/18/23 | 883,125 | 884,295 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.35 | 06/21/23 | 07/18/23 | 160,250 | 160,464 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Barclays Capital, Inc. | 5.25 | (b) | 06/21/23 | Open | 708,755 | 709,685 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.45 | (b) | 06/21/23 | Open | 72,765 | 72,864 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 5.50 | (b) | 06/21/23 | Open | 408,292 | 408,854 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.14 | (b) | 06/21/23 | Open | 109,311 | 109,452 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.14 | (b) | 06/21/23 | Open | 280,033 | 280,392 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.23 | (b) | 06/21/23 | Open | 380,736 | 381,234 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.24 | (b) | 06/21/23 | Open | 273,075 | 273,433 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.40 | (b) | 06/21/23 | Open | 407,415 | 407,965 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.43 | (b) | 06/21/23 | Open | 59,221 | 59,302 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.45 | (b) | 06/21/23 | Open | 585,570 | 586,368 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.10 | (b) | 06/21/23 | Open | 840,756 | 841,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/21/23 | Open | 152,950 | 153,150 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/21/23 | Open | 213,519 | 213,798 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/21/23 | Open | 341,250 | 341,696 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/21/23 | Open | 272,219 | 272,575 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/21/23 | Open | 190,193 | 190,441 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.32 | (b) | 06/21/23 | Open | 1,340,921 | 1,342,705 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 06/21/23 | Open | 219,821 | 220,110 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 06/21/23 | Open | 400,744 | 401,270 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 06/21/23 | Open | 798,750 | 799,798 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.25 | (b) | 06/21/23 | Open | 352,537 | 353,000 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.38 | (b) | 06/21/23 | Open | 587,536 | 588,326 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 615,020 | 615,850 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 427,511 | 428,088 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 1,088,595 | 1,090,065 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 270,143 | 270,507 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 424,860 | 425,434 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 860,320 | 861,481 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/21/23 | Open | 184,800 | 185,049 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.39 | (b) | 06/21/23 | Open | 542,715 | 543,446 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.39 | (b) | 06/21/23 | Open | 600,231 | 601,040 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.40 | (b) | 06/21/23 | Open | 87,763 | 87,881 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.45 | (b) | 06/21/23 | Open | 506,920 | 507,611 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.16 | (b) | 06/22/23 | Open | 351,067 | 351,470 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas SA | 5.16 | (b) | 06/22/23 | Open | 388,040 | 388,485 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/23/23 | Open | 1,127,200 | 1,128,503 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Goldman Sachs & Co. LLC | 5.20 | (b) | 06/23/23 | Open | 4,589,981 | 4,595,285 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/23/23 | Open | 171,275 | 171,323 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 230,606 | 230,875 | Corporate Bonds | Open/Demand |
102 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date(a) | | Face Value | | Face Value Including Accrued Interest | | Type of Non‑Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements(a) | | |||||||||
TD Securities (USA) LLC | 5.24 | %(b) | 06/23/23 | Open | $ | 334,588 | $ | 334,977 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 239,375 | 239,654 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 96,250 | 96,362 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 168,656 | 168,853 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 413,875 | 414,357 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 94,250 | 94,360 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 132,475 | 132,629 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 157,343 | 157,526 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.24 | (b) | 06/23/23 | Open | 167,888 | 168,083 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/26/23 | Open | 226,100 | 226,297 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 4.45 | 06/27/23 | 07/19/23 | 408,750 | 408,902 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.07 | 06/27/23 | 07/19/23 | 597,500 | 597,752 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.10 | 06/27/23 | 07/19/23 | 253,045 | 253,153 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/27/23 | 07/19/23 | 469,500 | 469,709 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 4.25 | 06/27/23 | 07/21/23 | 107,250 | 107,288 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 4.25 | 06/27/23 | 07/21/23 | 132,250 | 132,297 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 4.75 | 06/27/23 | 07/21/23 | 156,750 | 156,812 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.05 | 06/27/23 | 07/21/23 | 163,750 | 163,819 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.05 | 06/27/23 | 07/21/23 | 196,875 | 196,958 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.15 | 06/27/23 | 07/21/23 | 154,421 | 154,487 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 290,250 | 290,377 | Foreign Agency Obligations | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 153,500 | 153,567 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 241,875 | 241,981 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 160,750 | 160,820 | Foreign Agency Obligations | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 155,750 | 155,818 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 155,952 | 156,020 | Capital Trusts | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.25 | 06/27/23 | 07/21/23 | 147,500 | 147,565 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/27/23 | 07/21/23 | 64,250 | 64,279 | Foreign Agency Obligations | Up to 30 Days | |||||||||||||||||||
Nomura Securities International, Inc. | 5.23 | (b) | 06/27/23 | Open | 199,260 | 199,347 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BofA Securities, Inc. | 3.00 | 06/28/23 | 07/19/23 | 121,338 | 121,358 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 3.50 | 06/28/23 | 07/19/23 | 221,448 | 221,491 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/28/23 | 07/19/23 | 454,984 | 455,115 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/28/23 | 07/19/23 | 735,051 | 735,264 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 471,902 | 472,040 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 269,555 | 269,634 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 485,940 | 486,082 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 97,763 | 97,791 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 313,230 | 313,321 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 921,690 | 921,959 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 202,946 | 203,005 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 1,058,929 | 1,059,238 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 176,138 | 176,189 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 755,580 | 755,800 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 239,020 | 239,090 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 126,500 | 126,537 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | 07/19/23 | 460,892 | 461,027 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/28/23 | 07/19/23 | 1,110,000 | 1,110,327 | Capital Trusts | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/28/23 | Open | 648,420 | 648,609 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/29/23 | 07/19/23 | 934,780 | 935,050 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.20 | 06/29/23 | 07/19/23 | 434,730 | 434,793 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.25 | 06/29/23 | 07/19/23 | 335,887 | 335,985 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.28 | 06/29/23 | 07/19/23 | 259,170 | 259,208 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.28 | 06/29/23 | 07/19/23 | 805,057 | 805,294 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.30 | 06/29/23 | 07/19/23 | 1,422,900 | 1,419,487 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/29/23 | 07/19/23 | 375,570 | 375,682 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 5.35 | 06/29/23 | 07/19/23 | 2,315,400 | 2,315,744 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/29/23 | 07/21/23 | 515,456 | 515,611 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/29/23 | 07/21/23 | 411,920 | 412,044 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/29/23 | 07/21/23 | 294,158 | 294,246 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 5.40 | 06/29/23 | 07/21/23 | 276,281 | 276,364 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
Goldman Sachs & Co. LLC | 5.30 | (b) | 06/29/23 | Open | 940,940 | 941,217 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/29/23 | Open | 573,495 | 573,581 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S | 103 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements | (a) | |||||||||
Nomura Securities International, Inc. | 5.37 | %(b) | 06/29/23 | Open | $ | 554,400 | $ | 554,483 | Corporate Bonds | Open/Demand | ||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/29/23 | Open | 731,670 | 731,779 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/29/23 | Open | 760,197 | 760,311 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/29/23 | Open | 740,155 | 740,265 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 5.37 | (b) | 06/29/23 | Open | 598,785 | 598,874 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.38 | (b) | 06/29/23 | Open | 762,005 | 762,233 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets, LLC | 5.40 | (b) | 06/29/23 | Open | 156,420 | 156,467 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.30 | (b) | 06/29/23 | Open | 1,936,065 | 1,936,635 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 5.42 | (b) | 06/29/23 | Open | 842,380 | 842,634 | Corporate Bonds | Open/Demand | ||||||||||||||||||
$ | 238,091,391 | $ | 239,262,253 | |||||||||||||||||||||||
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
10-Year U.S. Ultra Long Treasury Note | 54 | 09/20/23 | $ | 6,401 | $ | (50,476 | ) | |||||||||
2-Year U.S. Treasury Note | 222 | 09/29/23 | 45,153 | (625,381 | ) | |||||||||||
5-Year U.S. Treasury Note | 1,042 | 09/29/23 | 111,641 | (1,837,716 | ) | |||||||||||
(2,513,573 | ) | |||||||||||||||
Short Contracts | ||||||||||||||||
10-Year Japanese Government Treasury Bonds | 16 | 09/12/23 | 16,472 | (72,932 | ) | |||||||||||
10-Year U.S. Treasury Note | 239 | 09/20/23 | 26,843 | 452,824 | ||||||||||||
U.S. Long Bond | 135 | 09/20/23 | 17,162 | (65,724 | ) | |||||||||||
Ultra U.S. Treasury Bond | 39 | 09/20/23 | 5,313 | (45,569 | ) | |||||||||||
268,599 | ||||||||||||||||
$ | (2,244,974 | ) | ||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
USD | 6,275,905 | EUR | 5,719,000 | BNP Paribas SA | 09/20/23 | $ | 11,468 | |||||||||||||||||
USD | 899,827 | EUR | 820,000 | State Street Bank and Trust Co. | 09/20/23 | 1,622 | ||||||||||||||||||
USD | 698,848 | GBP | 545,000 | BNP Paribas SA | 09/20/23 | 6,551 | ||||||||||||||||||
USD | 1,057,821 | GBP | 825,000 | State Street Bank and Trust Co. | 09/20/23 | 9,849 | ||||||||||||||||||
USD | 180,471 | JPY | 25,170,000 | The Bank of New York Mellon | 09/20/23 | 3,945 | ||||||||||||||||||
33,435 | ||||||||||||||||||||||||
USD | 272,217 | EUR | 251,524 | Toronto-Dominion Bank | 09/14/23 | (3,211 | ) | |||||||||||||||||
JPY | 25,170,940 | USD | 178,551 | Toronto-Dominion Bank | 09/20/23 | (2,019 | ) | |||||||||||||||||
USD | 107,573 | EUR | 100,000 | Morgan Stanley & Co. International PLC | 09/20/23 | (1,965 | ) | |||||||||||||||||
USD | 120,659 | GBP | 96,000 | Bank of America N.A. | 09/20/23 | (1,286 | ) | |||||||||||||||||
USD | 122,830 | GBP | 97,000 | State Street Bank and Trust Co. | 09/20/23 | (386 | ) | |||||||||||||||||
(8,867 | ) | |||||||||||||||||||||||
$ | 24,568 | |||||||||||||||||||||||
104 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Reference Obligation/Index | | Financing Rate Paid by the Fund | | | Payment Frequency | | | Termination Date | | | Notional Amount (000) | | Value | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | |||||||||
CDX.NA.HY.40.V1 | 5.00 | % | Quarterly | 06/20/28 | USD 3,650 | $ | (108,536 | ) | $ | 3,555 | $ | (112,091 | ) | |||||||||||||||
CDX.NA.IG.40.V1 | 1.00 | Quarterly | 06/20/28 | USD 21,170 | (324,363 | ) | (140,920 | ) | (183,443 | ) | ||||||||||||||||||
$ | (432,899 | ) | $ | (137,365 | ) | $ | (295,534 | ) | ||||||||||||||||||||
Upfront Premium | Unrealized | |||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective | Termination | Notional | Paid | Appreciation | ||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||||
1‑Day SOFR, 1.09% | Annual | 3.32% | Annual | N/A | 11/28/42 | USD | 4,800 | $ | (114,096 | ) | $ | 113 | $ | (114,209 | ) | |||||||||||||||||||||
1‑Day SOFR, 1.09% | Annual | 3.31% | Annual | N/A | 12/01/42 | USD | 1,600 | (39,912 | ) | 38 | (39,950 | ) | ||||||||||||||||||||||||
$ | (154,008 | ) | $ | 151 | $ | (154,159 | ) | |||||||||||||||||||||||||||||
Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment Frequency | | Counterparty | | Termination Date | | | Credit Rating | (a) | | Notional Amount (000) | (b) | Value | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||||
Casino, Guichard-Perrachon S.A. | 5.00 | % | Quarterly | BNP Paribas SA | 12/20/23 | CC | EUR | 6 | $ | (6,042 | ) | $ | (297 | ) | $ | (5,745 | ) | |||||||||||||||||||||||
Thyssenkrupp AG | 1.00 | Quarterly | Bank of America N.A. | 12/20/23 | BB | EUR | 20 | 43 | (196 | ) | 239 | |||||||||||||||||||||||||||||
Virgin Media Finance PLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B | EUR | 10 | 557 | 720 | (163 | ) | |||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Bank of America N.A. | 06/20/26 | BB- | EUR | 15 | 185 | (394 | ) | 579 | |||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Bank of America N.A. | 12/20/26 | BB- | EUR | 20 | (86 | ) | (617 | ) | 531 | ||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Barclays Bank PLC | 12/20/26 | BB- | EUR | 10 | (44 | ) | 316 | (360 | ) | ||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International | 12/20/26 | BB- | EUR | 10 | (43 | ) | 325 | (368 | ) | ||||||||||||||||||||||||||||
K&S AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | BBB- | EUR | 10 | 1,198 | 636 | 562 | ||||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | Credit Suisse International | 06/20/27 | NR | EUR | 30 | 2,901 | 1,112 | 1,789 | ||||||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 10 | (188 | ) | (898 | ) | 710 | ||||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 40 | (752 | ) | (5,728 | ) | 4,976 | ||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | CCC+ | EUR | 7 | (1,798 | ) | (1,525 | ) | (273 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | CCC+ | EUR | 4 | (1,081 | ) | (902 | ) | (179 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | CCC+ | EUR | 12 | (3,036 | ) | (2,532 | ) | (504 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Citibank N.A. | 12/20/27 | CCC+ | EUR | 4 | (881 | ) | (755 | ) | (126 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/27 | CCC+ | EUR | 8 | (1,845 | ) | (1,572 | ) | (273 | ) | |||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | International PLC | 12/20/27 | CCC+ | EUR | 5 | (1,337 | ) | (1,123 | ) | (214 | ) | |||||||||||||||||||||||||||
United Group B.V. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/27 | B | EUR | 22 | (2,163 | ) | (3,301 | ) | 1,138 | ||||||||||||||||||||||||||||
Casino, Guichard-Perrachon S.A. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | CC | EUR | 6 | (6,123 | ) | (4,527 | ) | (1,596 | ) | |||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||||||
K&S AG | 5.00 | Quarterly | International PLC | 06/20/28 | BBB- | EUR | 10 | 1,352 | 1,058 | 294 | ||||||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | BB | EUR | 9 | (320 | ) | (620 | ) | 300 | ||||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||||||
CMBX.NA.15 | 3.00 | Monthly | International PLC | 11/15/64 | N/R | USD | 2,318 | (669,226 | ) | (432,373 | ) | (236,853 | ) | |||||||||||||||||||||||||||
$ | (688,729 | ) | $ | (453,193 | ) | $ | (235,536 | ) | ||||||||||||||||||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
S C H E D U L E O F I N V E S T M E N T S | 105 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps(a) | $ | 3,706 | $ | (140,920 | ) | $ | — | $ | (449,693 | ) | ||||||
OTC Swaps | 4,167 | (457,360 | ) | 11,118 | (246,654 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 452,824 | $ | — | $ | 452,824 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 33,435 | — | — | 33,435 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 15,285 | — | — | — | — | 15,285 | |||||||||||||||||||||
�� | ||||||||||||||||||||||||||||
$ | — | $ | 15,285 | $ | — | $ | 33,435 | $ | 452,824 | $ | — | $ | 501,544 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 2,697,798 | $ | — | $ | 2,697,798 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 8,867 | — | — | 8,867 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | — | 295,534 | — | — | 154,159 | — | 449,693 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 704,014 | — | — | — | — | 704,014 | |||||||||||||||||||||
$ | — | $ | 999,548 | $ | — | $ | 8,867 | $ | 2,851,957 | $ | — | $ | 3,860,372 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (3,738,095 | ) | $ | — | $ | (3,738,095 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | (102,021 | ) | — | — | (102,021 | ) | |||||||||||||||||||
Swaps | — | (690,680 | ) | — | — | 2,662,652 | — | 1,971,972 | ||||||||||||||||||||
$ | — | $ | (690,680 | ) | $ | — | $ | (102,021 | ) | $ | (1,075,443 | ) | $ | — | $ | (1,868,144 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (3,038,412 | ) | $ | — | $ | (3,038,412 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 47,501 | — | — | 47,501 | |||||||||||||||||||||
Swaps | — | 88,979 | — | — | (2,458,824 | ) | — | (2,369,845 | ) | |||||||||||||||||||
$ | — | $ | 88,979 | $ | — | $ | 47,501 | $ | (5,497,236 | ) | $ | — | $ | (5,360,756 | ) | |||||||||||||
106 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Futures contracts: | ||||
Average notional value of contracts — long | $ | 239,197,460 | ||
Average notional value of contracts — short | $ | 76,742,540 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 9,723,873 | ||
Average amounts sold — in USD | $ | 193,740 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 24,460,000 | ||
Average notional value — sell protection | $ | 2,628,500 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | — | (a) | |
Average notional value — receives fixed rate | $ | 6,400,000 |
(a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Futures contracts | $ | 85,603 | $ | 199,354 | ||||
Forward foreign currency exchange contracts | 33,435 | 8,867 | ||||||
Swaps — centrally cleared | — | 23,590 | ||||||
Swaps — OTC(a) | 15,285 | 704,014 | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 134,323 | 935,825 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (85,603 | ) | (222,944 | ) | ||||
Total derivative assets and liabilities subject to an MNA | $ | 48,720 | $ | 712,881 | ||||
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | | Derivatives Available for Offset | (a) | | Non-Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | (b)(c) | |||||
Bank of America N.A. | $ | 1,349 | $ | (1,349 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 316 | (316 | ) | — | — | — | ||||||||||||||
BNP Paribas SA | 18,019 | (6,042 | ) | — | — | 11,977 | ||||||||||||||
Credit Suisse International | 3,226 | (368 | ) | — | — | 2,858 | ||||||||||||||
JPMorgan Chase Bank N.A. | 9,042 | (9,042 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,352 | (1,352 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. | 11,471 | (386 | ) | — | — | 11,085 | ||||||||||||||
The Bank of New York Mellon | 3,945 | — | — | — | 3,945 | |||||||||||||||
$ | 48,720 | $ | (18,855 | ) | $ | — | $ | — | $ | 29,865 | ||||||||||
S C H E D U L E O F I N V E S T M E N T S | 107 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | | Derivatives Available for Offset | (a) | | Non-Cash Collateral Pledged | | | Cash Collateral Pledged | (d) | | Net Amount of Derivative Liabilities | (b)(e) | |||||
Bank of America N.A. | $ | 4,291 | $ | (1,349 | ) | $ | — | $ | — | $ | 2,942 | |||||||||
Barclays Bank PLC | 4,477 | (316 | ) | — | (4,161 | ) | — | |||||||||||||
BNP Paribas SA | 6,042 | (6,042 | ) | — | — | — | ||||||||||||||
Citibank N.A. | 881 | — | — | — | 881 | |||||||||||||||
Credit Suisse International | 368 | (368 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 18,678 | (9,042 | ) | — | — | 9,636 | ||||||||||||||
Morgan Stanley & Co. International PLC | 672,528 | (1,352 | ) | — | (460,000 | ) | 211,176 | |||||||||||||
State Street Bank and Trust Co. | 386 | (386 | ) | — | — | — | ||||||||||||||
Toronto-Dominion Bank | 5,230 | — | — | — | 5,230 | |||||||||||||||
$ | 712,881 | $ | (18,855 | ) | $ | — | $ | (464,161 | ) | $ | 229,865 | |||||||||
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 32,728,076 | $ | 858,419 | $ | 33,586,495 | ||||||||
Common Stocks | — | 172,652 | 5,467 | 178,119 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Aerospace & Defense | — | 14,858,755 | — | 14,858,755 | ||||||||||||
Automobile Components | — | 6,329,468 | — | 6,329,468 | ||||||||||||
Automobiles | — | 7,076,700 | — | 7,076,700 | ||||||||||||
Banks | — | 2,901,002 | — | 2,901,002 | ||||||||||||
Beverages | — | 9,995,607 | — | 9,995,607 | ||||||||||||
Biotechnology | — | 98,632 | — | 98,632 | ||||||||||||
Broadline Retail | — | 114,487 | — | 114,487 | ||||||||||||
Building Materials | — | 5,490,969 | — | 5,490,969 | ||||||||||||
Building Products | — | 4,313,583 | — | 4,313,583 | ||||||||||||
Capital Markets | — | 6,014,970 | — | 6,014,970 | ||||||||||||
Chemicals | — | 7,950,940 | — | 7,950,940 | ||||||||||||
Commercial Services & Supplies | — | 7,492,895 | — | 7,492,895 | ||||||||||||
Communications Equipment | — | 2,250,760 | — | 2,250,760 | ||||||||||||
Construction Materials | — | 497,278 | — | 497,278 | ||||||||||||
Consumer Discretionary | — | 10,603,933 | — | 10,603,933 | ||||||||||||
Consumer Finance | — | 8,448,738 | — | 8,448,738 | ||||||||||||
Consumer Staples Distribution & Retail | — | 4,049,891 | — | 4,049,891 | ||||||||||||
Containers & Packaging | — | 2,666,621 | — | 2,666,621 | ||||||||||||
Diversified Consumer Services | — | 8,889,013 | — | 8,889,013 | ||||||||||||
Diversified REITs | — | 4,535,149 | — | 4,535,149 | ||||||||||||
Diversified Telecommunication Services | — | 9,520,476 | — | 9,520,476 | ||||||||||||
Electric Utilities | — | 3,906,961 | — | 3,906,961 | ||||||||||||
Electrical Equipment | — | 1,573,895 | — | 1,573,895 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 1,454,094 | — | 1,454,094 | ||||||||||||
Energy Equipment & Services | — | 3,321,387 | — | 3,321,387 | ||||||||||||
Environmental, Maintenance & Security Service | — | 4,313,981 | — | 4,313,981 | ||||||||||||
Financial Services | — | 8,650,760 | — | 8,650,760 | ||||||||||||
Food Products | — | 3,348,592 | — | 3,348,592 |
108 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Gas Utilities | $ | — | $ | 340,496 | $ | — | $ | 340,496 | ||||||||
Ground Transportation | — | 1,914,079 | — | 1,914,079 | ||||||||||||
Health Care Equipment & Supplies | — | 1,185,020 | — | 1,185,020 | ||||||||||||
Health Care Providers & Services | — | 12,923,123 | — | 12,923,123 | ||||||||||||
Health Care Technology | — | 3,162,053 | — | 3,162,053 | ||||||||||||
Hotels, Restaurants & Leisure | — | 16,623,520 | — | 16,623,520 | ||||||||||||
Household Durables | — | 2,686,765 | — | 2,686,765 | ||||||||||||
Household Products | — | 176,605 | — | 176,605 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 3,486,357 | — | 3,486,357 | ||||||||||||
Industrial Conglomerates | — | 173,937 | — | 173,937 | ||||||||||||
Insurance | — | 9,685,208 | — | 9,685,208 | ||||||||||||
Interactive Media & Services | — | 838,253 | — | 838,253 | ||||||||||||
Internet Software & Services | — | 4,936,424 | — | 4,936,424 | ||||||||||||
IT Services | — | 4,515,445 | — | 4,515,445 | ||||||||||||
Leisure Products | — | 426,268 | — | 426,268 | ||||||||||||
Machinery | — | 5,118,693 | — | 5,118,693 | ||||||||||||
Marine Transportation | — | 164,929 | — | 164,929 | ||||||||||||
Media | — | 33,276,687 | — | 33,276,687 | ||||||||||||
Metals & Mining | — | 9,097,414 | — | 9,097,414 | ||||||||||||
Multi-Utilities | — | 1,147,609 | — | 1,147,609 | ||||||||||||
Offshore Drilling & Other Services | — | 2,109,853 | — | 2,109,853 | ||||||||||||
Oil, Gas & Consumable Fuels | 87,028 | 44,226,502 | 1,159,163 | 45,472,693 | ||||||||||||
Passenger Airlines | — | 6,367,212 | — | 6,367,212 | ||||||||||||
Pharmaceuticals | — | 5,131,530 | — | 5,131,530 | ||||||||||||
Real Estate | — | 90,042 | — | 90,042 | ||||||||||||
Real Estate Management & Development | — | 2,280,988 | — | 2,280,988 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 4,561,198 | — | 4,561,198 | ||||||||||||
Software | — | 11,811,011 | — | 11,811,011 | ||||||||||||
Specialized REITs | — | 1,078,201 | — | 1,078,201 | ||||||||||||
Specialty Retail | — | 1,224,040 | — | 1,224,040 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 1,233,020 | — | 1,233,020 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 645,493 | — | 645,493 | ||||||||||||
Transportation Infrastructure | — | 1,180,758 | — | 1,180,758 | ||||||||||||
Wireless Telecommunication Services | — | 4,638,810 | — | 4,638,810 | ||||||||||||
Floating Rate Loan Interests | — | 269,785,516 | 9,253,407 | 279,038,923 | ||||||||||||
Foreign Agency Obligations | — | 3,725,655 | — | 3,725,655 | ||||||||||||
Investment Companies | 4,849,741 | — | — | 4,849,741 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 15,243,636 | — | 15,243,636 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 18,133,601 | — | 18,133,601 | ||||||||||||
Preferred Stocks | 6,215,978 | — | — | 6,215,978 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 27,447,505 | — | 27,447,505 | ||||||||||||
Warrants | 4,092 | — | — | 4,092 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | 19,186 | — | 19,186 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (3,278 | ) | — | (3,278 | ) | ||||||||||
$ | 11,156,839 | $ | 716,379,629 | $ | 11,276,456 | 738,812,924 | ||||||||||
Investments Valued at NAV(b) | 1,392 | |||||||||||||||
$ | 738,814,316 | |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | �� | $ | — | $ | 11,118 | $ | — | $ | 11,118 | |||||||
Foreign Currency Exchange Contracts | — | 33,435 | — | 33,435 | ||||||||||||
Interest Rate Contracts | 452,824 | — | — | 452,824 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (542,188 | ) | — | (542,188 | ) |
S C H E D U L E O F I N V E S T M E N T S | 109 |
Schedule of Investments (unaudited) (continued) June 30, 2023 | BlackRock Limited Duration Income Trust (BLW) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities (continued) | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (8,867 | ) | $ | — | $ | (8,867 | ) | ||||||
Interest Rate Contracts | (2,697,798 | ) | (154,159 | ) | — | (2,851,957 | ) | |||||||||
$ | (2,244,974 | ) | $ | (660,661 | ) | $ | — | $ | (2,905,635 | ) | ||||||
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Fund were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Asset‑Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Mortgage‑Backed Securities | Other Interests | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2022 | $ | 1,354,025 | $ | 6,098 | $ | 1,198,484 | $ | 3,710,331 | $ | 384,933 | $ | — | (a) | $ | 6,653,871 | |||||||||||||
Transfers into Level 3(b) | — | — | — | 5,046,841 | — | — | 5,046,841 | |||||||||||||||||||||
Transfers out of Level 3(c) | (500,000 | ) | — | — | (735,661 | ) | (384,933 | ) | — | (1,620,594 | ) | |||||||||||||||||
Accrued discounts/premiums | (16,047 | ) | — | — | 94,522 | — | — | 78,475 | ||||||||||||||||||||
Net realized gain (loss) | — | (100,300 | ) | — | (43,707 | ) | — | — | (144,007 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | 20,441 | 100,056 | (20,539 | ) | 171,940 | — | — | 271,898 | ||||||||||||||||||||
Purchases | — | — | — | 2,684,080 | — | — | 2,684,080 | |||||||||||||||||||||
Sales | — | (387 | ) | (18,782 | ) | (1,674,939 | ) | — | — | (1,694,108 | ) | |||||||||||||||||
Closing balance, as of June 30, 2023 | $ | 858,419 | $ | 5,467 | $ | 1,159,163 | $ | 9,253,407 | $ | — | $ | — | (a) | $ | 11,276,456 | |||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) | $ | 20,441 | $ | — | $ | (20,539 | ) | $ | 145,597 | $ | — | $ | — | $ | 145,499 | |||||||||||||
(a) | Rounds to less than $1. |
(b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. |
110 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
ASSETS | ||||||||||||||||
Investments, at value — unaffiliated(a) | $ | 632,043,847 | $ | 593,796,833 | $ | 426,051,401 | $ | 738,798,408 | ||||||||
Investments, at value — affiliated(b) | 1,501,400 | 5,254,900 | 6,098,856 | — | ||||||||||||
Cash | 1,976,150 | 1,051,332 | — | 41,855 | ||||||||||||
Cash pledged: | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | 390,000 | 1,468,704 | ||||||||||||
Collateral — OTC derivatives | — | — | — | 470,000 | ||||||||||||
Futures contracts | — | — | 862,000 | 1,238,470 | ||||||||||||
Centrally cleared swaps | 360,000 | 398,000 | 1,000 | 1,028,000 | ||||||||||||
Foreign currency, at value(c) | — | 35,192 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 3,901,335 | 3,718,150 | 5,159 | 2,875,423 | ||||||||||||
Reverse repurchase agreements | — | — | — | 6,890,640 | ||||||||||||
Dividends — unaffiliated | — | — | — | 43,103 | ||||||||||||
Dividends — affiliated | 1,765 | 62 | 15,951 | 7,243 | ||||||||||||
Interest — unaffiliated | 4,498,747 | 3,481,697 | 3,506,913 | 8,578,156 | ||||||||||||
Principal paydowns | 1,101 | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | 85,603 | ||||||||||||
Variation margin on centrally cleared swaps | 29,406 | 32,533 | 71 | — | ||||||||||||
Swap premiums paid | 1,181 | — | — | 4,167 | ||||||||||||
Unrealized appreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | 23,917 | 23,847 | — | 33,435 | ||||||||||||
OTC swaps | 1,758 | — | — | 11,118 | ||||||||||||
Unfunded floating rate loan interests | — | — | — | 19,186 | ||||||||||||
Deferred offering costs | 225,369 | 9,048 | 115,813 | 110,250 | ||||||||||||
Total assets | 644,565,976 | 607,801,594 | 437,047,164 | 761,703,761 | ||||||||||||
LIABILITIES | ||||||||||||||||
Foreign bank overdraft(d) | 5,570 | — | — | 14,033 | ||||||||||||
Due to broker | 673,000 | — | — | — | ||||||||||||
Cash received as collateral for OTC derivatives | — | — | 470,000 | — | ||||||||||||
Borrowed bonds, at value(e) | — | — | 754,268 | — | ||||||||||||
Reverse repurchase agreements, at value | — | — | 120,590,636 | 239,262,253 | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 5,196,705 | 5,175,462 | 41,207,228 | 29,540,083 | ||||||||||||
Reverse repurchase agreements | — | — | — | 3,308,527 | ||||||||||||
Accounting services fees | 42,548 | 40,489 | 29,934 | 46,999 | ||||||||||||
Administration fees | — | — | 69,585 | — | ||||||||||||
Bank borrowings | 137,000,000 | 138,000,000 | — | — | ||||||||||||
Custodian fees | 22,130 | 11,659 | 6,430 | 30,680 | ||||||||||||
Income dividend distributions | 75,633 | 120,396 | 50,877 | 121,885 | ||||||||||||
Interest expense and fees | 727,919 | 727,768 | 1,198 | — | ||||||||||||
Investment advisory fees | 578,540 | 741,574 | 301,016 | 661,260 | ||||||||||||
Offering costs | 1,830 | — | — | 8,226 | ||||||||||||
Directors’ and Officer’s fees | 299,746 | 414 | 142,890 | 375,265 | ||||||||||||
Other accrued expenses | 64,635 | 6,437 | 20,104 | 63,721 | ||||||||||||
Principal payups | — | — | 1,643,439 | 63,051 | ||||||||||||
Professional fees | 58,487 | 66,817 | 44,697 | 64,228 | ||||||||||||
Transfer agent fees | 34,339 | 25,891 | 25,125 | 27,586 | ||||||||||||
Variation margin on futures contracts | — | — | 127,542 | 199,354 | ||||||||||||
Variation margin on centrally cleared swaps | — | — | — | 23,590 | ||||||||||||
Swap premiums received | 6,031 | — | — | 457,360 | ||||||||||||
Unrealized depreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | 3,670 | — | — | 8,867 | ||||||||||||
OTC swaps | 6,716 | — | — | 246,654 | ||||||||||||
Unfunded floating rate loan interests | 19,097 | 21,575 | — | 3,278 | ||||||||||||
Total liabilities | 144,816,596 | 144,938,482 | 165,484,969 | 274,526,900 | ||||||||||||
Commitments and contingent liabilities | ||||||||||||||||
NET ASSETS | $ | 499,749,380 | $ | 462,863,112 | $ | 271,562,195 | $ | 487,176,861 | ||||||||
F I N A N C I A L S T A T E M E N T S | 111 |
DSU | FRA | BKT | BLW | |||||||||||||
NET ASSETS CONSIST OF | ||||||||||||||||
Paid-in capital(f)(g)(h) | $ | 652,300,917 | $ | 538,835,342 | $ | 442,919,350 | $ | 618,119,596 | ||||||||
Accumulated loss | (152,551,537 | ) | (75,972,230 | ) | (171,357,155 | ) | (130,942,735 | ) | ||||||||
NET ASSETS | $ | 499,749,380 | $ | 462,863,112 | $ | 271,562,195 | $ | 487,176,861 | ||||||||
Net asset value(f)(g)(h) | $ | 10.72 | $ | 13.14 | $ | 12.74 | $ | 13.64 | ||||||||
(a) Investments, at cost — unaffiliated | $ | 675,465,379 | $ | 616,770,363 | $ | 475,634,069 | $ | 782,839,746 | ||||||||
(b) Investments, at cost — affiliated | $ | 1,518,400 | $ | 5,273,897 | $ | 6,098,856 | $ | — | ||||||||
(c) Foreign currency, at cost | $ | — | $ | 35,062 | $ | — | $ | — | ||||||||
(d) Foreign bank overdraft, at cost | $ | 5,581 | $ | — | $ | — | $ | 13,235 | ||||||||
(e) Proceeds received from borrowed bonds | $ | — | $ | — | $ | 842,347 | $ | — | ||||||||
(f) Shares outstanding | 46,610,312 | 35,232,197 | 21,307,672 | 35,711,253 | ||||||||||||
(g) Shares authorized | 400 million | 200 million | 200 million | Unlimited | ||||||||||||
(h) Par value | $ | 0.10 | $ | 0.10 | $ | 0.010 | $ | 0.001 |
112 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends — unaffiliated | $ | 47,433 | $ | 56,919 | $ | — | $ | 399,102 | ||||||||
Dividends — affiliated | 59,951 | 135,087 | 141,813 | 59,588 | ||||||||||||
Interest — unaffiliated | 27,684,364 | 26,980,800 | 7,799,514 | 26,593,166 | ||||||||||||
Other income — unaffiliated | 267,638 | 374,239 | — | 241,095 | ||||||||||||
Foreign taxes withheld | (4,883 | ) | — | — | (5,185 | ) | ||||||||||
Total investment income | 28,054,503 | 27,547,045 | 7,941,327 | 27,287,766 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory | 1,714,645 | 2,214,861 | 908,113 | 1,997,948 | ||||||||||||
Professional | 59,846 | 47,119 | 36,984 | 55,148 | ||||||||||||
Accounting services | 48,131 | 46,095 | 33,088 | 53,778 | ||||||||||||
Transfer agent | 38,725 | 26,425 | 38,490 | 36,480 | ||||||||||||
Directors and Officer | 25,142 | 12,696 | 14,145 | 29,164 | ||||||||||||
Custodian | 24,462 | 10,478 | 9,177 | 32,445 | ||||||||||||
Registration | 7,872 | 5,953 | 16,890 | 6,036 | ||||||||||||
Printing and postage | 1,501 | 7,277 | 4,518 | 4,467 | ||||||||||||
Administration | — | — | 209,565 | — | ||||||||||||
Miscellaneous | 25,391 | 8,735 | 17,080 | 51,610 | ||||||||||||
Total expenses excluding interest expense | 1,945,715 | 2,379,639 | 1,288,050 | 2,267,076 | ||||||||||||
Interest expense and fees | 3,829,766 | 3,908,569 | 2,950,202 | 6,062,145 | ||||||||||||
Total expenses | 5,775,481 | 6,288,208 | 4,238,252 | 8,329,221 | ||||||||||||
Less: | ||||||||||||||||
Fees waived and/or reimbursed by the Manager | (4,411 | ) | (17,687 | ) | (2,256 | ) | (1,005 | ) | ||||||||
Total expenses after fees waived and/or reimbursed | 5,771,070 | 6,270,521 | 4,235,996 | 8,328,216 | ||||||||||||
Net investment income | 22,283,433 | 21,276,524 | 3,705,331 | 18,959,550 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments — unaffiliated | (6,314,017 | ) | (2,470,053 | ) | (15,209,797 | ) | (12,989,713 | ) | ||||||||
Investments — affiliated | (45,666 | ) | (37,207 | ) | — | — | ||||||||||
Forward foreign currency exchange contracts | (53,804 | ) | (98,893 | ) | — | (102,021 | ) | |||||||||
Foreign currency transactions | (108,021 | ) | (14,745 | ) | — | (37,946 | ) | |||||||||
Futures contracts | — | — | 682,998 | (3,738,095 | ) | |||||||||||
Swaps | 99,148 | 120,142 | (16 | ) | 1,971,972 | |||||||||||
(6,422,360 | ) | (2,500,756 | ) | (14,526,815 | ) | (14,895,803 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments — unaffiliated | 20,117,677 | 14,339,515 | 14,653,890 | 26,847,237 | ||||||||||||
Investments — affiliated | (17,000 | ) | (35,760 | ) | — | — | ||||||||||
Borrowed bonds | — | — | (19,235 | ) | — | |||||||||||
Forward foreign currency exchange contracts | 18,089 | 6,962 | — | 47,501 | ||||||||||||
Foreign currency translations | 99 | 2,744 | — | 11,761 | ||||||||||||
Futures contracts | — | — | (55,430 | ) | (3,038,412 | ) | ||||||||||
Swaps | 134,250 | 143,402 | 43 | (2,369,845 | ) | |||||||||||
Unfunded floating rate loan interests | 23,287 | 26,911 | — | 47,313 | ||||||||||||
20,276,402 | 14,483,774 | 14,579,268 | 21,545,555 | |||||||||||||
Net realized and unrealized gain | 13,854,042 | 11,983,018 | 52,453 | 6,649,752 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 36,137,475 | $ | 33,259,542 | $ | 3,757,784 | $ | 25,609,302 | ||||||||
F I N A N C I A L S T A T E M E N T S | 113 |
DSU | FRA | |||||||||||||||||||||||
Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | |||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||||||
Net investment income | $ | 22,283,433 | $ | 33,524,702 | $ | 21,276,524 | $ | 29,462,918 | ||||||||||||||||
Net realized loss | (6,422,360 | ) | (9,343,061 | ) | (2,500,756 | ) | (6,501,067 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 20,276,402 | (43,923,145 | ) | 14,483,774 | (32,309,384 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 36,137,475 | (19,741,504 | ) | 33,259,542 | (9,347,533 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||||||
From net investment income | (22,953,248 | )(b) | (31,579,170 | ) | (21,583,948 | )(b) | (27,297,906 | ) | ||||||||||||||||
Return of capital | — | (838,309 | ) | — | — | |||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders | (22,953,248 | ) | (32,417,479 | ) | (21,583,948 | ) | (27,297,906 | ) | ||||||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||||||
Reinvestment of distributions | — | 43,132 | — | — | ||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||
Total increase (decrease) in net assets | 13,184,227 | (52,115,851 | ) | 11,675,594 | (36,645,439 | ) | ||||||||||||||||||
Beginning of period | 486,565,153 | 538,681,004 | 451,187,518 | 487,832,957 | ||||||||||||||||||||
End of period | $ | 499,749,380 | $ | 486,565,153 | $ | 462,863,112 | $ | 451,187,518 | ||||||||||||||||
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
114 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
BKT | BLW | |||||||||||||||||||||||
Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | |||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||||||
Net investment income | $ | 3,705,331 | $ | 9,190,557 | $ | 18,959,550 | $ | 34,564,968 | ||||||||||||||||
Net realized loss | (14,526,815 | ) | (2,021,958 | ) | (14,895,803 | ) | (29,094,666 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 14,579,268 | (67,003,293 | ) | 21,545,555 | (71,493,091 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,757,784 | (59,834,694 | ) | 25,609,302 | (66,022,789 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||||||
From net investment income | (11,275,720 | )(b) | (10,487,125 | ) | (21,019,644 | )(b) | (32,930,219 | ) | ||||||||||||||||
Return of capital | — | (11,460,544 | ) | — | (5,605,804 | ) | ||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders | (11,275,720 | ) | (21,947,669 | ) | (21,019,644 | ) | (38,536,023 | ) | ||||||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||||||
Reinvestment of distributions | 45,446 | 64,960 | — | — | ||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||
Total increase (decrease) in net assets | (7,472,490 | ) | (81,717,403 | ) | 4,589,658 | (104,558,812 | ) | |||||||||||||||||
Beginning of period | 279,034,685 | 360,752,088 | 482,587,203 | 587,146,015 | ||||||||||||||||||||
End of period | $ | 271,562,195 | $ | 279,034,685 | $ | 487,176,861 | $ | 482,587,203 | ||||||||||||||||
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
F I N A N C I A L S T A T E M E N T S | 115 |
DSU | FRA | BKT | BLW | |||||||||||||
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | ||||||||||||||||
Net increase in net assets resulting from operations | $ | 36,137,475 | $ | 33,259,542 | $ | 3,757,784 | $ | 25,609,302 | ||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | ||||||||||||||||
Proceeds from sales of long-term investments and principal paydowns/payups | 121,627,282 | 86,726,201 | 543,130,453 | 459,916,818 | ||||||||||||
Purchases of long-term investments | (95,960,831 | ) | (78,684,256 | ) | (542,370,828 | ) | (415,412,992 | ) | ||||||||
Net proceeds from sales (purchases) of short-term securities | 471,074 | — | (341,842 | ) | 1,384,252 | |||||||||||
Amortization of premium and accretion of discount on investments and other fees | (945,616 | ) | (726,264 | ) | 3,419,395 | (826,209 | ) | |||||||||
Paid-in-kind income | (48,849 | ) | 33,647 | — | (29,685 | ) | ||||||||||
Net realized loss on investments | 6,359,737 | 2,507,260 | 15,209,797 | 12,929,003 | ||||||||||||
Net unrealized appreciation on investments, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests | (20,143,556 | ) | (14,355,117 | ) | (14,634,655 | ) | (26,907,459 | ) | ||||||||
(Increase) Decrease in Assets | ||||||||||||||||
Receivables | ||||||||||||||||
Dividends — affiliated | 5,450 | 3,914 | 12,603 | 4,060 | ||||||||||||
Dividends — unaffiliated | — | — | — | 27,930 | ||||||||||||
Interest — unaffiliated | (411,376 | ) | (725,402 | ) | (461,031 | ) | (534,370 | ) | ||||||||
Variation margin on futures contracts | — | — | 278,672 | 319,532 | ||||||||||||
Variation margin on centrally cleared swaps | (29,392 | ) | (32,519 | ) | (35 | ) | 16,642 | |||||||||
Swap premiums paid | 768 | — | — | 436 | ||||||||||||
Prepaid expenses | 4,079 | 3,771 | 17,232 | 3,938 | ||||||||||||
Deferred offering costs | (125,426 | ) | — | — | — | |||||||||||
Increase (Decrease) in Liabilities | ||||||||||||||||
Due to broker | 673,000 | — | — | — | ||||||||||||
Cash received | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | — | (294,376 | ) | |||||||||||
Collateral — OTC derivatives | — | — | 470,000 | — | ||||||||||||
Collateral — TBA commitments | — | — | (2,152,000 | ) | — | |||||||||||
Payables | ||||||||||||||||
Accounting services fees | 6,964 | 6,875 | 4,781 | 8,677 | ||||||||||||
Administration fees | — | — | 33,207 | — | ||||||||||||
Custodian fees | 5,131 | (6,202 | ) | (1,539 | ) | 157 | ||||||||||
Interest expense and fees | (65,182 | ) | 27,928 | (161,995 | ) | 242,219 | ||||||||||
Investment advisory fees | 269,514 | 355,490 | 143,880 | 303,053 | ||||||||||||
Directors’ and Officer’s fees | (13,824 | ) | (157 | ) | (29,451 | ) | (12,103 | ) | ||||||||
Other accrued expenses | 9,663 | (12,970 | ) | 2,688 | (6,592 | ) | ||||||||||
Professional fees | (43,474 | ) | (56,546 | ) | (40,157 | ) | (49,751 | ) | ||||||||
Transfer agent fees | 5,232 | 5,866 | 1,776 | 4,197 | ||||||||||||
Variation margin on futures contracts | — | — | 24,278 | (262,652 | ) | |||||||||||
Variation margin on centrally cleared swaps | — | — | — | 23,590 | ||||||||||||
Swap premiums received | (511 | ) | — | — | (225,636 | ) | ||||||||||
Net cash provided by operating activities | 47,787,332 | 28,331,061 | 6,313,013 | 56,231,981 | ||||||||||||
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | ||||||||||||||||
Cash dividends paid to shareholders | (22,877,615 | ) | (21,463,552 | ) | (11,179,397 | ) | (20,897,759 | ) | ||||||||
Payments for offering costs | 1,830 | — | — | — | ||||||||||||
Payments for bank borrowings | (93,000,000 | ) | (67,000,000 | ) | — | — | ||||||||||
Proceeds from bank borrowings | 66,000,000 | 58,000,000 | — | — | ||||||||||||
Increase (decrease) in bank overdraft | 5,570 | — | (878 | ) | 14,033 | |||||||||||
Net borrowing of reverse repurchase agreements | — | — | 4,989,002 | (40,400,764 | ) | |||||||||||
Net cash used for financing activities | (49,870,215 | ) | (30,463,552 | ) | (6,191,273 | ) | (61,284,490 | ) | ||||||||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||||||||||||||||
Cash impact from foreign exchange fluctuations | (10 | ) | 122 | — | (1,064 | ) | ||||||||||
116 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
CASH AND FOREIGN CURRENCY | ||||||||||||||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency | $ | (2,082,893 | ) | $ | (2,132,369 | ) | $ | 121,740 | $ | (5,053,573 | ) | |||||
Restricted and unrestricted cash and foreign currency at beginning of period | 4,419,043 | 3,616,893 | 1,131,260 | 9,300,602 | ||||||||||||
Restricted and unrestricted cash and foreign currency at end of period | $ | 2,336,150 | $ | 1,484,524 | $ | 1,253,000 | $ | 4,247,029 | ||||||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||||||||||||||||
Cash paid during the period for interest expense | $ | 3,894,948 | $ | 3,880,641 | $ | 3,112,197 | $ | 5,819,926 | ||||||||
NON-CASH FINANCING ACTIVITIES | ||||||||||||||||
Reinvestment of distributions | $ | — | $ | — | $ | 45,446 | $ | — | ||||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
Cash | $ | 1,976,150 | $ | 1,051,332 | $ | — | $ | 41,855 | ||||||||
Cash pledged | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | 390,000 | 1,468,704 | ||||||||||||
Collateral — OTC derivatives | — | — | — | 470,000 | ||||||||||||
Futures contracts | — | — | 862,000 | 1,238,470 | ||||||||||||
Centrally cleared swaps | 360,000 | 398,000 | 1,000 | 1,028,000 | ||||||||||||
Foreign currency at value | — | 35,192 | — | — | ||||||||||||
$ | 2,336,150 | $ | 1,484,524 | $ | 1,253,000 | $ | 4,247,029 | |||||||||
F I N A N C I A L S T A T E M E N T S | 117 |
DSU | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/23 (unaudited) | | | Year Ended 12/31/22 | | | Year Ended 12/31/21 | | | Year Ended 12/31/20 | | | Period from 03/01/19 to 12/31/19 | | | Year Ended 02/28/19 | | | Year Ended 02/28/18(a) | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.44 | $ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income(b) | 0.48 | 0.72 | 0.61 | 0.63 | 0.64 | 0.79 | 0.78 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.29 | (1.14 | ) | 0.13 | (0.50 | ) | 0.21 | (0.43 | ) | (0.04 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | 0.77 | (0.42 | ) | 0.74 | 0.13 | 0.85 | 0.36 | 0.74 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.49 | )(d) | (0.68 | ) | (0.62 | ) | (0.61 | ) | (0.73 | ) | (0.82 | ) | (0.82 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Return of capital | — | (0.02 | ) | (0.11 | ) | (0.22 | ) | (0.03 | ) | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.49 | ) | (0.70 | ) | (0.73 | ) | (0.83 | ) | (0.76 | ) | (0.82 | ) | (0.82 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.72 | $ | 10.44 | $ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | ||||||||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 9.79 | $ | 9.20 | $ | 11.70 | $ | 10.45 | $ | 11.20 | $ | 10.78 | $ | 11.47 | ||||||||||||||||||||||||||||||||||||||||||||
Total Return(e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | 8.00 | %(f) | (2.97 | )% | 6.67 | % | 2.57 | % | 8.03 | %(f) | 3.86 | % | 6.60 | %(g) | ||||||||||||||||||||||||||||||||||||||||||||
Based on market price | 11.92 | %(f) | (15.51 | )% | 19.33 | % | 1.50 | % | 11.42 | %(f) | 1.30 | % | 5.35 | % | ||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets(h) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 2.35 | %(i) | 1.90 | % | 1.34 | % | 1.48 | % | 2.21 | %(i)(j) | 2.23 | % | 1.86 | % | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 2.35 | %(i) | 1.90 | % | 1.34 | % | 1.47 | % | 2.21 | %(i)(j) | 2.23 | % | 1.85 | % | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 0.79 | %(i) | 0.84 | % | 0.92 | % | 0.91 | % | 0.92 | %(i) | 0.96 | % | 0.94 | % | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 9.06 | %(i) | 6.65 | % | 5.21 | % | 5.65 | % | 6.25 | %(i) | 6.40 | % | 6.12 | % | ||||||||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 499,749 | $ | 486,565 | $ | 538,681 | $ | 537,959 | $ | 605,240 | $ | 641,220 | $ | 742,204 | ||||||||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 137,000 | $ | 164,000 | $ | 248,000 | $ | 229,000 | $ | 262,000 | $ | 278,000 | $ | 338,000 | ||||||||||||||||||||||||||||||||||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings(k) | $ | 4,648 | $ | 3,967 | $ | 3,172 | $ | 3,349 | $ | 3,310 | $ | 3,308 | $ | 3,196 | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 16 | % | 18 | % | 47 | % | 67 | % | 53 | % | 62 | % | 59 | % | ||||||||||||||||||||||||||||||||||||||||||||
(a) | Consolidated Financial Highlights through November 30, 2017. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Not annualized. |
(g) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(h) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) | Annualized. |
(j) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
(k) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
118 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
FRA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended 08/31/19 | Year Ended 08/31/18(a) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.81 | $ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income(b) | 0.60 | 0.84 | 0.67 | 0.69 | 0.25 | 0.84 | 0.79 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.34 | (1.11 | ) | 0.17 | (0.51 | ) | 0.19 | (0.40 | ) | (0.06 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | 0.94 | (0.27 | ) | 0.84 | 0.18 | 0.44 | 0.44 | 0.73 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.61 | )(d) | (0.77 | ) | (0.67 | ) | (0.70 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Return of capital | — | — | (0.13 | ) | (0.22 | ) | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.61 | ) | (0.77 | ) | (0.80 | ) | (0.92 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.14 | $ | 12.81 | $ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | ||||||||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 12.21 | $ | 11.26 | $ | 13.43 | $ | 12.11 | $ | 13.44 | $ | 12.46 | $ | 13.80 | ||||||||||||||||||||||||||||||||||||||||||||
Total Return(e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | 7.93 | %(f) | (1.34 | )% | 6.48 | % | 2.76 | % | 3.41 | %(f) | 3.94 | % | 5.28 | % | ||||||||||||||||||||||||||||||||||||||||||||
Based on market price | 14.10 | %(f) | (10.57 | )% | 17.74 | % | (2.45 | )% | 11.08 | %(f) | (3.37 | )% | 3.11 | % | ||||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets(g) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 2.76 | %(h) | 2.17 | % | 1.55 | % | 1.69 | % | 2.20 | %(h)(i) | 2.45 | % | 2.23 | % | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 2.76 | %(h) | 2.17 | % | 1.54 | % | 1.67 | % | 2.20 | %(h)(i) | 2.45 | % | 2.22 | % | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 1.04 | %(h) | 1.15 | % | 1.14 | % | 1.13 | % | 1.19 | %(h) | 1.16 | % | 1.20 | % | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 9.35 | %(h) | 6.36 | % | 4.76 | % | 5.15 | % | 5.26 | %(h) | 5.74 | % | 5.27 | % | ||||||||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 462,863 | $ | 451,188 | $ | 487,833 | $ | 488,051 | $ | 522,545 | $ | 526,447 | $ | 555,370 | ||||||||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 138,000 | $ | 147,000 | $ | 223,000 | $ | 208,000 | $ | 214,000 | $ | 204,000 | $ | 233,000 | ||||||||||||||||||||||||||||||||||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings(j) | $ | 4,354 | $ | 4,069 | $ | 3,188 | $ | 3,346 | $ | 3,442 | $ | 3,582 | $ | 3,385 | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 14 | % | 14 | % | 49 | % | 65 | % | 16 | % | 53 | % | 57 | % | ||||||||||||||||||||||||||||||||||||||||||||
(a) | Consolidated Financial Highlights through November 30, 2017. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Not annualized. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
(j) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
F I N A N C I A L H I G H L I G H T S | 119 |
BKT | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/23 (unaudited) | | | Year Ended 12/31/22(a) | | | Year Ended 12/31/21(a) | | | Year Ended 12/31/20(a) | | | Year Ended 12/31/19(a) | | | Period from 09/01/18 to 12/31/18(a) | | | Year Ended 08/31/18(a) | | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.10 | $ | 16.94 | $ | 18.54 | $ | 18.89 | $ | 18.75 | $ | 18.94 | $ | 20.21 | ||||||||||||||||||||||||||||||||||||||||||
Net investment income(b) | 0.17 | 0.43 | 0.70 | 0.86 | 0.75 | 0.25 | 0.72 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | — | (3.24 | ) | (1.06 | ) | 0.02 | 0.63 | 0.07 | (1.02 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | 0.17 | (2.81 | ) | (0.36 | ) | 0.88 | 1.38 | 0.32 | (0.30 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Distributions(c) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.53 | )(d) | (0.49 | ) | (0.89 | ) | (1.01 | ) | (0.89 | ) | (0.40 | ) | (0.90 | ) | ||||||||||||||||||||||||||||||||||||||||||
Return of capital | — | (0.54 | ) | (0.35 | ) | (0.22 | ) | (0.35 | ) | (0.11 | ) | (0.07 | ) | |||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.53 | ) | (1.03 | ) | (1.24 | ) | (1.23 | ) | (1.24 | ) | (0.51 | ) | (0.97 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 12.74 | $ | 13.10 | $ | 16.94 | $ | 18.54 | $ | 18.89 | $ | 18.75 | $ | 18.94 | ||||||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 12.17 | $ | 12.34 | $ | 16.95 | $ | 18.21 | $ | 18.15 | $ | 16.92 | $ | 17.31 | ||||||||||||||||||||||||||||||||||||||||||
Total Return(e) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | 1.40 | %(f) | (16.67 | )% | (2.01 | )% | 4.92 | % | 7.91 | % | 2.06 | %(f) | (1.14 | )% | ||||||||||||||||||||||||||||||||||||||||||
Based on market price | 2.83 | %(f) | (21.50 | )% | (0.23 | )% | 7.31 | % | 14.83 | % | 0.72 | %(f) | (3.44 | )% | ||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets(g) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 3.03 | %(h) | 1.65 | % | 0.94 | % | 1.18 | % | 2.06 | % | 2.08 | %(h)(i) | 1.79 | % | ||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 3.03 | %(h) | 1.64 | % | 0.94 | % | 1.18 | % | 2.06 | % | 2.08 | %(h) | 1.79 | % | ||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.92 | %(h) | 0.95 | % | 0.90 | % | 0.89 | % | 0.94 | % | 0.99 | %(h) | 1.04 | % | ||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.65 | %(h) | 2.94 | % | 3.91 | % | 4.55 | % | 3.95 | % | 4.04 | %(h) | 3.72 | % | ||||||||||||||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 271,562 | $ | 279,035 | $ | 360,752 | $ | 394,195 | $ | 401,715 | $ | 398,629 | $ | 402,763 | ||||||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 120,591 | $ | 115,764 | $ | 115,184 | $ | 156,936 | $ | 175,655 | $ | 186,799 | $ | 186,441 | ||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate(j) | 125 | % | 237 | % | 248 | % | 69 | % | 255 | % | 95 | % | 373 | % | ||||||||||||||||||||||||||||||||||||||||||
(a) | Per share operating performance amounts have been adjusted to reflect a 1-for-3 reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Not annualized. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.11%. |
(j) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended | Period from | |||||||||||||||||||||||||||||||
06/30/23 | Year Ended | Year Ended | Year Ended | Year Ended | 09/01/18 | Year Ended | ||||||||||||||||||||||||||
(unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | to 12/31/18 | 08/31/18 | ||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 68 | % | 122 | % | 119 | % | 31 | % | 136 | % | 45 | % | 181 | % | ||||||||||||||||||
120 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
BLW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Six Months Ended 06/30/23 (unaudited) | | | Year Ended 12/31/22 | | | Year Ended 12/31/21 | | | Year Ended 12/31/20 | | | Period from 09/01/19 to 12/31/19 | | | Year Ended 08/31/19 | | | Year Ended 08/31/18 | | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.51 | $ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | ||||||||||||||||||||||||||||||||||||||||||
Net investment income(a) | 0.53 | 0.97 | 1.00 | 0.98 | 0.31 | 0.94 | 0.95 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.19 | (2.82 | ) | (0.31 | ) | 0.08 | 0.18 | 0.33 | (0.31 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | 0.72 | (1.85 | ) | 0.69 | 1.06 | 0.49 | 1.27 | 0.64 | ||||||||||||||||||||||||||||||||||||||||||||||||
Distributions(b) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.59 | )(c) | (0.92 | ) | (1.02 | ) | (1.03 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | ||||||||||||||||||||||||||||||||||||||||||
Return of capital | — | (0.16 | ) | (0.16 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.59 | ) | (1.08 | ) | (1.18 | ) | (1.18 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.64 | $ | 13.51 | $ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | ||||||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 12.88 | $ | 13.07 | $ | 16.85 | $ | 15.92 | $ | 16.39 | $ | 15.44 | $ | 15.06 | ||||||||||||||||||||||||||||||||||||||||||
Total Return(d) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | 5.54 | %(e) | (10.96 | )% | 4.18 | %(f) | 7.58 | % | 3.11 | %(e) | 8.77 | % | 4.42 | % | ||||||||||||||||||||||||||||||||||||||||||
Based on market price | 3.01 | %(e) | (15.96 | )% | 13.55 | % | 5.24 | % | 9.32 | %(e) | 9.41 | % | 0.18 | % | ||||||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets(g) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 3.43 | %(h) | 2.04 | % | 1.18 | % | 1.39 | % | 1.64 | %(h)(i) | 1.81 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 3.43 | %(h) | 2.04 | % | 1.18 | % | 1.39 | % | 1.64 | %(h)(i) | 1.81 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.93 | %(h) | 0.96 | % | 0.92 | % | 0.90 | % | 0.89 | %(h) | 0.84 | % | 0.89 | % | ||||||||||||||||||||||||||||||||||||||||||
Net investment income | 7.81 | %(h) | 6.70 | % | 5.90 | % | 6.07 | % | 5.32 | %(h) | 5.69 | % | 5.60 | % | ||||||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 487,177 | $ | 482,587 | $ | 587,146 | $ | 603,933 | $ | 611,068 | $ | 610,251 | $ | 612,048 | ||||||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 239,262 | $ | 275,639 | $ | 312,356 | $ | 275,105 | $ | 213,399 | $ | 202,539 | $ | 234,622 | ||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate(j) | 55 | % | 77 | % | 66 | % | 65 | % | 14 | % | 50 | % | 50 | % | ||||||||||||||||||||||||||||||||||||||||||
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Not annualized. |
(f) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%. |
(j) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/23 (unaudited) | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended 08/31/19 | Year Ended 08/31/18 | ||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 36 | % | 58 | % | 52 | % | 58 | % | 14 | % | 50 | % | 50 | % | ||||||||||||||||||
F I N A N C I A L H I G H L I G H T S | 121 |
Fund Name | Herein Referred To As | Organized | Diversification Classification | |||
BlackRock Debt Strategies Fund, Inc. | DSU | Maryland | Diversified | |||
BlackRock Floating Rate Income Strategies Fund, Inc. | FRA | Maryland | Diversified | |||
BlackRock Income Trust, Inc. | BKT | Maryland | Diversified | |||
BlackRock Limited Duration Income Trust | BLW | Delaware | Diversified |
122 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
• | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 123 |
• | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services | ||||
Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. | |||
Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |||
Cost approach | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
124 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 125 |
Fund Name | Borrower | Par | | Commitment Amount | | Value | | Unrealized Appreciation (Depreciation) | | |||||||||||
DSU | AthenaHealth Group, Inc. | $ | 320,815 | $ | 320,815 | $ | 308,384 | $ | (12,431 | ) | ||||||||||
IPS Corp. | 90,688 | 90,688 | 84,022 | (6,666 | ) | |||||||||||||||
$ | (19,097 | ) | ||||||||||||||||||
FRA | AthenaHealth Group, Inc. | $ | 367,198 | $ | 367,198 | $ | 352,969 | (14,229 | ) | |||||||||||
IPS Corp. | 99,939 | 99,939 | 92,593 | (7,346 | ) | |||||||||||||||
$ | (21,575 | ) | ||||||||||||||||||
BLW | AthenaHealth Group, Inc. | $ | 196,229 | $ | 169,439 | $ | 188,625 | 19,186 | ||||||||||||
IPS Corp. | 44,600 | 44,600 | 41,322 | (3,278 | ) | |||||||||||||||
$ | 15,908 | |||||||||||||||||||
126 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued) |
Fund Name | Average Amount Outstanding | Weighted Average Interest Rate | ||||||
BKT | $ | 125,922,201 | 4.70% | |||||
BLW | 243,011,124 | 5.03 |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 127 |
Notes to Financial Statements (unaudited) (continued) |
BKT | ||||||||||||||||||||||||||||||||||||||||||||
Counterparty | | Borrowed Bonds Agreements | (a) | | Reverse Repurchase Agreements | | | Borrowed Bonds at Value including Accrued Interest | (b) | | Net Amount before Collateral | | | Non-Cash Collateral Received | | | Cash Collateral Received | | | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest | (c) | | Cash Collateral Pledged | | | Net Collateral (Received)/ Pledged | (c) | | Net Exposure Due (to)/ from Counterparty(d) | | ||||||||||||||
BNP Paribas | ||||||||||||||||||||||||||||||||||||||||||||
SA | $ | 784,035 | $ | — | $ | (755,466 | ) | $ | 28,569 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 28,569 | |||||||||||||||||||||||
Cantor Fitzgerald & Co. | — | (20,596,191 | ) | — | (20,596,191 | ) | — | — | 20,596,191 | — | 20,596,191 | — | ||||||||||||||||||||||||||||||||
HSBC Securities (USA), Inc. | — | (99,994,445 | ) | — | (99,994,445 | ) | — | — | 99,994,445 | — | 99,994,445 | — | ||||||||||||||||||||||||||||||||
$ | 784,035 | $ | (120,590,636 | ) | $ | (755,466 | ) | $ | (120,562,067 | ) | $ | — | $ | — | $ | 120,590,636 | $ | — | $ | 120,590,636 | $ | 28,569 | ||||||||||||||||||||||
(a) | Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities. |
(b) | Includes accrued interest on borrowed bonds in the amount of $1,198 which is included in interest expense payable in the Statements of Assets and Liabilities. |
(c) | Net collateral, including accrued interest, if any, with a value of $123,845,187 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
Counterparty | | Reverse Repurchase Agreements | | | Fair Value of Non‑Cash Collateral Pledged Including Accrued Interest | (a) | | Cash Collateral Pledged/Received | (a) | Net Amount | ||||||
Barclays Bank PLC | $ | (11,426,184 | ) | $ | 11,426,184 | $ | — | $ | — | |||||||
Barclays Capital, Inc. | (19,129,264 | ) | 19,129,264 | — | — | |||||||||||
BNP Paribas SA | (25,419,350 | ) | 25,419,350 | — | — | |||||||||||
BofA Securities, Inc. | (64,568,761 | ) | 64,568,761 | — | — | |||||||||||
Credit Agricole Corporate and Investment Bank | (6,725,821 | ) | 6,725,821 | — | — | |||||||||||
Goldman Sachs & Co. LLC | (13,528,267 | ) | 13,528,267 | — | — | |||||||||||
HSBC Securities (USA), Inc. | (2,932,824 | ) | 2,932,824 | — | — | |||||||||||
J.P. Morgan Securities LLC | (21,740,571 | ) | 21,740,571 | — | — | |||||||||||
Merrill Lynch International | (1,451,310 | ) | 1,451,310 | — | — | |||||||||||
Nomura Securities International, Inc. | (20,892,414 | ) | 20,892,414 | — | — | |||||||||||
RBC Capital Markets, LLC | (25,192,768 | ) | 25,192,768 | — | — | |||||||||||
TD Securities (USA) LLC | (26,254,719 | ) | 26,254,719 | — | — | |||||||||||
$ | (239,262,253 | ) | $ | 239,262,253 | $ | — | $ | — | ||||||||
(a) | Collateral, if any, with a value of $286,732,181 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
128 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued) |
• | Swaptions — The Funds may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 129 |
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
DSU | FRA | |||||||
Investment advisory fees | 0.55 | % | 0.75 | % |
130 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
DSU | $ | 355 | ||
FRA | 60 | |||
BKT | 2,256 | |||
BLW | 1,005 |
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
DSU | $ | 4,056 | ||
FRA | 17,627 |
U.S. Government Securities | Other Securities | |||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||
DSU | $ | — | $ | — | $ | 98,714,337 | $ | 118,614,507 | ||||||||
FRA | — | — | 80,966,249 | 83,170,581 | ||||||||||||
BKT | — | — | 544,155,482 | 542,934,632 | ||||||||||||
BLW | — | 12,290,018 | 412,373,772 | 442,649,605 |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 131 |
Fund Name | Purchases | Sales | ||||||
BKT | $ | 248,304,634 | $ | 248,080,160 | ||||
BLW | 139,811,834 | 139,792,473 |
Non-Expiring | Qualified | |||||||
Capital Loss | Late-Year | |||||||
Fund Name | Carryforwards | (a) | Losses | (b) | ||||
DSU | $ | (100,929,367) | $ | (370,047) | ||||
FRA | (50,314,987) | — | ||||||
BKT | (99,550,857) | — | ||||||
BLW | (63,978,243) | (1,275,435) |
(a) | Amounts available to offset future realized capital gains. |
(b) | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
Net Unrealized | ||||||||||||||||
Gross Unrealized | Gross Unrealized | Appreciation | ||||||||||||||
Fund Name | Tax Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||
DSU | $ | 677,476,144 | $ | 2,720,908 | $ | (46,443,169 | ) | $ | (43,722,261 | ) | ||||||
FRA | 622,303,008 | 2,221,915 | (25,235,434 | ) | (23,013,519 | ) | ||||||||||
BKT | 481,732,925 | 5,515,285 | (55,001,272 | ) | (49,485,987 | ) | ||||||||||
BLW | 784,323,793 | 5,058,219 | (53,489,241 | ) | (48,431,022 | ) |
Fund Name | Commitment Amounts | |
DSU | $276,000,000 | |
FRA | 255,000,000 |
132 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Name | Maximum Amount Borrowed | Average Amount Outstanding | Daily Weighted Average Interest Rate | |||||||||
DSU | $ | 164,000,000 | $ | 132,767,956 | 5.62 | % | ||||||
FRA | 147,000,000 | 136,662,983 | 5.63 |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 133 |
Fund Name | Six Months Ended 06/30/23 | Year Ended 12/31/22 | ||||||
DSU | — | 3,721 | ||||||
BKT | 3,394 | 3,887 |
134 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Name | Declaration Date | Record Date | Payable/ Paid Date | Dividend Per Common Share | ||||||||||||
DSU | 07/03/23 | 07/14/23 | 07/31/23 | $ | 0.091050 | |||||||||||
08/01/23 | 08/15/23 | 08/31/23 | 0.091050 | |||||||||||||
FRA | 07/03/23 | 07/14/23 | 07/31/23 | 0.117020 | ||||||||||||
08/01/23 | 08/15/23 | 08/31/23 | 0.117020 | |||||||||||||
BKT | 07/03/23 | 07/14/23 | 07/31/23 | 0.088200 | ||||||||||||
08/01/23 | 08/15/23 | 08/31/23 | 0.088200 | |||||||||||||
BLW | 07/03/23 | 07/14/23 | 07/31/23 | 0.098100 | ||||||||||||
08/01/23 | 08/15/23 | 08/31/23 | 0.098100 |
N O T E S T O F I N A N C I A L S T A T E M E N T S | 135 |
136 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S | 137 |
138 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S | 139 |
140 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
A D D I T I O N A L I N F O R M A T I O N | 141 |
(a) | For BLW. |
142 | 2 0 2 3 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
USD | United States Dollar | |
Portfolio Abbreviation | ||
CDI | CREST Depository Interest | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
DAC | Designated Activity Company | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDL | Fed Funds Effective Rate | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
PCL | Public Company Limited | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SCA | Societe en Commandite par Actions | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average Rate | |
STRIP | Separate Trading of Registered Interest & Principal |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T | 143 |
(b) Not Applicable
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) Not Applicable to this semi-annual report.
(b) As of the date of this filing, Mr. Keenan is no longer a Portfolio Manager of the Fund.
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers — Not Applicable due to no such purchases during the period covered by this report. |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
1The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Limited Duration Income Trust
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Limited Duration Income Trust |
Date: August 25, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Limited Duration Income Trust |
Date: August 25, 2023
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Limited Duration Income Trust | ||||
Date: August 25, 2023