UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21413
Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2013
Date of reporting period: 02/28/2013
Item 1 – Report to Stockholders
SEMI-ANNUAL REPORT (UNAUDITED) | ![]() |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
Page | ||||||
Dear Shareholder | 3 | |||||
Semi-Annual Report: | ||||||
Fund Summaries | 4 | |||||
The Benefits and Risks of Leveraging | 10 | |||||
Derivative Financial Instruments | 10 | |||||
Financial Statements | ||||||
Schedules of Investments | 11 | |||||
Statements of Assets and Liabilities | 47 | |||||
Statements of Operations | 48 | |||||
Statements of Changes in Net Assets | 49 | |||||
Statements of Cash Flows | 51 | |||||
Financial Highlights | 52 | |||||
Notes to Financial Statements | 55 | |||||
Officers and Directors | 67 | |||||
Additional Information | 68 |
2 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Dear Shareholder |
![](https://capedge.com/proxy/N-CSRS/0000891092-13-003928/kapito_sig.jpg)
President, BlackRock Advisors, LLC
![]() |
“Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment.” |
President, BlackRock Advisors, LLC
Total Returns as of February 28, 2013
6-month | 12-month | |||||||||
US large cap equities (S&P 500® Index) | 8.95 | % | 13.46 | % | ||||||
US small cap equities (Russell 2000® Index) | 13.02 | 14.02 | ||||||||
International equities (MSCI Europe, Australasia, Far East Index) | 14.41 | 9.84 | ||||||||
Emerging market equities (MSCI Emerging Markets Index) | 12.06 | 0.28 | ||||||||
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index) | 0.05 | 0.11 | ||||||||
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) | (1.51 | ) | 3.66 | |||||||
US investment grade bonds (Barclays US Aggregate Bond Index) | 0.15 | 3.12 | ||||||||
Tax-exempt municipal bonds (S&P Municipal Bond Index) | 2.40 | 5.71 | ||||||||
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index) | 6.67 | 11.79 |
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Fund Summary as of February 28, 2013 | BlackRock Defined Opportunity Credit Trust |
Fund Overview
Portfolio Management Commentary
• | For the six months ended February 28, 2013, the Fund returned 9.13% based on market price and 5.55% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 10.24% based on market price and 6.30% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among higher quality loan instruments (where the Fund maintained a quality bias) had a positive impact on performance. From an industry perspective, holdings within healthcare, chemicals and gaming boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed floating rate loan interests (bank loans) during the period. |
• | Conversely, security selection in the media non-cable and automotive industries detracted from results. |
• | During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Given mixed economic data and a tepid outlook for global growth, along with lingering global policy uncertainty, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. Monetary stimulus measures from global central banks largely supported risk asset prices in 2012; however, this development did not significantly influence the way the Fund invests in the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macro risks. With the average loan trading at or just below par recently (i.e., with little or no upside), the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment. |
• | At period end, the Fund held 90% of its total portfolio in floating rate loan interests and 7% in corporate bonds, with the remainder in asset-backed securities. The Fund’s largest industry exposures included healthcare, consumer services (housing-related) and wirelines. |
4 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Defined Opportunity Credit Trust |
Fund Information
Symbol on New York Stock Exchange (“NYSE”) | BHL | |||||
Initial Offering Date | January 31, 2008 | |||||
Yield on Closing Market Price as of February 28, 2013 ($14.75)1 | 5.57% | |||||
Current Monthly Distribution per Common Share2 | $0.0685 | |||||
Current Annualized Distribution per Common Share2 | $0.8220 | |||||
Economic Leverage as of February 28, 20133 | 27% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 14.75 | $ | 13.94 | 5.81 | % | $ | 14.93 | $ | 12.92 | ||||||||||||
Net Asset Value | $ | 14.45 | $ | 14.12 | 2.34 | % | $ | 14.48 | $ | 14.12 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Floating Rate Loan Interests | 90 | % | 90 | % | ||||||
Corporate Bonds | 7 | 7 | ||||||||
Asset-Backed Securities | 3 | 2 | ||||||||
Common Stocks | — | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
BBB/Baa | 6 | % | 12 | % | ||||||
BB/Ba | 25 | 40 | ||||||||
B | 65 | 46 | ||||||||
CCC/Caa | 4 | 2 |
4 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 5 |
Fund Summary as of February 28, 2013 | BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Overview
Portfolio Management Commentary
• | On October 5, 2012, the Fund acquired substantially all of the assets and assumed substantially all of the liabilities of BlackRock Diversified Income Strategies Fund, Inc. and BlackRock Floating Rate Income Strategies Fund II, Inc. in exchange for newly issued shares of the Fund. |
• | For the six months ended February 28, 2013, the Fund returned 12.50% based on market price and 6.53% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 10.24% based on market price and 6.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Security selection among higher quality loan instruments (where the Fund maintained a quality bias) had a positive impact on performance, as did the Fund’s high-conviction holdings of lower quality loan credits. From an industry perspective, holdings within paper, chemicals and gaming boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed floating rate loan interests (bank loans) during the period. |
• | Conversely, security selection in the media non-cable, independent energy and automotive industries detracted from results. |
• | During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Given mixed economic data and a tepid outlook for global growth, along with lingering global policy uncertainty, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. Monetary stimulus measures from global central banks largely supported risk asset prices in 2012; however, this development did not significantly influence the way the Fund invests in the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macro risks. With the average loan trading at or just below par recently (i.e., with little or no upside), the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment. |
• | At period end, the Fund held 88% of its total portfolio in floating rate loan interests and 8% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest industry exposures included healthcare, building materials and wirelines. |
6 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Information
Symbol on NYSE | FRA | |||||
Initial Offering Date | October 31, 2003 | |||||
Yield on Closing Market Price as of February 28, 2013 ($16.47)1 | 5.61% | |||||
Current Monthly Distribution per Common Share2 | $0.077 | |||||
Current Annualized Distribution per Common Share2 | $0.924 | |||||
Economic Leverage as of February 28, 20133 | 27% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 16.47 | $ | 15.20 | 8.36 | % | $ | 16.51 | $ | 13.91 | ||||||||||||
Net Asset Value | $ | 15.37 | $ | 14.98 | 2.60 | % | $ | 15.38 | $ | 14.96 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Floating Rate Loan Interests | 88 | % | 88 | % | ||||||
Corporate Bonds | 8 | 10 | ||||||||
Asset-Backed Securities | 3 | 2 | ||||||||
Common Stocks | 1 | — |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
BBB/Baa | 6 | % | 8 | % | ||||||
BB/Ba | 25 | 34 | ||||||||
B | 57 | 44 | ||||||||
CCC/Caa | 6 | 8 | ||||||||
Not Rated | 6 | 6 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 7 |
Fund Summary as of February 28, 2013 | BlackRock Limited Duration Income Trust |
Fund Overview
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and US Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | US dollar-denominated securities of US and non-US issuers rated below investment grade and, to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade. |
Portfolio Management Commentary
• | For the six-month period ended February 28, 2013, the Fund returned 9.10% based on market price and 7.17% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Spread sectors outperformed government-related debt for the six-month period as accommodative monetary policy in the United States and Europe along with the continued recovery of the US economy drove credit spreads tighter. The Fund’s allocations to high yield bonds and floating rate loan interests (bank loans) were the largest contributors to performance, followed by its positions in non-US sovereign securities. The Fund also benefited from its exposure to structured products including commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”) and non-agency residential mortgage-backed securities (“MBS”). An allocation to investment grade credit also had a positive impact. |
• | The Fund’s duration profile (sensitivity to interest rate movements) detracted from performance as interest rates moved higher during the period. |
• | During the six-month period, the Fund maintained a positive view on spread sectors and increased exposure to high yield credit, floating rate loan interests and securitized products such as CMBS and ABS. Within investment grade credit, the Fund favored financials over industrials and utilities. In financials, the Fund rotated out of senior bank debt into subordinated bank debt to take advantage of the yield differential. In addition, the Fund added to positions in floating rate preferred securities to benefit from a potential rise in interest rates. |
• | At period end, the Fund held 46% in corporate bonds and 34% of its total portfolio in floating rate loan interests (bank loans). The remainder of the portfolio was invested in MBS, structured products (including CMBS and ABS), US government sponsored agency securities and common stocks. |
8 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
BlackRock Limited Duration Income Trust |
Fund Information
Symbol on NYSE | BLW | |||||
Initial Offering Date | July 30, 2003 | |||||
Yield on Closing Market Price as of February 28, 2013 ($18.84)1 | 6.97% | |||||
Current Monthly Distribution per Common Share2 | $0.1095 | |||||
Current Annualized Distribution per Common Share2 | $1.3140 | |||||
Economic Leverage as of February 28, 20133 | 32% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
| 2/28/13 | | 8/31/12 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 18.84 | $ | 18.00 | 4.67 | % | $ | 19.17 | $ | 16.80 | ||||||||||||
Net Asset Value | $ | 17.87 | $ | 17.38 | 2.82 | % | $ | 17.92 | $ | 17.38 |
Portfolio Composition
| 2/28/13 | | 8/31/12 | |||||||
Corporate Bonds | 46 | % | 46 | % | ||||||
Floating Rate Loan Interests | 34 | 34 | ||||||||
Non-Agency Mortgage-Backed Securities | 8 | 8 | ||||||||
Asset-Backed Securities | 6 | 4 | ||||||||
US Government Sponsored Agency Securities | 5 | 6 | ||||||||
Common Stocks | 1 | 1 | ||||||||
Taxable Municipal Bonds | — | 1 |
Credit Quality Allocation4
| 2/28/13 | | 8/31/12 | |||||||
AAA/Aaa5 | 10 | % | 12 | % | ||||||
AA/Aa | 1 | 1 | ||||||||
A | 6 | 6 | ||||||||
BBB/Baa | 14 | 15 | ||||||||
BB/Ba | 24 | 26 | ||||||||
B | 29 | 30 | ||||||||
CCC/Caa | 5 | 8 | ||||||||
Not Rated | 11 | 2 |
4 | Using the higher of S&P’s or Moody’s ratings. |
5 | Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 9 |
The Benefits and Risks of Leveraging |
| Percent of Economic Leverage | |||||
BHL | 27 | % | ||||
FRA | 27 | % | ||||
BLW | 32 | % |
Derivative Financial Instruments |
10 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
ACAS CLO Ltd., Series 2012-1A, Class D, 5.58%, 9/20/23 (a)(b) | USD | 250 | $ | 251,250 | |||||||||||
Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 3.16%, 1/13/25 (a)(b) | 500 | 479,450 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 250 | 241,750 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.89%, 1/20/25 (a)(b) | 250 | 250,375 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.30%, 4/20/23 (a)(b) | 215 | 214,998 | |||||||||||||
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.50%, 4/17/22 (a)(b) | 350 | 348,005 | |||||||||||||
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.71%, 9/20/22 (a)(b) | 350 | 352,100 | |||||||||||||
ING Investment Management, Series 2012-2A, Class D, 4.85%, 10/15/22 (a)(b) | 350 | 350,875 | |||||||||||||
LCM XI LP, Series 11A, Class D2, 4.25%, 4/19/22 (a)(b) | 375 | 371,250 | |||||||||||||
Marea CLO Ltd., Series 2012-1A, Class D, 4.85%, 10/16/23 (a)(b) | 400 | 402,000 | |||||||||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b) | 250 | 242,500 | |||||||||||||
OZLM Funding Ltd., Series 2013-3A, Class C, 4.15%, 1/22/25 (a)(b) | 250 | 244,425 | |||||||||||||
Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.79%, 5/24/23 (a)(b) | 250 | 252,400 | |||||||||||||
Symphony CLO IX LP, Series 2012-9A, Class D, 4.55%, 4/16/22 (a)(b) | 500 | 496,850 | |||||||||||||
Symphony CLO X Ltd., Series 2012-10A, Class D, 5.55%, 7/23/23 (a)(b) | 350 | 354,375 | |||||||||||||
West CLO Ltd., Series 2012-1A, Class C, 5.05%, 10/30/23 (a)(b) | 250 | 253,227 | |||||||||||||
Total Asset-Backed Securities — 3.9% | 5,105,830 | ||||||||||||||
Common Stocks (c) | Shares | ||||||||||||||
Hotels, Restaurants & Leisure — 0.3% | |||||||||||||||
BLB Worldwide Holdings, Inc. | 21 | 453,254 | |||||||||||||
Software — 0.2% | |||||||||||||||
HMH Holdings/EduMedia | 14 | 247,582 | |||||||||||||
Total Common Stocks — 0.5% | 700,836 | ||||||||||||||
Corporate Bonds | Par (000) | ||||||||||||||
Airlines — 0.2% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 | USD | 79 | 82,130 | ||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 | 155 | 154,612 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | 51 | 57,035 | |||||||||||||
293,777 | |||||||||||||||
Auto Components — 0.3% | |||||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 340 | 364,225 | |||||||||||||
Building Products — 0.1% | |||||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 160 | 164,200 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Chemicals — 0.1% | ||||||||||||||
INEOS Finance Plc, 8.38%, 2/15/19 (a) | USD | 110 | $ | 120,450 | ||||||||||
Commercial Services & Supplies — 0.3% | ||||||||||||||
ARAMARK Corp., 3.80%, 2/01/15 (b) | 65 | 65,098 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 304 | 318,999 | ||||||||||||
384,097 | ||||||||||||||
Communications Equipment — 0.7% | ||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (a) | 206 | 196,730 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 | 380 | 424,650 | ||||||||||||
10.13%, 7/01/20 | 250 | 293,125 | ||||||||||||
914,505 | ||||||||||||||
Consumer Finance — 0.3% | ||||||||||||||
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 325 | 347,750 | ||||||||||||
Diversified Financial Services — 1.3% | ||||||||||||||
Ally Financial, Inc., 2.62%, 12/01/14 (b) | 440 | 441,107 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 | 120 | 128,850 | ||||||||||||
5.75%, 10/15/20 | 930 | 960,225 | ||||||||||||
6.88%, 2/15/21 | 185 | 197,488 | ||||||||||||
1,727,670 | ||||||||||||||
Diversified Telecommunication Services — 0.2% | ||||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 200 | 205,000 | ||||||||||||
Energy Equipment & Services — 0.3% | ||||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 113 | 116,955 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 232 | 238,960 | ||||||||||||
355,915 | ||||||||||||||
Health Care Providers & Services — 1.1% | ||||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 358 | 376,347 | ||||||||||||
HCA, Inc., 6.50%, 2/15/20 (a) | 375 | 420,000 | ||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 190 | 198,075 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 185 | 204,888 | ||||||||||||
4.50%, 4/01/21 (a) | 264 | 260,370 | ||||||||||||
1,459,680 | ||||||||||||||
Health Care Technology — 0.8% | ||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 850 | 1,024,250 | ||||||||||||
Hotels, Restaurants & Leisure — 0.3% | ||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 (a) | 67 | 66,163 | ||||||||||||
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (a) | 319 | 315,012 | ||||||||||||
381,175 | ||||||||||||||
Household Durables — 0.2% | ||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 180 | 192,375 | ||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 80 | 86,100 | ||||||||||||
278,475 | ||||||||||||||
Independent Power Producers & Energy Traders — 1.6% | ||||||||||||||
Calpine Corp., 7.25%, 10/15/17 (a) | 220 | 234,025 | ||||||||||||
Energy Future Intermediate Holding Co. LLC: | ||||||||||||||
10.00%, 12/01/20 (a) | 230 | 259,325 | ||||||||||||
10.00%, 12/01/20 | 1,405 | 1,594,675 | ||||||||||||
2,088,025 |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | CAD DIP EBITDA | Canadian Dollar Debtor-In-Possession Earnings Before Interest, Taxes, Depreciation and Amortization | EUR GBP TBA USD | Euro British Pound To Be Announced US Dollar |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 11 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
IT Services — 0.2% | |||||||||||||||
First Data Corp., 6.75%, 11/01/20 (a) | USD | 245 | $ | 251,431 | |||||||||||
Media — 0.8% | |||||||||||||||
AMC Networks, Inc., 7.75%, 7/15/21 | 105 | 119,175 | |||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a) | 195 | 181,350 | |||||||||||||
Clear Channel Worldwide Holdings, Inc. (a): | |||||||||||||||
6.50%, 11/15/22 | 192 | 200,640 | |||||||||||||
6.50%, 11/15/22 | 517 | 544,142 | |||||||||||||
1,045,307 | |||||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 145 | 158,050 | |||||||||||||
Paper & Forest Products — 0.1% | |||||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a) | 155 | 162,750 | |||||||||||||
Real Estate Management & Development — 0.1% | |||||||||||||||
Realogy Corp., 7.63%, 1/15/20 (a) | 165 | 186,038 | |||||||||||||
Wireless Telecommunication Services — 0.8% | |||||||||||||||
Sprint Nextel Corp. (a): | |||||||||||||||
9.00%, 11/15/18 | 290 | 359,600 | |||||||||||||
7.00%, 3/01/20 | 550 | 643,500 | |||||||||||||
1,003,100 | |||||||||||||||
Total Corporate Bonds — 9.9% | 12,915,870 | ||||||||||||||
Floating Rate Loan Interests (b) | |||||||||||||||
Aerospace & Defense — 1.4% | |||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/24/20 | 515 | 517,092 | |||||||||||||
DynCorp International LLC, Term Loan B, 6.25%, 7/07/16 | 255 | 256,748 | |||||||||||||
The SI Organization, Inc., Term Loan B, 4.50%, 11/22/16 | 414 | 412,905 | |||||||||||||
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 | 367 | 368,756 | |||||||||||||
Transdigm, Inc., Term Loan C, 4.00%, 2/28/20 | 225 | 225,423 | |||||||||||||
1,780,924 | |||||||||||||||
Airlines — 2.1% | |||||||||||||||
Delta Air Lines, Inc.: | |||||||||||||||
Term Loan, 3.56%, 9/16/15 | 352 | 328,867 | |||||||||||||
Term Loan B, 4.50%, 4/20/17 | 997 | 1,005,870 | |||||||||||||
Northwest Airlines, Inc.: | |||||||||||||||
Term Loan, 2.32%, 3/10/17 | 134 | 124,754 | |||||||||||||
Term Loan, 2.32%, 3/10/17 | 242 | 225,302 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 110 | 98,208 | |||||||||||||
Term Loan, 1.70%, 9/10/18 | 109 | 97,315 | |||||||||||||
US Airways Group, Inc., Term Loan, 2.70%, 3/21/14 | 815 | 812,669 | |||||||||||||
2,692,985 | |||||||||||||||
Auto Components — 3.6% | |||||||||||||||
Autoparts Holdings Ltd., First Lien Term Loan, 6.50%, 7/28/17 | 642 | 645,617 | |||||||||||||
Federal-Mogul Corp.: | |||||||||||||||
Term Loan B, 2.14%, 12/29/14 | 1,293 | 1,203,326 | |||||||||||||
Term Loan C, 2.14%, 12/28/15 | 542 | 504,073 | |||||||||||||
The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19 | 1,150 | 1,154,313 | |||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 420 | 419,895 | |||||||||||||
Transtar Holding Co., First Lien Term Loan, 5.50%, 10/09/18 | 494 | 498,700 | |||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 343 | 343,751 | |||||||||||||
4,769,675 | |||||||||||||||
Biotechnology — 0.5% | |||||||||||||||
Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 634 | 636,869 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Building Products — 1.8% | ||||||||||||||
Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18 | USD | 760 | $ | 760,256 | ||||||||||
CPG International, Inc., Term Loan, 5.75%, 9/18/19 | 818 | 824,085 | ||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 800 | 808,400 | ||||||||||||
2,392,741 | ||||||||||||||
Capital Markets — 1.7% | ||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 603 | 609,030 | ||||||||||||
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 370 | 371,725 | ||||||||||||
Nuveen Investments, Inc.: | ||||||||||||||
Extended First Lien Term Loan, 5.70%—5.81%, 5/13/17 | 391 | 395,604 | ||||||||||||
Extended Term Loan, 5.70% – 5.81%, 5/12/17 | 637 | 645,901 | ||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 115 | 115,575 | ||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 147 | 149,940 | ||||||||||||
2,287,775 | ||||||||||||||
Chemicals — 4.5% | ||||||||||||||
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 604 | 598,353 | ||||||||||||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 655 | 659,912 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 483 | 486,978 | ||||||||||||
General Chemical Corp., Term Loan, 5.00% – 5.75% 10/06/15 | 356 | 357,102 | ||||||||||||
INEOS US Finance LLC: | ||||||||||||||
3 Year Term Loan, 5.50%, 5/04/15 | 89 | 90,978 | ||||||||||||
6 Year Term Loan, 6.50%, 5/04/18 | 365 | 372,053 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 590 | 587,971 | ||||||||||||
Tronox Pigments (Netherlands) BV, Term Loan B, 4.25%, 2/08/18 | 602 | 601,209 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 412 | 410,129 | ||||||||||||
US Coatings Acquisition, Inc.: | ||||||||||||||
Term Loan, 4.75%, 2/03/20 | 1,510 | 1,528,331 | ||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 145 | 191,232 | |||||||||||
5,884,248 | ||||||||||||||
Commercial Banks — 0.5% | ||||||||||||||
Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18 | USD | 660 | 665,537 | |||||||||||
Commercial Services & Supplies — 5.5% | ||||||||||||||
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19 | 605 | 609,885 | ||||||||||||
ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19 | 1,305 | 1,306,227 | ||||||||||||
Altegrity, Inc.: | ||||||||||||||
Term Loan, 3.20%, 2/21/15 | 225 | 217,125 | ||||||||||||
Tranche D Term Loan, Tranche D Term Loan, 7.75%, 2/20/15 | 279 | 279,288 | ||||||||||||
ARAMARK Corp.: | ||||||||||||||
Extended Synthetic LC, 3.46%, 7/26/16 | 9 | 9,420 | ||||||||||||
Extended Term Loan B, 3.45%, 7/26/16 | 211 | 211,797 | ||||||||||||
Extended Term Loan C, 3.45% – 3.56%, 7/26/16 | 116 | 116,936 | ||||||||||||
Letter of Credit, 3.46%, 7/26/16 | 14 | 13,929 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18 | 309 | 314,013 | ||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | 327 | 329,269 | ||||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 825 | 829,810 | ||||||||||||
Garda World Security Corp., Term Loan B, 4.50%, 11/13/19 | 165 | 166,131 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17 | 1,182 | 1,193,820 | ||||||||||||
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 | 315 | 317,756 | ||||||||||||
Protection One, Inc., Term Loan, 5.75%, 3/21/19 | 561 | 565,669 | ||||||||||||
WEST Corp., Term Loan B8, 5.75%, 2/07/18 | 690 | 692,015 | ||||||||||||
7,173,090 |
12 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Communications Equipment — 4.0% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan B, 6.25%, 7/29/16 | USD | 440 | $ | 444,598 | ||||||||||
Term Loan C, 7.25%, 1/31/19 | 755 | 763,305 | ||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 245 | 320,704 | |||||||||||
Arris Group, Inc., Term Loan B, 3.50%, 2/07/20 | USD | 175 | 174,617 | |||||||||||
Avaya, Inc.: | ||||||||||||||
Extended Term Loan B3, 4.79%, 10/26/17 | 182 | 169,600 | ||||||||||||
Term Loan B5, 8.00%, 3/30/18 | 121 | 121,268 | ||||||||||||
CommScope, Inc., Term Loan, 4.25%, 1/12/18 | 810 | 813,413 | ||||||||||||
Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19 | 380 | 384,275 | ||||||||||||
Zayo Group, LLC Refinancing, Term Loan B, 5.25%, 7/12/19 | 2,075 | 2,081,317 | ||||||||||||
5,273,097 | ||||||||||||||
Construction & Engineering — 1.5% | ||||||||||||||
BakerCorp International, Inc., Term Loan B, 5.00%, 2/14/20 | 360 | 360,486 | ||||||||||||
Centaur LLC: | ||||||||||||||
First Lien Term Loan, 8.75%, 2/15/19 | 570 | 570,359 | ||||||||||||
Second Lien Term Loan, 8.75%, 2/15/20 | 280 | 284,200 | ||||||||||||
Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17 | 750 | 750,000 | ||||||||||||
1,965,045 | ||||||||||||||
Construction Materials — 1.9% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 2,537 | 2,544,124 | ||||||||||||
Consumer Finance — 0.8% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 1,060 | 1,063,752 | ||||||||||||
Containers & Packaging — 0.5% | ||||||||||||||
Berry Plastics Holding Corp., Term Loan C, 2.20%, 4/03/15 | 247 | 247,223 | ||||||||||||
Sealed Air Corp., Term Loan, 4.00%, 10/03/18 | 379 | 383,567 | ||||||||||||
630,790 | ||||||||||||||
Distributors — 0.4% | ||||||||||||||
Crossmark Holdings, Inc., Term Loan, 4.50%, 1/31/20 | 235 | 235,099 | ||||||||||||
VWR Funding, Inc., Extended Term Loan B, 4.54%, 4/03/17 | 280 | 282,013 | ||||||||||||
517,112 | ||||||||||||||
Diversified Consumer Services — 2.9% | ||||||||||||||
Bright Horizons Family, Inc., Term Loan B, 4.00%, 1/16/20 | 645 | 648,225 | ||||||||||||
Coinmach Service Corp.: | ||||||||||||||
Delayed Draw Term Loan, 3.21%, 11/20/14 | 241 | 235,188 | ||||||||||||
Term Loan B, 3.21%, 11/20/14 | 886 | 866,304 | ||||||||||||
Education Management LLC, Term Loan C3, 8.25%, 3/29/18 | 113 | 96,946 | ||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 692 | 695,924 | ||||||||||||
ServiceMaster Co., Term Loan, 2.70%, 4/01/17 | 870 | 867,048 | ||||||||||||
Weight Watchers International, Inc., Term Loan F, 4.00%, 3/15/19 | 350 | 351,441 | ||||||||||||
3,761,076 | ||||||||||||||
Diversified Financial Services — 1.9% | ||||||||||||||
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18 | 1,416 | 1,432,088 | ||||||||||||
Telesat LLC, Term Loan B, 4.25%, 3/28/19 | 741 | 746,464 | ||||||||||||
WMG Acquisition Corp., Term Loan, 5.25%, 11/01/18 | 370 | 374,162 | ||||||||||||
2,552,714 | ||||||||||||||
Diversified Telecommunication Services — 4.9% | ||||||||||||||
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | 880 | 888,527 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Diversified Telecommunication Services (concluded) | ||||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17 | USD | 529 | $ | 538,588 | ||||||||||
Integra Telecom, Inc.: | ||||||||||||||
Second Lien Term Loan, 9.75%, 2/15/20 | 245 | 250,513 | ||||||||||||
Term Loan, 9.25%, 2/15/19 | 465 | 470,115 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 668 | 675,844 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 650 | 656,636 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 1,735 | 1,748,880 | ||||||||||||
Syniverse Holdings, Inc., Delayed Draw Term Loan, 4.00%, 4/23/19 | 460 | 459,425 | ||||||||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 738 | 736,072 | ||||||||||||
6,424,600 | ||||||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||||
CDW LLC, Extended Term Loan, 4.00%, 7/14/17 | 503 | 503,994 | ||||||||||||
Energy Equipment & Services — 2.2% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 542 | 559,344 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 632 | 657,214 | ||||||||||||
MEG Energy Corp., Term Loan, 3.75%, 3/20/20 | 965 | 967,413 | ||||||||||||
Tervita Corp., Incremental Term Loan, 3.20%, 5/01/18 | 450 | 452,322 | ||||||||||||
Unifrax I LLC/Unifrax Holding Co., Term Loan, 4.25%, 11/28/18 | 220 | 221,454 | ||||||||||||
2,857,747 | ||||||||||||||
Food & Staples Retailing — 2.2% | ||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.49%, 7/09/15 | GBP | 900 | 1,337,192 | |||||||||||
Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19 | USD | 484 | 488,171 | |||||||||||
Rite Aid Corp.: | ||||||||||||||
Second Lien Term Loan, 5.75%, 7/07/20 | 235 | 240,353 | ||||||||||||
Term Loan 6, 4.00%, 2/21/20 | 225 | 225,434 | ||||||||||||
Supervalu, Inc., Term Loan B, 6.25%, 2/05/18 | 520 | 525,850 | ||||||||||||
2,817,000 | ||||||||||||||
Food Products — 2.2% | ||||||||||||||
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 545 | 551,643 | ||||||||||||
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18 | 888 | 890,600 | ||||||||||||
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 | 170 | 171,447 | ||||||||||||
Pinnacle Foods Finance LLC: | ||||||||||||||
Extended Term Loan B, 3.70%, 10/03/16 | 39 | 39,647 | ||||||||||||
Term Loan E, 4.75%, 10/17/18 | 499 | 503,916 | ||||||||||||
Solvest Ltd. (Dole): | ||||||||||||||
Term Loan B-2, 5.00% – 6.00%, 7/06/18 | 278 | 277,699 | ||||||||||||
Term Loan C-2, 5.00% – 6.00%, 7/06/18 | 497 | 496,935 | ||||||||||||
2,931,887 | ||||||||||||||
Health Care Equipment & Supplies — 4.6% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 1,323 | 1,333,116 | ||||||||||||
Biomet, Inc., Extended Term Loan B, 3.95% – 4.06%, 7/25/17 | 465 | 468,037 | ||||||||||||
BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 8/28/19 | 385 | 386,540 | ||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 352 | 352,338 | ||||||||||||
DJO Finance LLC: | ||||||||||||||
Extended Term Loan B2, 5.20%, 11/01/16 | 189 | 190,044 | ||||||||||||
Term Loan B3, 6.25%, 9/15/17 | 1,052 | 1,060,604 | ||||||||||||
Hologic, Inc., Term Loan B, 4.50%, 8/01/19 | 1,118 | 1,129,784 | ||||||||||||
IASIS Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 96 | 96,807 | ||||||||||||
Immucor, Inc., Term Loan B1, 5.00%, 8/18/18 | 815 | 813,700 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 214 | 218,738 | ||||||||||||
6,049,708 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 13 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Health Care Providers & Services — 5.5% | ||||||||||||||
American Renal Holdings Co., Inc.: | ||||||||||||||
First Lien Term Loan, 4.00%, 8/14/19 | USD | 660 | $ | 658,350 | ||||||||||
Second Lien Term Loan, 8.50%, 2/14/20 | 410 | 408,975 | ||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 265 | 268,644 | ||||||||||||
CHG Buyer Corp., First Lien Term Loan, 5.00%, 11/22/19 | 459 | 464,248 | ||||||||||||
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16 | 581 | 586,854 | ||||||||||||
DaVita, Inc.: | ||||||||||||||
Term Loan B, 4.50%, 10/20/16 | 1,006 | 1,012,918 | ||||||||||||
Term Loan B2, 4.00%, 11/01/19 | 630 | 634,523 | ||||||||||||
Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18 | 631 | 631,973 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 215 | 210,223 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 411 | 402,796 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 273 | 270,586 | ||||||||||||
HCA, Inc., Extended Term Loan B3, 3.45%, 5/01/18 | 235 | 236,074 | ||||||||||||
inVentiv Health, Inc.: | ||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 | 170 | 167,084 | ||||||||||||
Incremental Term Loan B-3, 7.75%, 5/15/18 | 219 | 215,289 | ||||||||||||
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 | 507 | 504,742 | ||||||||||||
US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19 | 512 | 519,471 | ||||||||||||
Vanguard Health Holding Co. II LLC (Vanguard Health Systems, Inc.), Term Loan B, 5.00%, 1/29/16 | 59 | 59,476 | ||||||||||||
7,252,226 | ||||||||||||||
Health Care Technology — 1.5% | ||||||||||||||
IMS Health, Inc., Term Loan B, 3.75%, 8/25/17 | 752 | 753,490 | ||||||||||||
Kinetic Concepts, Inc., Term Loan C1, 5.50% – 6.50%, 5/04/18 | 921 | 932,803 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 285 | 286,662 | ||||||||||||
1,972,955 | ||||||||||||||
Hotels, Restaurants & Leisure — 7.7% | ||||||||||||||
Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/30/19 | 606 | 613,101 | ||||||||||||
Boyd Gaming Corp., Incremental Term Loan, 6.00%, 12/17/15 | 375 | 377,971 | ||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan, 9.25%, 4/25/17 | 320 | 326,400 | ||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 632 | 630,520 | ||||||||||||
Golden Living, Term Loan, 5.00%, 5/04/18 | 366 | 350,674 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 1,333 | 1,226,084 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 775 | 783,912 | ||||||||||||
OSI Restaurant Partners LLC, Term Loan B, 4.75%, 10/24/19 | 580 | 587,313 | ||||||||||||
Sabre, Inc., Term Loan B, 5.25%, 2/01/19 | 320 | 319,773 | ||||||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17 | 426 | 428,265 | ||||||||||||
Six Flags Theme Parks, Inc., Term Loan B, 4.00% – 5.25%, 12/20/18 | 342 | 345,835 | ||||||||||||
Station Casinos, Inc.: | ||||||||||||||
2011 Term Loan B2, 6.25%, 6/17/16 | 95 | 94,209 | ||||||||||||
Term Loan B, 5.50%, 9/27/19 | 793 | 797,636 | ||||||||||||
Term Loan B, 5.00%, 2/13/20 | 1,200 | 1,210,000 | ||||||||||||
Term Loan B1, 3.20%, 6/17/16 | 351 | 353,660 | ||||||||||||
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15 | 484 | 486,965 | ||||||||||||
Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19 | 1,082 | 1,091,346 | ||||||||||||
10,023,664 | ||||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Household Products — 1.1% | ||||||||||||||
Prestige Brands, Inc., Term Loan, 5.25%—6.25%, 1/31/19 | USD | 469 | $ | 471,231 | ||||||||||
Spectrum Brands, Inc., Term Loan, 4.50%, 12/17/19 | 955 | 966,536 | ||||||||||||
1,437,767 | ||||||||||||||
Independent Power Producers & Energy Traders — 0.8% | ||||||||||||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 768 | 771,095 | ||||||||||||
Calpine Corp., Term Loan B1, 4.50%, 4/02/18 | 214 | 215,171 | ||||||||||||
986,266 | ||||||||||||||
Industrial Conglomerates — 1.2% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 1,496 | 1,513,545 | ||||||||||||
Insurance — 1.6% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 425 | 428,187 | ||||||||||||
Asurion LLC, Term Loan B1, 5.50%, 5/24/19 | 305 | 305,891 | ||||||||||||
CNO Financial Group, Inc.: | ||||||||||||||
Term Loan B-1, 4.25%, 9/28/16 | 390 | 392,421 | ||||||||||||
Term Loan B-2, 5.00%, 9/20/18 | 536 | 541,495 | ||||||||||||
Cunningham Lindsey Group, Inc., Term Loan B, 5.00%, 12/10/19 | 370 | 374,625 | ||||||||||||
2,042,619 | ||||||||||||||
Internet Software & Services — 0.4% | ||||||||||||||
Web.com Group, Inc., Term Loan B, 5.50%, 10/27/17 | 521 | 525,454 | ||||||||||||
IT Services — 5.9% | ||||||||||||||
CCC Information Services, Inc., Term Loan, 5.25%, 12/20/19 | 215 | 216,290 | ||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 954 | 964,859 | ||||||||||||
First Data Corp.: | ||||||||||||||
2018 Add-on Term Loan, 5.20%, 9/24/18 | 595 | 594,732 | ||||||||||||
Extended 2018 Term Loan B, 4.20%, 3/23/18 | 2,910 | 2,872,851 | ||||||||||||
Genpact International, Inc., Term Loan B, 4.25%, 8/30/19 | 808 | 816,055 | ||||||||||||
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18 | 272 | 246,696 | ||||||||||||
iPayment, Inc., Term Loan B, 5.75%, 5/08/17 | 74 | 73,914 | ||||||||||||
SunGard Data Systems, Inc., Term Loan D, 4.50%, 1/31/20 | 590 | 594,425 | ||||||||||||
TransUnion LLC, Term Loan B, 5.50%, 2/12/18 | 1,259 | 1,266,628 | ||||||||||||
7,646,450 | ||||||||||||||
Leisure Equipment & Products — 0.5% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 192 | 192,013 | ||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 413 | 411,632 | ||||||||||||
603,645 | ||||||||||||||
Life Sciences Tools & Services — 0.2% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 274 | 277,399 | ||||||||||||
Machinery — 2.7% | ||||||||||||||
Alliance Laundry Systems LLC: | ||||||||||||||
First Lien Term Loan, 5.50%, 12/07/18 | 230 | 230,934 | ||||||||||||
Second Lien Term Loan, 9.50%, 12/10/19 | 131 | 133,200 | ||||||||||||
Dematic S.A., Term Loan, 5.25%, 12/27/19 | 570 | 573,739 | ||||||||||||
Intelligrated, Inc., First Lien Term Loan, 4.50% – 6.75%, 7/30/18 | 399 | 399,000 | ||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 312 | 313,802 | ||||||||||||
Silver II US Holdings LLC, First Lein Term Loan, 4.75%, 12/05/19 | 650 | 650,000 | ||||||||||||
Terex Corp. Term Loan B: | ||||||||||||||
4.50%, 4/28/17 | 598 | 603,504 | ||||||||||||
5.00%, 4/28/17 | EUR | 59 | 77,573 | |||||||||||
Wabash National Corp., Term Loan B, 6.00%, 5/02/19 | USD | 516 | 519,316 | |||||||||||
3,501,068 |
14 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Media — 15.8% | ||||||||||||||
AMC Entertainment, Inc., Term Loan B3, 3.75%, 2/22/18 | USD | 322 | $ | 324,002 | ||||||||||
BBHI Acquisition LLC, Term Loan B, 4.50%, 12/14/17 | 626 | 627,806 | ||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18 | 541 | 546,296 | ||||||||||||
Catalina Marketing Corp., Extended Term Loan B, 5.70%, 9/29/17 | 508 | 508,623 | ||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 227 | 177,448 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 367 | 292,047 | ||||||||||||
Charter Communications Operating LLC: | ||||||||||||||
Extended Term Loan C, 3.46%, 9/06/16 | 538 | 540,169 | ||||||||||||
Term Loan D, 4.00%, 5/15/19 | 313 | 315,128 | ||||||||||||
Clarke American Corp., Term Facility B, 2.70%, 6/30/14 | 89 | 88,250 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 1,472 | 1,258,645 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 167 | 141,178 | ||||||||||||
Cumulus Media, Inc., First Lien Term Loan, 4.50%, 9/17/18 | 609 | 614,132 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 358 | 362,051 | ||||||||||||
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | 693 | 701,235 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 515 | 519,007 | ||||||||||||
Gray Television, Inc., Term Loan B, 4.75%, 10/15/19 | 612 | 617,981 | ||||||||||||
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18 | 432 | 433,896 | ||||||||||||
Hubbard Broadcasting, Term Loan B, 4.50%, 4/28/17 | 403 | 406,430 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 2,357 | 2,379,334 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 1,312 | 1,313,613 | ||||||||||||
Kabel Deutschland GmbH, Term Loan F1, 3.50%, 2/01/19 | 770 | 771,240 | ||||||||||||
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG): | ||||||||||||||
Term Loan B, 2.62%, 3/06/15 | EUR | 460 | 591,572 | |||||||||||
Term Loan C, 3.00%, 3/04/16 | 460 | 594,578 | ||||||||||||
Mediacom LLC, Term Loan E, 4.50%, 10/23/17 | USD | 488 | 487,500 | |||||||||||
NEP Supershooters LP: | ||||||||||||||
First Lien Term Loan, 5.25%, 1/18/20 | 330 | 330,927 | ||||||||||||
Second Lien Term Loan, 9.50%, 8/18/20 | 230 | 235,750 | ||||||||||||
Term Loan, 4.75%, 1/18/20 | 330 | 330,825 | ||||||||||||
Nielsen Finance LLC, Class B Term Loan, 3.95%, 5/02/16 | 627 | 628,702 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16 | 295 | 296,392 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 770 | 770,328 | ||||||||||||
UPC Broadband Holding BV, Term Loan U, 4.12%, 12/29/17 | EUR | 196 | 255,508 | |||||||||||
UPC Financing Partnership, Term Loan T, 3.70%, 12/30/16 | USD | 80 | 80,186 | |||||||||||
Virgin Media Investment Holdings: | ||||||||||||||
Term Loan B, 4.50%, 2/15/20 | GBP | 650 | 982,227 | |||||||||||
Term Loan B, 3.50%, 2/17/20 | USD | 935 | 929,418 | |||||||||||
WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18 | 184 | 185,822 | ||||||||||||
Weather Channel, Term Loan B, 4.25%, 2/07/17 | 406 | 409,055 | ||||||||||||
WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18 | 517 | 523,479 | ||||||||||||
20,570,780 | ||||||||||||||
Metals & Mining — 5.0% | ||||||||||||||
Ameriforge Group, Inc.: | ||||||||||||||
First Lien Term Loan, 5.00%, 12/19/19 | 375 | 378,517 | ||||||||||||
Second Lien Term Loan, 8.75%, 12/18/20 | 185 | 187,544 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | USD | 517 | $ | 527,748 | ||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 1,865 | 1,887,672 | ||||||||||||
Metals USA, Inc., Term Loan, 6.25%, 11/15/19 | 455 | 455,569 | ||||||||||||
Novelis, Inc., Term Loan, 4.00%, 3/10/17 | 1,154 | 1,154,923 | ||||||||||||
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 | 137 | 136,844 | ||||||||||||
Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18 | 1,141 | 1,143,299 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 648 | 668,231 | ||||||||||||
6,540,347 | ||||||||||||||
Multiline Retail — 3.7% | ||||||||||||||
99¢ Only Stores, Term Loan, 5.25%, 1/11/19 | 460 | 462,863 | ||||||||||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/28/20 | 485 | 489,763 | ||||||||||||
BJ’s Wholesale Club, Inc.: | ||||||||||||||
First Lien Term Loan, 5.75%, 9/13/19 | 414 | 414,223 | ||||||||||||
Second Lien Term Loan, 9.75%, 3/26/20 | 285 | 294,442 | ||||||||||||
Dollar General Corp., Tranche B-2 Term Loan, 2.95%, 7/07/14 | 316 | 315,982 | ||||||||||||
HEMA Holding BV, Second Lien Term Loan, 5.12%, 1/05/17 | EUR | 1,800 | 2,133,790 | |||||||||||
The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18 | USD | 690 | 689,773 | |||||||||||
4,800,836 | ||||||||||||||
Oil, Gas & Consumable Fuels — 4.0% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 985 | 1,005,419 | ||||||||||||
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18 | 738 | 745,191 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 447 | 451,564 | ||||||||||||
Plains Exploration & Production, 7-Year Term Loan B, 4.00%, 11/30/19 | 900 | 901,503 | ||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 295 | 297,767 | ||||||||||||
Tesoro Corp., Term Loan B, 2.55%, 1/30/16 | 540 | 544,725 | ||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 1,299 | 1,305,056 | ||||||||||||
5,251,225 | ||||||||||||||
Pharmaceuticals — 4.8% | ||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,109 | 1,111,559 | ||||||||||||
Par Pharmaceutical, Term Loan B, 4.25%, 9/28/19 | 1,302 | 1,300,110 | ||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 1,392 | 1,399,405 | ||||||||||||
Quintiles Transnational Corp., Term Loan B, 4.50%, 6/08/18 | 577 | 581,341 | ||||||||||||
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18 | 89 | 90,087 | ||||||||||||
Valeant Pharmaceuticals International, Inc. Tranche B: | ||||||||||||||
Series C, 3.50%, 12/11/19 | 615 | 617,306 | ||||||||||||
Series D, 3.50%, 2/13/19 | 665 | 668,251 | ||||||||||||
Warner Chilcott Corp.: | ||||||||||||||
Incremental Term Loan B-1, 4.25%, 3/15/18 | 102 | 102,647 | ||||||||||||
Term Loan B-1, 4.25%, 3/15/18 | 268 | 270,286 | ||||||||||||
Term Loan B-2, 4.25%, 3/15/18 | 83 | 83,562 | ||||||||||||
6,224,554 | ||||||||||||||
Professional Services — 1.7% | ||||||||||||||
Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19 | 643 | 649,017 | ||||||||||||
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18 | 787 | 796,828 | ||||||||||||
ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19 | 225 | 227,184 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 602 | 607,622 | ||||||||||||
2,280,651 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | ||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 747 | 746,984 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 15 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Real Estate Management & Development — 1.5% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit Loan, 4.46%, 10/10/16 | USD | 88 | $ | 87,748 | |||||||||||
Extended Synthetic Letter of Credit, 3.23%, 10/10/13 | 21 | 21,046 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 1,815 | 1,814,833 | |||||||||||||
1,923,627 | |||||||||||||||
Road & Rail — 0.4% | |||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17 | 259 | 258,657 | |||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | 233 | 233,820 | |||||||||||||
492,477 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 1.8% | |||||||||||||||
Freescale Semiconductor, Inc.: | |||||||||||||||
Extended Term Loan B, 4.45%, 12/01/16 | 629 | 628,764 | |||||||||||||
Term Loan, 5.50%, 3/20/20 | 930 | 926,280 | |||||||||||||
NXP BV: | |||||||||||||||
Term Loan A-2, 5.50%, 3/03/17 | 390 | 397,066 | |||||||||||||
Term Loan C, 4.75%, 1/11/20 | 435 | 441,660 | |||||||||||||
2,393,770 | |||||||||||||||
Software — 3.7% | |||||||||||||||
Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18 | 116 | 116,595 | |||||||||||||
GCA Services Group, Inc.: | |||||||||||||||
Second Lien Term Loan, 9.25%, 10/22/20 | 220 | 217,800 | |||||||||||||
Term Loan B, 5.25%, 11/01/19 | 440 | 440,000 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 1,776 | 1,795,321 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 345 | 358,800 | |||||||||||||
RP Crown Parent LLC, First Lien Term Loan, 6.75%, 12/21/18 | 360 | 365,177 | |||||||||||||
Sophia LP, Term Loan B, 6.25%, 7/19/18 | 630 | 634,602 | |||||||||||||
SS&C Technologies, Inc.: | |||||||||||||||
Term Loan B-1, 5.00%, 6/07/19 | 819 | 826,333 | |||||||||||||
Term Loan B-2, 5.00%, 6/07/19 | 85 | 85,483 | |||||||||||||
4,840,111 | |||||||||||||||
Specialty Retail — 6.8% | |||||||||||||||
Academy Ltd., Term Loan, 4.75%, 8/03/18 | 792 | 801,171 | |||||||||||||
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19 | 620 | 623,336 | |||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17 | 152 | 153,605 | |||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 920 | 929,430 | |||||||||||||
Equinox Fitness Clubs, First Lien Term Loan, 5.50%, 11/16/19 | 455 | 459,550 | |||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 77 | 74,301 | |||||||||||||
Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17 | 458 | 462,277 | |||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.75%, 3/16/18 | 284 | 283,922 | |||||||||||||
Leslie’s Poolmart, Inc., Term Loan B, 2.00% – 5.25%, 10/16/19 | 741 | 749,289 | |||||||||||||
Michaels Stores, Inc., Term Loan, 4.81%, 1/31/20 | 1,025 | 1,027,275 | |||||||||||||
Party City Holdings, Inc., Term Loan B, 5.75%, 7/26/19 | 1,370 | 1,368,972 | |||||||||||||
PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 980 | 987,640 | |||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Specialty Retail (concluded) | |||||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | USD | 314 | $ | 309,499 | |||||||||||
Toys ‘R’ Us Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 | 94 | 89,102 | |||||||||||||
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19 | 518 | 520,992 | |||||||||||||
8,840,361 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 1.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 918 | 927,243 | |||||||||||||
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 12/19/19 | 390 | 393,128 | |||||||||||||
Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19 | 496 | 499,515 | |||||||||||||
1,819,886 | |||||||||||||||
Thrifts & Mortgage Finance — 0.6% | |||||||||||||||
Insight Global, Inc., First Lien Term Loan, 6.00%, 10/31/19 | 450 | 451,125 | |||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 375 | 379,530 | |||||||||||||
830,655 | |||||||||||||||
Trading Companies & Distributors — 0.4% | |||||||||||||||
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 510 | 514,677 | |||||||||||||
Wireless Telecommunication Services — 2.3% | |||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 490 | 491,534 | |||||||||||||
MetroPCS Wireless, Inc., Tranche B-2 Term Loan, 4.07%, 11/03/16 | 757 | 759,230 | |||||||||||||
Vodafone Americas Finance 2, Inc. (d): | |||||||||||||||
Term Loan, 6.88%, 8/11/15 | 1,314 | 1,340,404 | |||||||||||||
Term Loan B, 6.25%, 7/11/16 | 413 | 423,844 | |||||||||||||
3,015,012 | |||||||||||||||
Total Floating Rate Loan Interests — 135.6% | 177,045,501 | ||||||||||||||
Warrants (e) | Shares | ||||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 1 | — | |||||||||||||
Total Warrants — 0.0% | — | ||||||||||||||
Total Long-Term Investments (Cost — $192,279,003) — 149.9% | 195,768,037 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (f)(g) | 4,275,893 | 4,275,893 | |||||||||||||
Total Short-Term Securities (Cost — $4,275,893) — 3.3% | 4,275,893 | ||||||||||||||
Total Investments (Cost — $196,554,896) — 153.2% | 200,043,930 | ||||||||||||||
Liabilities in Excess of Other Assets — (53.2)% | (69,493,029 | ) | |||||||||||||
Net Assets — 100.0% | $ | 130,550,901 |
Notes to Schedule of Investments
(a) | 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. | |||||
(b) | Variable rate security. Rate shown is as of report date. | |||||
(c) | Non-income producing security. |
16 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
(d) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(e) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||||
(f) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | ||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 2,326,441 | 1,949,452 | 4,275,893 | $ | 492 |
(g) | Represents the current yield as of report date. | |||||
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation | | ||||||||||||||||||||
USD | 103,386 | CAD | 102,000 | Deutsche Bank AG | 4/17/13 | $ | 4,580 | |||||||||||||||||||||
USD | 1,297,555 | GBP | 810,000 | Goldman Sachs Group, Inc. | 4/17/13 | 69,033 | ||||||||||||||||||||||
USD | 240,481 | EUR | 180,000 | BNP Paribas SA | 4/23/13 | 5,396 | ||||||||||||||||||||||
USD | 92,995 | EUR | 70,000 | BNP Paribas SA | 4/23/13 | 1,573 | ||||||||||||||||||||||
USD | 118,401 | EUR | 89,000 | BNP Paribas SA | 4/23/13 | 2,165 | ||||||||||||||||||||||
USD | 63,565 | EUR | 47,000 | Citigroup Inc. | 4/23/13 | 2,181 | ||||||||||||||||||||||
USD | 3,605,745 | EUR | 2,706,000 | Citigroup Inc. | 4/23/13 | 71,629 | ||||||||||||||||||||||
Total | $ | 156,557 |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty/Exchange | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 34 | $ | 4,183 | |||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 138 | 15,462 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 124 | 20,889 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 49 | 3,847 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 49 | 3,847 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 143 | 9,236 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 190 | 9,437 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 89 | (682 | ) | |||||||||||||||||||||||
Total | $ | 66,219 |
1 | Using S&P’s rating of the issuer. | |
2 | The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of agreement. |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Fund has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its semi-annual report. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 17 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | — | $ | 5,105,830 | $ | 5,105,830 | ||||||||||||
Common Stocks | — | $ | 700,836 | — | 700,836 | |||||||||||||
Corporate Bonds | — | 12,915,870 | — | 12,915,870 | ||||||||||||||
Floating Rate Loan Interests | — | 163,277,715 | 13,767,786 | 177,045,501 | ||||||||||||||
Short-Term Securities | $ | 4,275,893 | — | — | 4,275,893 | |||||||||||||
Unfunded Commitments | — | 180 | — | 180 | ||||||||||||||
Total | $ | 4,275,893 | $ | 176,894,601 | $ | 18,873,616 | $ | 200,044,110 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 66,901 | — | $ | 66,901 | ||||||||||||
Foreign currency exchange contracts | — | 156,557 | — | 156,557 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (682 | ) | — | (682 | ) | ||||||||||||
Total | — | $ | 222,776 | — | $ | 222,776 |
1 | Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Foreign currency at value | $ | 141,316 | — | — | $ | 141,316 | ||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (313,625 | ) | — | (313,625 | ) | |||||||||||
Loans payable | — | (48,000,000 | ) | — | (48,000,000 | ) | ||||||||||||
Total | $ | 141,316 | $ | (48,313,625 | ) | — | $ | (48,172,309 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013. | ||||||
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| Asset-Backed Securities | | Floating Rate Loan Interests | | Total | |||||||||
Assets: | ||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 3,427,772 | $ | 10,204,028 | $ | 13,631,800 | ||||||||
Transfers into Level 32 | — | 2,977,415 | 2,977,415 | |||||||||||
Transfers out of Level 33 | — | (3,112,046 | ) | (3,112,046 | ) | |||||||||
Accrued discounts/premiums | 12,834 | 13,111 | 25,945 | |||||||||||
Net realized gain (loss) | 69,456 | 29,826 | 99,282 | |||||||||||
Net change in unrealized appreciation/depreciation4 | 352,013 | 128,358 | 480,371 | |||||||||||
Purchases | 2,276,608 | 5,633,808 | 7,910,416 | |||||||||||
Sales | (1,032,853 | ) | (2,106,714 | ) | (3,139,567 | ) | ||||||||
Closing Balance, as of February 28, 2013 | $ | 5,105,830 | $ | 13,767,786 | $ | 18,873,616 |
2 | As of August 31, 2012, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,112,046 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $2,977,415 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $503,059. |
18 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Schedule of Investments (concluded) | BlackRock Defined Opportunity Credit Trust (BHL) |
The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $16,811,868. |
| Value | | Valuation Techniques | | Unobservable Inputs1 | | Range of Unobservable Inputs Utilized | |||||||||||
Assets: | ||||||||||||||||||
Floating Rate Loan Interests | $ | 673,382 | Discounted Cash Flow | Yield | 9.50% | |||||||||||||
309,499 | Market Comparable Yield Analysis | Yield | 8.375% | |||||||||||||||
1,078,867 | Cost2 | N/A | — | |||||||||||||||
Total | $ | 2,061,748 |
1 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||
Yield | Decrease | Increase |
2 | The Fund fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 19 |
Consolidated Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
ACAS CLO Ltd., Series 2012-1A, Class D, 5.58%, 9/20/23 (a)(b) | USD | 1,500 | $ | 1,507,500 | |||||||||||
Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 3.16%, 1/13/25 (a)(b) | 1,750 | 1,678,075 | |||||||||||||
Apidos CDO, Series 2012-11A, Class D, 4.74%, 1/17/23 (a)(b) | 675 | 676,013 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 750 | 725,250 | |||||||||||||
Carlyle Global Market Strategies (a)(b): | |||||||||||||||
CLO Ltd., Series 2012-4A, Class D, 4.89%, 1/20/25 | 700 | 701,050 | |||||||||||||
Series 2013-1A, Class C, 4.29%, 2/14/25 | 250 | 250,000 | |||||||||||||
Cavalry CLO Ltd., Series 2A, Class D, 4.38%, 1/17/24 (a)(b)(c) | 500 | 486,750 | |||||||||||||
Cent CLO LP, Series 2013-17A, Class C, 3.79%, 1/30/25 (a)(b) | 500 | 466,050 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.30%, 4/20/23 (a)(b) | 950 | 949,991 | |||||||||||||
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.50%, 4/17/22 (a)(b) | 1,550 | 1,541,165 | |||||||||||||
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.71%, 9/20/22 (a)(b) | 1,500 | 1,509,000 | |||||||||||||
ING Investment Management (a)(b): | |||||||||||||||
Series 2012-2A, Class D, 4.85%, 10/15/22 | 1,550 | 1,553,875 | |||||||||||||
Series 2012-4A, Class C, 4.73%, 10/15/23 | 700 | 705,824 | |||||||||||||
LCM XI LP, Series 11A, Class D2, 4.25%, 4/19/22 (a)(b) | 1,625 | 1,608,750 | |||||||||||||
Marea CLO Ltd., Series 2012-1A, Class D, 4.85%, 10/16/23 (a)(b) | 1,650 | 1,658,250 | |||||||||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b) | 950 | 921,500 | |||||||||||||
OZLM Funding Ltd., Class C (a)(b): | |||||||||||||||
Series 2012-2A, 5.08%, 10/30/23 | 500 | 504,650 | |||||||||||||
Series 2013-3A, 4.15%, 1/22/25 | 500 | 488,850 | |||||||||||||
Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.79%, 5/24/23 (a)(b) | 1,075 | 1,085,320 | |||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.80%, 1/15/25 (a)(b) | 500 | 482,450 | |||||||||||||
Symphony CLO Ltd., Class D (a)(b): | |||||||||||||||
Series 2012-9A, 4.55%, 4/16/22 | 1,625 | 1,614,762 | |||||||||||||
Series 2012-10A, 5.55%, 7/23/23 | 1,500 | 1,518,750 | |||||||||||||
West CLO Ltd., Series 2012-1A, Class C, 5.05%, 10/30/23 (a)(b) | 1,385 | 1,402,880 | |||||||||||||
Total Asset-Backed Securities — 4.2% | 24,036,705 | ||||||||||||||
Common Stocks (d) | Shares | ||||||||||||||
Chemicals — 0.0% | |||||||||||||||
GEO Specialty Chemicals, Inc. (a) | 23,849 | 15,621 | |||||||||||||
Diversified Financial Services — 0.3% | |||||||||||||||
Kcad Holdings I Ltd. | 217,833,983 | 1,470,379 | |||||||||||||
Electrical Equipment — 0.0% | |||||||||||||||
Medis Technologies Ltd. | 260,833 | 3 | |||||||||||||
Metals & Mining — 0.0% | |||||||||||||||
Euramax International | 468 | 97,006 | |||||||||||||
Paper & Forest Products — 0.5% | |||||||||||||||
Ainsworth Lumber Co. Ltd. (a) | 318,000 | 1,005,266 | |||||||||||||
Ainsworth Lumber Co. Ltd. | 558,853 | 1,772,072 | |||||||||||||
Western Forest Products, Inc. | 84,448 | 102,361 | |||||||||||||
2,879,699 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | |||||||||||||||
SunPower Corp. | 1,860 | 21,836 |
Common Stocks | Shares | Value | |||||||||||||
Software — 0.2% | |||||||||||||||
Bankruptcy Management Solutions, Inc. | 536 | $ | 6 | ||||||||||||
HMH Holdings/EduMedia | 64,670 | 1,185,589 | |||||||||||||
1,185,595 | |||||||||||||||
Total Common Stocks — 1.0% | 5,670,139 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Airlines — 0.2% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21 | USD | 335 | 348,074 | ||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 | 675 | 673,313 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16 | 206 | 228,139 | |||||||||||||
1,249,526 | |||||||||||||||
Auto Components — 0.4% | |||||||||||||||
Icahn Enterprises LP, 8.00%, 1/15/18 | 2,085 | 2,233,556 | |||||||||||||
Building Products — 0.1% | |||||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 685 | �� | 702,981 | ||||||||||||
Capital Markets — 0.0% | |||||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (a)(e)(f) | 129 | 134,885 | |||||||||||||
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (a) | 55 | 64,679 | |||||||||||||
199,564 | |||||||||||||||
Chemicals — 0.5% | |||||||||||||||
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 | 1,559 | 2,666,040 | |||||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||||||
ARAMARK Corp., 3.80%, 2/01/15 (b) | 275 | 275,415 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 1,231 | 1,292,962 | |||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 52 | 55,900 | |||||||||||||
1,624,277 | |||||||||||||||
Communications Equipment — 0.6% | |||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (a) | 787 | 751,585 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | |||||||||||||||
8.13%, 1/01/20 | 1,470 | 1,642,725 | |||||||||||||
10.13%, 7/01/20 | 1,095 | 1,283,888 | |||||||||||||
3,678,198 | |||||||||||||||
Consumer Finance — 0.3% | |||||||||||||||
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 1,550 | 1,658,500 | |||||||||||||
Containers & Packaging — 0.1% | |||||||||||||||
Ardagh Packaging Finance Plc, 4.88%, 11/15/22 (a) | 292 | 287,620 | |||||||||||||
Diversified Financial Services — 1.4% | |||||||||||||||
Ally Financial, Inc.: | |||||||||||||||
7.50%, 12/31/13 | 20 | 21,000 | |||||||||||||
2.49%, 12/01/14 (b) | 1,950 | 1,954,908 | |||||||||||||
7.50%, 9/15/20 | 160 | 193,600 | |||||||||||||
8.00%, 11/01/31 | 360 | 452,250 | |||||||||||||
Reynolds Group Issuer, Inc.: | |||||||||||||||
5.75%, 10/15/20 | 4,075 | 4,207,437 | |||||||||||||
6.88%, 2/15/21 | 1,305 | 1,393,088 | |||||||||||||
8,222,283 | |||||||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a) | 700 | 717,500 | |||||||||||||
Energy Equipment & Services — 0.3% | |||||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 498 | 515,430 | |||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 1,015 | 1,045,450 | |||||||||||||
1,560,880 | |||||||||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||||||
DJO Finance LLC, 7.75%, 4/15/18 | 305 | 303,475 |
20 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Health Care Providers & Services — 1.1% | ||||||||||||||
CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | USD | 1,566 | $ | 1,646,257 | ||||||||||
HCA, Inc., 6.50%, 2/15/20 | 1,635 | 1,831,200 | ||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 820 | 854,850 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 195 | 215,963 | ||||||||||||
8.88%, 7/01/19 | 550 | 621,500 | ||||||||||||
4.50%, 4/01/21 (a) | 1,155 | 1,139,119 | ||||||||||||
6,308,889 | ||||||||||||||
Health Care Technology — 0.8% | ||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 3,540 | 4,265,700 | ||||||||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||||||||
Caesars Operating Escrow LLC (a): | ||||||||||||||
9.00%, 2/15/20 | 291 | 287,363 | ||||||||||||
9.00%, 2/15/20 | 1,386 | 1,368,675 | ||||||||||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (a) | 948 | 910,080 | ||||||||||||
Travelport LLC, 4.94%, 9/01/14 (b) | 1,330 | 1,210,300 | ||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (d)(g) | 120 | — | ||||||||||||
3,776,418 | ||||||||||||||
Household Durables — 0.2% | ||||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 | 790 | 844,312 | ||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 350 | 376,688 | ||||||||||||
1,221,000 | ||||||||||||||
Independent Power Producers & Energy Traders — 1.7% | ||||||||||||||
Calpine Corp., 7.25%, 10/15/17 (a) | 1,917 | 2,039,209 | ||||||||||||
Energy Future Intermediate Holding Co. LLC: | ||||||||||||||
10.00%, 12/01/20 | 5,790 | 6,571,650 | ||||||||||||
10.00%, 12/01/20 (a) | 1,115 | 1,257,162 | ||||||||||||
9,868,021 | ||||||||||||||
IT Services — 0.2% | ||||||||||||||
First Data Corp., 6.75%, 11/01/20 (a) | 1,075 | 1,103,219 | ||||||||||||
Media — 1.1% | ||||||||||||||
AMC Networks, Inc., 7.75%, 7/15/21 | 455 | 516,425 | ||||||||||||
Checkout Holding Corp., 11.47%, 11/15/15 (a)(f) | 860 | 635,325 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)(c) | 903 | 839,790 | ||||||||||||
Clear Channel Worldwide Holdings, Inc. (a): | ||||||||||||||
6.50%, 11/15/22 | 829 | 866,305 | ||||||||||||
6.50%, 11/15/22 | 2,240 | 2,357,600 | ||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 1,120 | 1,220,800 | ||||||||||||
6,436,245 | ||||||||||||||
Metals & Mining — 0.0% | ||||||||||||||
RathGibson, Inc., 11.25%, 2/15/14 (d)(g) | 1,390 | — | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 635 | 692,150 | ||||||||||||
Paper & Forest Products — 0.1% | ||||||||||||||
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a) | 685 | 719,250 | ||||||||||||
Real Estate Management & Development — 0.2% | ||||||||||||||
Realogy Corp., 7.63%, 1/15/20 (a) | 730 | 823,075 | ||||||||||||
Wireless Telecommunication Services — 1.3% | ||||||||||||||
Digicel Group Ltd., 8.25%, 9/01/17 (a) | 835 | 880,925 | ||||||||||||
iPCS, Inc., 2.42%, 5/01/13 (b) | 2,000 | 1,998,000 | ||||||||||||
Sprint Nextel Corp. (a): | ||||||||||||||
9.00%, 11/15/18 | 1,530 | 1,897,200 | ||||||||||||
7.00%, 3/01/20 | 2,410 | 2,819,700 | ||||||||||||
7,595,825 | ||||||||||||||
Total Corporate Bonds — 11.9% | 67,914,192 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Aerospace & Defense — 1.3% | ||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/24/20 | USD | 2,240 | $ | 2,249,094 | ||||||||||
DynCorp International LLC, Term Loan B, 6.25%, 7/07/16 | 1,174 | 1,179,832 | ||||||||||||
The SI Organization, Inc., Term Loan B, 4.50%, 11/22/16 | 1,703 | 1,697,755 | ||||||||||||
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 | 1,588 | 1,594,622 | ||||||||||||
Transdigm, Inc., Term Loan C, 4.00%, 2/28/20 | 900 | 901,692 | ||||||||||||
7,622,995 | ||||||||||||||
Airlines — 2.0% | ||||||||||||||
Delta Air Lines, Inc.: | ||||||||||||||
Term Loan, 3.56%, 9/16/15 | 1,524 | 1,425,089 | ||||||||||||
Term Loan B, 4.50%, 4/20/17 | 4,152 | 4,187,969 | ||||||||||||
Northwest Airlines, Inc.: | ||||||||||||||
Term Loan, 2.32%, 3/10/17 | 586 | 545,566 | ||||||||||||
Term Loan, 2.32%, 3/10/17 | 1,063 | 989,653 | ||||||||||||
Term Loan, 1.70%, 9/10/18 | 483 | 431,222 | ||||||||||||
Term Loan, 1.70%, 9/10/18 | 478 | 426,758 | ||||||||||||
US Airways Group, Inc., Term Loan, 2.70%, 3/21/14 | 3,570 | 3,559,690 | ||||||||||||
11,565,947 | ||||||||||||||
Auto Components — 3.6% | ||||||||||||||
Autoparts Holdings Ltd., First Lien Term Loan, 6.50%, 7/28/17 | 2,864 | 2,880,446 | ||||||||||||
Federal-Mogul Corp.: | ||||||||||||||
Term Loan B, 2.14%, 12/29/14 | 5,669 | 5,274,638 | ||||||||||||
Term Loan C, 2.14%, 12/28/15 | 2,351 | 2,185,492 | ||||||||||||
FleetPride Corp., First Lien Term Loan, 5.25%, 11/20/19 | 1,575 | 1,593,207 | ||||||||||||
The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19 | 5,015 | 5,033,806 | ||||||||||||
GPX International Tire Corp. (d)(g): | ||||||||||||||
Term Loan, 12.25%, 3/30/12 | 1,097 | — | ||||||||||||
Term Loan, 13.00%, 3/30/12 (h) | 18 | — | ||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 225 | 224,944 | ||||||||||||
Transtar Holding Co., First Lien Term Loan, 5.50%, 10/09/18 | 2,145 | 2,166,071 | ||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 1,470 | 1,473,219 | ||||||||||||
20,831,823 | ||||||||||||||
Biotechnology — 0.5% | ||||||||||||||
Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 2,682 | 2,695,649 | ||||||||||||
Building Products — 1.9% | ||||||||||||||
Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18 | 3,699 | 3,700,985 | ||||||||||||
CPG International, Inc., Term Loan, 5.75%, 9/18/19 | 3,601 | 3,627,982 | ||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 3,455 | 3,491,278 | ||||||||||||
10,820,245 | ||||||||||||||
Capital Markets — 1.6% | ||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 2,639 | 2,665,390 | ||||||||||||
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 1,609 | 1,617,243 | ||||||||||||
Nuveen Investments, Inc.: | ||||||||||||||
Extended First Lien Term Loan, 5.70%—5.81%, 5/13/17 | 1,794 | 1,815,229 | ||||||||||||
Extended Term Loan, 5.70%—5.81%, 5/12/17 | 2,216 | 2,246,320 | ||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 440 | 442,200 | ||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 588 | 599,760 | ||||||||||||
9,386,142 | ||||||||||||||
Chemicals — 5.6% | ||||||||||||||
ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19 | 5,720 | 5,725,377 | ||||||||||||
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 2,510 | 2,485,636 | ||||||||||||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 2,555 | 2,574,163 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 2,091 | 2,108,557 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 21 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Chemicals (concluded) | ||||||||||||||
General Chemical Corp., Term Loan, 5.00%—5.75%, 10/06/15 | USD | 1,500 | $ | 1,506,031 | ||||||||||
INEOS US Finance LLC: | ||||||||||||||
3 Year Term Loan, 5.50%, 5/04/15 | 387 | 394,236 | ||||||||||||
6 Year Term Loan, 6.50%, 5/04/18 | 1,624 | 1,657,466 | ||||||||||||
MacDermid, Inc., Tranche C Term Loan, 2.31%, 4/11/14 | EUR | 929 | 1,211,132 | |||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 2,492 | 2,484,230 | |||||||||||
Tronox Pigments (Netherlands) BV, Delayed Draw Term Loan B, 4.25%, 2/08/18 | 2,602 | 2,599,985 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 1,805 | 1,796,892 | ||||||||||||
US Coatings Acquisition, Inc.: | ||||||||||||||
Term Loan, 4.75%, 2/03/20 | 6,580 | 6,659,881 | ||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 645 | 850,652 | |||||||||||
32,054,238 | ||||||||||||||
Commercial Banks — 0.5% | ||||||||||||||
Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18 | USD | 2,880 | 2,904,163 | |||||||||||
Commercial Services & Supplies — 4.5% | ||||||||||||||
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19 | 2,654 | 2,673,564 | ||||||||||||
Altegrity, Inc.: | ||||||||||||||
Term Loan, 3.20%, 2/21/15 | 1,055 | 1,018,075 | ||||||||||||
Tranche D Term Loan, 7.75%, 2/20/15 | 1,351 | 1,350,581 | ||||||||||||
ARAMARK Corp.: | ||||||||||||||
Extended Synthetic LC, 3.46%, 7/26/16 | 32 | 32,367 | ||||||||||||
Extended Term Loan B, 3.45%, 7/26/16 | 701 | 705,074 | ||||||||||||
Extended Term Loan C, 3.45%—3.56%, 7/26/16 | 400 | 401,802 | ||||||||||||
Letter of Credit, 3.46%, 7/26/16 | 46 | 46,369 | ||||||||||||
AWAS Finance Luxembourg Sarl: | ||||||||||||||
Term Loan, 4.75%, 7/16/18 | 1,279 | 1,300,913 | ||||||||||||
Term Loan B, 5.25%, 6/10/16 | 1,543 | 1,555,059 | ||||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 3,800 | 3,822,154 | ||||||||||||
Garda World Security Corp., Term Loan B, 4.50%, 11/13/19 | 708 | 714,868 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17 | 5,122 | 5,173,220 | ||||||||||||
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 | 1,350 | 1,361,812 | ||||||||||||
Protection One, Inc., Term Loan, 5.75%, 3/21/19 | 2,442 | 2,462,915 | ||||||||||||
WEST Corp., Term Loan B6, 5.75%, 6/29/18 | 3,005 | 3,013,775 | ||||||||||||
25,632,548 | ||||||||||||||
Communications Equipment — 3.9% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan B, 6.25%, 7/29/16 | 1,910 | 1,929,959 | ||||||||||||
Term Loan C, 7.25%, 1/31/19 | 3,285 | 3,321,135 | ||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 1,055 | 1,380,991 | |||||||||||
Arris Group, Inc., Term Loan B, 3.50%, 2/07/20 | USD | 770 | 768,314 | |||||||||||
Avaya, Inc.: | ||||||||||||||
Extended Term Loan B3, 4.79%, 10/26/17 | 788 | 733,363 | ||||||||||||
Term Loan B5, 8.00%, 3/30/18 | 523 | 525,763 | ||||||||||||
CommScope, Inc., Term Loan, 4.25%, 1/12/18 | 3,092 | 3,105,087 | ||||||||||||
Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19 | 1,730 | 1,749,463 | ||||||||||||
Telesat Canada, Term Loan A, 4.40%, 3/24/17 | CAD | 2,500 | 2,381,818 | |||||||||||
Zayo Group, LLC, Term Loan B, 5.25%, 7/12/19 | USD | 6,259 | 6,279,818 | |||||||||||
22,175,711 | ||||||||||||||
Construction & Engineering — 1.5% | ||||||||||||||
BakerCorp International, Inc., Term Loan, 5.00%, 2/14/20 | 1,704 | 1,708,310 | ||||||||||||
Centaur LLC: | ||||||||||||||
First Lien Term Loan, 8.75%, 2/15/19 | 2,500 | 2,501,575 | ||||||||||||
Second Lien Term Loan, 8.75%, 2/15/20 | 1,230 | 1,248,450 | ||||||||||||
Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17 | 3,400 | 3,400,000 | ||||||||||||
8,858,335 | ||||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Construction Materials — 2.0% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | USD | 11,130 | $ | 11,159,228 | ||||||||||
Consumer Finance — 0.8% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 4,630 | 4,646,390 | ||||||||||||
Containers & Packaging — 0.3% | ||||||||||||||
Sealed Air Corp., Term Loan, 4.00%, 10/03/18 | 1,660 | 1,678,729 | ||||||||||||
Distributors — 0.4% | ||||||||||||||
Crossmark Holdings, Inc., Term Loan, 4.50%, 1/31/20 | 1,030 | 1,030,432 | ||||||||||||
VWR Funding, Inc., Extended Term Loan B, 4.54%, 4/03/17 | 1,210 | 1,218,700 | ||||||||||||
2,249,132 | ||||||||||||||
Diversified Consumer Services — 2.9% | ||||||||||||||
Bright Horizons Family, Inc., Term Loan B, 4.00%, 1/16/20 | 2,825 | 2,839,125 | ||||||||||||
Coinmach Service Corp., Term Loan B, 3.21%, 11/20/14 | 4,964 | 4,852,144 | ||||||||||||
Education Management LLC, Term Loan C3, 8.25%, 3/29/18 | 475 | 408,601 | ||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 3,008 | 3,024,102 | ||||||||||||
ServiceMaster Co., Term Loan, 2.70%, 4/01/17 | 3,810 | 3,797,073 | ||||||||||||
Weight Watchers International, Inc., Term Loan F, 4.00%, 3/15/19 | 1,514 | 1,519,447 | ||||||||||||
16,440,492 | ||||||||||||||
Diversified Financial Services — 1.5% | ||||||||||||||
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18 | 6,189 | 6,257,819 | ||||||||||||
Telesat LLC, Term Loan B, 4.25%, 3/28/19 | 781 | 786,543 | ||||||||||||
WMG Acquisition Corp., Term Loan, 5.25%, 11/01/18 | 1,600 | 1,618,000 | ||||||||||||
8,662,362 | ||||||||||||||
Diversified Telecommunication Services — 4.9% | ||||||||||||||
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | 3,920 | 3,957,985 | ||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17 | 2,758 | 2,809,802 | ||||||||||||
Integra Telecom, Inc.: | ||||||||||||||
Second Lien Term Loan, 9.75%, 2/15/20 | 1,070 | 1,094,075 | ||||||||||||
Term Loan, 9.25%, 2/15/19 | 2,040 | 2,062,440 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 2,524 | 2,552,066 | ||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 2,710 | 2,737,669 | ||||||||||||
Term Loan, 4.75%, 8/01/19 | 7,830 | 7,892,640 | ||||||||||||
Syniverse Holdings, Inc., Delayed Draw Term Loan, 4.00%, 4/23/19 | 2,000 | 1,997,500 | ||||||||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 3,101 | 3,091,504 | ||||||||||||
28,195,681 | ||||||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||||
CDW LLC, Extended Term Loan, 4.00%, 7/14/17 | 2,190 | 2,193,745 | ||||||||||||
Flextronics International Ltd., Delay Draw: | ||||||||||||||
Term Loan A-2, 2.45%, 10/01/14 | 13 | 13,390 | ||||||||||||
Term Loan A-3, 2.45%, 10/01/14 | 11 | 11,478 | ||||||||||||
2,218,613 | ||||||||||||||
Energy Equipment & Services — 2.2% | ||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 2,174 | 2,243,571 | ||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 2,873 | 2,987,911 | ||||||||||||
MEG Energy Corp., Term Loan B, 3.75%, 3/31/20 | 4,172 | 4,182,868 | ||||||||||||
Tervita Corp., Term Loan, 6.50%, 5/01/18 | 1,980 | 1,990,217 | ||||||||||||
Unifrax Corp., Term Loan, 4.25%, 11/28/18 | 965 | 971,379 | ||||||||||||
12,375,946 |
22 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Food & Staples Retailing — 2.0% | ||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.49%, 7/09/15 | GBP | 3,250 | $ | 4,828,748 | ||||||||||
Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19 | USD | 2,115 | 2,133,859 | |||||||||||
Rite Aid Corp.: | ||||||||||||||
Second Lien Term Loan, 5.75%, 7/07/20 | 1,040 | 1,063,691 | ||||||||||||
Term Loan 6, 4.00%, 2/21/20 | 875 | 876,689 | ||||||||||||
Supervalu, Inc., Term Loan B, 6.25%, 2/05/18 | 2,270 | 2,295,537 | ||||||||||||
11,198,524 | ||||||||||||||
Food Products — 2.2% | ||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 2,360 | 2,388,768 | ||||||||||||
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18 | 3,745 | 3,758,336 | ||||||||||||
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 | 653 | 658,559 | ||||||||||||
Pinnacle Foods Finance LLC: | ||||||||||||||
Extended Term Loan B, 3.70%, 10/03/16 | 182 | 183,367 | ||||||||||||
Term Loan E, 4.75%, 10/17/18 | 2,267 | 2,288,014 | ||||||||||||
Solvest Ltd. (Dole): | ||||||||||||||
Term Loan B-2, 5.03%, 7/06/18 | 1,110 | 1,110,738 | ||||||||||||
Term Loan C-2, 5.00%—6.00%, 7/06/18 | 1,986 | 1,987,640 | ||||||||||||
12,375,422 | ||||||||||||||
Health Care Equipment & Supplies — 4.6% | ||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 5,786 | 5,828,625 | ||||||||||||
Biomet, Inc., Extended Term Loan B, 3.95%—4.06%, 7/25/17 | 1,914 | 1,927,587 | ||||||||||||
BSN Medical Acquisition Holding GmbH, Term Loan B1A, 5.00%, 8/28/19 | 1,680 | 1,686,720 | ||||||||||||
Capital Safety North America Holdings, Inc., Term Loan, 4.50%, 1/21/19 | 1,553 | 1,553,263 | ||||||||||||
DJO Finance LLC: | ||||||||||||||
Extended Term Loan B2, 5.20%, 11/01/16 | 854 | 859,722 | ||||||||||||
Term Loan B3, 6.25%, 9/15/17 | 4,570 | 4,607,623 | ||||||||||||
Hologic, Inc., Term Loan B, 4.50%, 8/01/19 | 4,867 | 4,920,770 | ||||||||||||
IASIS Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 438 | 440,172 | ||||||||||||
Immucor, Inc., Term Loan B1, 5.75%, 8/18/18 | 3,590 | 3,585,212 | ||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 930 | 951,257 | ||||||||||||
26,360,951 | ||||||||||||||
Health Care Providers & Services — 5.6% | ||||||||||||||
American Renal Holdings Co., Inc.: | ||||||||||||||
First Lien Term Loan, 4.50%, 8/14/19 | 2,890 | 2,882,775 | ||||||||||||
Second Lien Term Loan, 8.50%, 2/14/20 | 1,795 | 1,790,513 | ||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 1,160 | 1,175,950 | ||||||||||||
CHG Buyer Corp., First Lien Term Loan, 5.00%, 11/22/19 | 1,974 | 1,996,766 | ||||||||||||
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16 | 2,517 | 2,543,033 | ||||||||||||
DaVita, Inc.: | ||||||||||||||
Term Loan B, 4.50%, 10/20/16 | 3,871 | 3,899,137 | ||||||||||||
Term Loan B2, 4.00%, 11/01/19 | 2,745 | 2,764,709 | ||||||||||||
Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18 | 2,758 | 2,761,843 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 10/25/17 | 949 | 929,763 | ||||||||||||
Harden Healthcare LLC: | ||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 1,807 | 1,768,944 | ||||||||||||
Term Loan A, 8.50%, 3/02/15 | 1,092 | 1,082,345 | ||||||||||||
HCA, Inc.: | ||||||||||||||
Extended Term Loan B3, 3.45%, 5/01/18 | 1,139 | 1,143,764 | ||||||||||||
Tranche B-2 Term Loan, 3.56%, 3/31/17 | 827 | 830,390 | ||||||||||||
inVentiv Health, Inc.: | ||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 | 708 | 696,527 | ||||||||||||
Incremental Term Loan B-3, 7.75%, 5/15/18 | 1,105 | 1,086,460 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Health Care Providers & Services (concluded) | ||||||||||||||
Medpace, Inc., Term Loan, 6.50%—7.25%, 6/16/17 | USD | 2,306 | $ | 2,294,282 | ||||||||||
US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19 | 2,244 | 2,274,576 | ||||||||||||
Vanguard Health Holding Co. II LLC (Vanguard Health Systems, Inc.), Term Loan B, 5.00%, 1/29/16 | 267 | 267,642 | ||||||||||||
32,189,419 | ||||||||||||||
Health Care Technology — 1.5% | ||||||||||||||
IMS Health, Inc., Tranche B Term Loan, 3.75%, 8/25/17 | 3,235 | 3,242,612 | ||||||||||||
Kinetic Concepts, Inc., Term Loan C1, 5.50%, 5/04/18 | 3,988 | 4,036,726 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | �� | 1,245 | 1,252,259 | |||||||||||
8,531,597 | ||||||||||||||
Hotels, Restaurants & Leisure — 7.6% | ||||||||||||||
Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/30/19 | 2,809 | 2,844,400 | ||||||||||||
Boyd Gaming Corp., Incremental Term Loan, 6.00%, 12/17/15 | 1,648 | 1,660,200 | ||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Term Loan, 9.25%, 4/25/17 | 1,389 | 1,416,780 | ||||||||||||
Term Loan B1, 3.20%, 1/28/15 | 2,592 | 2,583,711 | ||||||||||||
Golden Living, Term Loan, 5.00%, 5/04/18 | 1,638 | 1,569,269 | ||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 6,305 | 5,800,600 | ||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 3,370 | 3,408,755 | ||||||||||||
OSI Restaurant Partners, LLC, Term Loan B, 4.75%, 10/24/19 | 2,525 | 2,556,538 | ||||||||||||
Sabre, Inc., Term Loan B, 5.25%, 2/01/19 | 1,410 | 1,408,999 | ||||||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17 | 1,867 | 1,874,349 | ||||||||||||
Six Flags Theme Parks, Inc., Term Loan B, 4.00%—5.25%, 12/20/18 | 1,317 | 1,331,978 | ||||||||||||
Station Casinos, Inc.: | ||||||||||||||
2011 Term Loan B2, 6.25%, 6/17/16 | 465 | 461,127 | ||||||||||||
Term Loan B, 5.50%, 9/27/19 | 3,436 | 3,456,422 | ||||||||||||
Term Loan B, 5.50%, 2/13/20 | 5,280 | 5,323,998 | ||||||||||||
Term Loan B1, 3.20%, 6/17/16 | 1,532 | 1,544,935 | ||||||||||||
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15 | 1,420 | 1,429,169 | ||||||||||||
Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19 | 4,698 | 4,737,549 | ||||||||||||
43,408,779 | ||||||||||||||
Household Products — 1.1% | ||||||||||||||
Prestige Brands, Inc., Term Loan, 5.25%—6.25%, 1/31/19 | 2,049 | 2,059,074 | ||||||||||||
Spectrum Brands, Inc., Term Loan, 4.50%, 12/17/19 | 4,140 | 4,190,011 | ||||||||||||
6,249,085 | ||||||||||||||
Independent Power Producers & Energy Traders — 0.7% | ||||||||||||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 3,073 | 3,084,380 | ||||||||||||
Calpine Corp., Term Loan B1, 4.50%, 4/02/18 | 930 | 935,745 | ||||||||||||
4,020,125 | ||||||||||||||
Industrial Conglomerates — 1.1% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 6,503 | 6,577,133 | ||||||||||||
Insurance — 1.6% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 1,840 | 1,853,800 | ||||||||||||
Asurion LLC, Term Loan B1, 5.50%, 5/24/19 | 1,345 | 1,348,928 | ||||||||||||
CNO Financial Group, Inc.: | ||||||||||||||
Term Loan B-1, 4.25%, 9/28/16 | 1,710 | 1,722,825 | ||||||||||||
Term Loan B-2, 5.00%, 9/20/18 | 2,342 | 2,364,205 | ||||||||||||
Cunningham Lindsey Group, Inc., Term Loan B, 5.00%, 12/10/19 | 1,600 | 1,620,000 | ||||||||||||
8,909,758 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Internet Software & Services — 0.4% | ||||||||||||||
Web.com Group, Inc., Term Loan B, 5.50%, 10/27/17 | USD | 2,277 | $ | 2,297,669 | ||||||||||
IT Services — 5.8% | ||||||||||||||
CCC Information Services, Inc., Term Loan, 5.25%, 12/20/19 | 930 | 935,580 | ||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 4,118 | 4,163,321 | ||||||||||||
First Data Corp.: | ||||||||||||||
2018 Add-on Term Loan, 5.20%, 9/24/18 | 2,320 | 2,318,956 | ||||||||||||
Extended 2018 Term Loan B, 4.20%, 3/23/18 | 12,624 | 12,465,416 | ||||||||||||
Genpact International, Inc., Term Loan B, 4.25%, 8/30/19 | 3,521 | 3,556,387 | ||||||||||||
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18 | 1,127 | 1,021,574 | ||||||||||||
iPayment, Inc., Term Loan B, 5.75%, 5/08/17 | 409 | 411,303 | ||||||||||||
SunGard Data Systems, Inc., Term Loan D, 4.50%, 1/31/20 | 2,560 | 2,579,200 | ||||||||||||
TransUnion LLC, Term Loan B, 5.50%, 2/12/18 | 5,519 | 5,551,588 | ||||||||||||
33,003,325 | ||||||||||||||
Leisure Equipment & Products — 0.6% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 831 | 830,690 | ||||||||||||
EB Sports Corp., Term Loan, 11.50%, 12/31/15 | 562 | 560,527 | ||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 1,790 | 1,785,430 | ||||||||||||
3,176,647 | ||||||||||||||
Life Sciences Tools & Services — 0.2% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 1,207 | 1,220,553 | ||||||||||||
Machinery — 2.7% | ||||||||||||||
Alliance Laundry Systems LLC: | ||||||||||||||
First Lien Term Loan, 5.50%, 12/07/18 | 1,020 | 1,024,141 | ||||||||||||
Second Lien Term Loan, 9.50%, 12/10/19 | 573 | 582,750 | ||||||||||||
Dematic S.A., Term Loan, 5.25%, 12/27/19 | 2,465 | 2,481,171 | ||||||||||||
Intelligrated, Inc., First Lien Term Loan, 4.50%, 7/30/18 | 1,995 | 1,995,000 | ||||||||||||
Rexnord LLC, Term Loan B, 4.50%, 4/02/18 | 1,411 | 1,419,580 | ||||||||||||
Silver II US Holdings LLC, First Lien Term Loan, 4.75%, 12/05/19 | 2,845 | 2,845,000 | ||||||||||||
Terex Corp.: | ||||||||||||||
Term Loan B, 4.50%, 4/28/17 | 2,618 | 2,643,799 | ||||||||||||
Term Loan B, 5.00%, 4/28/17 | EUR | 267 | 349,079 | |||||||||||
Wabash National Corp., Term Loan B, 6.00%, 5/02/19 | USD | 2,262 | 2,277,012 | |||||||||||
15,617,532 | ||||||||||||||
Media — 15.2% | ||||||||||||||
AMC Entertainment, Inc., Term Loan B3, 3.75%, 2/22/18 | 1,411 | 1,420,625 | ||||||||||||
BBHI Acquisition LLC, Term Loan B, 4.50%, 12/14/17 | 4,681 | 4,695,379 | ||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18 | 2,375 | 2,399,000 | ||||||||||||
Catalina Marketing Corp., Extended Term Loan B, 5.70%, 9/29/17 | 2,217 | 2,219,965 | ||||||||||||
Cengage Learning Acquisitions, Inc.: | ||||||||||||||
Non-Extended Term Loan, 2.71%, 7/03/14 | 785 | 614,010 | ||||||||||||
Tranche 1 Incremental, 7.50%, 7/03/14 | 1,717 | 1,364,715 | ||||||||||||
Charter Communications Operating LLC: | ||||||||||||||
Extended Term Loan C, 3.46%, 9/06/16 | 2,212 | 2,219,719 | ||||||||||||
Term Loan D, 4.00%, 5/15/19 | 1,286 | 1,294,959 | ||||||||||||
Clarke American Corp., Term Facility B, 2.70%, 6/30/14 | 330 | 326,387 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 6,457 | 5,522,725 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 726 | 612,984 | ||||||||||||
Cumulus Media, Inc., First Lien Term Loan, 4.50%, 9/17/18 | 2,627 | 2,651,252 | ||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | 1,965 | 1,986,250 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | USD | 3,042 | $ | 3,077,362 | ||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 2,235 | 2,252,388 | ||||||||||||
Gray Television, Inc., Term Loan B, 4.75%, 10/15/19 | 2,685 | 2,710,359 | ||||||||||||
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18 | 1,891 | 1,900,166 | ||||||||||||
Hubbard Broadcasting, Term Loan B, 4.50%, 4/28/17 | 1,613 | 1,625,722 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 10,968 | 11,070,655 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 5,841 | 5,849,294 | ||||||||||||
Kabel Deutschland GmbH, Term Loan F1, 3.50%, 2/01/19 | 3,320 | 3,325,345 | ||||||||||||
Lavena Holding 4 GmbH: | ||||||||||||||
Term Loan B, 2.62%, 3/06/15 | EUR | 912 | 1,171,098 | |||||||||||
Term Loan C, 3.00%, 3/04/16 | 304 | 392,349 | ||||||||||||
NEP Supershooters LP: | ||||||||||||||
First Lien Term Loan, 5.25%, 1/18/20 | USD | 1,450 | 1,454,075 | |||||||||||
Second Lien Term Loan, 9.50%, 8/18/20 | 1,000 | 1,025,000 | ||||||||||||
Term Loan, 4.75%, 1/18/20 | 1,450 | 1,453,625 | ||||||||||||
Nielsen Finance LLC, Class B Term Loan, 3.95%, 5/02/16 | 2,758 | 2,763,264 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16 | 1,487 | 1,491,415 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 3,345 | 3,348,078 | ||||||||||||
UPC Broadband Holding BV, Term Loan U, 4.12%, 12/29/17 | EUR | 914 | 1,192,280 | |||||||||||
UPC Financing Partnership, Term Loan T, 3.70%, 12/30/16 | USD | 348 | 349,148 | |||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 4.50%, 2/15/20 | GBP | 2,840 | 4,291,576 | |||||||||||
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 2/17/20 | USD | 4,085 | 4,060,613 | |||||||||||
WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18 | 763 | 769,833 | ||||||||||||
Weather Channel, Term Loan B, 4.25%, 2/13/17 | 1,800 | 1,812,810 | ||||||||||||
WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18 | 2,254 | 2,280,156 | ||||||||||||
86,994,581 | ||||||||||||||
Metals & Mining — 4.8% | ||||||||||||||
Ameriforge Group, Inc.: | ||||||||||||||
First Lien Term Loan, 5.00%, 12/19/19 | 1,640 | 1,655,383 | ||||||||||||
Second Lien Term Loan, 8.75%, 12/18/20 | 815 | 826,206 | ||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 2,249 | 2,293,674 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 6,893 | 6,975,300 | ||||||||||||
Metals USA, Inc., Term Loan, 6.25%, 11/15/19 | 1,980 | 1,982,475 | ||||||||||||
Novelis, Inc., Term Loan, 4.00%, 3/10/17 | 5,026 | 5,030,610 | ||||||||||||
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 | 576 | 577,787 | ||||||||||||
Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18 | 4,972 | 4,981,013 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 2,811 | 2,899,095 | ||||||||||||
27,221,543 | ||||||||||||||
Multiline Retail — 2.5% | ||||||||||||||
99¢ Only Stores, Term Loan, 5.25%, 1/11/19 | 2,007 | 2,020,741 | ||||||||||||
Apex Tool Group, LLC, Term Loan B, 4.50%, 1/28/20 | 2,115 | 2,135,769 | ||||||||||||
BJ’s Wholesale Club, Inc.: | ||||||||||||||
First Lien Term Loan, 5.75%, 9/13/19 | 1,800 | 1,801,622 | ||||||||||||
Second Lien Term Loan, 9.75%, 3/26/20 | 1,230 | 1,270,750 | ||||||||||||
Dollar General Corp., Tranche B-2 Term Loan, 2.95%, 7/07/14 | 1,247 | 1,248,461 |
24 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Multiline Retail (concluded) | ||||||||||||||
HEMA Holding BV: | ||||||||||||||
Second Lien Term Loan, 5.12%, 1/05/17 | EUR | 1,400 | $ | 1,659,615 | ||||||||||
Term Loan B, 2.12%, 7/06/15 | 596 | 740,329 | ||||||||||||
Term Loan C, 2.87%, 7/05/16 | 596 | 744,218 | ||||||||||||
The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18 | USD | 2,620 | 2,619,135 | |||||||||||
14,240,640 | ||||||||||||||
Oil, Gas & Consumable Fuels — 4.0% | ||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 4,285 | 4,373,828 | ||||||||||||
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18 | 3,323 | 3,353,361 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,991 | 2,011,182 | ||||||||||||
Plains Exploration & Production, 7-Year Term Loan B, 4.00%, 11/30/19 | 3,900 | 3,906,513 | ||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 1,285 | 1,297,053 | ||||||||||||
Tesoro Corp., Term Loan B, 2.55%, 1/30/16 | 2,365 | 2,385,694 | ||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 5,653 | 5,681,705 | ||||||||||||
23,009,336 | ||||||||||||||
Pharmaceuticals — 4.8% | ||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 4,874 | 4,883,880 | ||||||||||||
Par Pharmaceutical, Term Loan B, 5.00%, 9/30/19 | 5,696 | 5,688,605 | ||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 6,062 | 6,095,631 | ||||||||||||
Quintiles Transnational Corp., Term Loan B, 4.50%, 6/08/18 | 2,647 | 2,667,330 | ||||||||||||
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18 | 401 | 405,391 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||||||||
Term Loan C, Tranche B, 3.50%, 12/11/19 | 2,700 | 2,710,125 | ||||||||||||
Series D, Tranche B, 3.50%, 2/13/19 | 2,970 | 2,982,541 | ||||||||||||
Warner Chilcott Corp.: | ||||||||||||||
Incremental Term Loan B-1, 4.25%, 3/15/18 | 421 | 425,251 | ||||||||||||
Term Loan B-1, 4.25%, 3/15/18 | 1,110 | 1,119,757 | ||||||||||||
Term Loan B-2, 4.25%, 3/15/18 | 343 | 346,185 | ||||||||||||
27,324,696 | ||||||||||||||
Professional Services — 1.8% | ||||||||||||||
Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19 | 2,813 | 2,837,563 | ||||||||||||
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18 | 3,544 | 3,585,728 | ||||||||||||
ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19 | 985 | 993,930 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 2,632 | 2,656,461 | ||||||||||||
10,073,682 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | ||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 3,197 | 3,198,915 | ||||||||||||
Real Estate Management & Development — 1.4% | ||||||||||||||
Realogy Corp.: | ||||||||||||||
Extended Letter of Credit Loan, 4.46%, 10/10/16 | 250 | 249,847 | ||||||||||||
Extended Synthetic Letter of Credit, 3.23%, 10/10/13 | 93 | 92,369 | ||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 7,541 | 7,539,391 | ||||||||||||
7,881,607 | ||||||||||||||
Road & Rail — 0.4% | ||||||||||||||
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 10/02/17 | 1,183 | 1,183,115 | ||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | 1,022 | 1,024,831 | ||||||||||||
2,207,946 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 1.8% | ||||||||||||||
Freescale Semiconductor, Inc.: | ||||||||||||||
Extended Term Loan B, 4.45%, 12/01/16 | 2,732 | 2,731,921 | ||||||||||||
Term Loan, 5.00%, 3/20/20 | 4,080 | 4,063,680 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Semiconductors & Semiconductor Equipment (concluded) | ||||||||||||||
NXP BV: | ||||||||||||||
Term Loan A-2, 5.50%, 3/03/17 | USD | 1,647 | $ | 1,678,367 | ||||||||||
Term Loan C, 4.75%, 1/11/20 | 1,845 | 1,873,247 | ||||||||||||
10,347,215 | ||||||||||||||
Software — 3.7% | ||||||||||||||
Blackboard, Inc., Term Loan B, 6.25%, 10/04/18 | 497 | 500,674 | ||||||||||||
GCA Services Group, Inc.: | ||||||||||||||
Second Lien Term Loan, 9.25%, 10/22/20 | 975 | 965,250 | ||||||||||||
Term Loan B, 5.25%, 11/01/19 | 1,920 | 1,920,000 | ||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 7,761 | 7,845,101 | ||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 1,505 | 1,565,200 | ||||||||||||
RP Crown Parent, LLC, First Lien Term Loan, 6.75%, 12/21/18 | 1,565 | 1,587,505 | ||||||||||||
Sophia LP, Term Loan B, 6.25%, 7/19/18 | 2,757 | 2,777,602 | ||||||||||||
SS&C Technologies, Inc.: | ||||||||||||||
Term Loan B-1, 5.00%, 6/07/19 | 3,585 | 3,616,229 | ||||||||||||
Term Loan B-2, 5.00%, 6/07/19 | 371 | 374,093 | ||||||||||||
21,151,654 | ||||||||||||||
Specialty Retail — 6.8% | ||||||||||||||
Academy Ltd., Term Loan, 4.75%, 8/03/18 | 3,465 | 3,505,122 | ||||||||||||
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19 | 2,700 | 2,714,526 | ||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17 | 620 | 625,911 | ||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 3,990 | 4,030,898 | ||||||||||||
Equinox Fitness Clubs, First Lien Term Loan, 5.50%, 11/16/19 | 1,965 | 1,984,650 | ||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 161 | 154,237 | ||||||||||||
Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17 | 1,995 | 2,014,925 | ||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.75%, 3/16/18 | 1,273 | 1,275,234 | ||||||||||||
Leslie’s Poolmart, Inc., Term Loan B, 2.00%—5.25%, 10/16/19 | 3,205 | 3,240,306 | ||||||||||||
Michaels Stores, Inc., Term Loan, 4.25%, 1/31/20 | 4,475 | 4,484,935 | ||||||||||||
Party City Holdings, Inc., Term Loan B, 5.75%, 7/26/19 | 6,000 | 5,995,500 | ||||||||||||
PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 4,269 | 4,299,701 | ||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 1,367 | 1,346,076 | ||||||||||||
Toys ‘R’ Us Delaware, Inc.: | ||||||||||||||
Incremental Term Loan B2, 5.25%, 5/25/18 | 830 | 787,799 | ||||||||||||
Term Loan B3, 5.25%, 5/25/18 | 417 | 393,923 | ||||||||||||
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19 | 2,269 | 2,281,180 | ||||||||||||
39,134,923 | ||||||||||||||
Textiles, Apparel & Luxury Goods — 1.4% | ||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 4,005 | 4,044,785 | ||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 1,830 | 1,844,677 | ||||||||||||
Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19 | 2,154 | 2,170,306 | ||||||||||||
8,059,768 | ||||||||||||||
Thrifts & Mortgage Finance — 0.6% | ||||||||||||||
Insight Global, Inc., First Lien Term Loan, 6.00%, 10/31/19 | 1,960 | 1,964,900 | ||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 1,645 | 1,664,872 | ||||||||||||
3,629,772 | ||||||||||||||
Trading Companies & Distributors — 0.4% | ||||||||||||||
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 2,205 | 2,225,220 | ||||||||||||
Wireless Telecommunication Services — 2.0% | ||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 2,135 | 2,141,683 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 25 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Wireless Telecommunication Services (concluded) | |||||||||||||||
MetroPCS Wireless, Inc.: | |||||||||||||||
Term Loan B-3, 4.00%, 3/16/18 | USD | 286 | $ | 286,624 | |||||||||||
Tranche B-2 Term Loan, 4.07%, 11/03/16 | 1,933 | 1,938,717 | |||||||||||||
Vodafone Americas Finance 2, Inc. (h): | |||||||||||||||
Term Loan, 6.88%, 8/11/15 | 5,870 | 5,987,801 | |||||||||||||
Term Loan B, 6.25%, 7/11/16 | 1,238 | 1,271,531 | |||||||||||||
11,626,356 | |||||||||||||||
Total Floating Rate Loan Interests — 132.2% | 755,638,742 | ||||||||||||||
Other Interests (i) | Beneficial Interest (000) | ||||||||||||||
Auto Components — 0.0% | |||||||||||||||
Intermet Liquidating Trust, Class A | 256 | — | |||||||||||||
Chemicals — 0.0% | |||||||||||||||
Wellman Holdings, Inc., Litigation Trust Certificate (d) | 9,750 | 98 | |||||||||||||
Diversified Financial Services — 0.2% | |||||||||||||||
J.G. Wentworth LLC Preferred Equity Interests (d) | 1 | 1,072,295 | |||||||||||||
Hotels, Restaurants & Leisure — 0.0% | |||||||||||||||
Buffets, Inc. (d) | 360 | 4 | |||||||||||||
Household Durables — 0.3% | |||||||||||||||
Stanley Martin, Class B Membership Units (d) | 1 | 1,731,250 | |||||||||||||
Total Other Interests — 0.5% | 2,803,647 | ||||||||||||||
Trust Preferreds | Shares | ||||||||||||||
Diversified Financial Services — 0.2% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) | 54,780 | 1,448,916 |
Warrants (j) | Shares | Value | |||||||||||||
Chemicals — 0.0% | |||||||||||||||
GEO Specialty Chemicals, Inc., (Expires 3/31/15) | 143,928 | $ | 9,283 | ||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 2,406 | — | |||||||||||||
Total Warrants — 0.0% | 9,283 | ||||||||||||||
Total Long-Term Investments (Cost — $853,488,660) — 150.0% | 857,521,624 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (k)(l) | 14,430,590 | 14,430,590 | |||||||||||||
Total Short-Term Securities (Cost — $14,430,590) — 2.5% | 14,430,590 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $43,022) — 0.0% | — | ||||||||||||||
Total Investments (Cost — $867,962,272) — 152.5% | 871,952,214 | ||||||||||||||
Liabilities in Excess of Other Assets — (52.5)% | (300,294,664 | ) | |||||||||||||
Net Assets — 100.0% | $ | 571,657,550 |
Notes to Schedule of Investments
(a) | 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. | |||||
(b) | Variable rate security. Rate shown is as of report date. | |||||
(c) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation | ||||||
Bank of America Securities LLC | $ | 176,356 | $ | 3,670 | ||||||
Citigroup Global Markets, Inc. | $ | 663,434 | $ | 13,806 | ||||||
Deutsche Bank Securities, Inc | $ | 486,750 | $ | 97 |
(d) | Non-income producing security. | |||||
(e) | Convertible security. | |||||
(f) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||||
(h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||||
(j) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. | |||||
(k) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | ||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,779,337 | 12,651,253 | 14,430,590 | $ | 1,622 |
26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(l) | Represents the current yield as of report date. | |||||
• | Foreign currency exchange contracts as of February 28, 2013 were as follows: |
Currency Purchased | Currency Sold | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | | |||||||||||||||||||||
CAD | 292,000 | USD | 289,532 | Bank of America Corp. | 4/17/13 | $ | (6,674 | ) | ||||||||||||||||||||
CAD | 384,000 | USD | 378,335 | Citigroup, Inc. | 4/17/13 | (6,356 | ) | |||||||||||||||||||||
USD | 4,173,973 | CAD | 4,118,000 | Deutsche Bank AG | 4/17/13 | 184,889 | ||||||||||||||||||||||
USD | 4,629,549 | GBP | 2,890,000 | Goldman Sachs Group, Inc. | 4/17/13 | 246,299 | ||||||||||||||||||||||
EUR | 426,000 | USD | 558,241 | Citigroup, Inc. | 4/23/13 | (1,872 | ) | |||||||||||||||||||||
USD | 1,959,297 | EUR | 1,470,000 | BNP Paribas SA | 4/23/13 | 39,434 | ||||||||||||||||||||||
USD | 7,075,729 | EUR | 5,306,000 | Citigroup, Inc. | 4/23/13 | 145,937 | ||||||||||||||||||||||
Total | $ | 601,657 |
• | Over-the-counter options purchased as of February 28, 2013 were as follows: |
Description | | Counterparty | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||
Marsico Parent Superholdco LLC | Goldman Sachs Group, Inc. | Call | USD | 942.86 | 12/14/19 | 44 | — |
• | Credit default swaps — sold protection outstanding as of February 28, 2013 were as follows: |
Issuer | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | |||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 149 | $ | 18,163 | ||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 597 | 67,140 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 538 | 90,709 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 12/20/15 | CCC | USD | 1,112 | 96,600 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 2,000 | 99,546 | |||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 389 | (2,961 | ) | ||||||||||||
Total | $ | 369,197 |
1 | Using S&P’s rating of the issuer. |
2 | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for consolidated financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Fund has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments | ||||||||||||||||||
Asset-Backed Securities | — | — | $ | 24,036,705 | $ | 24,036,705 | ||||||||||||
Common Stocks | $ | 1,896,270 | $ | 2,287,861 | 1,486,008 | 5,670,139 | ||||||||||||
Corporate Bonds | — | 64,338,072 | 3,576,120 | 67,914,192 | ||||||||||||||
Floating Rate Loan Interests | — | 695,100,484 | 60,538,258 | 755,638,742 | ||||||||||||||
Other Interests | — | — | 2,803,647 | 2,803,647 | ||||||||||||||
Preferred Securities | 1,448,916 | — | — | 1,448,916 | ||||||||||||||
Warrants | — | — | 9,283 | 9,283 | ||||||||||||||
Short-Term Securities | 14,430,590 | — | — | 14,430,590 | ||||||||||||||
Unfunded Commitments | — | 777 | — | 777 | ||||||||||||||
Total | $ | 17,775,776 | $ | 761,727,194 | $ | 92,450,021 | $ | 871,952,991 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | $ | 372,158 | — | $ | 372,158 | ||||||||||||
Foreign currency exchange contracts | — | 616,559 | 616,559 | |||||||||||||||
Liabilities: | ||||||||||||||||||
Credit contracts | — | (2,961 | ) | — | (2,961 | ) | ||||||||||||
Foreign currency exchange contracts | — | (14,902 | ) | — | (14,902 | ) | ||||||||||||
Total | — | $ | 970,854 | — | $ | 970,854 |
1 | Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Cash | $ | 1,844,191 | — | — | $ | 1,844,191 | ||||||||||||
Foreign currency at value | 12,535 | — | — | 12,535 | ||||||||||||||
Cash pledged as collateral for swaps | 620,000 | — | — | 620,000 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Loans payable | — | $ | (208,000,000 | ) | — | (208,000,000 | ) | |||||||||||
Total | $ | 2,476,726 | $ | (208,000,000 | ) | — | $ | (205,523,274 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013. | ||||||
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: |
| Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Other Interests | | Warrant | | Total | |||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 7,043,642 | $ | 6,034 | $ | 2,355,204 | $ | 23,180,519 | $ | 835,765 | — | $ | 33,421,164 | |||||||||||||||||
Transfers into Level 32 | — | 215 | — | 6,481,543 | — | — | 6,481,758 | |||||||||||||||||||||||
Transfers out of Level 33 | — | — | — | (6,684,789 | ) | — | — | (6,684,789 | ) | |||||||||||||||||||||
Accrued discounts/premiums | 47,027 | — | 46,401 | 122,910 | — | — | 216,338 | |||||||||||||||||||||||
Net realized gain (loss) | 270,089 | — | 291,984 | (329,303 | ) | — | — | 232,770 | ||||||||||||||||||||||
Net change in unrealized appreciation/depreciation4 | 1,475,295 | (5,449,635 | ) | (565,100 | ) | 1,497,084 | (1,280,852 | ) | $ | 9,279 | (4,313,929 | ) | ||||||||||||||||||
Purchases | 19,166,762 | 6,929,394 | 3,200,581 | 49,060,785 | 4,372,036 | 4 | 82,729,562 | |||||||||||||||||||||||
Sales | (3,966,110 | ) | — | (1,752,950 | ) | (12,790,491 | ) | (1,123,302 | ) | — | (19,632,853 | ) | ||||||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 24,036,705 | $ | 1,486,008 | $ | 3,576,120 | $ | 60,538,258 | $ | 2,803,647 | $ | 9,283 | $ | 92,450,021 |
2 | As of August 31, 2012, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,684,789 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,481,544 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $(3,374,156). |
28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (concluded) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $77,534,994.
| Value | | Valuation Techniques | | Unobservable Inputs1 | | Range of Unobservable Inputs Utilized | |||||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 1,486,000 | Market Comparable Companies | EBITDA Multiple | 5.25x—6.56x | |||||||||||||
Corporate Bonds | 2,666,040 | Market Comparable Companies | EBITDA Multiple | 5.25x | ||||||||||||||
Floating Rate Loan Interests | 2,851,289 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||
1,346,076 | Market Comparable Yield Analysis | Yield | 8.375% | |||||||||||||||
4,825,089 | Cost2 | N/A | — | |||||||||||||||
Other Interests3 | 1,731,250 | Discounted Cash Flow | Perpetuity Growth Rate | 3.50% | ||||||||||||||
Free Cash Flow | $25.2—$35.24 | |||||||||||||||||
Weighted Cost of Capital | 10.90% | |||||||||||||||||
Warrant | 9,283 | Market Comparable Companies | EBITDA Multiple | 5.25x | ||||||||||||||
Total | $ | 14,915,027 |
1 | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||
EBITDA Multiple | Increase | Decrease | ||||
Free Cash Flow | Increase | Decrease | ||||
Perpetuity Growth Rate | Increase | Decrease | ||||
Weighted Cost of Capital | Decrease | Increase | ||||
Yield | Decrease | Increase |
2 | The Fund fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund. |
3 | For the six months ended February 28, 2013, the valuation technique for other interests changed from a market approach to an income approach. Market information previously utilized to determine fair value under the market approach no longer applied to this investment. Therefore, the income approach is considered to be a more relevant measure of fair value for this investment. |
4 | Amount is in millions. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 29 |
Consolidated Schedule of Investments February 28, 2013 (Unaudited) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities — 8.8% | |||||||||||||||
321 Henderson Receivables I LLC (a): | |||||||||||||||
Series 2010-2A, Class A, 4.07%, 1/15/48 | USD | 1,455 | $ | 1,607,985 | |||||||||||
Series 2010-3A, Class A, 3.82%, 12/15/48 | 4,130 | 4,476,454 | |||||||||||||
ACAS CLO Ltd. (a)(b): | |||||||||||||||
Series 2012-1A, Class D, 5.58%, 9/20/23 | 1,750 | 1,758,750 | |||||||||||||
Series 2013-1A, Class D, 3.89%, 4/20/25 | 750 | 716,250 | |||||||||||||
ALM Loan Funding Ltd., Series 2010-3AR, Class D, 4.54%, 11/20/20 (a)(b) | 4,000 | 4,027,500 | |||||||||||||
Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 3.16%, 1/13/25 (a)(b) | 4,000 | 3,835,600 | |||||||||||||
Apidos CDO XI, Series 2012-11A, Class D, 4.74%, 1/17/23 (a)(b) | 1,000 | 1,001,500 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 750 | 725,250 | |||||||||||||
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17 | GBP | 2,650 | 4,233,964 | ||||||||||||
Carlyle Global Market Strategies, Series 2013-1A, Class C, 4.29%, 2/14/25 (a)(b) | USD | 250 | 250,000 | ||||||||||||
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 | 2,530 | 2,525,525 | |||||||||||||
Cavalry CLO Ltd., Series 2A, Class D, 4.38%, 1/17/24 (a)(b) | 500 | 486,750 | |||||||||||||
Conseco Financial Corp., Series 1995-5, Class M1, 7.65%, 9/15/26 (b) | 289 | 291,408 | |||||||||||||
Countrywide Asset-Backed Certificates (b): | |||||||||||||||
Series 2007-12, Class 2A1, 0.55%, 8/25/47 | 566 | 561,395 | |||||||||||||
Series 2007-7, Class 2A2, 0.36%, 10/25/47 | 2,697 | 2,642,146 | |||||||||||||
CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16 (a) | 750 | 756,150 | |||||||||||||
Ford Credit Floorplan Master Owner Trust: | |||||||||||||||
Series 2010-5, Class C, 2.07%, 9/15/15 (a) | 890 | 896,240 | |||||||||||||
Series 2011-2, Class C, 2.37%, 9/15/15 | 1,125 | 1,132,603 | |||||||||||||
Series 2011-2, Class D, 2.86%, 9/15/15 | 1,145 | 1,155,179 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.30%, 4/20/23 (a)(b) | 1,090 | 1,089,989 | |||||||||||||
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.50%, 4/17/22 (a)(b) | 1,500 | 1,491,450 | |||||||||||||
GSAA Trust, Series 2007-3, Class 1A2, 0.37%, 3/25/47 (b) | 2,967 | 1,388,827 | |||||||||||||
ING Investment Management (a)(b): | |||||||||||||||
Series 2012-2A, Class D, 4.85%, 10/15/22 | 1,800 | 1,804,500 | |||||||||||||
Series 2012-4A, Class C, 4.73%, 10/15/23 | 800 | 806,656 | |||||||||||||
Oak Hill Credit Opportunities Funding, Ltd., 0.68%, 9/13/13 (a)(b) | 3,400 | 3,345,600 | |||||||||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b) | 1,050 | 1,018,500 | |||||||||||||
OZLM Funding Ltd. (a)(b): | |||||||||||||||
Series 2012-2A, Class C, 5.08%, 10/30/23 | 500 | 504,650 | |||||||||||||
Series 2013-3A, Class C, 4.15%, 1/22/25 | 1,000 | 977,700 | |||||||||||||
Regatta II Funding LP, Series 2013-2A, Class C, 4.80%, 1/15/25 (a)(b) | 500 | 482,450 | |||||||||||||
Santander Consumer Acquired Receivables Trust, Series 2011-S1A, Class D, 3.15%, 8/15/16 (a) | 1,987 | 2,018,112 | |||||||||||||
Santander Drive Auto Receivables Trust (a): | |||||||||||||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 | 637 | 639,294 | |||||||||||||
Series 2011-S2A, Class B, 2.06%, 6/15/17 | 413 | 416,086 | |||||||||||||
Series 2011-S2A, Class C, 2.86%, 6/15/17 | 428 | 431,334 | |||||||||||||
SLC Student Loan Trust, Series 2006-A, Class A4, 0.42%, 1/15/19 (b) | 669 | 668,516 | |||||||||||||
SLM Student Loan Trust, 2.50%, 3/15/47 (a) | 2,655 | 2,524,438 | |||||||||||||
Spirit Issuer Plc, Series A2, 3.22%, 12/28/31 (b) | GBP | 1,800 | 2,184,552 | ||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 | USD | 3,000 | 3,156,927 | ||||||||||||
58,030,230 | |||||||||||||||
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) | USD | 10,813 | $ | 834,622 | |||||||||||
Sterling Coofs Trust, Series 2004-1, 2.36%, 4/15/29 (a) | 9,691 | 708,664 | |||||||||||||
1,543,286 | |||||||||||||||
Total Asset-Backed Securities — 9.0% | 59,573,516 | ||||||||||||||
Common Stocks (c) | Shares | ||||||||||||||
Construction & Engineering — 0.0% | |||||||||||||||
USI United Subcontractors | 6,454 | 6,454 | |||||||||||||
Diversified Financial Services — 0.4% | |||||||||||||||
Kcad Holdings I Ltd. | 384,412,912 | 2,594,787 | |||||||||||||
Hotels, Restaurants & Leisure — 0.2% | |||||||||||||||
BLB Worldwide Holdings, Inc. | 51,947 | 1,120,133 | |||||||||||||
Travelport LLC (d) | 176,501 | 1,765 | |||||||||||||
1,121,898 | |||||||||||||||
Metals & Mining — 0.0% | |||||||||||||||
Euramax International | 234 | 48,493 | |||||||||||||
Paper & Forest Products — 0.2% | |||||||||||||||
NewPage Corp. (d) | 13,780 | 1,171,300 | |||||||||||||
Software — 0.2% | |||||||||||||||
Bankruptcy Management Solutions, Inc. | 880 | 9 | |||||||||||||
HMH Holdings/EduMedia | 71,219 | 1,305,660 | |||||||||||||
1,305,669 | |||||||||||||||
Total Common Stocks — 1.0% | 6,248,601 | ||||||||||||||
Corporate Bonds | Par (000 | ) | |||||||||||||
Aerospace & Defense — 0.9% | |||||||||||||||
Bombardier, Inc., 4.25%, 1/15/16 (a)(e) | USD | 1,365 | 1,416,188 | ||||||||||||
DigitalGlobe, Inc., 5.25%, 2/01/21 (a)(e) | 1,158 | 1,149,315 | |||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (e) | 570 | 621,300 | |||||||||||||
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 (e) | 1,966 | 2,169,972 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)(e) | 559 | 574,417 | |||||||||||||
5,931,192 | |||||||||||||||
Airlines — 1.3% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 (e) | 539 | 560,243 | |||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (e) | 2,090 | 2,084,775 | |||||||||||||
Continental Airlines, Inc., 6.75%, 9/15/15 (a)(e) | 1,350 | 1,417,500 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 (e) | 244 | 270,345 | |||||||||||||
US Airways Pass-Through Trust (e): | |||||||||||||||
Series 2011-1, Class C, 10.88%, 10/22/14 | 1,333 | 1,406,750 | |||||||||||||
Series 2012-1, Class C, 9.13%, 10/01/15 | 2,512 | 2,687,840 | |||||||||||||
8,427,453 | |||||||||||||||
Auto Components — 1.4% | |||||||||||||||
Continental Rubber of America Corp., 4.50%, 9/15/19 (a) | 150 | 153,000 | |||||||||||||
Icahn Enterprises LP (b)(f): | |||||||||||||||
4.00%, 8/15/13 (a) | 4,500 | 4,511,250 | |||||||||||||
4.00%, 8/15/13 | 2,305 | 2,310,762 | |||||||||||||
Jaguar Land Rover Automotive Plc (FKA Jaguar Land Rover Plc), 8.25%, 3/15/20 | GBP | 554 | 942,308 | ||||||||||||
Titan International, Inc., 7.88%, 10/01/17 | USD | 1,330 | 1,426,425 | ||||||||||||
9,343,745 |
30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Beverages — 0.2% | ||||||||||||||
Constellation Brands, Inc.: | ||||||||||||||
7.25%, 5/15/17 | USD | 82 | $ | 92,968 | ||||||||||
6.00%, 5/01/22 (e) | 463 | 505,827 | ||||||||||||
Crown European Holdings SA: | ||||||||||||||
7.13%, 8/15/18 (a) | EUR | 440 | 621,833 | |||||||||||
7.13%, 8/15/18 | 66 | 93,275 | ||||||||||||
1,313,903 | ||||||||||||||
Building Products — 0.7% | ||||||||||||||
Building Materials Corp. of America (a)(e): | ||||||||||||||
7.00%, 2/15/20 | USD | 1,345 | 1,455,962 | |||||||||||
6.75%, 5/01/21 | 1,030 | 1,105,963 | ||||||||||||
Momentive Performance Materials, Inc., 8.88%, 10/15/20 | 530 | 543,913 | ||||||||||||
USG Corp., 9.75%, 1/15/18 | 1,390 | 1,634,987 | ||||||||||||
4,740,825 | ||||||||||||||
Capital Markets — 0.3% | ||||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (a)(f)(g) | 249 | 260,361 | ||||||||||||
Nuveen Investments, Inc., 9.13%, 10/15/17 (a) | 431 | 433,155 | ||||||||||||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a) | 1,162 | 1,225,616 | ||||||||||||
1,919,132 | ||||||||||||||
Chemicals — 2.8% | ||||||||||||||
Ashland, Inc., 3.88%, 4/15/18 (a) | 675 | 685,125 | ||||||||||||
Axiall Corp., 4.88%, 5/15/23 (a)(e) | 394 | 399,910 | ||||||||||||
Celanese US Holdings LLC, 5.88%, 6/15/21 (e) | 629 | 687,182 | ||||||||||||
Ciech Group Financing AB, 9.50%, 11/30/19 | EUR | 180 | 256,149 | |||||||||||
Eagle Spinco, Inc., 4.63%, 2/15/21 (a)(e) | USD | 837 | 850,601 | |||||||||||
Huntsman International LLC: | ||||||||||||||
4.88%, 11/15/20 (e) | 1,134 | 1,122,660 | ||||||||||||
4.88%, 11/15/20 (a) | 634 | 624,490 | ||||||||||||
8.63%, 3/15/21 (e) | 655 | 740,150 | ||||||||||||
INEOS Finance Plc, 7.50%, 5/01/20 (a)(e) | 445 | 479,488 | ||||||||||||
LyondellBasell Industries NV, 5.75%, 4/15/24 (e) | 1,790 | 2,080,875 | ||||||||||||
Nova Chemicals Corp., 8.38%, 11/01/16 (e) | 5,500 | 5,953,750 | ||||||||||||
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)(e) | 320 | 339,200 | ||||||||||||
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a) | 898 | 987,800 | ||||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (e) | 1,330 | 1,376,550 | ||||||||||||
Tronox Finance LLC, 6.38%, 8/15/20 (a)(e) | 1,573 | 1,563,169 | ||||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV: | ||||||||||||||
5.75%, 2/01/21 | EUR | 200 | 266,332 | |||||||||||
7.38%, 5/01/21 (a) | USD | 398 | 411,930 | |||||||||||
18,825,361 | ||||||||||||||
Commercial Banks — 3.7% | ||||||||||||||
BNP Paribas SA, 2.38%, 9/14/17 (e) | 3,225 | 3,303,532 | ||||||||||||
CIT Group, Inc. (e): | ||||||||||||||
4.75%, 2/15/15 (a) | 1,709 | 1,798,722 | ||||||||||||
5.00%, 5/15/17 | 890 | 946,738 | ||||||||||||
5.50%, 2/15/19 (a) | 2,040 | 2,218,500 | ||||||||||||
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e) | 2,560 | 2,718,441 | ||||||||||||
HSBC Holdings Plc, 6.25%, 3/19/18 | EUR | 1,000 | 1,548,721 | |||||||||||
ING Bank NV, 2.00%, 9/25/15 (a)(e) | USD | 3,245 | 3,300,425 | |||||||||||
Nordea Bank AB, 4.50%, 3/26/20 | EUR | 1,020 | 1,471,099 | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (a)(e) | USD | 6,155 | 6,407,349 | |||||||||||
Regions Financial Corp., 4.88%, 4/26/13 (e) | 907 | 912,369 | ||||||||||||
24,625,896 | ||||||||||||||
Commercial Services & Supplies — 1.4% | ||||||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) | 292 | 313,900 | ||||||||||||
ARAMARK Holdings Corp. (a): | ||||||||||||||
8.63%, 5/01/16 (h) | 890 | 907,809 | ||||||||||||
5.75%, 3/15/20 (i) | 1,462 | 1,491,240 | ||||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (a)(e) | 1,000 | 1,015,566 | ||||||||||||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 63 | 67,725 | ||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Commercial Services & Supplies (concluded) | ||||||||||||||
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (a) | USD | 375 | $ | 379,687 | ||||||||||
Clean Harbors, Inc., 5.25%, 8/01/20 (e) | 607 | 625,210 | ||||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 (e) | 1,130 | 1,225,299 | ||||||||||||
EC Finance Plc, 9.75%, 8/01/17 | EUR | 100 | 141,979 | |||||||||||
HDTFS, Inc. (a): | ||||||||||||||
5.88%, 10/15/20 | USD | 435 | 452,400 | |||||||||||
6.25%, 10/15/22 | 605 | 650,375 | ||||||||||||
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (a) | 100 | 105,875 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 (e) | 915 | 1,017,937 | ||||||||||||
Verisure Holding AB: | ||||||||||||||
8.75%, 9/01/18 | EUR | 311 | 438,508 | |||||||||||
8.75%, 12/01/18 | 111 | 147,814 | ||||||||||||
West Corp., 8.63%, 10/01/18 | USD | 165 | 175,725 | |||||||||||
9,157,049 | ||||||||||||||
Communications Equipment — 1.7% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)(f) | 6,670 | 6,673,335 | ||||||||||||
Avaya, Inc.: | ||||||||||||||
9.75%, 11/01/15 (e) | 413 | 406,289 | ||||||||||||
7.00%, 4/01/19 (a) | 437 | 417,335 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc.: | ||||||||||||||
8.13%, 1/01/20 (e) | 1,800 | 2,011,500 | ||||||||||||
10.13%, 7/01/20 | 1,460 | 1,711,850 | ||||||||||||
11,220,309 | ||||||||||||||
Construction Materials — 1.0% | ||||||||||||||
Buzzi Unicem SpA, 6.25%, 9/28/18 | EUR | 154 | 216,274 | |||||||||||
HD Supply, Inc. (a): | ||||||||||||||
8.13%, 4/15/19 (e) | USD | 3,085 | 3,474,481 | |||||||||||
7.50%, 7/15/20 | 2,374 | 2,376,968 | ||||||||||||
11.50%, 7/15/20 | 335 | 386,088 | ||||||||||||
HeidelbergCement AG, 7.50%, 4/03/20 | EUR | 64 | 100,684 | |||||||||||
6,554,495 | ||||||||||||||
Consumer Finance — 0.9% | ||||||||||||||
Ally Financial, Inc., 3.13%, 1/15/16 (a)(e) | USD | 1,500 | 1,515,330 | |||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||
3.88%, 1/15/15 (e) | 2,475 | 2,576,042 | ||||||||||||
7.00%, 4/15/15 | 400 | 442,149 | ||||||||||||
Hyundai Capital America, 3.75%, 4/06/16 (a)(e) | 1,285 | 1,362,843 | ||||||||||||
5,896,364 | ||||||||||||||
Containers & Packaging — 0.9% | ||||||||||||||
Ardagh Packaging Finance Plc: | ||||||||||||||
7.38%, 10/15/17 (a)(e) | 299 | 325,536 | ||||||||||||
7.38%, 10/15/17 | EUR | 200 | 283,304 | |||||||||||
7.38%, 10/15/17 (a) | 587 | 831,498 | ||||||||||||
7.38%, 10/15/17 | 100 | 141,652 | ||||||||||||
7.00%, 11/15/20 (a) | USD | 982 | 984,455 | |||||||||||
4.88%, 11/15/22 (a) | 332 | 327,020 | ||||||||||||
5.00%, 11/15/22 | EUR | 260 | 336,897 | |||||||||||
Berry Plastics Corp.: | ||||||||||||||
4.18%, 9/15/14 (b) | USD | 700 | 700,000 | |||||||||||
8.25%, 11/15/15 (e) | 490 | 510,678 | ||||||||||||
9.75%, 1/15/21 | 290 | 334,950 | ||||||||||||
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 | EUR | 274 | 358,687 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 | USD | 96 | 104,640 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (a)(e) | 1,049 | 1,025,398 | ||||||||||||
6,264,715 | ||||||||||||||
Distributors — 0.1% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (a) | 874 | 919,885 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 31 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Diversified Consumer Services — 0.5% | ||||||||||||||
313 Group, Inc. (a): | ||||||||||||||
6.38%, 12/01/19 | USD | 566 | $ | 551,850 | ||||||||||
8.75%, 12/01/20 | 1,249 | 1,233,387 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (a) | 1,460 | 1,587,750 | ||||||||||||
3,372,987 | ||||||||||||||
Diversified Financial Services — 5.1% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 (e) | 367 | 395,442 | ||||||||||||
Ally Financial, Inc. (e): | ||||||||||||||
8.30%, 2/12/15 | 2,460 | 2,736,750 | ||||||||||||
7.50%, 9/15/20 | 1,630 | 1,972,300 | ||||||||||||
8.00%, 11/01/31 | 1,330 | 1,670,812 | ||||||||||||
Banque Paribas, 6.95%, 7/22/13 (e) | 2,100 | 2,145,457 | ||||||||||||
Citigroup, Inc., 5.95% (b)(e)(j) | 1,370 | 1,395,687 | ||||||||||||
CNG Holdings, Inc., 9.38%, 5/15/20 (a) | 700 | 690,375 | ||||||||||||
Co-Operative Group Ltd. (k): | ||||||||||||||
6.88%, 7/08/20 | GBP | 300 | 476,961 | |||||||||||
7.50%, 7/08/26 | 600 | 958,472 | ||||||||||||
DPL, Inc.: | ||||||||||||||
6.50%, 10/15/16 | �� | USD | 70 | 73,500 | ||||||||||
7.25%, 10/15/21 | 185 | 198,413 | ||||||||||||
Gala Group Finance Plc, 8.88%, 9/01/18 | GBP | 700 | 1,146,890 | |||||||||||
The Goldman Sachs Group, Inc. (e): | ||||||||||||||
6.00%, 5/01/14 | USD | 1,150 | 1,217,420 | |||||||||||
5.13%, 1/15/15 | 3,515 | 3,765,553 | ||||||||||||
3.30%, 5/03/15 | 3,285 | 3,434,717 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 (e) | 1,870 | 2,113,100 | ||||||||||||
Morgan Stanley, 5.30%, 3/01/13 | 825 | 825,000 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 (e) | 995 | 1,068,381 | ||||||||||||
9.00%, 4/15/19 | 180 | 190,800 | ||||||||||||
9.88%, 8/15/19 | 795 | 870,525 | ||||||||||||
5.75%, 10/15/20 (e) | 1,800 | 1,858,500 | ||||||||||||
6.88%, 2/15/21 (e) | 820 | 875,350 | ||||||||||||
SLM Corp., Series A, 5.00%, 10/01/13 (e) | 150 | 153,000 | ||||||||||||
Spirit Issuer Plc, 5.86%, 12/28/21 | GBP | 1,570 | 2,298,407 | |||||||||||
WMG Acquisition Corp., 6.00%, 1/15/21 (a)(e) | USD | 935 | 967,725 | |||||||||||
33,499,537 | ||||||||||||||
Diversified Telecommunication Services — 1.4% | ||||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (a) | 735 | 793,800 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
4.21%, 2/15/15 (b) | 1,725 | 1,725,000 | ||||||||||||
8.13%, 7/01/19 | 3,083 | 3,360,470 | ||||||||||||
7.00%, 6/01/20 (a) | 495 | 519,750 | ||||||||||||
Lynx I Corp., 5.38%, 4/15/21 (a)(e) | 845 | 866,125 | ||||||||||||
OTE Plc, 7.25%, 2/12/15 | EUR | 151 | 198,123 | |||||||||||
Telenet Finance V Luxembourg SCA: | ||||||||||||||
6.25%, 8/15/22 | 271 | 362,649 | ||||||||||||
6.75%, 8/15/24 | 397 | 541,627 | ||||||||||||
Windstream Corp., 8.13%, 8/01/13 (e) | USD | 590 | 605,458 | |||||||||||
8,973,002 | ||||||||||||||
Electric Utilities — 0.3% | ||||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (e) | 677 | 750,993 | ||||||||||||
Nisource Finance Corp. (e): | ||||||||||||||
6.40%, 3/15/18 | 440 | 528,150 | ||||||||||||
5.25%, 2/15/43 | 800 | 848,821 | ||||||||||||
2,127,964 | ||||||||||||||
Electrical Equipment — 0.2% | ||||||||||||||
Belden, Inc., 5.50%, 9/01/22 (a)(e) | 510 | 522,750 | ||||||||||||
Pentair Finance SA, 1.88%, 9/15/17 (a)(e) | 371 | 371,047 | ||||||||||||
Techem GmbH, 6.13%, 10/01/19 | EUR | 300 | 416,144 | |||||||||||
1,309,941 | ||||||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Energy Equipment & Services — 2.4% | ||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | USD | 1,105 | $ | 1,110,525 | ||||||||||
Compagnie Générale de Géophysique, Veritas (e): | ||||||||||||||
7.75%, 5/15/17 | 330 | 340,313 | ||||||||||||
6.50%, 6/01/21 | 2,115 | 2,199,600 | ||||||||||||
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)(e) | 1,182 | 1,223,370 | ||||||||||||
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (e) | 185 | 191,013 | ||||||||||||
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (e) | 375 | 393,750 | ||||||||||||
MEG Energy Corp. (a)(e): | ||||||||||||||
6.50%, 3/15/21 | 110 | 116,050 | ||||||||||||
6.38%, 1/30/23 | 335 | 346,725 | ||||||||||||
Oil States International, Inc. (e): | ||||||||||||||
6.50%, 6/01/19 | 725 | 775,750 | ||||||||||||
5.13%, 1/15/23 (a) | 908 | 908,000 | ||||||||||||
Peabody Energy Corp. (e): | ||||||||||||||
6.00%, 11/15/18 | 342 | 363,375 | ||||||||||||
6.25%, 11/15/21 | 1,743 | 1,812,720 | ||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a)(e) | 535 | 561,750 | ||||||||||||
Seadrill Ltd., 5.63%, 9/15/17 (a) | 2,534 | 2,565,675 | ||||||||||||
Tervita Corp., 8.00%, 11/15/18 (a) | 833 | 857,990 | ||||||||||||
Transocean, Inc. (e): | ||||||||||||||
4.95%, 11/15/15 | 1,040 | 1,131,267 | ||||||||||||
5.05%, 12/15/16 | 180 | 200,514 | ||||||||||||
2.50%, 10/15/17 | 725 | 734,093 | ||||||||||||
6.00%, 3/15/18 | 230 | 263,688 | ||||||||||||
16,096,168 | ||||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||||
Bakkavor Finance 2 Plc, 8.25%, 2/15/18 | GBP | 312 | 480,420 | |||||||||||
Rite Aid Corp., 9.25%, 3/15/20 (e) | USD | 1,095 | 1,226,400 | |||||||||||
Zobele Holding SpA, 7.88%, 2/01/18 | EUR | 100 | 132,513 | |||||||||||
1,839,333 | ||||||||||||||
Food Products — 0.3% | ||||||||||||||
Post Holdings, Inc., 7.38%, 2/15/22 (e) | USD | 780 | 842,400 | |||||||||||
Smithfield Foods, Inc., 6.63%, 8/15/22 (e) | 783 | 851,512 | ||||||||||||
1,693,912 | ||||||||||||||
Gas Utilities — 0.3% | ||||||||||||||
Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a) | 2,000 | 2,125,714 | ||||||||||||
Health Care Equipment & Supplies — 1.5% | ||||||||||||||
Biomet, Inc. (a): | ||||||||||||||
6.50%, 8/01/20 | 1,720 | 1,818,900 | ||||||||||||
6.50%, 10/01/20 | 1,445 | 1,488,350 | ||||||||||||
CareFusion Corp., 5.13%, 8/01/14 (e) | 3,000 | 3,174,957 | ||||||||||||
DJO Finance LLC: | ||||||||||||||
8.75%, 3/15/18 (e) | 413 | 455,849 | ||||||||||||
7.75%, 4/15/18 | 540 | 537,300 | ||||||||||||
9.88%, 4/15/18 | 500 | 533,750 | ||||||||||||
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (a) | 960 | 1,039,200 | ||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (a) | 210 | 205,800 | ||||||||||||
Teleflex, Inc., 6.88%, 6/01/19 (e) | 675 | 734,062 | ||||||||||||
9,988,168 | ||||||||||||||
Health Care Providers & Services — 3.4% | ||||||||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (e) | 995 | 1,067,137 | ||||||||||||
Care UK Health & Social Care Plc, 9.75%, 8/01/17 | GBP | 130 | 198,696 | |||||||||||
CHS/Community Health Systems, Inc.: | ||||||||||||||
5.13%, 8/15/18 (e) | USD | 490 | 515,113 | |||||||||||
7.13%, 7/15/20 | 471 | 507,503 | ||||||||||||
Crown Newco 3 Plc, 7.00%, 2/15/18 | GBP | 541 | 847,398 | |||||||||||
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 (e) | USD | 939 | 978,907 |
32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
HCA, Inc. (e): | |||||||||||||||
6.50%, 2/15/20 | USD | 1,895 | $ | 2,122,400 | |||||||||||
7.88%, 2/15/20 | 1,896 | 2,102,190 | |||||||||||||
7.25%, 9/15/20 | 996 | 1,105,560 | |||||||||||||
5.88%, 3/15/22 | 2,390 | 2,575,225 | |||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (a)(e) | 1,289 | 1,359,895 | |||||||||||||
IASIS Healthcare LLC, 8.38%, 5/15/19 | 1,030 | 1,060,900 | |||||||||||||
inVentiv Health, Inc., 9.00%, 1/15/18 (a) | 720 | 750,600 | |||||||||||||
Omnicare, Inc., 7.75%, 6/01/20 | 1,135 | 1,259,850 | |||||||||||||
Tenet Healthcare Corp.: | |||||||||||||||
6.25%, 11/01/18 (e) | 721 | 798,507 | |||||||||||||
8.88%, 7/01/19 (e) | 1,005 | 1,135,650 | |||||||||||||
6.75%, 2/01/20 | 475 | 508,250 | |||||||||||||
4.50%, 4/01/21 (a)(e) | 803 | 791,959 | |||||||||||||
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (a) | 800 | 857,000 | |||||||||||||
Voyage Care Bondco Plc, 6.50%, 8/01/18 | GBP | 150 | 231,540 | ||||||||||||
WellPoint, Inc., 1.25%, 9/10/15 (e) | USD | 1,430 | 1,441,058 | ||||||||||||
22,215,338 | |||||||||||||||
Health Care Technology — 0.8% | |||||||||||||||
IMS Health, Inc., 12.50%, 3/01/18 (a)(e) | 4,300 | 5,181,500 | |||||||||||||
Hotels, Restaurants & Leisure — 5.7% | |||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 (a) | 149 | 147,137 | |||||||||||||
Caesars Operating Escrow LLC: | |||||||||||||||
8.50%, 2/15/20 (e) | 1,010 | 984,750 | |||||||||||||
9.00%, 2/15/20 (a) | 1,646 | 1,625,425 | |||||||||||||
Carlson Wagonlit BV, 6.88%, 6/15/19 (a)(e) | 370 | 386,650 | |||||||||||||
Choice Hotels International, Inc., 5.75%, 7/01/22 (e) | 240 | 266,400 | |||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 355 | 454,201 | ||||||||||||
Enterprise Inns Plc: | |||||||||||||||
6.50%, 12/06/18 | GBP | 2,232 | 3,326,800 | ||||||||||||
6.88%, 2/15/21 | 2,070 | 2,983,279 | |||||||||||||
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 | EUR | 290 | 389,968 | ||||||||||||
Hilton Hotels Corp., Mezzanine G, 1.00%, 11/12/15 | USD | 9,998 | 9,773,151 | ||||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (a)(e) | 941 | 941,000 | |||||||||||||
Regal Entertainment Group, 5.75%, 2/01/25 | 265 | 259,700 | |||||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)(e) | 576 | 564,480 | |||||||||||||
Spirit Issuer Plc: | |||||||||||||||
1.07%, 12/28/28 | GBP | 3,325 | 3,846,196 | ||||||||||||
5.47%, 12/28/34 (b) | 4,500 | 5,853,917 | |||||||||||||
Station Casinos LLC: | |||||||||||||||
3.66%, 6/18/18 | USD | 440 | 440,000 | ||||||||||||
7.50%, 3/01/21 (a) | 1,283 | 1,291,019 | |||||||||||||
Travelport LLC, 6.31%, 12/01/16 (a)(e)(h) | 993 | 901,529 | |||||||||||||
Tropicana Entertainment LLC, 9.63%, 12/15/14 (c)(d) | 375 | — | |||||||||||||
The Unique Pub Finance Co. Plc, Series A4, 5.66%, 6/30/27 | GBP | 1,686 | 2,372,310 | ||||||||||||
Wynn Las Vegas LLC, 5.38%, 3/15/22 (e) | USD | 888 | 933,510 | ||||||||||||
37,741,422 | |||||||||||||||
Household Durables — 1.6% | |||||||||||||||
Algeco Scotsman Global Finance Plc, 9.00%, 10/15/18 | EUR | 630 | 855,396 | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a) | USD | 510 | 512,550 | ||||||||||||
Beazer Homes USA, Inc., 6.63%, 4/15/18 (e) | 910 | 972,562 | |||||||||||||
Berkline/Benchcraft LLC, 4.50%, 11/03/13 (c)(d) | 200 | — | |||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)(e) | 925 | 980,500 | |||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a) | 2,130 | 2,343,000 | |||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Household Durables (concluded) | |||||||||||||||
Libbey Glass, Inc., 6.88%, 5/15/20 (e) | USD | 250 | $ | 268,125 | |||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 248 | 361,011 | ||||||||||||
Standard Pacific Corp., 8.38%, 1/15/21 (e) | USD | 2,400 | 2,850,000 | ||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 (e) | 1,244 | 1,338,855 | |||||||||||||
10,481,999 | |||||||||||||||
Household Products — 0.2% | |||||||||||||||
Ontex IV SA: | |||||||||||||||
7.50%, 4/15/18 | EUR | 100 | 135,777 | ||||||||||||
9.00%, 4/15/19 | 253 | 338,562 | |||||||||||||
Spectrum Brands Escrow Corp. (a): | |||||||||||||||
6.38%, 11/15/20 | USD | 250 | 265,938 | ||||||||||||
6.63%, 11/15/22 | 285 | 307,087 | |||||||||||||
1,047,364 | |||||||||||||||
Independent Power Producers & Energy Traders — 2.8% | |||||||||||||||
The AES Corp.: | |||||||||||||||
7.75%, 10/15/15 | 1,730 | 1,937,600 | |||||||||||||
9.75%, 4/15/16 (e) | 710 | 844,900 | |||||||||||||
7.38%, 7/01/21 | 185 | 209,050 | |||||||||||||
Calpine Corp. (a)(e): | |||||||||||||||
7.25%, 10/15/17 | 365 | 388,269 | |||||||||||||
7.50%, 2/15/21 | 478 | 519,825 | |||||||||||||
Energy Future Intermediate Holding Co. LLC: | |||||||||||||||
6.88%, 8/15/17 (a) | 1,015 | 1,070,825 | |||||||||||||
10.00%, 12/01/20 (a)(e) | 2,105 | 2,373,387 | |||||||||||||
10.00%, 12/01/20 | 4,415 | 5,011,025 | |||||||||||||
GenOn REMA LLC (e): | |||||||||||||||
Series B, 9.24%, 7/02/17 | 656 | 723,663 | |||||||||||||
Series C, 9.68%, 7/02/26 | 650 | 708,500 | |||||||||||||
Laredo Petroleum, Inc.: | |||||||||||||||
9.50%, 2/15/19 | 630 | 711,900 | |||||||||||||
7.38%, 5/01/22 | 515 | 558,775 | |||||||||||||
NRG Energy, Inc. (e): | |||||||||||||||
7.63%, 1/15/18 | 2,001 | 2,293,646 | |||||||||||||
6.63%, 3/15/23 (a) | 790 | 841,350 | |||||||||||||
QEP Resources, Inc., 5.38%, 10/01/22 (e) | 476 | 498,610 | |||||||||||||
18,691,325 | |||||||||||||||
Industrial Conglomerates — 0.2% | |||||||||||||||
Sequa Corp., 7.00%, 12/15/17 (a) | 1,305 | 1,314,788 | |||||||||||||
Insurance — 1.4% | |||||||||||||||
Allied World Assurance Co. Holdings, Ltd., 7.50%, 8/01/16 (e) | 3,000 | 3,535,302 | |||||||||||||
American International Group, Inc., 3.00%, 3/20/15 (e) | 3,120 | 3,243,983 | |||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (a)(e) | 304 | 322,240 | |||||||||||||
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)(e) | 750 | 896,858 | |||||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 595 | 589,050 | |||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 400 | 604,154 | ||||||||||||
TMF Group Holding B.V., 9.88%, 12/01/19 | 210 | 276,907 | |||||||||||||
9,468,494 | |||||||||||||||
Internet Software & Services — 0.1% | |||||||||||||||
Cerved Technologies SpA: | |||||||||||||||
6.38%, 1/15/20 | 100 | 129,902 | |||||||||||||
8.00%, 1/15/21 | 100 | 126,965 | |||||||||||||
Equinix, Inc., 4.88%, 4/01/20 | USD | 139 | 139,000 | ||||||||||||
395,867 | |||||||||||||||
IT Services — 1.2% | |||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (a) | 1,395 | 1,572,862 | |||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 | 1,260 | 1,357,650 | |||||||||||||
First Data Corp.: | |||||||||||||||
7.38%, 6/15/19 (a)(e) | 1,175 | 1,235,219 | |||||||||||||
6.75%, 11/01/20 (a)(e) | 1,250 | 1,282,812 | |||||||||||||
8.25%, 1/15/21 (a) | 38 | 38,855 | |||||||||||||
12.63%, 1/15/21 | 1,018 | 1,085,443 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 33 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
IT Services (concluded) | ||||||||||||||
SunGard Data Systems, Inc., 6.63%, 11/01/19 (a) | USD | 1,040 | $ | 1,068,600 | ||||||||||
WEX, Inc., 4.75%, 2/01/23 (a)(e) | 550 | 532,125 | ||||||||||||
8,173,566 | ||||||||||||||
Machinery — 1.1% | ||||||||||||||
CNH Capital LLC, 3.88%, 11/01/15 (e) | 1,320 | 1,356,300 | ||||||||||||
Silver II Borrower/Silver II US Holdings LLC, 7.75%, 12/15/20 (a) | 336 | 349,440 | ||||||||||||
Terex Corp., 6.00%, 5/15/21 (e) | 1,070 | 1,110,125 | ||||||||||||
Trinseo Materials Operating SCA, 8.75%, 2/01/19 (a) | 575 | 572,844 | ||||||||||||
UR Merger Sub Corp. (e): | ||||||||||||||
7.38%, 5/15/20 | 805 | 881,475 | ||||||||||||
7.63%, 4/15/22 | 2,518 | 2,788,685 | ||||||||||||
7,058,869 | ||||||||||||||
Media — 4.5% | ||||||||||||||
AMC Networks, Inc. (e): | ||||||||||||||
7.75%, 7/15/21 | 865 | 981,775 | ||||||||||||
4.75%, 12/15/22 | 269 | 267,991 | ||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(e) | 509 | 402,110 | ||||||||||||
Checkout Holding Corp., 11.49%, 11/15/15 (a)(g) | 1,007 | 743,921 | ||||||||||||
Cinemark USA, Inc., 5.13%, 12/15/22 (a)(e) | 206 | 207,030 | ||||||||||||
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)(i) | 1,017 | 945,810 | ||||||||||||
Clear Channel Worldwide Holdings, Inc. (e): | ||||||||||||||
6.50%, 11/15/22 (a) | 965 | 1,008,425 | ||||||||||||
6.50%, 11/15/22 (a) | 2,608 | 2,744,920 | ||||||||||||
Series B, 7.63%, 3/15/20 | 1,045 | 1,081,575 | ||||||||||||
DIRECTV Holdings LLC, 3.13%, 2/15/16 (e) | 3,000 | 3,144,492 | ||||||||||||
DISH DBS Corp. (e): | ||||||||||||||
7.00%, 10/01/13 | 1,267 | 1,306,594 | ||||||||||||
7.13%, 2/01/16 | 200 | 222,500 | ||||||||||||
5.88%, 7/15/22 | 2,025 | 2,136,375 | ||||||||||||
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 1,660 | 1,780,350 | ||||||||||||
Intelsat Luxembourg SA: | ||||||||||||||
11.25%, 2/04/17 | 360 | 382,500 | ||||||||||||
11.50%, 2/04/17 (h) | 280 | 297,850 | ||||||||||||
Interactive Data Corp., 10.25%, 8/01/18 (e) | 2,210 | 2,505,588 | ||||||||||||
Lynx I Corp., 6.00%, 4/15/21 | GBP | 1,274 | 1,985,872 | |||||||||||
Lynx II Corp., 6.38%, 4/15/23 (a) | USD | 200 | 207,250 | |||||||||||
The McClatchy Co., 9.00%, 12/15/22 (a) | 330 | 348,975 | ||||||||||||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)(e) | �� | 1,301 | 1,418,090 | |||||||||||
Nara Cable Funding Ltd.: | ||||||||||||||
8.88%, 12/01/18 | EUR | 190 | 260,457 | |||||||||||
8.88%, 12/01/18 (a) | USD | 200 | 206,500 | |||||||||||
ProQuest LLC, 9.00%, 10/15/18 (a) | 200 | 198,500 | ||||||||||||
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(c)(d)(f) | 3,454 | 1,727 | ||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,175 | 1,175,000 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG: | ||||||||||||||
7.50%, 3/15/19 | 1,440 | 1,569,600 | ||||||||||||
5.50%, 1/15/23 (a)(e) | 720 | 727,200 | ||||||||||||
Univision Communications, Inc., 6.75%, 9/15/22 (a) | 355 | 383,400 | ||||||||||||
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 | 1,000 | 1,067,500 | ||||||||||||
29,709,877 | ||||||||||||||
Metals & Mining — 2.6% | ||||||||||||||
ArcelorMittal: | ||||||||||||||
9.50%, 2/15/15 (e) | 1,910 | 2,155,912 | ||||||||||||
4.25%, 8/05/15 (e) | 987 | 1,021,884 | ||||||||||||
5.00%, 2/25/17 | 388 | 403,714 | ||||||||||||
6.13%, 6/01/18 (e) | 498 | 536,992 | ||||||||||||
6.75%, 2/25/22 (e) | 400 | 440,443 | ||||||||||||
Eco-Bat Finance Plc, 7.75%, 2/15/17 | EUR | 495 | 667,250 | |||||||||||
FMG Resources August 2006 Property Ltd., 6.38%, 2/01/16 (a)(e) | USD | 625 | 651,563 | |||||||||||
Corporate Bonds | Par (000) | Value | ||||||||||||
Metals & Mining (concluded) | ||||||||||||||
Global Brass and Copper, Inc., 9.50%, 6/01/19 (a) | USD | 695 | $ | 755,812 | ||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 (e) | 510 | 569,925 | ||||||||||||
New Gold, Inc. (a)(e): | ||||||||||||||
7.00%, 4/15/20 | 175 | 189,000 | ||||||||||||
6.25%, 11/15/22 | 685 | 720,963 | ||||||||||||
New World Resources NV: | ||||||||||||||
7.88%, 5/01/18 | EUR | 494 | 661,375 | |||||||||||
7.88%, 1/15/21 | 330 | 398,519 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 (e) | USD | 3,875 | 4,340,000 | |||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (a) | 290 | 304,500 | ||||||||||||
Schmolz & Bickenbach Luxembourg SA, 9.88%, 5/15/19 | EUR | 365 | 426,633 | |||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (a)(e) | USD | 555 | 593,850 | |||||||||||
Xstrata Canada Financial Corp., 2.85%, 11/10/14 (a)(e) | 2,450 | 2,513,822 | ||||||||||||
17,352,157 | ||||||||||||||
Multiline Retail — 0.3% | ||||||||||||||
Dollar General Corp., 4.13%, 7/15/17 (e) | 342 | 361,665 | ||||||||||||
Dufry Finance SCA, 5.50%, 10/15/20 (a)(e) | 1,336 | 1,392,780 | ||||||||||||
1,754,445 | ||||||||||||||
Oil, Gas & Consumable Fuels — 6.9% | ||||||||||||||
Access Midstream Partners LP: | ||||||||||||||
6.13%, 7/15/22 | 510 | 546,975 | ||||||||||||
4.88%, 5/15/23 (e) | 510 | 504,900 | ||||||||||||
BP Capital Markets Plc, 5.25%, 11/07/13 | 6,000 | 6,196,752 | ||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 305 | 330,925 | ||||||||||||
Chesapeake Energy Corp. (e): | ||||||||||||||
6.88%, 11/15/20 | 405 | 445,500 | ||||||||||||
6.13%, 2/15/21 | 620 | 657,200 | ||||||||||||
Concho Resources, Inc. (e): | ||||||||||||||
6.50%, 1/15/22 | 221 | 240,890 | ||||||||||||
5.50%, 10/01/22 | 265 | 275,931 | ||||||||||||
CONSOL Energy, Inc., 8.25%, 4/01/20 (e) | 1,890 | 2,083,725 | ||||||||||||
Denbury Resources, Inc., 4.63%, 7/15/23 (e) | 994 | 975,362 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (e) | 630 | 686,700 | ||||||||||||
Halcon Resources Corp., 8.88%, 5/15/21 (a) | 938 | 1,008,350 | ||||||||||||
Holly Energy Partners LP, 6.50%, 3/01/20 (a)(e) | 215 | 230,050 | ||||||||||||
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 (e) | 3,215 | 3,834,717 | ||||||||||||
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (a)(e) | 1,285 | 1,418,208 | ||||||||||||
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 | 865 | 973,125 | ||||||||||||
Linn Energy LLC: | ||||||||||||||
6.25%, 11/01/19 (a)(e) | 1,030 | 1,050,600 | ||||||||||||
8.63%, 4/15/20 | 255 | 282,094 | ||||||||||||
7.75%, 2/01/21 | 535 | 577,800 | ||||||||||||
MarkWest Energy Partners LP (e): | ||||||||||||||
5.50%, 2/15/23 | 370 | 388,500 | ||||||||||||
4.50%, 7/15/23 | 540 | 527,850 | ||||||||||||
Newfield Exploration Co., 5.63%, 7/01/24 (e) | 575 | 600,875 | ||||||||||||
Oasis Petroleum, Inc.: | ||||||||||||||
7.25%, 2/01/19 | 380 | 410,400 | ||||||||||||
6.50%, 11/01/21 | 410 | 442,800 | ||||||||||||
Offshore Group Investments Ltd., 11.50%, 8/01/15 | 1,045 | 1,139,050 | ||||||||||||
ONEOK Partners LP, 2.00%, 10/01/17 (e) | 355 | 359,632 | ||||||||||||
PBF Holding Co. LLC, 8.25%, 2/15/20 (a)(e) | 466 | 506,775 | ||||||||||||
PDC Energy, Inc., 7.75%, 10/15/22 (a) | 475 | 502,313 | ||||||||||||
PetroBakken Energy Ltd., 8.63%, 2/01/20 (a) | 898 | 915,960 | ||||||||||||
Plains Exploration & Production Co., 6.88%, 2/15/23 | 1,200 | 1,383,000 | ||||||||||||
Range Resources Corp. (e): | ||||||||||||||
6.75%, 8/01/20 | 593 | 647,853 | ||||||||||||
5.75%, 6/01/21 | 1,298 | 1,382,370 | ||||||||||||
5.00%, 8/15/22 | 742 | 758,695 | ||||||||||||
Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 (a)(e) | 3,612 | 3,729,390 |
34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Sabine Pass Liquified Natural Gas LP (e): | |||||||||||||||
7.50%, 11/30/16 | USD | 4,110 | $ | 4,541,550 | |||||||||||
6.50%, 11/01/20 (a) | 745 | 785,975 | |||||||||||||
SandRidge Energy, Inc., 7.50%, 2/15/23 (e) | 1,585 | 1,660,287 | |||||||||||||
SESI LLC: | |||||||||||||||
6.38%, 5/01/19 | 755 | 809,738 | |||||||||||||
7.13%, 12/15/21 (e) | 745 | 825,087 | |||||||||||||
SM Energy Co. (e): | |||||||||||||||
6.50%, 11/15/21 | 605 | 657,938 | |||||||||||||
6.50%, 1/01/23 | 285 | 308,513 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)(e) | 176 | 183,480 | |||||||||||||
45,787,835 | |||||||||||||||
Paper & Forest Products — 0.2% | |||||||||||||||
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a) | 810 | 872,775 | |||||||||||||
NewPage Corp., 11.38%, 12/31/14 (c)(d) | 3,183 | — | |||||||||||||
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)(e) | 305 | 341,600 | |||||||||||||
1,214,375 | |||||||||||||||
Pharmaceuticals — 0.3% | |||||||||||||||
Mylan, Inc., 6.00%, 11/15/18 (a) | 80 | 88,109 | |||||||||||||
Valeant Pharmaceuticals International (a)(e): | |||||||||||||||
6.50%, 7/15/16 | 590 | 619,869 | |||||||||||||
6.38%, 10/15/20 | 915 | 984,769 | |||||||||||||
1,692,747 | |||||||||||||||
Professional Services — 0.1% | |||||||||||||||
La Financiere Atalian SA, 7.25%, 1/15/20 | EUR | 202 | 264,117 | ||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (a) | USD | 540 | 604,800 | ||||||||||||
868,917 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (a) | 634 | 637,170 | |||||||||||||
Felcor Lodging LP: | |||||||||||||||
6.75%, 6/01/19 | 1,170 | 1,257,018 | |||||||||||||
5.63%, 3/01/23 (a) | 291 | 292,819 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (e) | 1,300 | 1,438,341 | |||||||||||||
3,625,348 | |||||||||||||||
Real Estate Management & Development — 1.4% | |||||||||||||||
Mattamy Group Corp., 6.50%, 11/15/20 (a)(e) | 850 | 846,812 | |||||||||||||
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 | GBP | 1,144 | 1,748,522 | ||||||||||||
Realogy Corp.: | |||||||||||||||
11.50%, 4/15/17 | USD | 215 | 229,244 | ||||||||||||
12.00%, 4/15/17 | 225 | 240,188 | |||||||||||||
7.88%, 2/15/19 (a)(e) | 1,765 | 1,919,437 | |||||||||||||
7.63%, 1/15/20 (a)(e) | 1,015 | 1,144,412 | |||||||||||||
9.00%, 1/15/20 (a)(e) | 435 | 499,163 | |||||||||||||
Shea Homes LP, 8.63%, 5/15/19 (e) | 2,110 | 2,342,100 | |||||||||||||
8,969,878 | |||||||||||||||
Road & Rail — 1.0% | |||||||||||||||
Asciano Finance Ltd., 3.13%, 9/23/15 (a)(e) | 3,400 | 3,501,633 | |||||||||||||
The Hertz Corp.: | |||||||||||||||
7.50%, 10/15/18 | 540 | 589,950 | |||||||||||||
6.75%, 4/15/19 (a) | 405 | 436,388 | |||||||||||||
7.38%, 1/15/21 (e) | 1,675 | 1,846,687 | |||||||||||||
6,374,658 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||||||
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a) | 560 | 572,600 | |||||||||||||
Software — 0.6% | |||||||||||||||
IAC/InterActiveCorp, 4.75%, 12/15/22 (a)(e) | 527 | 515,143 | |||||||||||||
Infor US, Inc., 9.38%, 4/01/19 | 2,000 | 2,245,000 | |||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (a)(e) | 875 | 885,937 | |||||||||||||
3,646,080 | |||||||||||||||
Corporate Bonds | Par (000) | Value | |||||||||||||
Specialty Retail — 1.4% | |||||||||||||||
Claire’s Stores, Inc., 9.00%, 3/15/19 (a)(e) | USD | 1,034 | $ | 1,147,740 | |||||||||||
Michaels Stores, Inc., 7.75%, 11/01/18 | 317 | 345,926 | |||||||||||||
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(h) | 218 | 225,085 | |||||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 (a) | 599 | 651,413 | |||||||||||||
Penske Automotive Group, Inc., 5.75%, 10/01/22 (a) | 705 | 737,606 | |||||||||||||
QVC, Inc.: | |||||||||||||||
7.50%, 10/01/19 (a) | 410 | 452,514 | |||||||||||||
7.38%, 10/15/20 (a) | 320 | 354,700 | |||||||||||||
5.13%, 7/02/22 | 11 | 11,632 | |||||||||||||
Sally Holdings LLC (e): | |||||||||||||||
6.88%, 11/15/19 | 920 | 1,025,800 | |||||||||||||
5.75%, 6/01/22 | 425 | 448,906 | |||||||||||||
The Western Union Co., 2.88%, 12/10/17 (e) | 4,000 | 4,021,728 | |||||||||||||
9,423,050 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 (e) | 380 | 412,775 | |||||||||||||
Tobacco — 0.5% | |||||||||||||||
Reynolds American, Inc., 7.63%, 6/01/16 | 2,500 | 2,978,042 | |||||||||||||
Transportation Infrastructure — 0.8% | |||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (a) | 498 | 527,880 | |||||||||||||
Federal Express Corp. 2012 Pass Through Trust, 2.63%, 1/15/18 (a)(e) | 1,212 | 1,226,567 | |||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.13%, 5/11/15 (a)(e) | 3,372 | 3,493,796 | |||||||||||||
5,248,243 | |||||||||||||||
Wireless Telecommunication Services — 2.3% | |||||||||||||||
Crown Castle International Corp., 5.25%, 1/15/23 (a) | 725 | 743,125 | |||||||||||||
Crown Castle Towers LLC, 4.52%, 1/15/35 (a) | 3,000 | 3,184,068 | |||||||||||||
Digicel Group Ltd. (a): | |||||||||||||||
8.25%, 9/01/17 | 1,335 | 1,408,425 | |||||||||||||
8.25%, 9/30/20 | 1,215 | 1,295,797 | |||||||||||||
6.00%, 4/15/21 (i) | 1,300 | 1,296,750 | |||||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 (e) | 1,410 | 1,424,100 | |||||||||||||
Sprint Nextel Corp. (a)(e): | |||||||||||||||
9.00%, 11/15/18 | 3,070 | 3,806,800 | |||||||||||||
7.00%, 3/01/20 | 1,510 | 1,766,700 | |||||||||||||
Sunrise Communications International SA, 7.00%, 12/31/17 | EUR | 150 | 209,737 | ||||||||||||
15,135,502 | |||||||||||||||
Total Corporate Bonds — 71.7% | 472,704,111 | ||||||||||||||
Floating Rate Loan Interests (b) | |||||||||||||||
Aerospace & Defense — 0.3% | |||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/24/20 | USD | 1,300 | 1,305,278 | ||||||||||||
Transdigm, Inc., Term Loan C, 4.00%, 2/28/20 | 660 | 661,241 | |||||||||||||
1,966,519 | |||||||||||||||
Airlines — 0.3% | |||||||||||||||
Delta Air Lines, Inc., Term Loan B, 4.50%, 4/20/17 | 686 | 692,099 | |||||||||||||
Northwest Airlines, Inc., Term Loan: | |||||||||||||||
2.32%, 3/10/17 | 338 | 314,678 | |||||||||||||
2.32%, 3/10/17 | 613 | 570,703 | |||||||||||||
1.70%, 9/10/18 | 278 | 248,198 | |||||||||||||
1.70%, 9/10/18 | 276 | 246,413 | |||||||||||||
US Airways Group, Inc., Term Loan, 2.70%, 3/21/14 | 145 | 144,585 | |||||||||||||
2,216,676 | |||||||||||||||
Auto Components — 1.9% | |||||||||||||||
Autoparts Holdings Ltd.: | |||||||||||||||
First Lien Term Loan, 6.50%, 7/28/17 | 988 | 993,257 | |||||||||||||
Second Lien Term Loan, 10.50%, 1/29/18 | 1,500 | 1,522,500 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Auto Components (concluded) | ||||||||||||||
Federal-Mogul Corp.: | ||||||||||||||
Term Loan B, 2.14%, 12/29/14 | USD | 3,109 | $ | 2,893,033 | ||||||||||
Term Loan C, 2.14%, 12/28/15 | 829 | 770,761 | ||||||||||||
The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19 | 2,985 | 2,996,194 | ||||||||||||
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17 | 2,135 | 2,134,466 | ||||||||||||
Transtar Holding Co., First Lien Term Loan, 5.50%, 10/09/18 | 1,282 | 1,294,606 | ||||||||||||
12,604,817 | ||||||||||||||
Beverages — 0.0% | ||||||||||||||
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/11 (c)(d)(f) | 1,000 | 100 | ||||||||||||
Biotechnology — 0.1% | ||||||||||||||
Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 535 | 537,393 | ||||||||||||
Building Products — 0.5% | ||||||||||||||
Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18 | 1,258 | 1,258,994 | ||||||||||||
CPG International, Inc., Term Loan, 5.75%, 9/18/19 | 1,372 | 1,381,849 | ||||||||||||
United Subcontractors, Inc., First Lien Term Loan, 6.32%, 6/30/15 | 164 | 155,423 | ||||||||||||
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19 | 820 | 828,610 | ||||||||||||
3,624,876 | ||||||||||||||
Capital Markets — 0.6% | ||||||||||||||
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 | 1,462 | 1,476,620 | ||||||||||||
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 932 | 936,552 | ||||||||||||
Nuveen Investments, Inc.: | ||||||||||||||
Extended First Lien Term Loan, 5.70%—5.81%, 5/13/17 | 198 | 199,997 | ||||||||||||
Extended Term Loan, 5.70%—5.81%, 5/12/17 | 302 | 305,663 | ||||||||||||
Incremental Term Loan, 7.25%, 5/13/17 | 580 | 582,900 | ||||||||||||
Second Lien Term Loan, 8.25%, 2/28/19 | 685 | 698,700 | ||||||||||||
4,200,432 | ||||||||||||||
Chemicals — 1.3% | ||||||||||||||
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 1,226 | 1,214,181 | ||||||||||||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 500 | 503,750 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 781 | 787,672 | ||||||||||||
General Chemical Corp., Term Loan, 5.00%—5.75%, 10/06/15 | 104 | 104,451 | ||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 | 1,052 | 1,074,034 | ||||||||||||
MacDermid, Inc., Tranche C Term Loan, 2.31%, 4/11/14 | EUR | 433 | 564,417 | |||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 1,277 | 1,273,265 | |||||||||||
Tronox Pigments (Netherlands) BV, Delayed Draw Term Loan B, 4.25%, 2/08/18 | 688 | 687,093 | ||||||||||||
US Coatings Acquisition, Inc.: | ||||||||||||||
Term Loan, 4.75%, 2/03/20 | 2,110 | 2,135,616 | ||||||||||||
Term Loan B, 5.25%, 2/03/20 | EUR | 130 | 171,449 | |||||||||||
8,515,928 | ||||||||||||||
Commercial Banks — 0.3% | ||||||||||||||
Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18 | USD | 1,690 | 1,704,179 | |||||||||||
Commercial Services & Supplies — 1.9% | ||||||||||||||
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19 | 676 | 680,801 | ||||||||||||
ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19 | 1,655 | 1,656,556 | ||||||||||||
Altegrity, Inc.: | ||||||||||||||
Term Loan, 3.20%, 2/21/15 | 955 | 921,575 | ||||||||||||
Tranche D Term Loan, 7.75%, 2/20/15 | 1,211 | 1,211,201 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18 | 1,318 | 1,340,787 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Commercial Services & Supplies (concluded) | ||||||||||||||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 | USD | 992 | $ | 999,629 | ||||||||||
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16 | 1,450 | 1,458,454 | ||||||||||||
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17 | 1,478 | 1,492,275 | ||||||||||||
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 | 785 | 791,869 | ||||||||||||
Protection One, Inc., Term Loan, 5.75%, 3/21/19 | 824 | 830,984 | ||||||||||||
WEST Corp., Term Loan B8, 5.75%, 2/07/18 | 995 | 997,905 | ||||||||||||
12,382,036 | ||||||||||||||
Communications Equipment — 1.9% | ||||||||||||||
Alcatel-Lucent: | ||||||||||||||
Term Loan B, 6.25%, 7/29/16 | 590 | 596,166 | ||||||||||||
Term Loan C, 7.25%, 1/31/19 | 3,650 | 3,690,150 | ||||||||||||
Term Loan D, 7.75%, 1/31/19 | EUR | 1,235 | 1,616,610 | |||||||||||
Avaya, Inc.: | ||||||||||||||
Extended Term Loan B3, 4.79%, 10/26/17 | USD | 206 | 191,200 | |||||||||||
Term Loan B5, 8.00%, 3/30/18 | 266 | 267,872 | ||||||||||||
CommScope, Inc., Term Loan, 4.25%, 1/12/18 | 1,228 | 1,233,381 | ||||||||||||
Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19 | 620 | 626,975 | ||||||||||||
Telesat Canada, Term Loan A, 4.40%, 3/28/17 | CAD | 1,835 | 1,748,255 | |||||||||||
Zayo Group, LLC Refinancing, Term Loan B, 5.25%, 7/12/19 | USD | 2,810 | 2,818,953 | |||||||||||
12,789,562 | ||||||||||||||
Construction & Engineering — 0.9% | ||||||||||||||
Centaur LLC: | ||||||||||||||
First Lien Term Loan, 8.75%, 2/15/19 | 1,445 | 1,445,910 | ||||||||||||
Second Lien Term Loan, 8.75%, 2/15/20 | 710 | 720,650 | ||||||||||||
Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17 | 3,750 | 3,750,000 | ||||||||||||
5,916,560 | ||||||||||||||
Construction Materials — 0.4% | ||||||||||||||
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 2,328 | 2,334,493 | ||||||||||||
Consumer Finance — 0.1% | ||||||||||||||
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 925 | 928,274 | ||||||||||||
Containers & Packaging — 0.1% | ||||||||||||||
Sealed Air Corp., Term Loan, 4.00%, 10/03/18 | 517 | 523,046 | ||||||||||||
Distributors — 0.1% | ||||||||||||||
Crossmark Holdings, Inc., Term Loan, 4.50%, 1/31/20 | 385 | 385,162 | ||||||||||||
VWR Funding, Inc., Extended Term Loan B, 4.54%, 4/03/17 | 460 | 463,307 | ||||||||||||
848,469 | ||||||||||||||
Diversified Consumer Services — 1.1% | ||||||||||||||
Bright Horizons Family, Inc., Term Loan B, 4.00%, 1/16/20 | 785 | 788,925 | ||||||||||||
Coinmach Service Corp., Term Loan B, 3.21%, 11/20/14 | 3,277 | 3,203,356 | ||||||||||||
Education Management LLC, Term Loan C3, 8.25%, 3/29/18 | 549 | 472,857 | ||||||||||||
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | 1,735 | 1,744,012 | ||||||||||||
ServiceMaster Co., New Term Loan, 2.70%, 4/01/17 | 1,295 | 1,290,606 | ||||||||||||
7,499,756 | ||||||||||||||
Diversified Financial Services — 1.0% | ||||||||||||||
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18 | 2,050 | 2,072,493 | ||||||||||||
Telesat LLC, Term Loan B, 4.25%, 3/28/19 | 3,706 | 3,732,320 | ||||||||||||
WMG Acquisition Corp., Term Loan, 5.25%, 11/01/18 | 930 | 940,462 | ||||||||||||
6,745,275 |
36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services — 2.0% | |||||||||||||||
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | USD | 2,255 | $ | 2,276,851 | |||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17 | 1,751 | 1,783,436 | |||||||||||||
Integra Telecom, Inc.: | |||||||||||||||
Second Lien Term Loan, 9.75%, 2/15/20 | 590 | 603,275 | |||||||||||||
Term Loan, 9.25%, 2/15/19 | 1,175 | 1,187,925 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2016 Term Loan B, 4.75%, 2/01/16 | 763 | 771,672 | |||||||||||||
2019 Term Loan B, 5.25%, 8/01/19 | 625 | 631,381 | |||||||||||||
Term Loan, 4.75%, 8/01/19 | 4,830 | 4,868,640 | |||||||||||||
Syniverse Holdings, Inc., Delayed Draw Term Loan, 4.00%, 4/23/19 | 525 | 524,344 | |||||||||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 494 | 492,926 | |||||||||||||
13,140,450 | |||||||||||||||
Electric Utilities — 0.0% | |||||||||||||||
TPF Generation Holdings LLC, Synthetic Letter of Credit Deposit, First Lien, 2.21%, 12/13/13 | 47 | 47,074 | |||||||||||||
Energy Equipment & Services — 1.3% | |||||||||||||||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 | 2,012 | 2,076,701 | |||||||||||||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 3,247 | 3,376,896 | |||||||||||||
MEG Energy Corp., Term Loan, 3.75%, 3/20/20 | 1,320 | 1,323,300 | |||||||||||||
Tervita Corp., Incremental Term Loan, 3.20%, 5/01/18 | 1,145 | 1,150,908 | |||||||||||||
Unifrax I LLC/Unifrax Holding Co., Dollar Term Loan, 4.25%, 11/28/18 | 555 | 558,669 | |||||||||||||
8,486,474 | |||||||||||||||
Food & Staples Retailing — 0.3% | |||||||||||||||
Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19 | 608 | 613,988 | |||||||||||||
Rite Aid Corp.: | |||||||||||||||
Second Lien Term Loan, 5.75%, 7/07/20 | 240 | 245,467 | |||||||||||||
Term Loan 6, 4.00%, 2/21/20 | 260 | 260,502 | |||||||||||||
Supervalu, Inc., Term Loan B, 6.25%, 2/05/18 | 920 | 930,350 | |||||||||||||
2,050,307 | |||||||||||||||
Food Products — 0.5% | |||||||||||||||
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 785 | 794,569 | |||||||||||||
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18 | 918 | 921,424 | |||||||||||||
Pinnacle Foods Finance LLC, Term Loan E, 4.75%, 10/17/18 | 1,124 | 1,134,162 | |||||||||||||
Solvest Ltd. (Dole): | |||||||||||||||
Term Loan B-2, 5.00%—6.00%, 7/06/18 | 96 | 96,349 | |||||||||||||
Term Loan C-2, 5.00%—6.00%, 7/06/18 | 172 | 172,415 | |||||||||||||
3,118,919 | |||||||||||||||
Health Care Equipment & Supplies — 1.4% | |||||||||||||||
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19 | 2,045 | 2,059,815 | |||||||||||||
BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 8/28/19 | 700 | 702,800 | |||||||||||||
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 993 | 992,500 | |||||||||||||
DJO Finance LLC, Term Loan B3, 6.25%, 9/15/17 | 2,154 | 2,171,236 | |||||||||||||
Hologic, Inc., Term Loan B, 4.50%, 8/01/19 | 1,638 | 1,656,375 | |||||||||||||
Immucor, Inc., Term Loan B2, 5.00%, 8/18/18 | 643 | 641,962 | |||||||||||||
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 856 | 874,954 | |||||||||||||
9,099,642 | |||||||||||||||
Health Care Providers & Services — 2.2% | |||||||||||||||
American Renal Holdings Co., Inc.: | |||||||||||||||
First Lien Term Loan, 4.50%, 8/14/19 | 855 | 852,862 | |||||||||||||
Second Lien Term Loan, 8.50%, 2/14/20 | 890 | 887,775 | |||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | USD | 480 | $ | 486,600 | |||||||||||
CHG Buyer Corp., First Lien Term Loan, 5.00%, 11/22/19 | 839 | 848,626 | |||||||||||||
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16 | 1,258 | 1,271,516 | |||||||||||||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | 1,960 | 1,973,994 | |||||||||||||
Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18 | 279 | 279,008 | |||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17 | 1,096 | 1,074,410 | |||||||||||||
Harden Healthcare LLC: | |||||||||||||||
Add on Term Loan A, 7.75%, 3/02/15 | 2,880 | 2,819,570 | |||||||||||||
Term Loan A, 8.50%, 3/02/15 | 478 | 473,526 | |||||||||||||
inVentiv Health, Inc.: | |||||||||||||||
Combined Term Loan, 7.50%, 8/04/16 | 55 | 54,016 | |||||||||||||
Incremental Term Loan B-3, 7.75%, 5/15/18 | 232 | 228,498 | |||||||||||||
Medpace, Inc., Term Loan, 6.50%—7.25%, 6/16/17 | 2,629 | 2,615,482 | |||||||||||||
US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19 | 856 | 867,466 | |||||||||||||
14,733,349 | |||||||||||||||
Health Care Technology — 0.2% | |||||||||||||||
IMS Health, Inc., Tranche B Term Loan, 3.75%, 8/25/17 | 646 | 647,912 | |||||||||||||
Kinetic Concepts, Inc., Term Loan C1, 5.50%, 5/04/18 | 614 | 621,374 | |||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 365 | 367,128 | |||||||||||||
1,636,414 | |||||||||||||||
Hotels, Restaurants & Leisure — 3.6% | |||||||||||||||
Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/30/19 | 1,673 | 1,693,869 | |||||||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B1, 3.20%, 1/28/15 | 2,197 | 2,190,228 | |||||||||||||
Golden Living, Term Loan, 5.00%, 5/04/18 | 1,065 | 1,020,408 | |||||||||||||
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14 | 3,811 | 3,505,936 | |||||||||||||
MGM Resorts International, Term Loan B, 4.25%, 12/20/19 | 1,970 | 1,992,655 | |||||||||||||
OSI Restaurant Partners LLC, Term Loan B, 4.75%, 10/24/19 | 843 | 853,824 | |||||||||||||
Sabre, Inc., Term Loan B, 5.25%, 2/01/19 | 570 | 569,595 | |||||||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17 | 825 | 828,645 | |||||||||||||
Station Casinos, Inc.: | |||||||||||||||
2011 Term Loan B2, 6.25%, 6/17/16 | 2,355 | 2,335,383 | |||||||||||||
Term Loan B, 5.50%, 9/27/19 | 2,010 | 2,021,681 | |||||||||||||
Term Loan B, 5.00%, 2/13/20 | 3,735 | 3,766,124 | |||||||||||||
Travelport Holdings Ltd.: | |||||||||||||||
Extended Tranche A Term Loan, 6.40%, 12/01/16 | 457 | 161,522 | |||||||||||||
Extended Tranche B Term Loan, 13.80%, 12/01/16 | 1,530 | 142,817 | |||||||||||||
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15 | 1,195 | 1,203,413 | |||||||||||||
Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19 | 1,232 | 1,242,224 | |||||||||||||
23,528,324 | |||||||||||||||
Household Products — 0.3% | |||||||||||||||
Prestige Brands, Inc., Term Loan, 5.25%—6.25%, 1/31/19 | 680 | 682,943 | |||||||||||||
Spectrum Brands, Inc., Term Loan, 4.50%, 12/17/19 | 1,210 | 1,224,617 | |||||||||||||
1,907,560 | |||||||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 384 | 385,547 | |||||||||||||
Calpine Corp., Term Loan B1, 4.50%, 4/02/18 | 1,065 | 1,070,853 | |||||||||||||
1,456,400 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 37 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Industrial Conglomerates — 0.4% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | USD | 2,635 | $ | 2,665,046 | ||||||||||
Insurance — 0.9% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 1,075 | 1,083,063 | ||||||||||||
Asurion LLC, Term Loan B1, 5.50%, 5/24/19 | 1,545 | 1,549,511 | ||||||||||||
CNO Financial Group, Inc.: | ||||||||||||||
Term Loan B-1, 4.25%, 9/28/16 | 993 | 1,000,196 | ||||||||||||
Term Loan B-2, 5.00%, 9/20/18 | 1,356 | 1,368,241 | ||||||||||||
Cunningham Lindsey Group, Inc., Term Loan B, 5.00%, 12/10/19 | 930 | 941,625 | ||||||||||||
5,942,636 | ||||||||||||||
Internet Software & Services — 0.1% | ||||||||||||||
Web.com Group, Inc., Term Loan B, 5.50%, 10/27/17 | 947 | 955,372 | ||||||||||||
IT Services — 2.1% | ||||||||||||||
CCC Information Services, Inc., Term Loan, 5.25%, 12/20/19 | 310 | 311,860 | ||||||||||||
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17 | 1,084 | 1,096,227 | ||||||||||||
First Data Corp.: | ||||||||||||||
2018 Add-on Term Loan, 5.20%, 9/24/18 | 1,805 | 1,804,188 | ||||||||||||
Extended 2018 Term Loan B, 4.20%, 3/23/18 | 5,119 | 5,054,701 | ||||||||||||
Genpact International, Inc., Term Loan B, 4.25%, 8/30/19 | 1,067 | 1,077,998 | ||||||||||||
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18 | 838 | 759,065 | ||||||||||||
SunGard Data Systems, Inc., Term Loan D, 4.50%, 1/31/20 | 855 | 861,412 | ||||||||||||
TransUnion LLC, Term Loan B, 5.50%, 2/12/18 | 2,597 | 2,612,471 | ||||||||||||
13,577,922 | ||||||||||||||
Leisure Equipment & Products — 0.1% | ||||||||||||||
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 | 537 | 537,089 | ||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 398 | 396,805 | ||||||||||||
933,894 | ||||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||||
Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 469 | 474,099 | ||||||||||||
Machinery — 1.5% | ||||||||||||||
Alliance Laundry Systems LLC, First Lien Term Loan, 5.50%, 12/07/18 | 300 | 301,218 | ||||||||||||
Dematic S.A., Term Loan, 5.25%, 12/27/19 | 1,445 | 1,454,479 | ||||||||||||
Intelligrated, Inc., First Lien Term Loan, 4.50%, 7/30/18 | 1,097 | 1,097,250 | ||||||||||||
Rexnord Corp., Term Loan B, 4.50%, 4/02/18 | 1,473 | 1,482,030 | ||||||||||||
Silver II US Holdings LLC, First Lien Term Loan, 4.75%, 12/05/19 | 1,315 | 1,315,000 | ||||||||||||
Terex Corp., Term Loan B: | ||||||||||||||
4.50%, 4/28/17 | 988 | 997,094 | ||||||||||||
5.00%, 4/28/17 | EUR | 306 | 400,795 | |||||||||||
Wabash National Corp., Term Loan B, 6.00%, 5/02/19 | USD | 2,744 | 2,762,567 | |||||||||||
9,810,433 | ||||||||||||||
Media — 5.9% | ||||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18 | 629 | 635,748 | ||||||||||||
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 7.50%, 7/03/14 | 2,015 | 1,602,007 | ||||||||||||
Charter Communications Operating LLC: | ||||||||||||||
Extended Term Loan C, 3.46%, 9/06/16 | 1,566 | 1,571,114 | ||||||||||||
Term Loan D, 4.00%, 5/15/19 | 910 | 916,570 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.85%, 1/29/16 | 441 | 377,148 | ||||||||||||
Term Loan C, 3.85%, 1/29/16 | 834 | 704,103 | ||||||||||||
Cumulus Media, Inc., First Lien Term Loan, 4.50%, 9/17/18 | 1,484 | 1,497,883 | ||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 | USD | 766 | $ | 774,386 | ||||||||||
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | 1,171 | 1,184,062 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 1,820 | 1,834,160 | ||||||||||||
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18 | 2,164 | 2,174,468 | ||||||||||||
Hubbard Broadcasting, Term Loan B, 4.50%, 4/28/17 | 726 | 731,575 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18 | 4,169 | 4,208,076 | ||||||||||||
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 2,126 | 2,129,019 | ||||||||||||
Kabel Deutschland GmbH, Term Loan F1, 3.50%, 2/01/19 | 3,195 | 3,200,144 | ||||||||||||
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG): | ||||||||||||||
Term Loan (Second Lien), 4.12%, 9/02/16 | EUR | 904 | 1,148,096 | |||||||||||
Term Loan B, 2.62%, 3/06/15 | 304 | 390,366 | ||||||||||||
Term Loan C, 3.00%, 3/04/16 | 304 | 392,349 | ||||||||||||
NEP Supershooters LP: | ||||||||||||||
First Lien Term Loan, 5.25%, 1/18/20 | USD | 840 | 842,360 | |||||||||||
Second Lien Term Loan, 9.50%, 8/18/20 | 595 | 609,875 | ||||||||||||
Term Loan, 4.75%, 1/18/20 | 840 | 842,100 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16 | 1,212 | 1,216,265 | ||||||||||||
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17 | 2,654 | 2,656,513 | ||||||||||||
UPC Broadband Holding BV, Term Loan U, 4.12%, 12/29/17 | EUR | 97 | 126,369 | |||||||||||
UPC Financing Partnership, Term Loan T, 3.70%, 12/30/16 | USD | 355 | 355,824 | |||||||||||
Virgin Media Investment Holdings, Term Loan B: | ||||||||||||||
4.50%, 2/15/20 | GBP | 2,340 | 3,536,017 | |||||||||||
3.50%, 2/17/20 | USD | 2,110 | 2,097,403 | |||||||||||
WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18 | 526 | 530,919 | ||||||||||||
Weather Channel, Term Loan B, 3.50%, 2/07/17 | 277 | 277,992 | ||||||||||||
WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18 | 741 | 749,985 | ||||||||||||
39,312,896 | ||||||||||||||
Metals & Mining — 1.9% | ||||||||||||||
Ameriforge Group, Inc.: | ||||||||||||||
First Lien Term Loan, 5.00%, 12/19/19 | 950 | 958,911 | ||||||||||||
Second Lien Term Loan, 8.75%, 12/18/20 | 470 | 476,463 | ||||||||||||
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 | 1,298 | 1,324,444 | ||||||||||||
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 3,007 | 3,042,859 | ||||||||||||
Metals USA, Inc., Term Loan, 6.25%, 11/15/19 | 1,155 | 1,156,444 | ||||||||||||
Novelis, Inc.: | ||||||||||||||
Incremental Term Loan B-2, 4.00%, 3/10/17 | 961 | 961,717 | ||||||||||||
Term Loan, 4.00%, 3/10/17 | 2,930 | 2,932,739 | ||||||||||||
Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18 | 298 | 298,516 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 1,635 | 1,685,998 | ||||||||||||
12,838,091 | ||||||||||||||
Multiline Retail — 1.0% | ||||||||||||||
99¢ Only Stores, Term Loan, 5.25%, 1/11/19 | 796 | 801,239 | ||||||||||||
Apex Tool Group LLC, Term Loan B, 4.50%, 1/28/20 | 700 | 706,874 | ||||||||||||
BJ’s Wholesale Club, Inc.: | ||||||||||||||
First Lien Term Loan, 5.75%, 9/13/19 | 594 | 593,887 | ||||||||||||
Second Lien Term Loan, 9.75%, 3/26/20 | 545 | 563,056 | ||||||||||||
HEMA Holding BV: | ||||||||||||||
Second Lien Term Loan, 5.12%, 1/05/17 | EUR | 2,600 | 3,082,141 | |||||||||||
Term Loan B, 2.12%, 7/06/15 | 334 | 414,584 | ||||||||||||
Term Loan C, 2.87%, 7/05/16 | 334 | 416,762 | ||||||||||||
6,578,543 |
38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels — 2.0% | |||||||||||||||
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | USD | 2,595 | $ | 2,648,794 | |||||||||||
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18 | 1,229 | 1,240,734 | |||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 2,022 | 2,042,118 | |||||||||||||
Plains Exploration & Production, 7-Year Term Loan B, 4.00%, 11/30/19 | 2,270 | 2,273,791 | |||||||||||||
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 | 740 | 746,941 | |||||||||||||
Tesoro Corp., Term Loan B, 2.55%, 1/30/16 | 1,375 | 1,387,031 | |||||||||||||
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17 | 3,125 | 3,141,065 | |||||||||||||
13,480,474 | |||||||||||||||
Pharmaceuticals — 1.2% | |||||||||||||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,470 | 1,472,940 | |||||||||||||
Par Pharmaceutical, Term Loan B, 4.25%, 9/28/19 | 1,970 | 1,967,600 | |||||||||||||
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18 | 1,719 | 1,728,568 | |||||||||||||
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18 | 461 | 465,448 | |||||||||||||
Valeant Pharmaceuticals International, Inc., Series C, Tranche B, 3.50%, 12/11/19 | 1,120 | 1,124,200 | |||||||||||||
Warner Chilcott Corp.: | |||||||||||||||
Incremental Term Loan B-1, 4.25%, 3/15/18 | 291 | 293,277 | |||||||||||||
Term Loan B-1, 4.25%, 3/15/18 | 765 | 772,247 | |||||||||||||
Term Loan B-2, 4.25%, 3/15/18 | 237 | 238,748 | |||||||||||||
8,063,028 | |||||||||||||||
Professional Services — 0.6% | |||||||||||||||
Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19 | 1,387 | 1,398,657 | |||||||||||||
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18 | 926 | 937,445 | |||||||||||||
ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19 | 515 | 519,278 | |||||||||||||
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19 | 1,184 | 1,195,156 | |||||||||||||
4,050,536 | |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||||||
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17 | 3,244 | 3,246,483 | |||||||||||||
Real Estate Management & Development — 0.7% | |||||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit Loan, 4.46%, 10/10/16 | 103 | 102,664 | |||||||||||||
Extended Term Loan, 4.42%, 10/10/16 | 4,773 | 4,771,918 | |||||||||||||
4,874,582 | |||||||||||||||
Road & Rail — 0.1% | |||||||||||||||
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | 640 | 641,763 | |||||||||||||
Semiconductors & Semiconductor Equipment — 0.6% | |||||||||||||||
Freescale Semiconductor, Inc.: | �� | ||||||||||||||
Extended Term Loan B, 4.45%, 12/01/16 | 1,137 | 1,137,128 | |||||||||||||
Term Loan, 5.00%, 3/1/20 | 1,575 | 1,568,700 | |||||||||||||
NXP BV: | |||||||||||||||
Term Loan A-2, 5.50%, 3/03/17 | 399 | 406,205 | |||||||||||||
Term Loan C, 4.75%, 1/11/20 | 980 | 995,004 | |||||||||||||
4,107,037 | |||||||||||||||
Software — 1.1% | |||||||||||||||
Bankruptcy Management Solutions, Inc., Term Loan (First Lien), 7.50%, 8/20/14 | 2 | 1,099 | |||||||||||||
GCA Services Group, Inc.: | |||||||||||||||
Second Lien Term Loan, 9.25%, 11/1/20 | 700 | 693,000 | |||||||||||||
Term Loan B, 5.25%, 11/01/19 | 560 | 560,000 | |||||||||||||
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 1,606 | 1,623,078 | |||||||||||||
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20 | 1,170 | 1,216,800 | |||||||||||||
RP Crown Parent LLC, First Lien Term Loan, 6.75%, 12/21/18 | 920 | 933,230 | |||||||||||||
Sophia LP, Term Loan B, 6.25%, 7/19/18 | 892 | 898,205 | |||||||||||||
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Software (concluded) | |||||||||||||||
SS&C Technologies, Inc.: | |||||||||||||||
Term Loan B-1, 5.00%, 6/07/19 | USD | 1,233 | $ | 1,243,590 | |||||||||||
Term Loan B-2, 5.00%, 6/07/19 | 128 | 128,647 | |||||||||||||
7,297,649 | |||||||||||||||
Specialty Retail — 1.7% | |||||||||||||||
Academy Ltd., Term Loan, 4.75%, 8/03/18 | 1,782 | 1,802,634 | |||||||||||||
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19 | 840 | 844,519 | |||||||||||||
Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17 | 200 | 201,723 | |||||||||||||
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 955 | 964,789 | |||||||||||||
Equinox Fitness Clubs, First Lien Term Loan, 5.50%, 1/31/20 | 1,140 | 1,151,400 | |||||||||||||
Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17 | 527 | 532,624 | |||||||||||||
Michaels Stores, Inc., Term Loan, 4.81%, 1/31/20 | 1,425 | 1,428,163 | |||||||||||||
Party City Holdings, Inc., Term Loan B, 5.75%, 7/26/19 | 1,800 | 1,798,650 | |||||||||||||
PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 1,209 | 1,218,300 | |||||||||||||
Toys ‘R’ Us Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 | 615 | 581,506 | |||||||||||||
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19 | 540 | 543,191 | |||||||||||||
11,067,499 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 1,265 | 1,278,092 | |||||||||||||
PVH Corp., Term Loan B, 3.25%, 12/19/19 | 790 | 796,336 | |||||||||||||
Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19 | 710 | 714,823 | |||||||||||||
2,789,251 | |||||||||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||||||
Insight Global, Inc., First Lien Term Loan, 6.00%, 10/31/19 | 870 | 872,175 | |||||||||||||
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18 | 815 | 824,845 | |||||||||||||
1,697,020 | |||||||||||||||
Trading Companies & Distributors — 0.1% | |||||||||||||||
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 770 | 777,061 | |||||||||||||
Wireless Telecommunication Services — 1.7% | |||||||||||||||
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 1,160 | 1,163,631 | |||||||||||||
MetroPCS Wireless, Inc., Term Loan B-3, 4.00%, 3/16/18 | 1,027 | 1,028,316 | |||||||||||||
Vodafone Americas Finance 2, Inc., Term Loan, 6.88%, 8/11/15 (h) | 8,583 | 8,755,004 | |||||||||||||
10,946,951 | |||||||||||||||
Total Floating Rate Loan Interests — 49.8% | 330,671,570 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.8% | |||||||||||||||
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 5.59%, 3/25/37 (b) | 1,042 | 1,027,604 | |||||||||||||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | 6,546 | 5,576,788 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2005-17, Class 1A6 5.50%, 9/25/35 | 2,014 | 2,003,643 | |||||||||||||
Series 2006-17, Class A2 6.00%, 12/25/36 | 4,142 | 3,814,267 | |||||||||||||
Series 2007-HY5, Class 3A1 5.59%, 9/25/37 (b) | 2,681 | 2,457,472 | |||||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.95%, 10/25/35 (b) | 2,258 | 2,031,254 | |||||||||||||
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, 0.47%, 2/26/37 (a)(b) | 1,499 | 1,442,667 | |||||||||||||
18,353,695 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 39 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities — 8.1% | |||||||||||||||
Banc of America Commercial Mortgage, Inc. (b): | |||||||||||||||
Series 2007-3, Class A2 5.62%, 6/10/49 | USD | 386 | $ | 385,899 | |||||||||||
Series 2007-4, Class A4 5.75%, 2/10/51 | 2,150 | 2,502,263 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49 | 284 | 287,274 | |||||||||||||
Commercial Mortgage Pass-Through Certificates: | |||||||||||||||
Series 2013-LC6, Class B 3.74%, 1/10/46 | 1,110 | 1,142,454 | |||||||||||||
Series 2013-LC6, Class D 4.29%, 1/10/46 (a)(b) | 1,330 | 1,213,734 | |||||||||||||
Credit Suisse Mortgage Capital Certificates: | |||||||||||||||
Series 2006-C5, Class AM 5.34%, 12/15/39 | 1,850 | 2,035,823 | |||||||||||||
Series 2007-C2, Class A2 5.45%, 1/15/49 (b) | 87 | 87,571 | |||||||||||||
Series 2007-C4, Class A3 5.76%, 9/15/39 (b) | 2,815 | 2,957,141 | |||||||||||||
Series 2007-C5, Class AAB 5.62%, 9/15/40 (b) | 1,887 | 2,003,186 | |||||||||||||
First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b) | 1,312 | 1,379,663 | |||||||||||||
Greenwich Capital Commercial Funding Corp.: | |||||||||||||||
Series 2006-GG7, Class AM 5.87%, 7/10/38 (b) | 1,610 | 1,804,916 | |||||||||||||
Series 2007-GG9, Class A4 5.44%, 3/10/39 | 2,110 | 2,404,039 | |||||||||||||
GS Mortgage Securities Corp. II: | |||||||||||||||
Series 2006-GG6, Class AM 5.62%, 4/10/38 (b) | 3,680 | 4,047,650 | |||||||||||||
Series 2013-GC10, Class B 3.68%, 2/10/46 (a) | 1,995 | 2,052,203 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||||||||||||||
Series 2004-LN2, Class A2 5.12%, 7/15/41 | 2,315 | 2,427,796 | |||||||||||||
Series 2007-CB18, Class A4 5.44%, 6/12/47 | 2,110 | 2,400,098 | |||||||||||||
Series 2007-CB19, Class A4 5.71%, 2/12/49 (b) | 2,140 | 2,467,893 | |||||||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.86%, 7/15/40 (b) | 4,745 | 5,496,024 | |||||||||||||
Morgan Stanley Capital I, Series 2007-IQ15, Class A2, 5.85%, 6/11/49 (b) | 1,546 | 1,572,758 | |||||||||||||
Talisman Finance Plc, Series 6, Class A, 0.39%, 10/22/16 (b) | EUR | 2,068 | 2,497,191 | ||||||||||||
Titan Europe Plc, Series 2007-1X, Class A, 0.76%, 1/20/17 (b) | GBP | 2,548 | 3,247,238 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.93%, 2/15/51 (b) | USD | 2,030 | 2,342,975 | ||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B 4.31%, 8/15/45 | 1,085 | 1,176,092 | |||||||||||||
Series 2012-C8, Class C 4.88%, 8/15/45 (b) | 1,395 | 1,525,672 | |||||||||||||
Series 2013-C11, Class D 4.19%, 3/15/45 (a)(b) | 1,400 | 1,338,313 | |||||||||||||
Windermere CMBS Plc, Series XI-X, Class A, 0.76%, 4/24/17 (b) | GBP | 1,816 | 2,612,945 | ||||||||||||
53,408,811 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.7% | |||||||||||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.69%, 3/15/45 (a)(b) | USD | 15,468 | 2,260,560 | ||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.28%, 11/15/45 (a)(b) | 17,039 | 2,439,891 | |||||||||||||
4,700,451 | |||||||||||||||
Total Non-Agency Mortgage-Backed Securities — 11.6% | 76,462,957 |
Other Interests (l) | Beneficial Interest (000) | Value | |||||||||||||
Auto Components — 0.0% | |||||||||||||||
Lear Corp. Escrow | USD | 1,000 | $ | 25,000 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||||||
J.G. Wentworth LLC Preferred Equity Interests (d) | 1 | 887,943 | |||||||||||||
Household Durables — 0.0% | |||||||||||||||
Berkline Benchcraft Equity LLC (c)(d) | 3 | — | |||||||||||||
Total Other Interests — 0.1% | 912,943 | ||||||||||||||
Preferred Securities | Shares | ||||||||||||||
Preferred Stocks | |||||||||||||||
Auto Components — 0.2% | |||||||||||||||
Dana Holding Corp., 4.00% (a)(f) | 9,210 | 1,306,669 | |||||||||||||
Trust Preferreds | |||||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) | 121,020 | 3,229,511 | |||||||||||||
Total Preferred Securities — 0.7% | 4,536,180 | ||||||||||||||
Taxable Municipal Bonds | Par (000) | ||||||||||||||
State of California, GO: | |||||||||||||||
5.65%, 4/01/39 (b) | USD | 455 | 456,920 | ||||||||||||
Various Purpose 3, Mandatory Put Bonds, 5.10%, 8/01/14 | 1,350 | 1,396,116 | |||||||||||||
Total Taxable Municipal Bonds — 0.3% | 1,853,036 | ||||||||||||||
US Government Sponsored Agency Securities | |||||||||||||||
Collateralized Mortgage Obligations — 0.5% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities, Series 3986, Class M, 4.50%, 9/15/41 | 2,999 | 3,324,427 | |||||||||||||
Interest Only Collateralized Mortgage Obligations — 1.6% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities: | |||||||||||||||
Series 2010-126, Class UI, 5.50%, 10/25/40 | 10,823 | 1,591,205 | |||||||||||||
Series 2012-M9, Class X1, 4.08%, 12/25/17 (b) | 21,101 | 3,414,663 | |||||||||||||
Freddie Mac Mortgage-Backed Securities (b): | |||||||||||||||
Series K021, Class X1, 1.51%, 6/25/22 | 11,126 | 1,238,611 | |||||||||||||
Series K707, Class X1, 1.56%, 12/25/18 | 43,228 | 3,370,807 | |||||||||||||
Series K710, Class X1, 1.78%, 5/25/19 | 13,412 | 1,264,027 | |||||||||||||
10,879,313 | |||||||||||||||
Mortgage-Backed Securities — 5.7% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities (e): | |||||||||||||||
5.00%, 7/01/20 – 8/01/23 | 10,130 | 10,979,879 | |||||||||||||
3.50%, 8/01/26 | 10,844 | 11,661,866 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 (e) | 13,595 | 14,786,864 | |||||||||||||
37,428,609 | |||||||||||||||
Total US Government Sponsored Agency Securities — 7.8% | 51,632,349 | ||||||||||||||
Total Long-Term Investments (Cost — $987,782,783) — 152.0% | 1,004,595,263 |
40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Short-Term Securities | Shares | Value | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (m)(n) | 2,366,919 | $ | 2,366,919 | |||||||||||
Total Short-Term Securities (Cost — $2,366,919) — 0.3% | 2,366,919 |
Options Purchased | Value | ||||||||||||||
(Cost — $44,978) — 0.0% | — | ||||||||||||||
Total Investments (Cost — $990,194,680) — 152.3% | $ | 1,006,962,182 | |||||||||||||
Liabilities in Excess of Other Assets — (52.3)% | (345,824,583 | ) | |||||||||||||
Net Assets — 100.0% | $ | 661,137,599 |
Notes to Schedule of Investments
(a) | 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. | |||||
(b) | Variable rate security. Rate shown is as of report date. | |||||
(c) | Non-income producing security. | |||||
(d) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||||
(e) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. | |||||
(f) | Convertible security. | |||||
(g) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. | |||||
(h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. | |||||
(i) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | | Value | | Unrealized Appreciation | ||||||
Citigroup, Inc | $ | 2,242,560 | $ | 15,558 | ||||||
Pershing LLC | $ | 1,491,240 | $ | 19,724 |
(j) | Security is perpetual in nature and has no stated maturity date. | |||||
(k) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. | |||||
(l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||||
(m) | Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | | Shares Held at August 31, 2012 | | Net Activity | | Shares Held at February 28, 2013 | | Income | | Realized Gain | ||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 2,323,267 | 43,652 | 2,366,919 | $ | 4,226 | $ | 115 |
(n) | Represents the current yield as of report date. | |||||
• | Reverse repurchase agreements outstanding as of February 28, 2013 were as follows: |
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
Credit Suisse Securties (USA) LLC | 0.60% | 8/22/12 | Open | $ | 426,020 | $ | 427,376 | |||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 8/24/12 | Open | 735,687 | 738,198 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 8/29/12 | Open | 315,000 | 316,046 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 8/30/12 | Open | 341,325 | 342,453 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 9/10/12 | Open | 419,012 | 420,206 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 9/12/12 | Open | 435,395 | 436,629 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 9/13/12 | Open | 776,950 | 779,321 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 9/19/12 | Open | 3,882,238 | 3,892,785 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 9/19/12 | Open | 921,553 | 924,025 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 9/19/12 | Open | 821,406 | 823,794 | |||||||||||||||||
UBS Securities LLC | 0.65% | 9/26/12 | Open | 698,828 | 700,796 | |||||||||||||||||
UBS Securities LLC | 0.34% | 9/28/12 | Open | 3,074,638 | 3,079,109 | |||||||||||||||||
UBS Securities LLC | 0.65% | 10/04/12 | Open | 1,637,685 | 1,642,032 | |||||||||||||||||
Barclays Capital, Inc. | 0.65% | 10/10/12 | Open | 1,128,000 | 1,130,872 | |||||||||||||||||
UBS Securities LLC | 0.65% | 10/15/12 | Open | 513,300 | 514,560 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.37% | 10/17/12 | Open | 803,500 | 804,607 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/22/12 | Open | 997,688 | 999,849 | |||||||||||||||||
Barclays Capital, Inc. | 0.55% | 10/26/12 | Open | 1,542,373 | 1,545,342 | |||||||||||||||||
Barclays Capital, Inc. | 0.65% | 10/26/12 | Open | 1,608,900 | 1,612,560 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 10/26/12 | Open | 1,147,006 | 1,149,616 | |||||||||||||||||
UBS Securities LLC | (0.50%) | 10/26/12 | Open | 885,588 | 884,038 | |||||||||||||||||
UBS Securities LLC | 0.10% | 10/26/12 | Open | 1,922,460 | 1,923,133 | |||||||||||||||||
UBS Securities LLC | 0.60% | 10/26/12 | Open | 2,222,700 | 2,227,368 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of February 28, 2013 were as follows (continued):
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
UBS Securities LLC | 0.65% | 10/26/12 | Open | $ | 2,533,800 | $ | 2,539,564 | |||||||||||||||
Credit Suisse Securties (USA) LLC | 0.70% | 10/30/12 | Open | 1,168,738 | 1,171,487 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 11/01/12 | Open | 4,156,238 | 4,165,243 | |||||||||||||||||
Barclays Capital, Inc. | 0.50% | 11/06/12 | Open | 244,531 | 244,922 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 11/07/12 | Open | 921,444 | 923,195 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 11/16/12 | Open | 688,185 | 689,390 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 11/19/12 | Open | 2,713,226 | 2,718,224 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.75% | 11/19/12 | Open | 1,048,125 | 1,050,352 | |||||||||||||||||
Credit Suisse Securties (USA) LLC | 0.65% | 11/19/12 | 12/31/22 | 204,500 | 204,873 | |||||||||||||||||
UBS Securities LLC | 0.65% | 11/20/12 | Open | 527,590 | 528,552 | |||||||||||||||||
Citigroup Global Markets, Inc. | (1.50%) | 11/28/12 | Open | 635,050 | 632,616 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 12/05/12 | Open | 567,956 | 568,770 | |||||||||||||||||
UBS Securities LLC | 0.65% | 12/06/12 | Open | 585,612 | 586,511 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.75% | 12/10/12 | Open | 1,107,000 | 1,108,868 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 12/11/12 | Open | 3,672,816 | 3,675,637 | |||||||||||||||||
Barclays Capital, Inc. | 0.40% | 12/11/12 | Open | 16,527,760 | 16,542,267 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 12/11/12 | Open | 9,235,815 | 9,247,976 | |||||||||||||||||
Barclays Capital, Inc. | 0.65% | 12/11/12 | Open | 2,243,392 | 2,246,592 | |||||||||||||||||
UBS Securities LLC | (0.25%) | 12/13/12 | Open | 890,514 | 890,032 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 12/14/12 | Open | 221,530 | 221,815 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.37% | 12/17/12 | Open | 44,388,958 | 44,422,262 | |||||||||||||||||
UBS Securities LLC | 0.70% | 12/19/12 | Open | 2,314,600 | 2,317,795 | |||||||||||||||||
Citigroup Global Markets, Inc. | (0.38%) | 1/09/13 | Open | 528,592 | 528,312 | |||||||||||||||||
Barclays Capital, Inc. | 0.55% | 1/15/13 | Open | 1,107,636 | 1,108,398 | |||||||||||||||||
Barclays Capital, Inc. | 0.65% | 1/15/13 | Open | 594,529 | 595,012 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (2.75%) | 1/15/13 | Open | 452,000 | 450,481 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (1.00%) | 1/15/13 | Open | 581,000 | 580,290 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (0.63%) | 1/15/13 | Open | 2,335,000 | 2,333,216 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (0.50%) | 1/15/13 | Open | 851,000 | 850,480 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.50% | 1/15/13 | Open | 1,416,000 | 1,416,865 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 1/15/13 | Open | 13,413,000 | 13,422,016 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.57% | 1/15/13 | Open | 8,261,000 | 8,266,754 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 1/15/13 | Open | 5,435,000 | 5,438,853 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 1/15/13 | Open | 6,431,000 | 6,435,716 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.65% | 1/15/13 | Open | 3,825,000 | 3,828,039 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.70% | 1/15/13 | Open | 4,224,000 | 4,227,614 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.57% | 1/17/13 | Open | 1,400,729 | 1,401,682 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.65% | 1/17/13 | Open | 900,900 | 901,599 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.70% | 1/17/13 | Open | 1,677,645 | 1,679,015 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (0.10%) | 1/18/13 | Open | 1,123,744 | 1,123,613 | |||||||||||||||||
UBS Securities LLC | (0.50%) | 1/23/13 | Open | 324,205 | 324,043 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 1/30/13 | Open | 2,229,565 | 2,230,643 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.65% | 1/30/13 | Open | 1,122,900 | 1,123,508 | |||||||||||||||||
UBS Securities LLC | 0.50% | 1/30/13 | Open | 2,833,920 | 2,835,101 | |||||||||||||||||
UBS Securities LLC | 0.60% | 1/30/13 | Open | 1,981,206 | 1,982,197 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 1/31/13 | Open | 1,685,000 | 1,685,747 | |||||||||||||||||
UBS Securities LLC | 0.65% | 1/31/13 | Open | 547,200 | 547,487 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 1/31/13 | Open | 2,316,270 | 2,317,315 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 2/01/13 | Open | 3,268,860 | 3,270,334 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.70% | 2/06/13 | Open | 1,151,700 | 1,152,215 | |||||||||||||||||
Deutsche Bank Securities, Inc. | (0.75%) | 2/06/13 | Open | 408,000 | 407,813 | |||||||||||||||||
UBS Securities LLC | 0.54% | 2/06/13 | Open | 646,747 | 646,961 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/06/13 | Open | 473,417 | 473,569 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 2/07/13 | Open | 4,294,439 | 4,295,316 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 2/07/13 | Open | 13,883,962 | 13,888,819 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.60% | 2/07/13 | Open | 407,469 | 407,611 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.65% | 2/07/13 | Open | 4,201,990 | 4,203,583 | |||||||||||||||||
UBS Securities LLC | 0.00% | 2/07/13 | Open | 576,600 | 576,600 | |||||||||||||||||
UBS Securities LLC | 0.00% | 2/07/13 | Open | 442,225 | 442,225 | |||||||||||||||||
UBS Securities LLC | 0.25% | 2/07/13 | Open | 1,048,688 | 1,048,840 | |||||||||||||||||
UBS Securities LLC | 0.34% | 2/07/13 | Open | 3,334,275 | 3,334,936 | |||||||||||||||||
UBS Securities LLC | 0.35% | 2/07/13 | Open | 3,594,088 | 3,594,821 | |||||||||||||||||
UBS Securities LLC | 0.45% | 2/07/13 | Open | 866,250 | 866,477 | |||||||||||||||||
UBS Securities LLC | 0.55% | 2/07/13 | Open | 8,414,156 | 8,416,854 |
42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of February 28, 2013 were as follows (concluded):
Counterparty | | Interest Rate | | Trade Date | | Maturity Date | | Face Value | | Face Value Including Accrued Interest | ||||||||||||
UBS Securities LLC | 0.60% | 2/07/13 | Open | $ | 3,038,725 | $ | 3,039,789 | |||||||||||||||
UBS Securities LLC | 0.65% | 2/07/13 | Open | 2,396,200 | 2,397,109 | |||||||||||||||||
Barclays Capital, Inc. | 0.55% | 2/08/13 | Open | 1,938,969 | 1,939,591 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 2/08/13 | Open | 483,060 | 483,223 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 2/08/13 | Open | 1,170,163 | 1,170,502 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/11/13 | 3/1/13 | 354,275 | 354,337 | |||||||||||||||||
Barclays Capital, Inc. | 0.30% | 2/11/13 | 3/12/13 | 36,329,327 | 36,333,932 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 2/15/13 | Open | 606,506 | 606,648 | |||||||||||||||||
UBS Securities LLC | 0.60% | 2/15/13 | Open | 1,329,437 | 1,329,747 | |||||||||||||||||
UBS Securities LLC | 0.65% | 2/19/13 | Open | 166,058 | 166,088 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 2/20/13 | Open | 520,569 | 520,614 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/20/13 | Open | 3,318,929 | 3,319,386 | |||||||||||||||||
UBS Securities LLC | 0.55% | 2/20/13 | Open | 1,204,613 | 1,204,778 | |||||||||||||||||
UBS Securities LLC | 0.57% | 2/20/13 | Open | 773,500 | 773,610 | |||||||||||||||||
UBS Securities LLC | 0.65% | 2/20/13 | Open | 1,163,323 | 1,163,512 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.60% | 2/20/13 | Open | 650,177 | 650,264 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 2/20/13 | Open | 2,512,000 | 2,512,325 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.25% | 2/22/13 | Open | 779,512 | 779,550 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/22/13 | Open | 6,335,577 | 6,336,256 | |||||||||||||||||
UBS Securities LLC | 0.55% | 2/25/13 | Open | 978,510 | 978,555 | |||||||||||||||||
UBS Securities LLC | 0.65% | 2/27/13 | Open | 1,855,622 | 1,855,656 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.25% | 2/28/13 | Open | 690,357 | 690,362 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/13 | Open | 4,527,554 | 4,527,625 | |||||||||||||||||
Total | $ | 311,588,502 | $ | 311,806,087 | ||||||||||||||||||
• Financial futures contracts as of February 28, 2013 were as follows:
Contracts Purchased | | Issue | | Exchange | | Expiration | | Notional Value | | Unrealized Appreciation | | |||||||
8 | 90-Day Euro-Dollar | Chicago Mercantile | March 2013 | USD | 1,994,100 | $ | 31,378 | |||||||||||
6 | 90-Day Euro-Dollar | Chicago Mercantile | June 2013 | USD | 1,495,350 | 27,434 | ||||||||||||
6 | 90-Day Euro-Dollar | Chicago Mercantile | September 2013 | USD | 1,495,050 | 30,809 | ||||||||||||
6 | 90-Day Euro-Dollar | Chicago Mercantile | December 2013 | USD | 1,494,675 | 34,108 | ||||||||||||
6 | 90-Day Euro-Dollar | Chicago Mercantile | March 2014 | USD | 1,494,300 | 37,033 | ||||||||||||
Total | $ | 160,762 |
• Foreign currency exchange contracts as of February 28, 2013 were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | | |||||||||||||||||||
CAD | 1,690,000 | USD | 1,644,305 | BNP Paribas SA | 4/17/13 | $ | (7,186 | ) | ||||||||||||||||
GBP | 688,000 | USD | 1,083,683 | Citigroup, Inc. | 4/17/13 | (40,199 | ) | |||||||||||||||||
USD | 27,106 | CAD | 27,000 | Citigroup, Inc. | 4/17/13 | 951 | ||||||||||||||||||
USD | 3,290,121 | CAD | 3,246,000 | Deutsche Bank AG | 4/17/13 | 145,690 | ||||||||||||||||||
USD | 1,964,811 | GBP | 1,270,000 | Barclays Plc | 4/17/13 | 38,612 | ||||||||||||||||||
USD | 789,025 | GBP | 517,000 | BNP Paribas SA | 4/17/13 | 4,896 | ||||||||||||||||||
USD | 1,056,722 | GBP | 655,000 | BNP Paribas SA | 4/17/13 | 63,289 | ||||||||||||||||||
USD | 3,248,701 | GBP | 2,142,000 | Citigroup, Inc. | 4/17/13 | (53 | ) | |||||||||||||||||
USD | 1,308,571 | GBP | 845,000 | Citigroup, Inc. | 4/17/13 | 26,967 | ||||||||||||||||||
USD | 37,116,486 | GBP | 23,170,000 | Goldman Sachs Group, Inc. | 4/17/13 | 1,974,741 | ||||||||||||||||||
USD | 160,147 | GBP | 101,000 | Royal Bank of Scotland Group Plc | 4/17/13 | 6,961 | ||||||||||||||||||
USD | 1,255,848 | EUR | 940,000 | BNP Paribas SA | 4/23/13 | 28,189 | ||||||||||||||||||
USD | 132,496 | EUR | 101,000 | Citigroup, Inc. | 4/23/13 | 588 | ||||||||||||||||||
USD | 212,334 | EUR | 157,000 | Citigroup, Inc. | 4/23/13 | 7,289 | ||||||||||||||||||
USD | 25,093,640 | EUR | 18,832,000 | Citigroup, Inc. | 4/23/13 | 498,681 | ||||||||||||||||||
USD | 133,466 | EUR | 100,178 | Deutsche Bank AG | 4/23/13 | 2,632 | ||||||||||||||||||
USD | 346,441 | EUR | 260,000 | Goldman Sachs Group, Inc. | 4/23/13 | 6,876 | ||||||||||||||||||
USD | 134,959 | EUR | 100,000 | Royal Bank of Scotland Group Plc | 4/23/13 | 4,357 | ||||||||||||||||||
USD | 285,556 | EUR | 213,000 | Royal Bank of Scotland Group Plc | 4/23/13 | 7,373 | ||||||||||||||||||
USD | 83,120 | EUR | 63,000 | UBS AG | 4/23/13 | 841 | ||||||||||||||||||
USD | 90,189 | EUR | 67,000 | UBS AG | 4/23/13 | 2,686 | ||||||||||||||||||
USD | 135,284 | EUR | 101,000 | UBS AG | 4/23/13 | 3,376 | ||||||||||||||||||
Total | $ | 2,777,557 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• Over-the-counter options purchased as of February 28, 2013 were as follows:
Description | | Counterparty | | Put/ Call | | Strike Price | | Expiration Date | | Contracts | | Market Value | | ||||||||||||||||||
Marsico Parent Superholdco LLC | Goldman Sachs Group, Inc. | Call | USD | 942.86 | 12/14/19 | 46 | — |
• Credit default swaps—buy protection outstanding as of February 28, 2013 were as follows:
Issuer/Index | | Pay Fixed Rate | | Counterparty | | Expiration Date | | Notional Amount (000) | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||
Dow Jones CDX North America Investment Grade Index Series 16, Version 1 | 1.00% | Morgan Stanley | 6/20/16 | USD | 7,700 | $ | (83,509 | ) | |||||||||||||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (17 | ) | ||||||||||||||||||||
Westpac Banking Corp. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (17 | ) | ||||||||||||||||||||
Total | $ | (83,543 | ) |
• Credit default swaps—sold protection outstanding as of February 28, 2013 were as follows:
Issuer/Index | | Receive Fixed Rate | | Counterparty | | Expiration Date | | Credit Rating1 | | Notional Amount (000)2 | | Unrealized Appreciation (Depreciation) | | ||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 12/20/15 | CCC | USD | 357 | $ | 46,667 | |||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 12/20/15 | CCC | USD | 172 | 16,862 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 145 | 17,635 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 580 | 65,188 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 12/20/15 | CCC | USD | 626 | 105,388 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | UBS AG | 12/20/15 | CCC | USD | 840 | 78,752 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 75 | 3,445 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/16 | CCC | USD | 72 | 1,263 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Citigroup, Inc. | 3/20/16 | CCC | USD | 79 | 1,761 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 247 | 19,234 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 739 | 47,639 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 165 | 8,440 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 634 | 622 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/16 | CCC | USD | 247 | 19,234 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | JPMorgan Chase & Co. | 3/20/16 | CCC | USD | 82 | 3,005 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 499 | 29,460 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 6/20/16 | CCC | USD | 970 | 48,181 | ||||||||||||||||||||||||
Dow Jones CDX North America Investment Grade Index Series 16, Version 1 | 1.00% | Morgan Stanley | 6/20/16 | BB | USD | 7,700 | 175,559 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Plc | 3/20/17 | CCC | USD | 72 | 541 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 147 | 1,829 | ||||||||||||||||||||||||
Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs Group, Inc. | 3/20/17 | CCC | USD | 453 | (3,447 | ) | |||||||||||||||||||||||
Total | $ | 687,258 |
1 | Using S&P’s rating of the issuer. |
2 | The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of agreement. |
• | Interest rate swaps outstanding as of February 28, 2013 were as follows: |
Fixed Rate | | Floating Rate | | Counterparty/Exchange | | Expiration Date | | Notional Amount (000) | | Unrealized Depreciation | | ||||||||||||||||
1.10%3 | 3-month LIBOR | Deutsche Bank AG | 5/14/17 | USD | 14,500 | $ | (219,310 | ) |
3 | Fund pays the fixed rate and receives the floating rate. |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: | |||||
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Fund has the ability to access | |||||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. | ||||||
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | $ | 31,649,123 | $ | 27,924,393 | $ | 59,573,516 | |||||||||||
Common Stocks | — | 2,474,286 | 3,774,315 | 6,248,601 | ||||||||||||||
Corporate Bonds | — | 464,854,049 | 7,850,062 | 472,704,111 | ||||||||||||||
Floating Rate Loan Interests | — | 288,929,192 | 41,742,378 | 330,671,570 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 75,124,644 | 1,338,313 | 76,462,957 | ||||||||||||||
Other Interests | — | — | 912,943 | 912,943 | ||||||||||||||
Preferred Securities | $ | 3,229,511 | 1,306,669 | — | 4,536,180 | |||||||||||||
Taxable Municipal Bonds | — | 1,853,036 | — | 1,853,036 | ||||||||||||||
US Government Sponsored Agency Securities | — | 51,632,349 | — | 51,632,349 | ||||||||||||||
Short-Term Securities | 2,366,919 | — | — | 2,366,919 | ||||||||||||||
Total | $ | 5,596,430 | $ | 917,823,348 | $ | 83,542,404 | $ | 1,006,962,182 |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Derivative Financial Instruments1 | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | $ | 160,762 | — | — | $ | 160,762 | ||||||||||||
Foreign currency exchange contracts | — | $ | 2,824,995 | — | 2,824,995 | |||||||||||||
Credit contracts | — | 690,705 | — | 690,705 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | — | (219,310 | ) | — | (219,310 | ) | ||||||||||||
Foreign currency exchange contracts | — | (47,438 | ) | — | (47,438 | ) | ||||||||||||
Credit contracts | — | (86,990 | ) | — | (86,990 | ) | ||||||||||||
Total | $ | 160,762 | $ | 3,161,962 | — | $ | 3,222,724 |
1 | Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
Certain of the Fund’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
| Level 1 | | Level 2 | | Level 3 | | Total | |||||||||||
Assets: | ||||||||||||||||||
Cash pledged as collateral for financial futures contracts | $ | 15,500 | — | — | $ | 15,500 | ||||||||||||
Liabilities: | ||||||||||||||||||
Bank overdraft | — | $ | (940,679 | ) | — | (940,679 | ) | |||||||||||
Bank overdraft on foreign currency at value | — | (1,618,646 | ) | — | (1,618,646 | ) | ||||||||||||
Cash received as collateral for swaps | — | (1,200,000 | ) | — | (1,200,000 | ) | ||||||||||||
Reverse repurchase agreements | — | (311,588,502 | ) | — | (311,588,502 | ) | ||||||||||||
Total | $ | 15,500 | $ | (315,347,827 | ) | — | $ | (315,332,327 | ) |
There were no transfers between Level 1 and Level 2 during the six months ended February 28, 2013. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 45 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited Duration Income Trust (BLW) |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value: |
| Asset-Backed Securities | | Common Stocks | | Corporate Bonds | | Floating Rate Loan Interests | | Non-Agency Mortgage Backed | | Other Interests | | Total | |||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2012 | $ | 9,845,241 | $ | 2,007,283 | $ | 1,727 | $ | 38,594,979 | — | $ | 1,608,923 | $ | 52,058,153 | |||||||||||||||||
Transfers into Level 31 | — | 22,945 | 9,145,125 | 6,470,114 | — | — | 15,638,184 | |||||||||||||||||||||||
Transfers out of Level 32 | — | — | — | (7,121,367 | ) | — | — | (7,121,367 | ) | |||||||||||||||||||||
Accrued discounts/premiums | (470,911 | ) | — | (17,982 | ) | 65,449 | — | 18,810 | (404,634 | ) | ||||||||||||||||||||
Net realized gain (loss) | 65,279 | — | 11,578 | (108,690 | ) | — | — | (31,833 | ) | |||||||||||||||||||||
Net change in unrealized appreciation/depreciation3 | 1,072,279 | 1,474,842 | (2,203,610 | ) | 962,859 | $ | 16,283 | 136,210 | 1,458,863 | |||||||||||||||||||||
Purchases | 18,975,721 | 269,245 | 1,175,000 | 11,423,588 | 1,322,030 | 10,000 | 33,175,584 | |||||||||||||||||||||||
Sales | (1,563,216 | ) | — | (261,776 | ) | (8,544,554 | ) | — | (861,000 | ) | (11,230,546 | ) | ||||||||||||||||||
Closing Balance, as of February 28, 2013 | $ | 27,924,393 | $ | 3,774,315 | $ | 7,850,062 | $ | 41,742,378 | $ | 1,338,313 | $ | 912,943 | $ | 83,542,404 |
1 | As of August 31, 2012, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $7,121,367 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $15,638,184 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of February 28, 2013 was $ 1,096,578. |
The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2013. The table does not include Level 3 investments with values derived utilizing third party pricing information without adjustment. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The value of Level 3 investments derived using third party pricing information is $72,727,794.
| Value | | Valuation Techniques | | Unobservable Inputs4 | | Range of Unobservable Inputs Utilized | | ||||||||||||||
Assets: | ||||||||||||||||||||||
Common Stocks | $ | 2,594,787 | Market Comparable Companies | EBITDA Multiple | 6.56x | |||||||||||||||||
Corporate Bonds | 1,727 | Estimated Final Distribution | Recovery Rate | 0.05% | ||||||||||||||||||
1,175,000 | Cost5 | N/A | — | |||||||||||||||||||
Floating Rate Loan Interests | 3,293,096 | Discounted Cash Flow | Yield | 9.50% | ||||||||||||||||||
3,750,000 | Cost5 | N/A | — | |||||||||||||||||||
Total | $ | 10,814,610 |
4 | A change to the unobservable input may result in significant change to the value of the investment as follows: |
Unobservable Input | | Impact to Value if Input Increases | | Impact to Value if Input Decreases | ||||||
EBITDA Multiple | Increase | Decrease | ||||||||
Recovery Rate | Increase | Decrease | ||||||||
Yield | Decrease | Increase |
5 | The Fund fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund. |
46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Assets and Liabilities |
February 28, 2013 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 | BlackRock Limited Duration Income Trust (BLW)1 | ||||||||||||
Assets | |||||||||||||||
Investments at value — unaffiliated2 | $ | 195,768,037 | $ | 857,521,624 | $ | 1,004,595,263 | |||||||||
Investments at value — affiliated3 | 4,275,893 | 14,430,590 | 2,366,919 | ||||||||||||
Cash | — | 1,844,191 | — | ||||||||||||
Cash pledged as collateral for financial futures contracts | — | — | 15,500 | ||||||||||||
Cash pledged as collateral for swaps | — | 620,000 | — | ||||||||||||
Investments sold receivable | 5,597,631 | 24,518,124 | 31,944,064 | ||||||||||||
Principal paydown receivable | 1,367,275 | 2,437,814 | 3,009,233 | ||||||||||||
Interest receivable | 984,724 | 4,463,851 | 9,455,794 | ||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 156,557 | 616,559 | 2,824,995 | ||||||||||||
Foreign currency at value4 | 141,316 | 12,535 | — | ||||||||||||
Unrealized appreciation on swaps | 66,901 | 372,158 | 690,705 | ||||||||||||
Swaps receivable | 8,062 | 47,187 | 214,966 | ||||||||||||
Unrealized appreciation on unfunded loan commitments | 180 | 777 | — | ||||||||||||
Variation margin receivable | — | — | 909 | ||||||||||||
Swap premiums paid | — | — | 29 | ||||||||||||
Prepaid expenses | 3,510 | 7,070 | 34,234 | ||||||||||||
Income tax refund receivable | — | 18,024 | — | ||||||||||||
Other assets | — | — | 799,178 | ||||||||||||
Total assets | 208,370,086 | 906,910,504 | 1,055,951,789 | ||||||||||||
Liabilities | |||||||||||||||
Bank overdraft | 313,625 | — | 940,679 | ||||||||||||
Reverse repurchase agreements | — | — | 311,588,502 | ||||||||||||
Loan payable | 48,000,000 | 208,000,000 | — | ||||||||||||
Investments purchased payable | 28,933,304 | 124,472,087 | 75,753,058 | ||||||||||||
Swap premiums received | 245,055 | 1,351,778 | 2,146,236 | ||||||||||||
Bank overdraft on foreign currency4 | — | — | 1,618,646 | ||||||||||||
Cash received as collateral for swaps | — | — | 1,200,000 | ||||||||||||
Investment advisory fees payable | 136,848 | 451,308 | 405,372 | ||||||||||||
Interest expense payable | 35,371 | 137,005 | 213,489 | ||||||||||||
Officer’s and Directors’ fees payable | 742 | 10,500 | 240,363 | ||||||||||||
Unrealized depreciation on swaps | 682 | 2,961 | 306,300 | ||||||||||||
Swaps payable | — | — | 62,649 | ||||||||||||
Unrealized depreciation on foreign currency exchange contracts | — | 14,902 | 47,438 | ||||||||||||
Deferred capital gains tax payable | — | 18,096 | — | ||||||||||||
Income dividends payable | — | — | 11 | ||||||||||||
Reorganization costs payable | — | 298,422 | — | ||||||||||||
Other accrued expenses payable | 153,558 | 495,895 | 291,447 | ||||||||||||
Total liabilities | 77,819,185 | 335,252,954 | 394,814,190 | ||||||||||||
Net Assets | $ | 130,550,901 | $ | 571,657,550 | $ | 661,137,599 | |||||||||
Net Assets Consist of | |||||||||||||||
Paid-in capital5,6,7 | $ | 128,180,168 | $ | 633,990,230 | $ | 703,095,036 | |||||||||
Undistributed net investment income | 1,564,291 | 825,502 | 4,181,077 | ||||||||||||
Accumulated net realized loss | (2,931,966 | ) | (68,255,838 | ) | (66,262,971 | ) | |||||||||
Net unrealized appreciation/depreciation | 3,738,408 | 5,097,656 | 20,124,457 | ||||||||||||
Net Assets | $ | 130,550,901 | $ | 571,657,550 | $ | 661,137,599 | |||||||||
Net asset value per share | $ | 14.45 | $ | 15.37 | $ | 17.87 | |||||||||
1 Consolidated Statement of Assets and Liabilities | |||||||||||||||
2 Investments at cost — affiliated | $ | 4,275,893 | $ | 14,430,590 | $ | 2,366,919 | |||||||||
3 Investments at cost — unaffiliated | $ | 192,279,003 | $ | 853,531,682 | $ | 987,827,761 | |||||||||
4 Foreign currency at cost | $ | 143,436 | $ | 12,749 | $ | (1,623,727 | ) | ||||||||
5 Par value per share | $ | 0.001 | $ | 0.10 | $ | 0.001 | |||||||||
6 Shares outstanding | 9,034,519 | 37,196,872 | 36,988,668 | ||||||||||||
7 Shares authorized | unlimited | 200 million | unlimited |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 47 |
Statements of Operations |
Six Months Ended February 28, 2013 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 | BlackRock Limited Duration Income Trust (BLW)1 | ||||||||||||
Investment Income | |||||||||||||||
Interest | $ | 5,244,389 | $ | 21,028,649 | $ | 28,195,437 | |||||||||
Dividends — unaffiliated | — | — | 6,000 | ||||||||||||
Dividends — affiliated | 492 | 1,622 | 4,226 | ||||||||||||
Total income | 5,244,881 | 21,030,271 | 28,205,663 | ||||||||||||
Expenses | |||||||||||||||
Investment advisory | 872,674 | 2,582,894 | 2,605,732 | ||||||||||||
Custodian | 38,840 | 119,369 | 97,178 | ||||||||||||
Professional | 36,671 | 68,922 | 62,276 | ||||||||||||
Borrowing costs2 | 32,562 | 122,569 | — | ||||||||||||
Accounting services | 18,878 | 50,910 | 59,563 | ||||||||||||
Transfer agent | 12,145 | 39,725 | 39,936 | ||||||||||||
Reorganization | — | 67,096 | — | ||||||||||||
Officer and Directors | 5,687 | 17,042 | 39,668 | ||||||||||||
Registration | 4,677 | 9,146 | 6,268 | ||||||||||||
Printing | 2,617 | 30,058 | 13,473 | ||||||||||||
Miscellaneous | 12,611 | 51,058 | 27,008 | ||||||||||||
Total expenses excluding interest expense and income tax | 1,037,362 | 3,158,789 | 2,951,102 | ||||||||||||
Interest expense | 219,735 | 887,229 | 713,564 | ||||||||||||
Income tax | — | 60,285 | — | ||||||||||||
Total expenses | 1,257,097 | 4,106,303 | 3,664,666 | ||||||||||||
Less fees waived by Manager | (227 | ) | (730 | ) | (2,252 | ) | |||||||||
Total expenses after fees waived | 1,256,870 | 4,105,573 | 3,662,414 | ||||||||||||
Net investment income | 3,988,011 | 16,924,698 | 24,543,249 | ||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investments | 1,759,796 | 7,130,780 | 11,759,735 | ||||||||||||
Investments — affiliated | — | — | 115 | ||||||||||||
Financial futures contracts | — | — | (468,285 | ) | |||||||||||
Foreign currency transactions | (348,994 | ) | (953,853 | ) | (2,466,231 | ) | |||||||||
Options written | — | — | 75,600 | ||||||||||||
Swaps | (117,714 | ) | (183,697 | ) | (898,791 | ) | |||||||||
1,293,088 | 5,993,230 | 8,002,143 | |||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||
Investments | 1,223,657 | 4,271,556 | 3 | 8,658,250 | |||||||||||
Financial futures contracts | — | — | 240,726 | ||||||||||||
Foreign currency translations | 314,797 | 947,370 | 3,121,043 | ||||||||||||
Options written | — | — | (3,222 | ) | |||||||||||
Swaps | 132,539 | 515,904 | 864,664 | ||||||||||||
Unfunded loan commitments | 180 | 777 | — | ||||||||||||
1,671,173 | 5,735,607 | 12,881,461 | |||||||||||||
Total realized and unrealized gain | 2,964,261 | 11,728,837 | 20,883,604 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 6,952,272 | $ | 28,653,535 | $ | 45,426,853 |
1 | Consolidated Statement of Operations. |
2 | See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
3 | Net of capital gain tax of $18,096. |
48 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Changes in Net Assets |
BlackRock Defined Opportunity Credit Trust (BHL) | | ||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | |||||||||
Operations | |||||||||||
Net investment income | $ | 3,988,011 | $ | 7,715,971 | |||||||
Net realized gain | 1,293,088 | 341,628 | |||||||||
Net change in unrealized appreciation/depreciation | 1,671,173 | 7,717,270 | |||||||||
Net increase in net assets resulting from operations | 6,952,272 | 15,774,869 | |||||||||
Dividends to Shareholders From | |||||||||||
Net investment income | (3,963,060 | ) | (7,217,171 | )1 | |||||||
Capital Share Transactions | |||||||||||
Reinvestment of dividends | 107,096 | — | |||||||||
Net Assets | |||||||||||
Total increase in net assets | 3,096,308 | 8,557,698 | |||||||||
Beginning of period | 127,454,593 | 118,896,895 | |||||||||
End of period | $ | 130,550,901 | $ | 127,454,593 | |||||||
Undistributed net investment income | $ | 1,564,291 | $ | 1,539,340 |
1 | Dividends are determined in accordance with federal income tax regulations. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 49 |
Consolidated Statements of Changes in Net Assets |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | BlackRock Limited Duration Income Trust (BLW) | | ||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, 2012 | ||||||||||||||||||||||
Operations | ||||||||||||||||||||||||||
Net investment income | $ | 16,924,698 | $ | 17,932,502 | $ | 24,543,249 | $ | 48,539,048 | ||||||||||||||||||
Net realized gain (loss) | 5,993,230 | (4,997,420 | ) | 8,002,143 | (1,706,968 | ) | ||||||||||||||||||||
Net change in unrealized appreciation/depreciation | 5,735,607 | 21,658,016 | 12,881,461 | 34,080,859 | ||||||||||||||||||||||
Net increase in net assets resulting from operations | 28,653,535 | 34,593,098 | 45,426,853 | 80,912,939 | ||||||||||||||||||||||
Dividends to Shareholders From | ||||||||||||||||||||||||||
Net investment income | (17,732,665 | ) | (17,066,400 | )1 | (27,283,003 | ) | (48,930,681 | )1 | ||||||||||||||||||
Capital Share Transactions | ||||||||||||||||||||||||||
Proceeds issued resulting from reorganization | 283,047,261 | — | — | — | ||||||||||||||||||||||
Reinvestment of dividends | 699,419 | 258,718 | 602,467 | 591,363 | ||||||||||||||||||||||
Net increase in net assets derived from capital share transactions | 283,746,680 | 258,718 | 602,467 | 591,363 | ||||||||||||||||||||||
Net Assets | ||||||||||||||||||||||||||
Total increase in net assets | 294,667,550 | 17,785,416 | 18,746,317 | 32,573,621 | ||||||||||||||||||||||
Beginning of period | 276,990,000 | 259,204,584 | 642,391,282 | 609,817,661 | ||||||||||||||||||||||
End of period | $ | 571,657,550 | $ | 276,990,000 | $ | 661,137,599 | $ | 642,391,282 | ||||||||||||||||||
Undistributed net investment income | $ | 825,502 | $ | 1,633,469 | $ | 4,181,077 | $ | 6,920,831 |
1 | Dividends are determined in accordance with federal income tax regulations. |
50 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Statements of Cash Flows |
Six Months Ended February 28, 2013 | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 | BlackRock Limited Duration Income Trust (BLW)1 | ||||||||||||
Cash Provided by Operating Activities | |||||||||||||||
Net increase in net assets resulting from operations | $ | 6,952,272 | $ | 28,624,527 | $ | 45,426,853 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | |||||||||||||||
Decrease in interest receivable | 169,325 | 176,165 | 2 | 280,590 | |||||||||||
Increase in swap receivable | (8,062 | ) | (47,187 | ) | (195,014 | ) | |||||||||
Increase in income tax refund receivable | — | (18,024 | ) | — | |||||||||||
Increase in cash pledged as collateral for swaps | — | (620,000 | ) | — | |||||||||||
Decrease in variation margin receivable | — | — | 4,066 | ||||||||||||
Decrease in cash pledged as collateral for financial futures contracts | — | — | 430,000 | ||||||||||||
Decrease in cash received as collateral for reverse repurchase agreements | — | — | (1,137,000 | ) | |||||||||||
Increase in cash received as collateral for swaps | — | 1,200,000 | |||||||||||||
Decrease in other assets | — | — | 2,276 | ||||||||||||
Increase in prepaid expenses | (2,486 | ) | (1,791 | )2 | (8,369 | ) | |||||||||
Decrease in investment advisory fees payable | (13,175 | ) | (97,188 | )2 | (16,278 | ) | |||||||||
Increase (decrease) in interest expense payable | (5,097 | ) | 47,279 | 2 | (80,657 | ) | |||||||||
Increase (decrease) in other accrued expenses payable | (42,015 | ) | 16,191 | 2 | (62,560 | ) | |||||||||
Decrease in swaps payable | (17,243 | ) | (38,143 | ) | (97,586 | ) | |||||||||
Decrease in reorganization costs payable | — | (416,536 | )2 | — | |||||||||||
Increase in deferred capital gains tax payable | — | 18,096 | — | ||||||||||||
Increase (decrease) in Officer’s and Directors’ fees payable | (301 | ) | (7,876 | )2 | 96,162 | ||||||||||
Net periodic and termination payments of swaps | 222,997 | 1,379,683 | 1,853,123 | ||||||||||||
Net realized and unrealized gain on investments | (3,257,574 | ) | (12,325,095 | ) | (21,957,598 | ) | |||||||||
Amortization of premium and accretion of discount on investments | (292,813 | ) | (1,018,667 | ) | 489,463 | ||||||||||
Proceeds from sales of long-term investments | 80,894,890 | 343,971,292 | 335,657,178 | ||||||||||||
Purchases of long-term investments | (71,908,318 | ) | (310,963,706 | ) | (353,195,605 | ) | |||||||||
Net proceeds from sales (purchases) of short-term securities | (1,949,452 | ) | (4,070,471 | ) | (43,652 | ) | |||||||||
Cash provided by operating activities | 10,742,948 | 44,608,549 | 8,645,392 | ||||||||||||
Cash Used for Financing Activities | |||||||||||||||
Cash receipts from borrowings | 56,000,000 | 223,000,000 | — | ||||||||||||
Cash payments on borrowings | (63,000,000 | ) | (249,000,000 | ) | — | ||||||||||
Net borrowings of reverse repurchase agreements | — | — | 15,112,867 | ||||||||||||
Cash dividends paid to shareholders | (3,925,300 | ) | (17,033,246 | ) | (26,680,525 | ) | |||||||||
Increase in bank overdraft | 313,625 | — | 2,559,325 | ||||||||||||
Cash used for financing activities | (10,611,675 | ) | (43,033,246 | ) | (9,008,333 | ) | |||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||
Cash impact from foreign exchange fluctuations | (2,249 | ) | (3,352 | ) | (1,658 | ) | |||||||||
Cash and Foreign Currency | |||||||||||||||
Net increase (decrease) in cash and foreign currency | 129,024 | 1,571,951 | (364,599 | ) | |||||||||||
Cash and foreign currency at beginning of period | 12,292 | 284,775 | 364,599 | ||||||||||||
Cash and foreign currency at end of period | $ | 141,316 | $ | 1,856,726 | — | ||||||||||
Cash Flow Information | |||||||||||||||
Cash paid during the period for interest | $ | 224,832 | $ | 839,950 | $ | 794,221 | |||||||||
Non-cash Financing Activities | |||||||||||||||
Fair value of investments acquired through reorganization | — | $ | 426,639,591 | — | |||||||||||
Capital shares issued in reorganization | — | $ | 283,047,261 | — | |||||||||||
Capital shares issued in reinvestment of dividends | $ | 107,096 | $ | 699,419 | $ | 602,467 |
1 | Consolidated Statement of Cash Flows. |
2 | Includes assets and liabilities acquired in reorganization. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 51 |
Financial Highlights | BlackRock Defined Opportunity Credit Trust (BHL) |
Six Months Ended February 28, 2013 (Unaudited) | Year Ended August 31, | | Period January 31, 20081 to August 31, 2008 | ||||||||||||||||||||||||
2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 | $ | 14.31 | $ | 14.33 | 2 | ||||||||||||||
Net investment income3 | 0.44 | 0.85 | 0.86 | 0.85 | 0.87 | 0.47 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.90 | (0.45 | ) | 0.87 | (1.55 | ) | 0.21 | |||||||||||||||||||
Net increase (decrease) from investment operations | 0.77 | 1.75 | 0.41 | 1.72 | (0.68 | ) | 0.68 | ||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||
Net Investment income | (0.44 | ) | (0.80 | )4 | (0.79 | )4 | (0.70 | )4 | (1.09 | )4 | (0.62 | )4 | |||||||||||||||
Tax return of capital | — | — | — | — | (0.01 | )4 | (0.06 | )4 | |||||||||||||||||||
Total dividends and distributions | (0.44 | ) | (0.80 | ) | (0.79 | ) | (0.70 | ) | (1.10 | ) | (0.68 | ) | |||||||||||||||
Capital changes with respect to issuance of shares | — | — | — | — | — | (0.02 | ) | ||||||||||||||||||||
Net asset value, end of period | $ | 14.45 | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 | $ | 14.31 | |||||||||||||||
Market price, end of period | $ | 14.75 | $ | 13.94 | $ | 12.65 | $ | 12.86 | $ | 11.03 | $ | 12.66 | |||||||||||||||
Total Investment Return5 | |||||||||||||||||||||||||||
Based on net asset value | 5.55% | 6 | 13.94% | 2.93% | 14.39% | (2.16)% | 4.79% | 6 | |||||||||||||||||||
Based on market price | 9.13% | 6 | 17.12% | 4.17% | 23.33% | (2.65)% | (11.44)% | 6 | |||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||
Total expenses | 1.96% | 7 | 1.91% | 2.02% | 1.91% | 2.39% | 1.78% | 7 | |||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.96% | 7 | 1.91% | 2.02% | 1.90% | 2.39% | 1.78% | 7 | |||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.62% | 7,8 | 1.61% | 8 | 1.71% | 1.65% | 1.94% | 1.48% | 7 | ||||||||||||||||||
Net investment income | 6.23% | 7 | 6.24% | 6.10% | 6.40% | 8.11% | 5.52% | 7 | |||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 130,551 | $ | 127,455 | $ | 118,897 | $ | 122,062 | $ | 112,862 | $ | 127,695 | |||||||||||||||
Borrowings outstanding, end of period (000) | $ | 48,000 | $ | 55,000 | $ | 43,000 | $ | 24,000 | $ | 27,000 | $ | 38,500 | |||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 46,967 | $ | 39,077 | $ | 36,369 | $ | 24,633 | $ | 31,141 | $ | 13,788 | |||||||||||||||
Portfolio turnover | 46% | 53% | 91% | 102% | 41% | 18% | |||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,720 | $ | 3,317 | $ | 3,765 | $ | 6,086 | $ | 5,180 | $ | 4,317 |
1 | Commencement of operations. |
2 | Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share. |
3 | Based on average shares outstanding. |
4 | Dividends and distributions are determined in accordance with federal income tax regulations. |
5 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
6 | Aggregate total investment return. |
7 | Annualized. |
8 | For the six months ended February 28, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively. |
52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Financial Highlights | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Six Months Ended February 28, 20131 (Unaudited) | Year Ended August 31, | | |||||||||||||||||||||||||
20121 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 | $ | 16.12 | $ | 18.25 | |||||||||||||||
Net investment income2 | 0.50 | 0.97 | 0.96 | 0.91 | 1.14 | 1.45 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.46 | 0.90 | (0.36 | ) | 1.48 | (3.04 | ) | (2.03 | ) | ||||||||||||||||||
Net increase (decrease) from investment operations | 0.96 | 1.87 | 0.60 | 2.39 | (1.90 | ) | (0.58 | ) | |||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||
Net investment income | (0.57 | ) | (0.93 | )3 | (0.86 | )3 | (0.94 | )3 | (1.29 | )3 | (1.55 | )3 | |||||||||||||||
Tax return of capital | — | — | (0.06 | )3 | (0.02 | )3 | — | — | |||||||||||||||||||
Total dividends and distributions | (0.57 | ) | (0.93 | ) | (0.92 | ) | (0.96 | ) | (1.29 | ) | (1.55 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.37 | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 | $ | 16.12 | |||||||||||||||
Market price, end of period | $ | 16.47 | $ | 15.20 | $ | 13.33 | $ | 14.61 | $ | 12.26 | $ | 14.49 | |||||||||||||||
Total Investment Return4 | |||||||||||||||||||||||||||
Based on net asset value | 6.53% | 5 | 13.91% | 4.04% | 18.91% | (8.88)% | (2.56)% | ||||||||||||||||||||
Based on market price | 12.50% | 5 | 21.74% | (2.91)% | 27.59% | (3.88)% | (4.28)% | ||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||
Total expenses | 1.63% | 6,7 | 1.67% | 8 | 1.60% | 1.45% | 1.96% | 2.61% | |||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.63% | 6,7 | 1.67% | 8 | 1.60% | 1.45% | 1.96% | 2.60% | |||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax | 1.25% | 6,7,9 | 1.35% | 8,10 | 1.30% | 1.22% | 1.31% | 1.18% | |||||||||||||||||||
Net investment income | 6.72% | 6 | 6.67% | 6.44% | 6.43% | 10.18% | 8.49% | ||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 571,629 | $ | ��276,900 | $ | 259,205 | $ | 264,379 | $ | 237,160 | $ | 295,005 | |||||||||||||||
Borrowings outstanding, end of period (000) | $ | 208,000 | $ | 117,000 | $ | 93,000 | $ | 53,000 | $ | 38,000 | $ | 101,500 | |||||||||||||||
Average borrowings outstanding, during the period (000) | $ | 189,558 | $ | 88,197 | $ | 79,195 | $ | 48,258 | $ | 50,591 | $ | 102,272 | |||||||||||||||
Portfolio turnover | 51% | 53% | 91% | 96% | 58% | 49% | |||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,748 | $ | 3,367 | $ | 3,787 | $ | 5,988 | $ | 7,241 | $ | 3,906 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends and distributions are determined in accordance with federal income tax regulations. |
4 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | Includes reorganization costs associated with the Fund’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.60%, 1.60%, and 1.23%, respectively. |
8 | Includes reorganization costs associated with the Fund’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61%, and 1.29%, respectively. |
9 | For the six months ended February 28, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.20%. |
10 | For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.26%. |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 53 |
Financial Highlights | BlackRock Limited Duration Income Trust (BLW) |
Six Months Ended February 28, 20131 (Unaudited) | Year Ended August 31, | | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, 2007 | |||||||||||||||||||||||||||
20121 | 2011 | 2010 | 2009 | ||||||||||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 | $ | 16.71 | $ | 18.52 | $ | 19.01 | |||||||||||||||||
Net investment income | 0.66 | 2 | 1.31 | 2 | 1.34 | 2 | 1.12 | 2 | 1.01 | 2 | 1.14 | 2 | 1.50 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.57 | 0.88 | (0.37 | ) | 1.62 | (1.61 | ) | (1.76 | ) | (0.49 | ) | ||||||||||||||||||||
Net increase (decrease) from investment operations | 1.23 | 2.19 | 0.97 | 2.74 | (0.60 | ) | (0.62 | ) | 1.01 | ||||||||||||||||||||||
Dividends and distributions from: | |||||||||||||||||||||||||||||||
Net investment income | (0.74 | ) | (1.33 | )3 | (1.24 | )3 | (0.90 | )3 | (1.16 | )3 | (1.19 | )3 | (1.41 | )3 | |||||||||||||||||
Net realized gain | — | — | — | — | — | — | (0.06 | )3 | |||||||||||||||||||||||
Tax return of capital | — | — | — | — | — | — | (0.03 | )3 | |||||||||||||||||||||||
Total dividends and distributions | (0.74 | ) | (1.33 | ) | (1.24 | ) | (0.90 | ) | (1.16 | ) | (1.19 | ) | (1.50 | ) | |||||||||||||||||
Net asset value, end of period | $ | 17.87 | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 | $ | 16.71 | $ | 18.52 | |||||||||||||||||
Market price, end of period | $ | 18.84 | $ | 18.00 | $ | 16.01 | $ | 16.76 | $ | 14.09 | $ | 14.57 | $ | 16.68 | |||||||||||||||||
Total Investment Return4 | |||||||||||||||||||||||||||||||
Based on net asset value | 7.17% | 5 | 13.86% | 5.85% | 19.00% | (1.57)% | (2.60)% | 5 | 5.66% | ||||||||||||||||||||||
Based on market price | 9.10% | 5 | 21.68% | 2.77% | 26.04% | 6.40% | (5.70)% | 5 | (4.03)% | ||||||||||||||||||||||
Ratios to Average Net Assets | |||||||||||||||||||||||||||||||
Total expenses | 1.13% | 6 | 1.05% | 1.01% | 0.82% | 0.72% | 1.39% | 6 | 2.16% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.13% | 6 | 1.05% | 1.00% | 0.81% | 0.71% | 1.38% | 6 | 2.14% | ||||||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.91% | 6 | 0.89% | 0.87% | 0.73% | 0.69% | 0.76% | 6 | 0.83% | ||||||||||||||||||||||
Net investment income | 7.58% | 6 | 7.82% | 7.75% | 6.90% | 7.42% | 7.84% | 6 | 7.92% | ||||||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 661,138 | $ | 642,391 | $ | 609,818 | $ | 619,381 | $ | 551,505 | $ | 616,393 | $ | 638,109 | |||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 311,589 | $ | 296,476 | $ | 244,120 | $ | 123,233 | — | $ | 64,538 | $ | 109,287 | ||||||||||||||||||
Average borrowings outstanding, during the period (000) | 302,037 | $ | 242,396 | $ | 191,303 | $ | 44,160 | $ | 11,705 | $ | 120,295 | $ | 172,040 | ||||||||||||||||||
Portfolio turnover | 38% | 54% | 106% | 7 | 248% | 8 | 287% | 9 | 191% | 10 | 65% | ||||||||||||||||||||
Asset coverage, end of period per $1,000 | $ | 3,122 | $ | 3,167 | $ | 3,498 | $ | 6,026 | — | $ | 10,551 | $ | 7,251 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends and distributions are determined in accordance with federal income tax regulations. |
4 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
7 | Includes mortgage dollar roll and to-be-announced (“TBA”) transactions. Excluding these transactions, the portfolio turnover would have been 87%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%. |
9 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%. |
10 | Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%. |
54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (Unaudited) |
Target Fund | | Shares Prior to Reorganization | | Conversion Ratio | | Shares of FRA | ||||||||
FRB | 10,585,281 | 0.91462449 | 9,681,549 | |||||||||||
DVF | 12,405,453 | 0.72423797 | 8,984,499 |
Target Funds | ||||||||||
| FRB | | DVF | |||||||
Net assets | $ | 145,503,247 | $ | 135,026,897 | ||||||
Paid-in capital | $ | 199,061,613 | $ | 228,382,252 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (164,508 | ) | $ | (88,960 | ) | ||||
Accumulated net realized loss | $ | (54,909,880 | ) | $ | (89,378,206 | ) | ||||
Net unrealized appreciation (depreciation) | $ | 1,516,022 | $ | (3,888,189 | ) |
Target Fund | | Fair Value of Investments | | Cost of Investments | ||||||
FRB | $ | 220,588,307 | $ | 219,010,017 | ||||||
DVF | $ | 206,051,284 | $ | 209,710,937 |
• | Net investment income: $18,393,758 |
• | Net realized and change in unrealized gain/loss on investments: $14,776,513 |
• | Net increase/decrease in net assets resulting from operations: $33,170,271 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 55 |
Notes to Financial Statements (continued) |
assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Funds.
56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 57 |
Notes to Financial Statements (continued) |
maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup their initial investment in IOs.
58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 59 |
Notes to Financial Statements (continued) |
repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statement disclosures.
60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
exposure to the currencies in which some of the investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that the counterparty to the contract does not perform its obligations under the agreement.
• | Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 61 |
Notes to Financial Statements (continued) |
the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
• | Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating , for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time. |
Fair Values of Derivative Financial Instruments as of February 28, 2013 | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
| BHL | FRA | BLW | |||||||||||||
| Statements of Assets and Liabilities Location | | Value | |||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1; | — | — | $ | 160,762 | |||||||||||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | $ | 156,557 | $ | 616,559 | 2,824,995 | ||||||||||
Credit contracts | Unrealized appreciation on swaps1; | 66,901 | 372,158 | 690,734 | ||||||||||||
Total | $ | 223,458 | $ | 988,717 | $ | 3,676,491 |
Liability Derivatives | ||||||||||||||||
| BHL | FRA | BLW | |||||||||||||
| Statements of Assets and Liabilities Location | | Value | |||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1; Unrealized depreciation on swaps1 | — | — | $ | 219,130 | |||||||||||
Foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | — | $ | 14,902 | 47,438 | |||||||||||
Credit contracts | Unrealized depreciation on swaps1; | $ | 245,737 | 1,354,739 | 2,233,226 | |||||||||||
Total | $ | 245,737 | $ | 1,369,641 | $ | 2,499,794 |
1 | Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended February 28, 2013 | ||||||||||||||||
Net Realized Gain (Loss) From | ||||||||||||||||
| BHL | | FRA | | BLW | |||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | — | — | $ | 6,891 | ||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||
Foreign currency transactions | $ | (345,936 | ) | $ | (975,272 | ) | (2,576,120 | ) | ||||||||
Credit contracts: | ||||||||||||||||
Swaps | (117,714 | ) | (183,697 | ) | (898,791 | ) | ||||||||||
Equity contracts: | ||||||||||||||||
Financial futures contracts | — | — | (475,176 | ) | ||||||||||||
Options2 | (242,400 | ) | ||||||||||||||
Total | $ | (463,650 | ) | $ | (1,158,969 | ) | $ | (4,185,596 | ) |
62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
Net Change in Unrealized Appreciation/Depreciation on | ||||||||||||||
| BHL | | FRA | | BLW | |||||||||
Interest rate contracts: | ||||||||||||||
Financial futures contracts | — | — | $ | (48,162 | ) | |||||||||
Swaps | — | — | 40,933 | |||||||||||
Foreign currency exchange contracts: | ||||||||||||||
Foreign currency translations | $ | 288,455 | $ | 823,650 | 3,912,751 | |||||||||
Credit contracts: | ||||||||||||||
Swaps | 132,539 | 515,904 | 823,731 | |||||||||||
Equity contracts: | ||||||||||||||
Financial futures contracts | — | — | 288,888 | |||||||||||
Options2 | — | (23,466 | ) | (2,103 | ) | |||||||||
Total | $ | 420,994 | $ | 1,316,088 | $ | 5,016,038 |
2 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
| BHL | | FRA | | BLW | |||||||||
Financial future contracts: | ||||||||||||||
Average number of contracts purchased | — | — | 69 | |||||||||||
Average number of contracts sold | — | — | 20 | |||||||||||
Average notional value of contracts purchased | — | — | $ | 12,524,934 | ||||||||||
Average notional value of contracts sold | — | — | $ | 3,410,550 | ||||||||||
Foreign currency exchange contracts: | ||||||||||||||
Average number of contracts — US dollars purchased | 6 | 6 | 16 | |||||||||||
Average number of contracts — US dollars sold | 2 | 4 | 4 | |||||||||||
Average US dollar amounts purchased | $ | 5,981,367 | $ | 19,441,470 | $ | 72,124,929 | ||||||||
Average US dollar amounts sold | $ | 770,116 | $ | 3,434,348 | $ | 2,502,768 | ||||||||
Options: | ||||||||||||||
Average number of option contracts purchased | — | 44 | 46 | |||||||||||
Average number of option contracts written | — | — | 6,000 | 1 | ||||||||||
Average notional value of option contracts purchased | — | $ | 41,486 | $ | 43,372 | |||||||||
Average notional value of option contracts written | — | — | $ | 7,950,000 | 1 | |||||||||
Credit default swaps: | ||||||||||||||
Average number of contracts — buy protection | — | — | 4 | |||||||||||
Average number of contracts — sell protection | 5 | 4 | 12 | |||||||||||
Average notional value — buy protection | — | — | $ | 12,543,000 | ||||||||||
Average notional value — sell protection | $ | 470,780 | $ | 2,661,797 | $ | 11,613,292 | ||||||||
Interest rate swaps: | ||||||||||||||
Average number of contracts — pays fixed rate | — | — | 1 | |||||||||||
Average notional value — pays fixed rate | — | — | $ | 14,500,000 |
1 | Actual contract amount shown due to limited activity |
BHL | 1.00 | % | ||||
FRA | 0.75 | % | ||||
BLW | 0.55 | % |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 63 |
Notes to Financial Statements (continued) |
| Purchases | | Sales | |||||||
BHL | $ | 95,015,208 | $ | 86,554,331 | ||||||
FRA | $ | 389,340,846 | $ | 364,351,206 | ||||||
BLW | $ | 415,779,704 | $ | 366,522,355 |
Puts | ||||||||||||||
BLW | | Contracts | | Notional (000) | | Premiums Received | ||||||||
Outstanding options, beginning of year | 6,000 | — | $ | 75,600 | ||||||||||
Options written | — | |||||||||||||
Options exercised | — | — | — | |||||||||||
Options expired | (6,000 | ) | — | (75,600 | ) | |||||||||
Outstanding options, end of year | — | — | — |
Expires August 31, | | BHL | | FRA | | BLW | ||||||||
2013 | — | $ | 691,829 | — | ||||||||||
2016 | — | 475,453 | $ | 21,882,229 | ||||||||||
2017 | — | 20,954,032 | 9,996,868 | |||||||||||
2018 | $ | 3,695,649 | 43,990,722 | 37,509,275 | ||||||||||
2019 | — | 2,206,081 | — | |||||||||||
No expiration date1 | — | 4,931,753 | 4,356,066 | |||||||||||
Total | $ | 3,695,649 | $ | 73,249,870 | $ | 73,744,438 |
1 | Must be utlized prior to losses subject to expiration. |
| BHL | | FRA | | BLW | |||||||||
Tax cost | $ | 196,810,430 | $ | 867,114,867 | $ | 988,955,528 | ||||||||
Gross unrealized appreciation | $ | 4,169,700 | $ | 19,322,594 | $ | 38,037,425 | ||||||||
Gross unrealized depreciation | (936,200 | ) | (14,485,247 | ) | (20,030,771 | ) | ||||||||
Net unrealized appreciation | $ | 3,233,500 | $ | 4,837,347 | $ | 18,006,654 |
| Commitment Amounts | |||||
BHL | $ | 63,300,000 | ||||
FRA | $ | 137,200,000 |
| Commitment Amounts | |||||
BHL | $ | 63,300,000 | ||||
FRA | $ | 137,200,000 |
| Commitment Amounts | |||||
BHL | $ | 63,300,000 | ||||
FRA | $ | 137,200,000 |
64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Notes to Financial Statements (continued) |
| Daily Weighted Average Interest Rate | |||
BHL | 0.94% | |||
FRA | 0.94% |
| Daily Weighted Average Interest Rate | |||
BLW | 0.48% |
| Borrower | | Unfunded Floating Rate Loan Interest | | Value of Underlying Floating Rate Loan Interest | | Unrealized Appreciation | |||||||||||
BHL | Leslie’s Poolmart, Inc. | $ | 11,949 | $ | 12,080 | $ | 180 | |||||||||||
FRA | Leslie’s Poolmart, Inc. | $ | 51,672 | $ | 52,240 | $ | 777 |
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 65 |
Notes to Financial Statements (concluded) |
Six Months Ended February 28, 2013 | | Year Ended August 31, 2012 | |||
BHL | 7,413 | — | |||
FRA | 18,712,185 | 1 | 17,388 | ||
BLW | 33,959 | 34,642 |
1 | Includes 18,666,048 shares issued from the reorganization. |
| Common Dividend Per Share | |||||
BHL | $ | 0.0685 | ||||
FRA | $ | 0.0770 | ||||
BLW | $ | 0.1095 |
66 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Officers and Directors |
Karen P. Robards, Vice Chairperson of the Board,
Chairperson of the Audit Committee and Director
Paul L. Audet, Director
Michael J. Castellano, Director and Member of the Audit
Committee
Frank J. Fabozzi, Director and Member of the Audit
Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Anne Ackerley, Vice President
Brendan Kyne, Vice President
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer
Janey Ahn, Secretary
BlackRock Advisors, LLC
Wilmington, DE 19809
BlackRock Financial Management, Inc.
New York, NY 10055
State Street Bank and Trust Company
Boston, MA 02110
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021
Deloitte & Touche LLP
Boston, MA 02116
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036
100 Bellevue Parkway
Wilmington, DE 19809
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 67 |
Additional Information |
Proxy Results
Votes For | | Votes Against | | Abstain | ||||||||||
To approve the issuance of additional shares of common stock of the Fund in connection with the Agreement and Plan of Reorganization among BlackRock Floating Rate Income Strategies Fund II, Inc., FRA Merger Subsidiary and the Fund. | 10,225,182 | 503,452 | 253,747 | |||||||||||
To approve the issuance of additional shares of common stock of the Fund in connection with the Agreement and Plan of Reorganization among BlackRock Diversified Income Strategies Fund, Inc., FRA Merger Subsidiary and the Fund. | 10,097,723 | 628,903 | 255,755 |
Regulation Regarding Derivatives
68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
Additional Information (continued) |
Dividend Policy
General Information
SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 | 69 |
Additional Information (concluded) |
General Information (concluded)
Section 19(a) Notice
February 28, 2013 | |||||||||||||||||||||||||||||||||||
Total Fiscal Year-to-Date Cumulative Distributions by Character | Percentage of Fiscal Year-to-Date Cumulative Distributions by Character | ||||||||||||||||||||||||||||||||||
| Net Investment Income | | Net Realized Capital Gains | | Return of Capital | | Total Per Common Share | | Net Investment Income | | Net Realized Capital Gains | | Return of Capital | | Total Per Common Share | ||||||||||||||||||||
FRA | $ | 0.570000 | — | — | $ | 0.570000 | 100 | % | 0 | % | 0 | % | 100 | % |
BlackRock Privacy Principles
70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2013 |
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CEFT-BK3-2/13-SAR | ![]() |
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – Exhibits attached hereto
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Certifications – Attached hereto
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 1, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 1, 2013
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 1, 2013