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: 08/31/2014
Date of reporting period: 08/31/2014
Item 1 – Report to Stockholders
ANNUAL REPORT | ![]() |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
Page | ||||||
Shareholder Letter | 3 | |||||
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 | 50 | |||||
Statements of Operations | 51 | |||||
Statements of Changes in Net Assets | 52 | |||||
Statements of Cash Flows | 55 | |||||
Financial Highlights | 56 | |||||
Notes to Financial Statements | 59 | |||||
Report of Independent Registered Public Accounting Firm | 75 | |||||
Important Tax Information | 75 | |||||
Disclosure of Investment Advisory Agreements | 76 | |||||
Automatic Dividend Reinvestment Plans | 80 | |||||
Officers and Directors | 81 | |||||
Additional Information | 84 |
2 | ANNUAL REPORT | AUGUST 31, 2014 |
![](https://capedge.com/proxy/N-CSR/0000891092-14-008212/robkapito_sig.jpg)
President, BlackRock Advisors, LLC
![]() | |
Asset prices pushed higher over the period despite modest global growth, geopolitical risks and a shift toward tighter U.S. monetary policy. |
Total Returns as of August 31, 2014
6-month | 12-month | |||||||||
U.S. large cap equities (S&P 500® Index) | 8.84 | % | 25.25 | % | ||||||
U.S. small cap equities (Russell 2000® Index) | (0.06 | ) | 17.68 | |||||||
International equities (MSCI Europe, Australasia, Far East Index) | 1.24 | 16.44 | ||||||||
Emerging market equities (MSCI Emerging Markets Index) | 14.52 | 19.98 | ||||||||
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | 0.02 | 0.05 | ||||||||
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index) | 4.35 | 7.07 | ||||||||
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index) | 2.74 | 5.66 | ||||||||
Tax-exempt municipal bonds (S&P Municipal Bond Index) | 4.21 | 10.55 | ||||||||
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | 2.89 | 10.57 |
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Fund Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2014, the Fund returned 6.75% based on market price and 5.98% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period. |
• | The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period. |
• | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value. |
• | At period end, the Fund held 95% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
4 | ANNUAL REPORT | AUGUST 31, 2014 |
BlackRock Defined Opportunity Credit Trust |
Fund Information
Symbol on New York Stock Exchange (“NYSE”) | BHL | |||
Initial Offering Date | January 31, 2008 | |||
Current Distribution Rate on Closing Market Price as of August 31, 2014 ($13.84)1 | 5.25% | |||
Current Monthly Distribution per Common Share2 | $0.0605 | |||
Current Annualized Distribution per Common Share2 | $0.7260 | |||
Economic Leverage as of August 31, 20143 | 30% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
2 | The monthly distribution per common share, declared on October 1, 2014, was decreased to $0.0583 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
3 | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
| 8/31/14 | | 8/31/13 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 13.84 | $ | 13.77 | 0.51 | % | $ | 14.20 | $ | 13.48 | ||||||||||||
Net Asset Value | $ | 14.41 | $ | 14.44 | (0.21 | )% | $ | 14.56 | $ | 14.32 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Fund’s Long-Term Investments
Portfolio Composition | | 8/31/14 | | 8/31/13 | ||||||
Floating Rate Loan Interests | 95 | % | 94 | % | ||||||
Corporate Bonds | 2 | 3 | ||||||||
Asset-Backed Securities | 2 | 2 | ||||||||
Common Stocks | 1 | 1 | ||||||||
Credit Quality Allocation4 | | 8/31/14 | | 8/31/135 | ||||||
BBB/Baa | 6 | % | 7 | % | ||||||
BB/Ba | 43 | 40 | ||||||||
B | 44 | 43 | ||||||||
CCC/Caa | 4 | 4 | ||||||||
N/R | 3 | 6 |
4 | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
5 | Information has been revised to conform to current year presentation. |
ANNUAL REPORT | AUGUST 31, 2014 | 5 |
Fund Summary as of August 31, 2014 | BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Overview
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2014, the Fund returned 1.33% based on market price and 6.45% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period. |
• | The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period. |
• | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value. |
• | At period end, the Fund held 94% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
6 | ANNUAL REPORT | AUGUST 31, 2014 |
BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Information
Symbol on NYSE | FRA | |||
Initial Offering Date | October 31, 2003 | |||
Current Distribution Rate on Closing Market Price as of August 31, 2014 ($14.26)1 | 5.89% | |||
Current Monthly Distribution per Common Share2 | $0.07 | |||
Current Annualized Distribution per Common Share2 | $0.84 | |||
Economic Leverage as of August 31, 20143 | 29% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
2 | The monthly distribution per common share, declared on October 1, 2014, was decreased to $0.0674 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
3 | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
Market Price and Net Asset Value Per Share Summary
| 8/31/14 | | 8/31/13 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 14.26 | $ | 14.96 | (4.68 | )% | $ | 15.02 | $ | 14.11 | ||||||||||||
Net Asset Value | $ | 15.38 | $ | 15.36 | 0.13 | % | $ | 15.54 | $ | 15.26 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Fund’s Long-Term Investments
Portfolio Composition | | 8/31/14 | | 8/31/13 | ||||||
Floating Rate Loan Interests | 94 | % | 92 | % | ||||||
Corporate Bonds | 3 | 4 | ||||||||
Asset-Backed Securities | 2 | 3 | ||||||||
Common Stocks | 1 | 1 | ||||||||
Credit Quality Allocation4 | | 8/31/14 | | 8/31/135 | ||||||
BBB/Baa | 6 | % | 7 | % | ||||||
BB/Ba | 43 | 39 | ||||||||
B | 43 | 44 | ||||||||
CCC/Caa | 4 | 4 | ||||||||
N/R | 4 | 6 |
4 | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
5 | Information has been revised to conform to current year presentation. |
ANNUAL REPORT | AUGUST 31, 2014 | 7 |
Fund Summary as of August 31, 2014 | BlackRock Limited Duration Income Trust |
Fund Overview
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and US Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | US dollar-denominated securities of US and non-US issuers rated below investment grade and, to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade. |
Portfolio Management Commentary
• | For the 12-month period ended August 31, 2014, the Fund returned 6.89% based on market price and 10.77% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 15.47% based on market price and 14.60% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
• | In a generally positive environment for fixed income markets, high yield credit and bank loans performed well. In particular, the strong macroeconomic backdrop and market fundamentals that gave rise to net negative supply supported further spread tightening, particularly in asset-backed securities (“ABS”). The largest contributors to the Fund’s performance were its positions in high yield, bank loans and investment grade industrials. Exposure to non-US dollar positions also had a positive impact on performance, as did commercial mortgage-backed securities (“CMBS”), non-agency adjustable-rate mortgages and collateralized mortgage obligations (“CMOs”). In addition, the Fund’s ABS and equity positions enhanced results. |
• | Based on the view that short-term rates would remain low, the Fund maintained a high level of leverage to augment income generation throughout the period. |
• | Conversely, the principal detractor from the Fund’s performance over the past 12 months was the Fund’s derivatives exposure to manage duration. |
• | The Fund’s allocations remained consistent throughout the 12-month period, with its largest position in high yield, followed by allocations to bank loans and investment grade corporate credit and securitized credits, including CMBS and ABS. |
• | At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, CMBS and ABS, as well as agency and non-agency residential mortgage-backed securities. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
8 | ANNUAL REPORT | AUGUST 31, 2014 |
BlackRock Limited Duration Income Trust |
Fund Information
Symbol on NYSE | BLW | |||
Initial Offering Date | July 30, 2003 | |||
Current Distribution Rate on Closing Market Price as of August 31, 2014 ($16.81)1 | 7.10% | |||
Current Monthly Distribution per Common Share2 | $0.0995 | |||
Current Annualized Distribution per Common Share2 | $1.1940 | |||
Economic Leverage as of August 31, 20143 | 31% |
1 | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
2 | The 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. |
Market Price and Net Asset Value Per Share Summary
| 8/31/14 | | 8/31/13 | | Change | | High | | Low | |||||||||||||
Market Price | $ | 16.81 | $ | 16.89 | (0.47 | )% | $ | 17.62 | $ | 16.15 | ||||||||||||
Net Asset Value | $ | 18.09 | $ | 17.54 | 3.14 | % | $ | 18.31 | $ | 17.54 |
Market Price and Net Asset Value History For the Past Five Years
Overview of the Fund’s Long-Term Investments
Portfolio Composition | | 8/31/14 | | 8/31/13 | ||||||
Corporate Bonds | 42 | % | 44 | % | ||||||
Floating Rate Loan Interests | 32 | 36 | ||||||||
Preferred Securities | 8 | 1 | ||||||||
Non-Agency Mortgage-Backed Securities | 7 | 8 | ||||||||
Asset-Backed Securities | 5 | 6 | ||||||||
U.S. Government Sponsored Agency Securities | 4 | 4 | ||||||||
Common Stocks | 1 | 1 | ||||||||
Foreign Agency Obligations | 1 | - | ||||||||
Credit Quality Allocation4 | | 8/31/14 | | 8/31/135 | ||||||
AAA/Aaa6 | 6 | % | 4 | % | ||||||
AA/Aa | 2 | 2 | ||||||||
A | 3 | 5 | ||||||||
BBB/Baa | 15 | 13 | ||||||||
BB/Ba | 32 | 27 | ||||||||
B | 31 | 32 | ||||||||
CCC/Caa | 7 | 7 | ||||||||
D | — | 1 | ||||||||
N/R | 4 | 9 |
4 | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
5 | Information has been revised to conform to current year presentation. |
6 | The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
ANNUAL REPORT | AUGUST 31, 2014 | 9 |
10 | ANNUAL REPORT | AUGUST 31, 2014 |
Schedule of Investments August 31, 2014 | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Common Stocks (a) | Shares | Value | |||||||||||||
Diversified Consumer Services — 0.2% | |||||||||||||||
Cengage Thomson Learning | 8,922 | $ | 282,533 | ||||||||||||
Software — 0.4% | |||||||||||||||
HMH Holdings/EduMedia | 24,355 | 467,616 | |||||||||||||
Total Common Stocks — 0.6% | 750,149 | ||||||||||||||
Asset-Backed Securities (b)(c) | Par (000) | ||||||||||||||
ALM Loan Funding, Series 2013-7RA, Class C, 3.68%, 4/24/24 | USD | 500 | 477,941 | ||||||||||||
ALM XIV Ltd., Series 2014-14A: | |||||||||||||||
Class B, 3.18%, 7/28/26 | 563 | 553,845 | |||||||||||||
Class C, 3.68%, 7/28/26 | 713 | 676,305 | |||||||||||||
Atlas Senior Loan Fund Ltd., 3.94%, 10/15/26 (d) | 250 | 237,200 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 | 250 | 238,982 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.73%, 1/20/25 | 250 | 250,833 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23 | 215 | 213,336 | |||||||||||||
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25 | 250 | 236,452 | |||||||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.43%, 10/25/25 | 250 | 233,424 | |||||||||||||
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.04%, 8/12/26 | 250 | 245,275 | |||||||||||||
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23 | 350 | 350,483 | |||||||||||||
Total Asset-Backed Securities — 2.8% | 3,714,076 | ||||||||||||||
Corporate Bonds | |||||||||||||||
Airlines — 0.7% | |||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c) | 250 | 258,750 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16 | 46 | 51,702 | |||||||||||||
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 | 590 | 600,325 | |||||||||||||
910,777 | |||||||||||||||
Auto Components — 0.2% | |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||||||||||||||
3.50%, 3/15/17 | 164 | 165,025 | |||||||||||||
4.88%, 3/15/19 | 105 | 107,887 | |||||||||||||
272,912 | |||||||||||||||
Chemicals — 0.1% | |||||||||||||||
INEOS Finance PLC, 8.38%, 2/15/19 (c) | 110 | 119,350 | |||||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (b) | 68 | 67,660 | |||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c) | 250 | 255,594 | |||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 80 | 84,200 | |||||||||||||
407,454 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Communications Equipment — 0.4% | |||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (c) | USD | 101 | $ | 100,495 | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 380 | 409,925 | |||||||||||||
510,420 | |||||||||||||||
Diversified Financial Services — 0.3% | |||||||||||||||
Ally Financial, Inc., 2.91%, 7/18/16 (b) | 275 | 280,363 | |||||||||||||
Reynolds Group Issuer, Inc., 7.13%, 4/15/19 | 120 | 124,650 | |||||||||||||
405,013 | |||||||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||||||
Level 3 Financing, Inc. (c): | |||||||||||||||
3.82%, 1/15/18 (b) | 228 | 229,140 | |||||||||||||
6.13%, 1/15/21 | 127 | 133,985 | |||||||||||||
363,125 | |||||||||||||||
Hotels, Restaurants & Leisure — 0.4% | |||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 | 642 | 514,166 | |||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | |||||||||||||||
Calpine Corp., 6.00%, 1/15/22 (c) | 80 | 86,200 | |||||||||||||
Media — 0.2% | |||||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) | 96 | 98,640 | |||||||||||||
Numericable Group SA, 6.00%, 5/15/22 (c) | 200 | 206,000 | |||||||||||||
304,640 | |||||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | |||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 145 | 152,975 | |||||||||||||
Road & Rail — 0.2% | |||||||||||||||
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c) | 196 | 206,780 | |||||||||||||
Wireless Telecommunication Services — 0.0% | |||||||||||||||
T-Mobile USA, Inc., 6.13%, 1/15/22 | 50 | 51,813 | |||||||||||||
Total Corporate Bonds — 3.3% | 4,305,625 | ||||||||||||||
Floating Rate Loan Interests (b) | |||||||||||||||
Aerospace & Defense — 1.7% | |||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | 509 | 506,274 | |||||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 | 275 | 269,500 | |||||||||||||
Transdigm, Inc.: | |||||||||||||||
Term Loan C, 3.75%, 2/28/20 | 222 | 220,120 | |||||||||||||
Term Loan D, 3.75%, 6/04/21 | 200 | 198,584 | |||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 | 1,087 | 1,082,295 | |||||||||||||
2,276,773 | |||||||||||||||
Air Freight & Logistics — 0.5% | |||||||||||||||
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 | 166 | 160,225 | |||||||||||||
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 | 175 | 170,543 | |||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 | 30 | 29,404 | |||||||||||||
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21 | 241 | 235,233 | |||||||||||||
595,405 |
Portfolio Abbreviations
ABS ADS CAD CLO DIP | Asset-Backed Security American Depositary Shares Canadian Dollar Collateralized Loan Obligation Debtor-In-Possession | EUR GBP LIBOR OIS OTC | Euro British Pound London Interbank Offered Rate Overnight Indexed Swap Over-the-Counter | PIK REMIC SGD USD | Payment-In-Kind Real Estate Mortgage Investment Conduit Singapore Dollar U.S. Dollar |
ANNUAL REPORT | AUGUST 31, 2014 | 11 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Airlines — 0.8% | |||||||||||||||
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 | USD | 324 | $ | 320,573 | |||||||||||
Northwest Airlines, Inc.: | |||||||||||||||
2.18%, 3/10/17 | 178 | 173,753 | |||||||||||||
1.56%, 9/10/18 | 245 | 233,803 | |||||||||||||
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 | 257 | 254,826 | |||||||||||||
982,955 | |||||||||||||||
Auto Components — 4.5% | |||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 293 | 294,212 | |||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16 | 57 | 57,434 | |||||||||||||
Autoparts Holdings Ltd.: | |||||||||||||||
1st Lien Term Loan, 6.50%, 7/28/17 | 625 | 624,485 | |||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 | 238 | 228,990 | |||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 | 358 | 358,200 | |||||||||||||
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 | 328 | 324,741 | |||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 | 2,010 | 1,994,202 | |||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 1,150 | 1,153,232 | |||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18 | 481 | 478,508 | |||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 338 | 337,433 | |||||||||||||
5,851,437 | |||||||||||||||
Automobiles — 0.3% | |||||||||||||||
Chrysler Group LLC: | |||||||||||||||
2018 Term Loan B, 3.25%, 12/31/18 | 190 | 187,582 | |||||||||||||
Term Loan B, 3.50%, 5/24/17 | 199 | 199,201 | |||||||||||||
386,783 | |||||||||||||||
Banks — 0.3% | |||||||||||||||
Redtop Acquisitions Ltd.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 | 259 | 258,268 | |||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 | 70 | 71,043 | |||||||||||||
329,311 | |||||||||||||||
Building Products — 3.1% | |||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 | 373 | 370,594 | |||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 974 | 973,623 | |||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 | 319 | 315,210 | |||||||||||||
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 | 394 | 389,336 | |||||||||||||
Nortek, Inc., Term Loan, 3.75%, 10/30/20 | 480 | 477,998 | |||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 | 224 | 220,299 | |||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 | 402 | 399,688 | |||||||||||||
Wilsonart LLC: | |||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 | 109 | 107,991 | |||||||||||||
Term Loan B, 4.00%, 10/31/19 | 788 | 777,496 | |||||||||||||
4,032,235 | |||||||||||||||
Capital Markets — 0.5% | |||||||||||||||
Affinion Group, Inc.: | |||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 | 212 | 210,417 | |||||||||||||
Term Loan B, 6.75%, 4/30/18 | 301 | 297,706 | |||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 | 195 | 194,263 | |||||||||||||
702,386 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Chemicals — 5.0% | |||||||||||||||
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 | USD | 254 | $ | 253,873 | |||||||||||
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 | 132 | 131,722 | |||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 | 473 | 469,535 | |||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 | 27 | 26,758 | |||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 | 324 | 323,809 | |||||||||||||
Chromaflo Technologies Corp.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 12/02/19 | 259 | 257,730 | |||||||||||||
2nd Lien Term Loan, 8.25%, 5/30/20 | 110 | 109,450 | |||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 476 | 475,788 | |||||||||||||
INEOS US Finance LLC: | |||||||||||||||
3 Year Term Loan, 2.20%, 5/04/15 | 88 | 87,737 | |||||||||||||
6 Year Term Loan, 3.75%, 5/04/18 | 194 | 192,691 | |||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20 | 461 | 459,337 | |||||||||||||
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21 | 500 | 499,375 | |||||||||||||
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15 | 100 | 99,875 | |||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 581 | 578,082 | |||||||||||||
OXEA Finance LLC: | |||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 | 315 | 315,526 | |||||||||||||
Term Loan B2, 4.25%, 1/15/20 | 581 | 578,435 | |||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 156 | 155,887 | |||||||||||||
Solenis International LP: | |||||||||||||||
1st Lien Term Loan, 4.25%, 7/02/21 | 355 | 352,561 | |||||||||||||
2nd Lien Term Loan, 7.75%, 7/02/22 | 390 | 386,490 | |||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 134 | 131,979 | |||||||||||||
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20 | 406 | 404,954 | |||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 222 | 222,330 | |||||||||||||
6,513,924 | |||||||||||||||
Commercial Services & Supplies — 5.2% | |||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 | 736 | 724,912 | |||||||||||||
ARAMARK Corp.: | |||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 | 14 | 13,753 | |||||||||||||
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 | 9 | 9,301 | |||||||||||||
Term Loan E, 3.25%, 9/07/19 | 664 | 656,611 | |||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 | 279 | 278,443 | |||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 | 868 | 866,878 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 67 | 67,454 | |||||||||||||
Connolly Corp.: | |||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 | 675 | 677,956 | |||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 | 325 | 326,219 | |||||||||||||
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 | 309 | 306,782 | |||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20 | 550 | 550,687 | |||||||||||||
Livingston International, Inc.: | |||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/19 | 307 | 305,175 | |||||||||||||
2nd Lien Term Loan, 9.00%, 4/20/20 | 200 | 198,362 | |||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 924 | 915,709 | |||||||||||||
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 | 225 | 225,000 | |||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 | 598 | 591,691 | |||||||||||||
6,714,933 |
12 | ANNUAL REPORT | AUGUST 31, 2014 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Communications Equipment — 2.7% | |||||||||||||||
Amaya Holdings BV: | �� | ||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 | USD | 190 | $ | 188,147 | |||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 | 1,325 | 1,340,741 | |||||||||||||
Applied Systems, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 | 184 | 183,615 | |||||||||||||
2nd Lien Term Loan, 7.50%, 1/23/22 | 85 | 85,510 | |||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17 | 345 | 333,911 | |||||||||||||
CommScope, Inc., Term Loan B3, 2.66% - 2.73%, 1/21/17 | 157 | 157,576 | |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 | 1,235 | 1,229,305 | |||||||||||||
3,518,805 | |||||||||||||||
Construction & Engineering — 0.4% | |||||||||||||||
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20 | 300 | 293,633 | |||||||||||||
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/15/20 | 280 | 283,500 | |||||||||||||
577,133 | |||||||||||||||
Construction Materials — 1.5% | |||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 | 219 | 219,009 | |||||||||||||
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 | 1,604 | 1,595,200 | |||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 | 149 | 148,875 | |||||||||||||
1,963,084 | |||||||||||||||
Containers & Packaging — 1.1% | |||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 | 209 | 208,254 | |||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | 629 | 620,016 | |||||||||||||
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 | 345 | 346,439 | |||||||||||||
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21 | 25 | 24,836 | |||||||||||||
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 | 170 | 169,787 | |||||||||||||
Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19 | 111 | 110,609 | |||||||||||||
1,479,941 | |||||||||||||||
Distributors — 1.5% | |||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 1,141 | 1,129,722 | |||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 | 329 | 329,289 | |||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 | 231 | 228,871 | |||||||||||||
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17 | 276 | 274,251 | |||||||||||||
1,962,133 | |||||||||||||||
Diversified Consumer Services — 2.5% | |||||||||||||||
Allied Security Holdings LLC: | |||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 | 655 | 649,212 | |||||||||||||
2nd Lien Term Loan, 8.00%, 8/13/21 | 91 | 89,963 | |||||||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20 | 635 | 630,960 | |||||||||||||
Fitness International LLC, Term Loan B, 5.50%, 7/01/20 | 250 | 248,958 | |||||||||||||
Garda World Securities Corp.: | |||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 | 68 | 67,945 | |||||||||||||
Term Loan B, 4.00%, 11/06/20 | 268 | 265,602 | |||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 | 248 | 240,527 | |||||||||||||
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21 | 610 | 604,968 | |||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 | 627 | 492,601 | |||||||||||||
3,290,736 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Diversified Financial Services — 1.3% | |||||||||||||||
AssuredPartners Capital, Inc., 1st Lien Term Loan, 4.50%, 3/31/21 | USD | 335 | $ | 333,466 | |||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 | 745 | 743,366 | |||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 | 86 | 86,388 | |||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 | 592 | 591,101 | |||||||||||||
1,754,321 | |||||||||||||||
Diversified Telecommunication Services — 4.2% | |||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 | 689 | 689,270 | |||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 521 | 522,979 | |||||||||||||
Integra Telecom, Inc.: | |||||||||||||||
2nd Lien Term Loan, 9.75%, 2/22/20 | 255 | 258,825 | |||||||||||||
Term Loan B, 5.25%, 2/22/19 | 459 | 459,045 | |||||||||||||
Level 3 Financing, Inc.: | |||||||||||||||
2019 Term Loan, 4.00%, 8/01/19 | 220 | 218,946 | |||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 | 2,160 | 2,149,200 | |||||||||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 | 446 | 441,520 | |||||||||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 728 | 727,534 | |||||||||||||
5,467,319 | |||||||||||||||
Electric Utilities — 1.1% | |||||||||||||||
American Energy—Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 | 400 | 399,879 | |||||||||||||
American Energy—Utica LLC: | |||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 | 51 | 53,229 | |||||||||||||
2nd Lien Term Loan, 5.50%, 9/30/18 | 231 | 247,609 | |||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 | 51 | 53,237 | |||||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 | 325 | 325,325 | |||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 | 293 | 294,575 | |||||||||||||
1,373,854 | |||||||||||||||
Electrical Equipment — 1.5% | |||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/10/21 | 264 | 262,553 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC: | |||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 | 581 | 584,740 | |||||||||||||
Extended Term Loan, 4.65%, 10/10/17 (a)(e) | 1,505 | 1,163,787 | |||||||||||||
2,011,080 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.5% | |||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 | 653 | 644,353 | |||||||||||||
Energy Equipment & Services — 0.5% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 257 | 256,919 | |||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 358 | 356,802 | |||||||||||||
613,721 | |||||||||||||||
Food & Staples Retailing — 1.7% | |||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15 | GBP | 672 | 1,113,533 | ||||||||||||
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 | USD | 335 | 333,010 | ||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 235 | 237,545 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 | 510 | 506,112 | |||||||||||||
2,190,200 |
ANNUAL REPORT | AUGUST 31, 2014 | 13 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Food Products — 3.6% | |||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | USD | 199 | $ | 199,753 | |||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 258 | 257,297 | |||||||||||||
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25% - 5.50%, 2/18/21 | 393 | 388,521 | |||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 | 682 | 677,215 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18 | 598 | 595,514 | |||||||||||||
GFA Brands, Inc., Term Loan B, 4.50%, 7/09/20 | 109 | 109,036 | |||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 | 74 | 74,023 | |||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 | 470 | 470,296 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 374 | 374,628 | |||||||||||||
Pinnacle Foods Finance LLC: | |||||||||||||||
Incremental Term Loan H, 3.25%, 4/29/20 | 124 | 122,489 | |||||||||||||
Term Loan G, 3.25%, 4/29/20 | 605 | 597,539 | |||||||||||||
Reddy Ice Corp.: | |||||||||||||||
1st Lien Term Loan, 6.75% - 7.75%, 5/01/19 | 563 | 537,546 | |||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 | 270 | 237,600 | |||||||||||||
4,641,457 | |||||||||||||||
Health Care Equipment & Supplies — 6.8% | |||||||||||||||
Arysta LifeScience Corp.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 | 931 | 928,468 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 | 380 | 383,089 | |||||||||||||
Biomet, Inc., Term Loan B2, 3.66% - 3.73%, 7/25/17 | 707 | 704,907 | |||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 467 | 461,270 | |||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 | 975 | 973,735 | |||||||||||||
Fresenius SE & Co. KGaA: | |||||||||||||||
Incremental Term Loan B, 2.46%, 6/30/19 | EUR | 119 | 156,658 | ||||||||||||
Term Loan B, 2.23%, 8/07/19 | USD | 615 | 614,581 | ||||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 | 760 | 755,518 | |||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 95 | 95,083 | |||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 802 | 801,896 | |||||||||||||
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18 | 119 | 118,569 | |||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 | 509 | 504,274 | |||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 | 575 | 575,541 | |||||||||||||
National Vision, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.00%, 3/12/21 | 638 | 626,252 | |||||||||||||
2nd Lien Term Loan, 6.75%, 3/07/22 | 120 | 118,000 | |||||||||||||
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19 | 135 | 135,982 | |||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 | 920 | 919,614 | |||||||||||||
8,873,437 | |||||||||||||||
Health Care Providers & Services — 7.4% | |||||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 | 335 | 326,625 | |||||||||||||
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19 | 652 | 646,588 | |||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 | 300 | 299,625 | |||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 243 | 242,871 | |||||||||||||
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19 | 394 | 393,123 | |||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 | 1,955 | 1,959,183 | |||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 540 | 537,865 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Health Care Providers & Services (concluded) | |||||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 | USD | 2,215 | $ | 2,207,934 | |||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 | 238 | 239,391 | |||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 | 424 | 423,052 | |||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17 | 269 | 272,554 | |||||||||||||
HCA, Inc., Extended Term Loan B4, 2.98%, 5/01/18 | 233 | 232,510 | |||||||||||||
Ikaria, Inc.: | |||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 | 255 | 255,390 | |||||||||||||
2nd Lien Term Loan, 8.75%, 2/14/22 | 70 | 70,788 | |||||||||||||
inVentiv Health, Inc., Incremental Term Loan B3, 7.75% - 8.50%, 5/15/18 | 218 | 216,405 | |||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21 | 524 | 520,206 | |||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21 | 190 | 189,229 | |||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20 | 226 | 225,888 | |||||||||||||
Surgical Care Affiliates, Inc., Class C, Incremental Term Loan, 4.00%, 6/29/18 | 421 | 419,172 | |||||||||||||
9,678,399 | |||||||||||||||
Health Care Technology — 0.9% | |||||||||||||||
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 | 758 | 747,867 | |||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 438 | 434,316 | |||||||||||||
1,182,183 | |||||||||||||||
Hotels, Restaurants & Leisure — 12.0% | |||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 | 321 | 320,894 | |||||||||||||
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21 | 479 | 475,008 | |||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 261 | 258,670 | |||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 699 | 699,620 | |||||||||||||
Caesars Entertainment Operating Co., Inc.: | |||||||||||||||
Extended Term Loan B6, 6.95%, 3/01/17 | 393 | 368,531 | |||||||||||||
Term Loan B7, 9.75%, 3/01/17 | 341 | 329,683 | |||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 | 1,006 | 987,498 | |||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21 | 385 | 384,037 | |||||||||||||
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20 | 190 | 189,478 | |||||||||||||
Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21 | 550 | 552,750 | |||||||||||||
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 | 100 | 100,875 | |||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 330 | 330,825 | |||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 | 1,883 | 1,870,811 | |||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 | 368 | 369,991 | |||||||||||||
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 | 2,477 | 2,472,768 | |||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 | 597 | 595,257 | |||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 786 | 780,272 | |||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 410 | 408,158 | |||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19 | 407 | 404,890 | |||||||||||||
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 | 295 | 294,923 | |||||||||||||
Sabre, Inc.: | |||||||||||||||
Incremental Term Loan, 4.00%, 2/19/19 | 114 | 113,888 | |||||||||||||
Term Loan B, 4.00%, 2/19/19 | 315 | 313,624 | |||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 | 1,148 | 1,142,922 |
14 | ANNUAL REPORT | AUGUST 31, 2014 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Hotels, Restaurants & Leisure (concluded) | |||||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 | USD | 765 | $ | 768,190 | |||||||||||
Travelport LLC: | |||||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 250 | 254,251 | |||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 210 | 213,624 | |||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 | 265 | 265,220 | |||||||||||||
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19 | 368 | 367,264 | |||||||||||||
15,633,922 | |||||||||||||||
Household Products — 1.1% | |||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 | 634 | 631,383 | |||||||||||||
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19 | 301 | 300,568 | |||||||||||||
Spectrum Brands, Inc.: | |||||||||||||||
Term Loan A, 3.00%, 9/07/17 | 204 | 203,430 | |||||||||||||
Term Loan C, 3.50%, 9/04/19 | 341 | 338,678 | |||||||||||||
1,474,059 | |||||||||||||||
Independent Power and Renewable Electricity Producers — 0.4% | |||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 | 211 | 210,410 | |||||||||||||
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 | 309 | 309,366 | |||||||||||||
519,776 | |||||||||||||||
Industrial Conglomerates — 0.8% | |||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 1,039 | 1,016,731 | |||||||||||||
Insurance — 2.4% | |||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19 | 414 | 411,394 | |||||||||||||
Asurion LLC: | |||||||||||||||
2nd Lien Term Loan, 8.50%, 3/03/21 | 155 | 159,805 | |||||||||||||
Term Loan B1, 5.00%, 5/24/19 | 455 | 456,523 | |||||||||||||
CNO Financial Group, Inc.: | |||||||||||||||
Term Loan B1, 3.00%, 9/28/16 | 267 | 265,418 | |||||||||||||
Term Loan B2, 3.75%, 9/20/18 | 518 | 513,429 | |||||||||||||
Cooper Gay Swett & Crawford Ltd.: | |||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 | 416 | 386,694 | |||||||||||||
2nd Lien Term Loan C, 8.25%, 10/16/20 | 200 | 180,000 | |||||||||||||
Sedgwick, Inc.: | |||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 | 459 | 451,013 | |||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 | 260 | 258,700 | |||||||||||||
3,082,976 | |||||||||||||||
Internet Software & Services — 1.5% | |||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 | 420 | 415,572 | |||||||||||||
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 | 575 | 573,131 | |||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 | 450 | 451,125 | |||||||||||||
W3 Co.: | |||||||||||||||
1st Lien Term Loan, 5.75%, 3/13/20 | 405 | 401,839 | |||||||||||||
2nd Lien Term Loan, 9.25%, 9/11/20 | 155 | 151,520 | |||||||||||||
1,993,187 | |||||||||||||||
IT Services — 3.9% | |||||||||||||||
First Data Corp.: | |||||||||||||||
2018 Extended Term Loan, 3.66%, 3/23/18 | 2,845 | 2,812,510 | |||||||||||||
2018 Term Loan, 3.66%, 9/24/18 | 295 | 292,327 | |||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 | 430 | 428,115 | |||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18 | 245 | 229,928 | |||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 | 349 | 345,742 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
IT Services (concluded) | |||||||||||||||
SunGard Data Systems, Inc.: | |||||||||||||||
Term Loan C, 3.91%, 2/28/17 | USD | 350 | $ | 349,562 | |||||||||||
Term Loan E, 4.00%, 3/08/20 | 126 | 126,132 | |||||||||||||
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21 | 460 | 459,655 | |||||||||||||
5,043,971 | |||||||||||||||
Leisure Products — 0.4% | |||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 | 364 | 361,915 | |||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 204 | 204,797 | |||||||||||||
566,712 | |||||||||||||||
Machinery — 3.8% | |||||||||||||||
Alliance Laundry Systems LLC: | |||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 | 131 | 131,727 | |||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 | 357 | 357,135 | |||||||||||||
Faenza Acquisition GmbH: | |||||||||||||||
Term Loan B1, 4.25%, 8/31/20 | 271 | 269,862 | |||||||||||||
Term Loan B3, 4.25%, 8/28/20 | 81 | 81,238 | |||||||||||||
Gardner Denver, Inc., Term Loan: | |||||||||||||||
4.25%, 7/30/20 | 885 | 883,290 | |||||||||||||
4.75%, 7/30/20 | EUR | 126 | 165,958 | ||||||||||||
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 | USD | 326 | 322,131 | ||||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 | 393 | 389,322 | |||||||||||||
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19 | 561 | 557,621 | |||||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 206 | 207,375 | |||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 567 | 563,079 | |||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 657 | 654,320 | |||||||||||||
STS Operating, Inc., Term Loan, 4.75%, 2/19/21 | 155 | 154,678 | |||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 | 262 | 262,288 | |||||||||||||
5,000,024 | |||||||||||||||
Media — 14.9% | |||||||||||||||
Acosta, Inc., Term Loan B, 4.25%, 3/02/18 | 45 | 44,886 | |||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 | 589 | 588,795 | |||||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 255 | 254,362 | |||||||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21 | 170 | 168,810 | |||||||||||||
Cengage Learning Acquisitions, Inc.: | |||||||||||||||
0.00%, 7/03/15 (a)(e) | 591 | — | |||||||||||||
1st Lien Term Loan, 7.00%, 3/31/20 | 1,372 | 1,379,847 | |||||||||||||
Charter Communications Operating LLC: | |||||||||||||||
Term Loan E, 3.00%, 7/01/20 | 460 | 452,487 | |||||||||||||
Term Loan G, 4.25%, 7/24/21 | 935 | 940,264 | |||||||||||||
Clear Channel Communications, Inc.: | |||||||||||||||
Term Loan B, 3.81%, 1/29/16 | 292 | 290,083 | |||||||||||||
Term Loan D, 6.91%, 1/30/19 | 1,564 | 1,539,858 | |||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 | 550 | 548,117 | |||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 45 | 42,387 | |||||||||||||
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 | 285 | 283,504 | |||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 | 456 | 455,628 | |||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 | 367 | 365,508 | |||||||||||||
IMG Worldwide Holdings LLC: | |||||||||||||||
1st Lien Term Loan, 5.25%, 5/06/21 | 515 | 509,531 | |||||||||||||
2nd Lien Term Loan, 8.25%, 5/01/22 | 205 | 200,900 | |||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 | 983 | 977,444 |
ANNUAL REPORT | AUGUST 31, 2014 | 15 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Media (concluded) | |||||||||||||||
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 | USD | 350 | $ | 349,783 | |||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | 150 | 150,626 | |||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 | 114 | 113,510 | |||||||||||||
MCC Iowa LLC: | |||||||||||||||
Term Loan I, 2.63%, 6/30/17 | 250 | 248,750 | |||||||||||||
Term Loan J, 3.75%, 6/30/21 | 125 | 124,323 | |||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 | 390 | 390,601 | |||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18 | 254 | 249,911 | |||||||||||||
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/13/21 | 310 | 306,900 | |||||||||||||
Mediacom LLC, Term Loan E, 3.13%, 10/23/17 | 480 | 477,600 | |||||||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20 | 527 | 522,688 | |||||||||||||
Numericable U.S. LLC: | |||||||||||||||
Term Loan B1, 4.50%, 5/21/20 | 509 | 510,268 | |||||||||||||
Term Loan B2, 4.50%, 5/21/20 | 440 | 441,451 | |||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 385 | 382,443 | |||||||||||||
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 | 710 | 702,680 | |||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 | 370 | 364,300 | |||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 | 844 | 842,658 | |||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 | 522 | 518,499 | |||||||||||||
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21 | EUR | 281 | 369,992 | ||||||||||||
Virgin Media Investment Holdings Ltd.: | |||||||||||||||
Term Loan B, 3.50%, 6/07/20 | USD | 780 | 769,127 | ||||||||||||
Term Loan E, 4.25%, 6/30/23 | GBP | 650 | 1,076,983 | ||||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 | USD | 510 | 510,668 | ||||||||||||
Ziggo BV: | |||||||||||||||
Term Loan B1A, 3.25%, 1/15/22 | 425 | 416,644 | |||||||||||||
Term Loan B2A, 1.25% - 3.25%, 1/15/22 | 264 | 258,462 | |||||||||||||
Term Loan B3, 0.50%, 1/15/22 | 207 | 202,792 | |||||||||||||
19,344,070 | |||||||||||||||
Metals & Mining — 1.8% | |||||||||||||||
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 | 100 | 101,625 | |||||||||||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 | 366 | 365,281 | |||||||||||||
FMG Resources Property Ltd., Term Loan B, 3.75%, 6/30/19 | 543 | 540,420 | |||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 784 | 781,326 | |||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 599 | 607,892 | |||||||||||||
2,396,544 | |||||||||||||||
Multiline Retail — 2.0% | |||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 | 451 | 450,043 | |||||||||||||
BJ’s Wholesale Club, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 | 538 | 535,043 | |||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 | 200 | 201,900 | |||||||||||||
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 | 430 | 433,054 | |||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 | 984 | 975,523 | |||||||||||||
2,595,563 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels — 3.3% | |||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 | USD | 428 | $ | 416,149 | |||||||||||
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21 | 675 | 676,971 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 | 440 | 435,965 | |||||||||||||
Fieldwood Energy LLC: | |||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 | 313 | 311,524 | |||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 | 135 | 137,926 | |||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 199 | 199,224 | |||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 | 45 | 44,643 | |||||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 | 325 | 331,500 | |||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 360 | 367,200 | |||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 | 105 | 102,375 | |||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 | 250 | 249,895 | |||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 | 270 | 271,520 | |||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21 | 215 | 215,806 | |||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 | 333 | 332,492 | |||||||||||||
WTG Holdings III Corp.: | |||||||||||||||
1st Lien Term Loan, 4.75%, 1/15/21 | 134 | 133,821 | |||||||||||||
2nd Lien Term Loan, 8.50%, 1/15/22 | 30 | 29,950 | |||||||||||||
4,256,961 | |||||||||||||||
Personal Products — 0.1% | |||||||||||||||
Prestige Brands, Inc., Term Loan B2, 4.50%, 4/28/21 | 100 | 100,500 | |||||||||||||
Pharmaceuticals — 6.5% | |||||||||||||||
Akorn, Inc.: | |||||||||||||||
Incremental Term Loan, 4.50%, 4/16/21 | 160 | 160,200 | |||||||||||||
Term Loan B, 4.50%, 4/16/21 | 410 | 410,513 | |||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 4.75% - 6.00%, 11/01/19 | 278 | 277,728 | |||||||||||||
Catalent Pharma Solutions, Inc., Term Loan B, 4.50%, 5/20/21 | 815 | 815,513 | |||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 212 | 210,252 | |||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21 | 359 | 356,633 | |||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21 | 1,247 | 1,237,374 | |||||||||||||
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 | 365 | 362,036 | |||||||||||||
Mallinckrodt International Finance SA: | |||||||||||||||
Term Loan, 3.50%, 7/17/21 | 330 | 328,941 | |||||||||||||
Term Loan B, 3.50%, 3/19/21 | 529 | 526,164 | |||||||||||||
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19 | 848 | 840,964 | |||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 | 986 | 985,515 | |||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 | 577 | 571,789 | |||||||||||||
Valeant Pharmaceuticals International, Inc., Term Loan B: | |||||||||||||||
Series C2, 3.75%, 12/11/19 | 524 | 523,026 | |||||||||||||
Series D2, 3.75%, 2/13/19 | 568 | 565,743 | |||||||||||||
Series E, 3.75%, 8/05/20 | 326 | 325,079 | |||||||||||||
8,497,470 |
16 | ANNUAL REPORT | AUGUST 31, 2014 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Professional Services — 2.9% | |||||||||||||||
Advantage Sales & Marketing, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.25%, 7/23/21 | USD | 455 | $ | 450,108 | |||||||||||
2nd Lien Term Loan, 7.50%, 7/25/22 | 360 | 360,076 | |||||||||||||
Delayed Draw Term Loan, 0.50%, 7/23/21 | 15 | 15,004 | |||||||||||||
Ceridian LLC: | |||||||||||||||
Term Loan B1, 4.16%, 5/09/17 | 651 | 650,332 | |||||||||||||
Term Loan B2, 4.50%, 9/14/20 | 515 | 514,152 | |||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 720 | 715,697 | |||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 | 275 | 274,142 | |||||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 425 | 433,117 | |||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 393 | 390,992 | |||||||||||||
3,803,620 | |||||||||||||||
Real Estate Management & Development — 1.3% | |||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 | 523 | 522,043 | |||||||||||||
Realogy Corp.: | |||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 | 41 | 40,298 | |||||||||||||
Term Loan B, 3.75%, 3/05/20 | 1,188 | 1,182,195 | |||||||||||||
1,744,536 | |||||||||||||||
Road & Rail — 0.8% | |||||||||||||||
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18 | 330 | 323,812 | |||||||||||||
Road Infrastructure Investment LLC: | |||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 | 464 | 458,814 | |||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 | 225 | 222,188 | |||||||||||||
1,004,814 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 1.6% | |||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 | 1,070 | 1,068,299 | |||||||||||||
Freescale Semiconductor, Inc.: | |||||||||||||||
Term Loan B4, 4.25%, 2/28/20 | 532 | 529,614 | |||||||||||||
Term Loan B5, 5.00%, 1/15/21 | 164 | 164,275 | |||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 | 328 | 324,413 | |||||||||||||
2,086,601 | |||||||||||||||
Software — 4.1% | |||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 538 | 535,906 | |||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 243 | 238,305 | |||||||||||||
GCA Services Group, Inc.: | |||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 | 176 | 176,294 | |||||||||||||
Term Loan B, 4.25% - 5.50%, 11/01/19 | 406 | 403,930 | |||||||||||||
Infor US, Inc.: | |||||||||||||||
Term Loan B3, 3.75%, 6/03/20 | 197 | 194,534 | |||||||||||||
Term Loan B5, 3.75%, 6/03/20 | 985 | 976,397 | |||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 | 203 | 190,117 | |||||||||||||
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 | 115 | 114,856 | |||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 409 | 419,459 | |||||||||||||
Mitchell International, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 | 508 | 506,663 | |||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 | 350 | 352,408 | |||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21 | 265 | 259,037 | |||||||||||||
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 | 216 | 211,921 | |||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 | 665 | 661,976 | |||||||||||||
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 | 115 | 114,281 | |||||||||||||
5,356,084 |
Floating Rate Loan Interests (b) | Par (000) | Value | |||||||||||||
Specialty Retail — 4.5% | |||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 | USD | 521 | $ | 519,599 | |||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20 | 245 | 243,759 | |||||||||||||
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 | 330 | 325,498 | |||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 77 | 61,357 | |||||||||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 | 452 | 451,741 | |||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 | 369 | 360,034 | |||||||||||||
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 | 551 | 547,392 | |||||||||||||
Michaels Stores, Inc.: | |||||||||||||||
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 | 665 | 660,844 | |||||||||||||
Term Loan B, 3.75%, 1/28/20 | 518 | 511,576 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 | 948 | 939,479 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 775 | 772,974 | |||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 393 | 391,246 | |||||||||||||
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 | 37 | 31,232 | |||||||||||||
5,816,731 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 2.1% | |||||||||||||||
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 | 499 | 497,503 | |||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 530 | 522,192 | |||||||||||||
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 | 469 | 459,350 | |||||||||||||
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 | 505 | 497,900 | |||||||||||||
Nine West Holdings, Inc.: | |||||||||||||||
Guarantee Term Loan, 6.25%, 1/08/20 | 185 | 184,075 | |||||||||||||
Term Loan B, 4.75%, 10/08/19 | 215 | 215,269 | |||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 | 347 | 348,234 | |||||||||||||
2,724,523 | |||||||||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||||||
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 | 443 | 443,436 | |||||||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 | 604 | 600,379 | |||||||||||||
Total Floating Rate Loan Interests — 134.1% | 174,711,488 | ||||||||||||||
Non-Agency Mortgage Backed Securities — 0.2% | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.2% | |||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c) | 304 | 311,025 | |||||||||||||
Investment Companies | Shares | ||||||||||||||
Capital Markets — 0.0% | |||||||||||||||
Eaton Vance Floating-Rate Income Trust | 12 | 179 | |||||||||||||
Eaton Vance Senior Income Trust | 3,347 | 22,325 | |||||||||||||
Total Investment Companies — 0.0% | 22,504 |
ANNUAL REPORT | AUGUST 31, 2014 | 17 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets) |
Warrants (f) | | Shares | Value | ||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 691 | $ | 3,214 | ||||||||||||
Total Long-Term Investments (Cost — $183,616,880) — 141.0% | 183,818,081 |
Short-Term Securities | | Shares | Value | |||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (g)(h) | 2,958,501 | $ | 2,958,501 | |||||||||||
Total Short-Term Securities (Cost — $2,958,501) — 2.3% | 2,958,501 | |||||||||||||
Total Investments (Cost — $186,575,381) — 143.3% | 186,776,582 | |||||||||||||
Liabilities in Excess of Other Assets — (43.3)% | (56,425,771 | ) | ||||||||||||
Net Assets — 100.0% | $ | 130,350,811 |
Notes to Schedule of Investments
(a) | Non-income producing security. | |||
(b) | Variable rate security. Rate shown is as of report date. | |||
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. | |||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation | ||||||||
Deutsche Bank Securities, Inc. | $ | 237,200 | — |
(e) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(f) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. | |||
(g) | Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2013 | Net Activity | Shares Held at August 31, 2014 | Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,298,269 | 1,660,232 | 2,958,501 | $ | 199 |
(h) | Represents the current yield as of report date. | |||
• | Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||
USD | 658,896 | EUR | 487,000 | Citibank N.A. | 10/21/14 | $ | 18,814 | |||||||
USD | 2,098,271 | GBP | 1,228,000 | Bank of America N.A. | 10/21/14 | 60,399 | ||||||||
Total | $ | 79,213 |
• | 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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access | |||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 of the Notes to Financial Statements. |
18 | ANNUAL REPORT | AUGUST 31, 2014 |
Schedule of Investments (concluded) | 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 August 31, 2014: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks | $ | 467,616 | $ | 282,533 | — | $ | 750,149 | |||||||||
Asset-Backed Securities | — | 2,792,496 | $ | 921,580 | 3,714,076 | |||||||||||
Corporate Bonds | — | 4,305,625 | — | 4,305,625 | ||||||||||||
Floating Rate Loan Interests | — | 161,112,379 | 13,599,109 | 174,711,488 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 311,025 | — | 311,025 | ||||||||||||
Investment Companies | 22,504 | — | — | 22,504 | ||||||||||||
Warrants | — | 3,214 | — | 3,214 | ||||||||||||
Short-Term Securities | 2,958,501 | — | — | 2,958,501 | ||||||||||||
Liabilities: | ||||||||||||||||
Unfunded Floating Rate Loan Interests | — | (6,142 | ) | (85 | ) | (6,227 | ) | |||||||||
Total | $ | 3,448,621 | $ | 168,801,130 | $ | 14,520,604 | $ | 186,770,355 | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency exchange contracts | — | $ | 79,213 | — | $ | 79,213 |
1 | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash | $ | 103,115 | — | — | $ | 103,115 | ||||||||||
Cash pledged as collateral for OTC derivatives | 400,000 | — | — | 400,000 | ||||||||||||
Foreign currency at value | 8,309 | — | — | 8,309 | ||||||||||||
Liabilities: | ||||||||||||||||
Bank borrowings payable | — | $ | (55,000,000 | ) | — | (55,000,000 | ) | |||||||||
Total | $ | 511,424 | $ | (55,000,000 | ) | — | $ | (54,488,576 | ) |
There were no transfers between Level 1 and 2 during the year ended August 31, 2014. | ||||
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 | Unfunded Floating Rate Loan Interests (Liabilities) | Total | |||||||||||||
Assets: | ||||||||||||||||
Opening Balance, as of August 31, 2013 | $ | 4,422,403 | $ | 21,940,408 | — | $ | 26,362,811 | |||||||||
Transfers into Level 32 | — | 3,987,570 | — | 3,987,570 | ||||||||||||
Transfers out of Level 33 | (2,313,207 | ) | (5,463,652 | ) | — | (7,776,859 | ) | |||||||||
Accrued discounts/premiums | 5,033 | 64,461 | — | 69,494 | ||||||||||||
Net realized gain | 115,902 | 205,915 | — | 321,817 | ||||||||||||
Net change in unrealized appreciation/depreciation4,5 | (120,391 | ) | (101,369 | ) | $ | (85 | ) | (221,845 | ) | |||||||
Purchases | 922,435 | 6,650,836 | — | 7,573,271 | ||||||||||||
Sales | (2,110,595 | ) | (13,685,060 | ) | — | (15,795,655 | ) | |||||||||
Closing Balance, as of August 31, 2014 | $ | 921,580 | $ | 13,599,109 | $ | (85 | ) | $ | 14,520,604 | |||||||
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20145 | $ | (1,143 | ) | $ | (40,697 | ) | $ | (85 | ) | $ | (41,925 | ) |
2 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,987,570 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
3 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $7,776,859 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. |
5 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at August 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
ANNUAL REPORT | AUGUST 31, 2014 | 19 |
Consolidated Schedule of Investments August 31, 2014 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Common Stocks (a) | Shares | Value | ||||||||||||
Chemicals — 0.0% | ||||||||||||||
GEO Specialty Chemicals, Inc. | 23,849 | $ | 23,133 | |||||||||||
Diversified Consumer Services — 0.2% | ||||||||||||||
Cengage Thomson Learning | 37,579 | 1,190,014 | ||||||||||||
Diversified Financial Services — 0.2% | ||||||||||||||
Kcad Holdings I Ltd. | 217,833,983 | 1,487,806 | ||||||||||||
Electrical Equipment — 0.0% | ||||||||||||||
Medis Technologies Ltd. | 260,833 | 3 | ||||||||||||
Paper & Forest Products — 0.4% | ||||||||||||||
Ainsworth Lumber Co. Ltd. | 393,892 | 981,741 | ||||||||||||
Ainsworth Lumber Co. Ltd. (b) | 346,000 | 862,375 | ||||||||||||
1,844,116 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||||
SunPower Corp. | 1,860 | 71,089 | ||||||||||||
Software — 0.4% | ||||||||||||||
HMH Holdings/EduMedia | 116,627 | 2,239,238 | ||||||||||||
Total Common Stocks — 1.2% | 6,855,399 | |||||||||||||
Asset-Backed Securities (b)(c) | Par (000) | |||||||||||||
ALM Loan Funding: | ||||||||||||||
Series 2013-7RA, Class C, 3.68%, 4/24/24 | USD | 1,075 | 1,027,573 | |||||||||||
Series 2013-7RA, Class D, 5.23%, 4/24/24 | 900 | 836,231 | ||||||||||||
Series 2013-8A, Class B, 2.98%, 1/20/26 | 1,150 | 1,130,001 | ||||||||||||
ALM XIV Ltd., Series 2014-14A: | ||||||||||||||
Class B, 3.18%, 7/28/26 | 563 | 553,845 | ||||||||||||
Class C, 3.68%, 7/28/26 | 713 | 676,305 | ||||||||||||
Atlas Senior Loan Fund Ltd., 3.94%, 10/15/26 (d) | 860 | 815,968 | ||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 | 1,100 | 1,051,523 | ||||||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.73%, 7/15/24 | 650 | 611,924 | ||||||||||||
Carlyle Global Market Strategies CLO Ltd.: | ||||||||||||||
Series 2012-4A, Class D, 4.73%, 1/20/25 | 700 | 702,332 | ||||||||||||
Series 2013-1A, Class C, 4.23%, 2/14/25 | 250 | 245,189 | ||||||||||||
Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25 | 500 | 472,956 | ||||||||||||
CIFC Funding Ltd., Series 2014-3A, Class C1, 2.95%, 7/22/26 | 250 | 242,449 | ||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23 | 950 | 942,650 | ||||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.73%, 10/23/25 | 370 | 352,920 | ||||||||||||
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25 | 750 | 709,356 | ||||||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.43%, 10/25/25 | 1,000 | 933,696 | ||||||||||||
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.04%, 8/12/26 | 250 | 245,275 | ||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 | 500 | 501,371 | ||||||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 | 250 | 235,108 | ||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.23%, 1/15/25 | 500 | 486,500 | ||||||||||||
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23 | 1,500 | 1,502,070 | ||||||||||||
Voya CLO Ltd., Series 2014-3A, Class C, 3.83%, 7/25/26 | 250 | 237,600 | ||||||||||||
Total Asset-Backed Securities — 2.5% | 14,512,842 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Airlines — 0.7% | ||||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) | USD | 1,140 | $ | 1,179,900 | ||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16 | 183 | 206,809 | ||||||||||||
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 | 2,605 | 2,650,587 | ||||||||||||
4,037,296 | ||||||||||||||
Auto Components — 0.2% | ||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||||||||||||
3.50%, 3/15/17 | 717 | 721,481 | ||||||||||||
4.88%, 3/15/19 | 460 | 472,650 | ||||||||||||
1,194,131 | ||||||||||||||
Capital Markets — 0.2% | ||||||||||||||
Blackstone CQP Holdco LP, 9.30%, 3/18/19 | 822 | 838,055 | ||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f) | 129 | 278,559 | ||||||||||||
1,116,614 | ||||||||||||||
Chemicals — 0.6% | ||||||||||||||
GEO Specialty Chemicals, Inc., 7.50%, 12/17/16 (b) | 1,559 | 3,928,902 | ||||||||||||
Commercial Services & Supplies — 0.3% | ||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (c) | 295 | 293,525 | ||||||||||||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 1,012 | 1,035,969 | ||||||||||||
United Rentals North America, Inc., 5.75%, 7/15/18 | 350 | 368,375 | ||||||||||||
1,697,869 | ||||||||||||||
Communications Equipment — 0.4% | ||||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (b) | 390 | 388,050 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 1,470 | 1,585,762 | ||||||||||||
1,973,812 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) | 335 | 352,588 | ||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||
Ally Financial, Inc.: | ||||||||||||||
2.91%, 7/18/16 (c) | 1,375 | 1,401,814 | ||||||||||||
7.50%, 9/15/20 | 160 | 191,400 | ||||||||||||
8.00%, 11/01/31 | 685 | 885,544 | ||||||||||||
2,478,758 | ||||||||||||||
Hotels, Restaurants & Leisure — 0.5% | ||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 | 2,530 | 2,026,166 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc., 6.36%, 3/01/16 (b)(c) | 676 | 675,960 | ||||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(g) | 120 | — | ||||||||||||
2,702,126 | ||||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||||||||
Calpine Corp., 6.00%, 1/15/22 (b) | 349 | 376,048 | ||||||||||||
Media — 0.2% | ||||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) | 514 | 528,135 | ||||||||||||
Numericable Group SA, 6.00%, 5/15/22 (b) | 842 | 867,260 | ||||||||||||
1,395,395 | ||||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | 635 | 669,925 | ||||||||||||
Road & Rail — 0.2% | ||||||||||||||
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b) | 884 | 932,620 | ||||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||||
T-Mobile USA, Inc., 6.13%, 1/15/22 | 225 | 233,156 | ||||||||||||
Total Corporate Bonds — 4.0% | 23,089,240 |
20 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Aerospace & Defense — 1.7% | ||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | USD | 2,212 | $ | 2,202,046 | ||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 | 1,175 | 1,151,500 | ||||||||||||
Transdigm, Inc.: | ||||||||||||||
Term Loan C, 3.75%, 2/28/20 | 887 | 880,481 | ||||||||||||
Term Loan D, 3.75%, 6/04/21 | 825 | 819,159 | ||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 | 4,778 | 4,756,141 | ||||||||||||
9,809,327 | ||||||||||||||
Air Freight & Logistics — 0.5% | ||||||||||||||
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 | 738 | 712,044 | ||||||||||||
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 | 776 | 757,901 | ||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 | 134 | 130,673 | ||||||||||||
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21 | 1,071 | 1,045,381 | ||||||||||||
2,645,999 | ||||||||||||||
Airlines — 0.8% | ||||||||||||||
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 | 1,429 | 1,414,987 | ||||||||||||
Northwest Airlines, Inc., Term Loan: | ||||||||||||||
2.18%, 3/10/17 | 783 | 761,143 | ||||||||||||
1.56%, 9/10/18 | 1,077 | 1,026,733 | ||||||||||||
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 | 1,139 | 1,127,115 | ||||||||||||
4,329,978 | ||||||||||||||
Auto Components — 4.5% | ||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 1,286 | 1,291,264 | ||||||||||||
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16 | 244 | 244,096 | ||||||||||||
Autoparts Holdings Ltd.: | ||||||||||||||
1st Lien Term Loan, 6.50%, 7/28/17 | 2,788 | 2,786,165 | ||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 | 1,079 | 1,040,500 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 | 1,587 | 1,587,025 | ||||||||||||
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 | 1,551 | 1,534,403 | ||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 | 8,820 | 8,750,675 | ||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 5,015 | 5,029,092 | ||||||||||||
GPX International Tire Corp., Term Loan (a)(g): | ||||||||||||||
PIK, 13.00%, 12/31/49 (h) | 18 | — | ||||||||||||
12.25%, 12/31/49 | 1,097 | — | ||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18 | 2,089 | 2,078,369 | ||||||||||||
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 1,448 | 1,446,139 | ||||||||||||
25,787,728 | ||||||||||||||
Automobiles — 0.3% | ||||||||||||||
Chrysler Group LLC, Term Loan B: | ||||||||||||||
2018, 3.25%, 12/31/18 | 823 | 814,502 | ||||||||||||
3.50%, 5/24/17 | 873 | 871,503 | ||||||||||||
1,686,005 | ||||||||||||||
Banks — 0.3% | ||||||||||||||
Redtop Acquisitions Ltd.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 | 1,159 | 1,157,239 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 | 308 | 314,619 | ||||||||||||
1,471,858 | ||||||||||||||
Building Products — 3.1% | ||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 | 1,625 | 1,613,708 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 4,282 | 4,281,989 | ||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 | 1,411 | 1,393,819 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Building Products (concluded) | ||||||||||||||
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 | USD | 1,751 | $ | 1,729,833 | ||||||||||
Nortek, Inc., Term Loan, 3.75%, 10/30/20 | 2,090 | 2,081,285 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 | 1,017 | 998,688 | ||||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 | 1,763 | 1,751,744 | ||||||||||||
Wilsonart LLC: | ||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 | 502 | 495,777 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 | 3,403 | 3,357,813 | ||||||||||||
17,704,656 | ||||||||||||||
Capital Markets — 0.6% | ||||||||||||||
Affinion Group, Inc.: | ||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 | 1,010 | 1,001,309 | ||||||||||||
Term Loan B, 6.75%, 4/30/18 | 1,366 | 1,352,238 | ||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 | 870 | 865,691 | ||||||||||||
3,219,238 | ||||||||||||||
Chemicals — 4.9% | ||||||||||||||
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 | 1,105 | 1,103,369 | ||||||||||||
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 | 573 | 572,485 | ||||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 | 2,088 | 2,074,290 | ||||||||||||
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 | 117 | 116,413 | ||||||||||||
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 | 1,264 | 1,263,104 | ||||||||||||
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19 | 1,144 | 1,139,959 | ||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 2,059 | 2,060,106 | ||||||||||||
INEOS US Finance LLC: | ||||||||||||||
3 Year Term Loan, 2.20%, 5/04/15 | 380 | 380,194 | ||||||||||||
6 Year Term Loan, 3.75%, 5/04/18 | 861 | 854,755 | ||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20 | 2,014 | 2,005,224 | ||||||||||||
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21 | 2,250 | 2,247,187 | ||||||||||||
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15 | 450 | 449,437 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 2,454 | 2,442,451 | ||||||||||||
OXEA Finance LLC: | ||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 | 1,365 | 1,367,280 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 | 2,531 | 2,521,384 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 681 | 682,006 | ||||||||||||
Solenis International LP: | ||||||||||||||
1st Lien Term Loan, 4.25%, 7/02/21 | 1,545 | 1,534,386 | ||||||||||||
2nd Lien Term Loan, 7.75%, 7/02/22 | 1,725 | 1,709,475 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 584 | 576,799 | ||||||||||||
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20 | 1,756 | 1,752,905 | ||||||||||||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 984 | 984,553 | ||||||||||||
27,837,762 | ||||||||||||||
Commercial Services & Supplies — 4.9% | ||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 | 3,234 | 3,184,871 | ||||||||||||
ARAMARK Corp.: | ||||||||||||||
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 | 46 | 45,783 | ||||||||||||
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 | 32 | 31,958 | ||||||||||||
Term Loan E, 3.25%, 9/07/19 | 2,928 | 2,897,874 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 | 1,158 | 1,153,552 |
ANNUAL REPORT | AUGUST 31, 2014 | 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 (c) | Par (000) | Value | ||||||||||||
Commercial Services & Supplies (concluded) | ||||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 | USD | 3,809 | $ | 3,804,848 | ||||||||||
Connolly Corp.: | ||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 | 3,000 | 3,013,140 | ||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 | 1,500 | 1,505,625 | ||||||||||||
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 | 1,355 | 1,345,881 | ||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20 | 2,400 | 2,403,000 | ||||||||||||
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/16/19 | 1,346 | 1,338,833 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 4,052 | 4,017,324 | ||||||||||||
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 | 950 | 950,000 | ||||||||||||
West Corp., Term Loan B10, 3.25%, 6/30/18 | 2,606 | 2,576,857 | ||||||||||||
28,269,546 | ||||||||||||||
Communications Equipment — 3.1% | ||||||||||||||
Amaya Holdings BV: | ||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 | 835 | 826,859 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 | 5,815 | 5,884,082 | ||||||||||||
Applied Systems, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 | 801 | 798,972 | ||||||||||||
2nd Lien Term Loan, 7.50%, 1/23/22 | 380 | 382,280 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17 | 1,515 | 1,467,479 | ||||||||||||
CommScope, Inc., Term Loan B3, 2.66% - 2.73%, 1/21/17 | 693 | 695,216 | ||||||||||||
Telesat Canada, Term Loan A, 4.37%, 3/24/17 | CAD | 2,250 | 2,048,653 | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 | USD | 5,461 | 5,437,506 | |||||||||||
17,541,047 | ||||||||||||||
Construction & Engineering — 0.2% | ||||||||||||||
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20 | 1,421 | 1,392,124 | ||||||||||||
Construction Materials — 1.5% | ||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 | 965 | 965,633 | ||||||||||||
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 | 7,189 | 7,149,787 | ||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 | 660 | 660,012 | ||||||||||||
8,775,432 | ||||||||||||||
Containers & Packaging — 1.1% | ||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 | 923 | 917,308 | ||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | 2,748 | 2,709,687 | ||||||||||||
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 | 1,510 | 1,516,297 | ||||||||||||
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21 | 150 | 149,016 | ||||||||||||
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 | 775 | 774,031 | ||||||||||||
Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19 | 507 | 504,475 | ||||||||||||
6,570,814 | ||||||||||||||
Distributors — 1.5% | ||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 4,997 | 4,946,216 | ||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 | 1,452 | 1,451,867 | ||||||||||||
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 | 1,015 | 1,003,136 | ||||||||||||
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17 | 1,192 | 1,185,156 | ||||||||||||
8,586,375 | ||||||||||||||
Diversified Consumer Services — 2.5% | ||||||||||||||
Allied Security Holdings LLC: | ||||||||||||||
1st Lien Term Loan, 4.25%, 2/12/21 | 2,883 | 2,859,454 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/13/21 | 417 | 413,829 | ||||||||||||
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20 | 2,783 | 2,763,508 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Diversified Consumer Services (concluded) | ||||||||||||||
Fitness International LLC, Term Loan B, 5.50%, 7/01/20 | USD | 1,105 | $ | 1,100,392 | ||||||||||
Garda World Securities Corp.: | ||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 | 299 | 296,783 | ||||||||||||
Term Loan B, 4.00%, 11/06/20 | 1,169 | 1,160,151 | ||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 | 1,072 | 1,039,079 | ||||||||||||
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 | 2,680 | 2,657,890 | ||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 | 2,805 | 2,203,131 | ||||||||||||
14,494,217 | ||||||||||||||
Diversified Financial Services — 1.3% | ||||||||||||||
AssuredPartners Capital, Inc., 1st Lien Term Loan, 4.50%, 3/31/21 | 1,495 | 1,488,153 | ||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 | 3,261 | 3,252,263 | ||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 | 389 | 388,745 | ||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 | 2,582 | 2,577,997 | ||||||||||||
7,707,158 | ||||||||||||||
Diversified Telecommunication Services — 4.3% | ||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 | 3,033 | 3,032,312 | ||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 2,717 | 2,728,368 | ||||||||||||
Integra Telecom, Inc.: | ||||||||||||||
2nd Lien Term Loan, 9.75%, 2/22/20 | 1,125 | 1,141,875 | ||||||||||||
Term Loan B, 5.25%, 2/22/19 | 2,015 | 2,013,875 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
2019 Term Loan, 4.00%, 8/01/19 | 1,085 | 1,079,803 | ||||||||||||
2020 Term Loan B, 4.00%, 1/15/20 | 9,510 | 9,462,450 | ||||||||||||
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 | 1,939 | 1,919,653 | ||||||||||||
U.S. Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 3,058 | 3,055,641 | ||||||||||||
24,433,977 | ||||||||||||||
Electric Utilities — 1.1% | ||||||||||||||
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 | 1,754 | 1,755,768 | ||||||||||||
American Energy — Utica LLC: | ||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 | 218 | 228,887 | ||||||||||||
2nd Lien Term Loan, 5.50%, 9/30/18 | 1,020 | 1,091,733 | ||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 | 218 | 228,919 | ||||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 | 1,425 | 1,426,425 | ||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 | 1,285 | 1,291,219 | ||||||||||||
6,022,951 | ||||||||||||||
Electrical Equipment — 1.5% | ||||||||||||||
Southwire Co., Term Loan, 3.25%, 2/10/21 | 1,177 | 1,169,105 | ||||||||||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 | 2,557 | 2,571,720 | ||||||||||||
Extended Term Loan, 4.65%, 10/10/17 (a)(g) | 6,610 | 5,111,381 | ||||||||||||
8,852,206 | ||||||||||||||
Electronic Equipment, Instruments & Components — 0.5% | ||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 | 2,860 | 2,821,475 | ||||||||||||
Energy Equipment & Services — 0.6% | ||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 1,822 | 1,818,193 | ||||||||||||
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 1,577 | 1,571,527 | ||||||||||||
3,389,720 |
22 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Food & Staples Retailing — 1.5% | ||||||||||||||
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15 | GBP | 2,428 | $ | 4,021,091 | ||||||||||
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 | USD | 1,475 | 1,466,239 | |||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 1,040 | 1,051,263 | ||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 | 2,226 | 2,209,371 | ||||||||||||
8,747,964 | ||||||||||||||
Food Products — 3.5% | ||||||||||||||
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 879 | 882,216 | ||||||||||||
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 1,126 | 1,123,198 | ||||||||||||
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25% - 5.50%, 2/18/21 | 1,731 | 1,711,459 | ||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 | 3,001 | 2,980,752 | ||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18 | 2,624 | 2,613,371 | ||||||||||||
GFA Brands, Inc., Term Loan B, 4.50%, 7/09/20 | 490 | 490,663 | ||||||||||||
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 | 312 | 310,896 | ||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 | 2,160 | 2,161,361 | ||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 1,459 | 1,462,763 | ||||||||||||
Pinnacle Foods Finance LLC: | ||||||||||||||
Incremental Term Loan H, 3.25%, 4/29/20 | 531 | 524,255 | ||||||||||||
Term Loan G, 3.25%, 4/29/20 | 2,638 | 2,603,563 | ||||||||||||
Reddy Ice Corp.: | ||||||||||||||
1st Lien Term Loan, 6.75% - 7.75%, 5/01/19 | 2,464 | 2,352,941 | ||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 | 1,195 | 1,051,600 | ||||||||||||
20,269,038 | ||||||||||||||
Health Care Equipment & Supplies — 6.8% | ||||||||||||||
Arysta LifeScience Corp.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 | 4,069 | 4,059,579 | ||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 | 1,675 | 1,688,618 | ||||||||||||
Biomet, Inc., Term Loan B2, 3.66% - 3.73%, 7/25/17 | 3,100 | 3,093,242 | ||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 2,049 | 2,025,620 | ||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 | 4,271 | 4,264,653 | ||||||||||||
Fresenius SE & Co. KGaA: | ||||||||||||||
Incremental Term Loan B, 2.46%, 6/30/19 | EUR | 527 | 691,907 | |||||||||||
Term Loan B, 2.23%, 8/07/19 | USD | 2,690 | 2,686,313 | |||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 | 3,303 | 3,281,633 | ||||||||||||
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 432 | 432,335 | ||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 3,536 | 3,533,201 | ||||||||||||
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18 | 526 | 523,680 | ||||||||||||
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 | 2,199 | 2,180,242 | ||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 | 2,625 | 2,627,467 | ||||||||||||
National Vision, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.00%, 3/12/21 | 2,754 | 2,705,049 | ||||||||||||
2nd Lien Term Loan, 6.75%, 3/07/22 | 530 | 521,165 | ||||||||||||
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19 | 640 | 647,341 | ||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 | 4,010 | 4,008,316 | ||||||||||||
38,970,361 | ||||||||||||||
Health Care Providers & Services — 7.6% | ||||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 | 1,470 | 1,433,250 | ||||||||||||
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19 | 2,854 | 2,831,272 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Health Care Providers & Services (concluded) | ||||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 | USD | 1,305 | $ | 1,303,369 | ||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 1,063 | 1,063,131 | ||||||||||||
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19 | 1,726 | 1,721,778 | ||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 | 8,622 | 8,639,349 | ||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 2,339 | 2,330,750 | ||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 | 9,715 | 9,684,009 | ||||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 | 1,037 | 1,042,348 | ||||||||||||
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 | 1,912 | 1,906,961 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17 | 1,209 | 1,227,575 | ||||||||||||
HCA, Inc.: | ||||||||||||||
Extended Term Loan B4, 2.98%, 5/01/18 | 1,130 | 1,126,496 | ||||||||||||
Term Loan B5, 2.91%, 3/31/17 | 821 | 819,796 | ||||||||||||
Ikaria, Inc.: | ||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 | 1,147 | 1,149,253 | ||||||||||||
2nd Lien Term Loan, 8.75%, 2/14/22 | 315 | 318,544 | ||||||||||||
inVentiv Health, Inc., Incremental Term Loan B3, 7.75% - 8.50%, 5/15/18 | 1,099 | 1,092,090 | ||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21 | 2,310 | 2,294,186 | ||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21 | 818 | 816,674 | ||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20 | 990 | 988,794 | ||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 | 1,846 | 1,839,426 | ||||||||||||
43,629,051 | ||||||||||||||
Health Care Technology — 0.9% | ||||||||||||||
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 | 3,362 | 3,316,200 | ||||||||||||
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 1,918 | 1,901,707 | ||||||||||||
5,217,907 | ||||||||||||||
Hotels, Restaurants & Leisure — 11.8% | ||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 | 1,409 | 1,406,708 | ||||||||||||
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21 | 2,105 | 2,088,056 | ||||||||||||
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 1,154 | 1,144,856 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 3,056 | 3,059,673 | ||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Extended Term Loan B6, 6.95%, 3/01/17 | 1,534 | 1,436,916 | ||||||||||||
Term Loan B7, 9.75%, 3/01/17 | 1,347 | 1,301,028 | ||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 | 3,928 | 3,854,611 | ||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21 | 1,700 | 1,695,750 | ||||||||||||
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20 | 825 | 822,731 | ||||||||||||
Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21 | 2,350 | 2,361,750 | ||||||||||||
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 | 440 | 443,850 | ||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 1,435 | 1,438,588 | ||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 | 8,275 | 8,220,386 | ||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 | 1,612 | 1,619,960 | ||||||||||||
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 | 10,836 | 10,817,761 | ||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 | 2,488 | 2,480,236 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 3,465 | 3,440,273 |
ANNUAL REPORT | AUGUST 31, 2014 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) | ||||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | USD | 1,795 | $ | 1,785,690 | ||||||||||
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19 | 1,767 | 1,757,817 | ||||||||||||
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 | 1,285 | 1,284,666 | ||||||||||||
Sabre, Inc.: | ||||||||||||||
Incremental Term Loan, 4.00%, 2/19/19 | 506 | 505,066 | ||||||||||||
Term Loan B, 4.00%, 2/19/19 | 1,389 | 1,381,906 | ||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 | 5,049 | 5,028,855 | ||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 | 3,345 | 3,358,949 | ||||||||||||
Travelport LLC: | ||||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 1,057 | 1,076,210 | ||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 1,080 | 1,095,813 | ||||||||||||
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 | 1,135 | 1,135,942 | ||||||||||||
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19 | 1,635 | 1,630,012 | ||||||||||||
67,674,059 | ||||||||||||||
Household Products — 1.1% | ||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 | 2,755 | 2,742,244 | ||||||||||||
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19 | 1,313 | 1,313,352 | ||||||||||||
Spectrum Brands, Inc.: | ||||||||||||||
Term Loan A, 3.00%, 9/07/17 | 902 | 900,284 | ||||||||||||
Term Loan C, 3.50%, 9/04/19 | 1,465 | 1,456,602 | ||||||||||||
6,412,482 | ||||||||||||||
Independent Power and Renewable Electricity Producers — 0.4% | ||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 | 916 | 915,037 | ||||||||||||
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 | 1,414 | 1,415,890 | ||||||||||||
2,330,927 | ||||||||||||||
Industrial Conglomerates — 0.8% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 4,524 | 4,425,008 | ||||||||||||
Insurance — 2.4% | ||||||||||||||
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19 | 1,792 | 1,781,094 | ||||||||||||
Asurion LLC: | ||||||||||||||
2nd Lien Term Loan, 8.50%, 3/03/21 | 675 | 695,925 | ||||||||||||
Term Loan B1, 5.00%, 5/24/19 | 2,760 | 2,766,953 | ||||||||||||
CNO Financial Group, Inc.: | ||||||||||||||
Term Loan B1, 3.00%, 9/28/16 | 1,170 | 1,165,250 | ||||||||||||
Term Loan B2, 3.75%, 9/20/18 | 2,261 | 2,241,670 | ||||||||||||
Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.00%, 4/16/20 | 1,827 | 1,698,691 | ||||||||||||
Sedgwick, Inc.: | ||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 | 2,025 | 1,990,339 | ||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 | 1,155 | 1,149,225 | ||||||||||||
13,489,147 | ||||||||||||||
Internet Software & Services — 1.4% | ||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 | 1,856 | 1,837,017 | ||||||||||||
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 | 2,550 | 2,541,712 | ||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 | 2,000 | 2,005,000 | ||||||||||||
W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20 | 1,773 | 1,759,268 | ||||||||||||
8,142,997 | ||||||||||||||
IT Services — 3.8% | ||||||||||||||
First Data Corp.: | ||||||||||||||
2018 Extended Term Loan, 3.66%, 3/23/18 | 12,519 | 12,378,640 | ||||||||||||
2018 Term Loan, 3.66%, 9/24/18 | 1,150 | 1,139,581 | ||||||||||||
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 | 1,856 | 1,848,306 | ||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18 | 1,015 | 952,136 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
IT Services (concluded) | ||||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 | USD | 1,596 | $ | 1,580,535 | ||||||||||
SunGard Data Systems, Inc.: | ||||||||||||||
Term Loan C, 3.91%, 2/28/17 | 1,515 | 1,513,106 | ||||||||||||
Term Loan E, 4.00%, 3/08/20 | 567 | 565,421 | ||||||||||||
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21 | 2,025 | 2,023,481 | ||||||||||||
22,001,206 | ||||||||||||||
Leisure Products — 0.4% | ||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 | 1,616 | 1,608,510 | ||||||||||||
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 879 | 882,523 | ||||||||||||
2,491,033 | ||||||||||||||
Machinery — 3.9% | ||||||||||||||
Alliance Laundry Systems LLC: | ||||||||||||||
2nd Lien Term Loan, 9.50%, 12/10/19 | 573 | 576,307 | ||||||||||||
Refinancing Term Loan, 4.25%, 12/10/18 | 1,579 | 1,578,777 | ||||||||||||
Faenza Acquisition GmbH: | ||||||||||||||
Term Loan B1, 4.25%, 8/31/20 | 1,177 | 1,174,076 | ||||||||||||
Term Loan B3, 4.25%, 8/28/20 | 354 | 353,437 | ||||||||||||
Gardner Denver, Inc., Term Loan: | ||||||||||||||
4.25%, 7/30/20 | 3,883 | 3,875,594 | ||||||||||||
4.75%, 7/30/20 | EUR | 545 | 717,932 | |||||||||||
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 | USD | 1,445 | 1,428,284 | |||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 | 1,965 | 1,946,611 | ||||||||||||
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19 | 2,428 | 2,411,467 | ||||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 904 | 911,871 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 2,415 | 2,398,601 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 2,902 | 2,888,886 | ||||||||||||
STS Operating, Inc., Term Loan, 4.75%, 2/19/21 | 688 | 688,564 | ||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 | 1,155 | 1,155,575 | ||||||||||||
22,105,982 | ||||||||||||||
Media — 14.5% | ||||||||||||||
Acosta, Inc., Term Loan B, 4.25%, 3/02/18 | 194 | 194,506 | ||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 | 2,576 | 2,575,447 | ||||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 1,125 | 1,122,187 | ||||||||||||
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21 | 750 | 744,750 | ||||||||||||
Cengage Learning Acquisitions, Inc., 1st Lien Term Loan: | ||||||||||||||
0.00%, 7/03/15 (a)(g) | 781 | — | ||||||||||||
0.00%, 7/03/15 (a)(g) | 1,708 | — | ||||||||||||
7.00%, 3/31/20 | 6,035 | 6,071,326 | ||||||||||||
Charter Communications Operating LLC: | ||||||||||||||
Term Loan E, 3.00%, 7/01/20 | 2,015 | 1,980,240 | ||||||||||||
Term Loan G, 4.25%, 7/24/21 | 4,100 | 4,123,083 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.81%, 1/29/16 | 1,455 | 1,270,569 | ||||||||||||
Term Loan D, 6.91%, 1/30/19 | 6,875 | 6,768,851 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 | 2,374 | 2,366,263 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 195 | 184,097 | ||||||||||||
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 | 1,240 | 1,233,490 | ||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 | 1,991 | 1,990,865 | ||||||||||||
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 | 1,468 | 1,462,030 | ||||||||||||
IMG Worldwide Holdings LLC: | ||||||||||||||
1st Lien Term Loan, 5.25%, 5/06/21 | 2,300 | 2,275,574 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/01/22 | 915 | 896,700 |
24 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 | USD | 4,313 | $ | 4,289,301 | ||||||||||
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 | 1,490 | 1,489,076 | ||||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | 645 | 647,690 | ||||||||||||
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 | 496 | 493,521 | ||||||||||||
MCC Iowa LLC: | ||||||||||||||
Term Loan I, 2.63%, 6/30/17 | 1,080 | 1,074,600 | ||||||||||||
Term Loan J, 3.75%, 6/30/21 | 525 | 522,154 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 | 1,712 | 1,715,855 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18 | 1,117 | 1,097,649 | ||||||||||||
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/13/21 | 1,360 | 1,346,400 | ||||||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20 | 2,290 | 2,271,182 | ||||||||||||
Numericable U.S. LLC: | ||||||||||||||
Term Loan B1, 4.50%, 5/21/20 | 2,236 | 2,242,760 | ||||||||||||
Term Loan B2, 4.50%, 5/21/20 | 1,934 | 1,940,292 | ||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 1,695 | 1,682,751 | ||||||||||||
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 | 3,050 | 3,018,554 | ||||||||||||
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 | 1,871 | 1,840,931 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 | 3,700 | 3,692,945 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 | 2,282 | 2,266,534 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21 | EUR | 1,272 | 1,675,795 | |||||||||||
Virgin Media Investment Holdings Ltd.: | ||||||||||||||
Term Loan B, 3.50%, 6/07/20 | USD | 3,415 | 3,367,395 | |||||||||||
Term Loan E, 4.25%, 6/30/23 | GBP | 2,840 | 4,705,587 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 | USD | 2,220 | 2,224,352 | |||||||||||
Ziggo BV: | ||||||||||||||
Term Loan B1A, 3.25%, 1/15/22 | 1,879 | 1,842,173 | ||||||||||||
Term Loan B2A, 3.25%, 1/15/22 | 1,166 | 1,142,792 | ||||||||||||
Term Loan B3, 0.50%, 1/15/22 | 918 | 899,896 | ||||||||||||
82,750,163 | ||||||||||||||
Metals & Mining — 1.8% | ||||||||||||||
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 | 1,619 | 1,616,979 | ||||||||||||
FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19 | 2,397 | 2,386,732 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 3,401 | 3,389,754 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 2,598 | 2,637,316 | ||||||||||||
10,030,781 | ||||||||||||||
Multiline Retail — 2.0% | ||||||||||||||
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 | 1,969 | 1,964,771 | ||||||||||||
BJ’s Wholesale Club, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 | 2,355 | 2,341,536 | ||||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 | 870 | 878,265 | ||||||||||||
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 | 1,882 | 1,895,194 | ||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 | 4,297 | 4,261,672 | ||||||||||||
11,341,438 | ||||||||||||||
Oil, Gas & Consumable Fuels — 3.2% | ||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 | 1,877 | 1,824,247 | ||||||||||||
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21 | 2,910 | 2,918,497 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 | 1,920 | 1,902,394 |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Oil, Gas & Consumable Fuels (concluded) | ||||||||||||||
Fieldwood Energy LLC: | ||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 | USD | 1,360 | $ | 1,354,877 | ||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 | 590 | 602,785 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 885 | 887,307 | ||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 | 185 | 184,102 | ||||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 | 1,435 | 1,463,700 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 1,560 | 1,591,200 | ||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 | 470 | 458,250 | ||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 | 1,125 | 1,124,527 | ||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 | 1,175 | 1,181,615 | ||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21 | 950 | 953,563 | ||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 | 1,463 | 1,458,993 | ||||||||||||
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 | 602 | 599,718 | ||||||||||||
18,505,775 | ||||||||||||||
Personal Products — 0.1% | ||||||||||||||
Prestige Brands, Inc., Term Loan B2, 4.50%, 4/28/21 | 450 | 452,250 | ||||||||||||
Pharmaceuticals — 6.6% | ||||||||||||||
Akorn, Inc.: | ||||||||||||||
Incremental Term Loan, 4.50%, 4/16/21 | 700 | 700,875 | ||||||||||||
Term Loan B, 4.50%, 4/16/21 | 1,790 | 1,792,238 | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan, 4.75% - 6.00%, 11/01/19 | 1,226 | 1,224,978 | ||||||||||||
Catalent Pharma Solutions, Inc.: | ||||||||||||||
Term Loan, 6.50%, 12/29/17 | 292 | 293,277 | ||||||||||||
Term Loan B, 4.50%, 5/20/21 | 3,550 | 3,552,236 | ||||||||||||
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 916 | 909,464 | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21 | 1,576 | 1,565,223 | ||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21 | 5,481 | 5,439,495 | ||||||||||||
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 | 1,595 | 1,582,049 | ||||||||||||
Mallinckrodt International Finance SA, Term Loan: | ||||||||||||||
3.50%, 7/17/21 | 1,440 | 1,435,378 | ||||||||||||
B, 3.50%, 3/19/21 | 2,319 | 2,308,171 | ||||||||||||
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19 | 3,732 | 3,699,541 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 | 4,334 | 4,330,786 | ||||||||||||
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 | 2,647 | 2,623,501 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||||||||
Series C2 Term Loan B, 3.75%, 12/11/19 | 2,303 | 2,296,210 | ||||||||||||
Series D2 Term Loan B, 3.75%, 2/13/19 | 2,533 | 2,525,026 | ||||||||||||
Series E Term Loan B, 3.75%, 8/05/20 | 1,436 | 1,431,213 | ||||||||||||
37,709,661 | ||||||||||||||
Professional Services — 2.9% | ||||||||||||||
Advantage Sales & Marketing, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.25%, 7/23/21 | 1,969 | 1,948,874 | ||||||||||||
2nd Lien Term Loan, 7.50%, 7/25/22 | 1,580 | 1,580,332 | ||||||||||||
Delayed Draw Term Loan, 4.25%, 7/23/21 | 66 | 64,962 | ||||||||||||
Ceridian LLC: | ||||||||||||||
Term Loan B1, 4.16%, 5/09/17 | �� | 2,821 | 2,816,632 | |||||||||||
Term Loan B2, 4.50%, 9/14/20 | 2,230 | 2,227,684 | ||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 3,241 | 3,220,638 |
ANNUAL REPORT | AUGUST 31, 2014 | 25 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Floating Rate Loan Interests (c) | Par (000) | Value | ||||||||||||
Professional Services (concluded) | ||||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 | USD | 1,175 | $ | 1,171,334 | ||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,837 | 1,873,485 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 1,642 | 1,634,136 | ||||||||||||
16,538,077 | ||||||||||||||
Real Estate Management & Development — 1.3% | ||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 | 2,296 | 2,292,450 | ||||||||||||
Realogy Corp.: | ||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 | 115 | 114,742 | ||||||||||||
Term Loan B, 3.75%, 3/05/20 | 5,212 | 5,185,491 | ||||||||||||
7,592,683 | ||||||||||||||
Road & Rail — 0.8% | ||||||||||||||
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18 | 1,455 | 1,427,719 | ||||||||||||
Road Infrastructure Investment LLC: | ||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 | 2,035 | 2,012,862 | ||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 | 975 | 962,812 | ||||||||||||
4,403,393 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 1.6% | ||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 | 4,695 | 4,687,535 | ||||||||||||
Freescale Semiconductor, Inc.: | ||||||||||||||
Term Loan B4, 4.25%, 2/28/20 | 2,344 | 2,334,375 | ||||||||||||
Term Loan B5, 5.00%, 1/15/21 | 710 | 711,859 | ||||||||||||
NXP BV, Term Loan D, 3.25%, 1/11/20 | 1,419 | 1,405,792 | ||||||||||||
9,139,561 | ||||||||||||||
Software — 4.0% | ||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 2,357 | 2,349,372 | ||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 1,059 | 1,040,762 | ||||||||||||
GCA Services Group, Inc.: | ||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 | 780 | 781,303 | ||||||||||||
Term Loan B, 4.25% - 5.50%, 11/01/19 | 1,773 | 1,762,606 | ||||||||||||
Infor US, Inc.: | ||||||||||||||
Term Loan B3, 3.75%, 6/03/20 | 851 | 841,359 | ||||||||||||
Term Loan B5, 3.75%, 6/03/20 | 4,008 | 3,972,948 | ||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 | 891 | 832,892 | ||||||||||||
Kronos Worldwide, Inc., 2014 8Term Loan, 4.75%, 2/18/20 | 509 | 509,361 | ||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 1,787 | 1,831,296 | ||||||||||||
Mitchell International, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 | 2,195 | 2,190,518 | ||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 | 1,600 | 1,611,008 | ||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21 | 1,160 | 1,133,900 | ||||||||||||
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 | 925 | 910,068 | ||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 | 2,912 | 2,897,917 | ||||||||||||
22,665,310 | ||||||||||||||
Specialty Retail — 4.5% | ||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 | 2,273 | 2,265,792 | ||||||||||||
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20 | 1,053 | 1,048,077 | ||||||||||||
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 | 1,454 | 1,435,150 | ||||||||||||
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 161 | 127,366 | ||||||||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 | 1,970 | 1,968,999 | ||||||||||||
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 | 1,733 | 1,690,688 | ||||||||||||
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 | 2,377 | 2,360,816 |
Floating Rate Loan Interests (c) | Par (000) | Value | |||||||||||||
Specialty Retail (concluded) | |||||||||||||||
Michaels Stores, Inc.: | |||||||||||||||
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 | USD | 2,920 | $ | 2,901,750 | |||||||||||
Term Loan B, 3.75%, 1/28/20 | 2,253 | 2,226,495 | |||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 | 4,158 | 4,118,111 | |||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 3,370 | 3,359,181 | |||||||||||||
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 1,706 | 1,697,022 | |||||||||||||
Toys ‘R’ Us-Delaware, Inc.: | |||||||||||||||
Incremental Term Loan B2, 5.25%, 5/25/18 | 785 | 659,560 | |||||||||||||
Term Loan B3, 5.25%, 5/25/18 | 163 | 136,615 | |||||||||||||
25,995,622 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 2.1% | |||||||||||||||
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 | 2,145 | 2,139,263 | |||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 2,298 | 2,263,945 | |||||||||||||
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 | 2,060 | 2,018,208 | |||||||||||||
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 | 2,225 | 2,193,716 | |||||||||||||
Nine West Holdings, Inc.: | |||||||||||||||
Guarantee Term Loan, 6.25%, 1/08/20 | 810 | 805,950 | |||||||||||||
Term Loan B, 4.75%, 10/08/19 | 950 | 951,188 | |||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 | 1,526 | 1,533,825 | |||||||||||||
11,906,095 | |||||||||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||||||
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 | 1,931 | 1,931,411 | |||||||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 | 2,663 | 2,647,574 | |||||||||||||
Total Floating Rate Loan Interests — 133.3% | 762,866,549 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Commercial Mortgage-Backed Securities — 0.3% | |||||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c) | 1,336 | 1,366,874 | |||||||||||||
Investment Companies | Shares | ||||||||||||||
Capital Markets — 0.0% | |||||||||||||||
Eaton Vance Floating-Rate Income Trust | 54 | 806 | |||||||||||||
Eaton Vance Senior Income Trust | 13,945 | 93,013 | |||||||||||||
Total Investment Companies — 0.0% | 93,819 | ||||||||||||||
Other Interests (i) | Beneficial Interest (000) | ||||||||||||||
Auto Components — 0.0% | |||||||||||||||
Intermet Liquidating Trust, Class A | USD | 256 | 3 | ||||||||||||
Diversified Financial Services — 0.1% | |||||||||||||||
J.G. Wentworth LLC Preferred Equity (Acquired 11/18/13, cost $1,177,928) (a)(j)(k) | 17 | 231,434 | |||||||||||||
Household Durables — 0.3% | |||||||||||||||
Stanley Martin, Class B Membership Units (k) | 1 | 1,858,750 | |||||||||||||
Total Other Interests — 0.4% | 2,090,187 |
26 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Preferred Securities | Shares | Value | |||||||||||||
Preferred Stock — 0.0% | |||||||||||||||
Diversified Financial Services — 0.0% | |||||||||||||||
Ally Financial, Inc., Series A, 8.50% (c)(l) | 4,976 | $ | 135,695 | ||||||||||||
Trust Preferreds — 0.3% | |||||||||||||||
Diversified Financial Services — 0.3% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 71,644 | 1,918,919 | |||||||||||||
Total Preferred Securities — 0.3% | 2,054,614 | ||||||||||||||
Warrants (m) | |||||||||||||||
Chemicals — 0.0% | |||||||||||||||
GEO Specialty Chemicals, Inc., (Expires 3/31/15) | 143,928 | 138,171 | |||||||||||||
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 | 11,191 | |||||||||||||
Total Warrants — 0.0% | 149,362 | ||||||||||||||
Total Long-Term Investments (Cost — $817,221,311) — 142.0% | 813,078,886 |
Short-Term Securities | Shares | Value | |||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (n)(o) | 3,456,864 | $ | 3,456,864 | ||||||||||||
Total Short-Term Securities (Cost — $3,456,864) — 0.6% | 3,456,864 | ||||||||||||||
Options Purchased | |||||||||||||||
(Cost — $43,022) — 0.0% | — | ||||||||||||||
Total Investments (Cost — $820,721,197) — 142.6% | 816,535,750 | ||||||||||||||
Liabilities in Excess of Other Assets — (42.6)% | (244,072,329 | ) | |||||||||||||
Net Assets — 100.0% | $ | 572,463,421 |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. | |||
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. | |||
(c) | Variable rate security. Rate shown is as of report date. | |||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation | ||||||||
Deutsche Bank Securities, Inc. | $ | 815,968 | — |
(e) | Zero-coupon bond. | |||
(f) | Convertible security. | |||
(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 and/or in cash. Rates shown are the current rate and possible payment rates. | |||
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||
(j) | Restricted security as to resale. As of report date, the Fund held restricted securities with a current value of $231,434 and an original cost of $1,177,928 which was less than 0.05% of its net assets. | |||
(k) | Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary. | |||
(l) | Security is perpetual in nature and has no stated maturity date. | |||
(m) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. | |||
(n) | Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2013 | Net Activity | Shares Held at August 31, 2014 | Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 907,643 | 2,549,221 | 3,456,864 | $ | 677 |
(o) | Represents the current yield as of report date. |
ANNUAL REPORT | AUGUST 31, 2014 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
• | Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||
USD | 2,851,888 | CAD | 3,072,000 | UBS AG | 10/21/14 | $ | 29,736 | |||||||
USD | 2,488,112 | EUR | 1,839,000 | Citibank N.A. | 10/21/14 | 71,044 | ||||||||
USD | 7,842,887 | GBP | 4,590,000 | Bank of America N.A. | 10/21/14 | 225,759 | ||||||||
Total | $ | 326,539 |
• | OTC options purchased as of August 31, 2014 were as follows: |
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Market Value | ||||||||||
Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 44 | — |
• | 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 rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access | |||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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 derivatives financial instruments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivatives financial instruments, please refer to Note 2 of the Notes to Financial Statements. | ||||
The following tables summarize the Fund’s investments and derivatives financial instruments categorized in the disclosure hierarchy as of August 31, 2014: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks | $ | 3,292,068 | $ | 2,052,389 | $ | 1,510,942 | $ | 6,855,399 | ||||||||
Asset-Backed Securities | — | 13,353,662 | 1,159,180 | 14,512,842 | ||||||||||||
Corporate Bonds | — | 18,322,283 | 4,766,957 | 23,089,240 | ||||||||||||
Floating Rate Loan Interests | — | 704,178,051 | 58,688,498 | 762,866,549 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 1,366,874 | — | 1,366,874 | ||||||||||||
Investment Companies | 93,819 | — | — | 93,819 | ||||||||||||
Other Interests | 231,434 | — | 1,858,753 | 2,090,187 | ||||||||||||
Preferred Securities | 2,054,614 | — | — | 2,054,614 | ||||||||||||
Warrants | — | 11,191 | 138,171 | 149,362 | ||||||||||||
Short-Term Securities | 3,456,864 | — | — | 3,456,864 | ||||||||||||
Liabilities: | ||||||||||||||||
Unfunded Floating Rate Loan Interests | — | (27,119 | ) | (374 | ) | (27,493 | ) | |||||||||
Total | $ | 9,128,799 | $ | 739,257,331 | $ | 68,122,127 | $ | 816,508,257 | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency exchange contracts | — | $ | 326,539 | — | $ | 326,539 | ||||||||||
Total | — | $ | 326,539 | — | $ | 326,539 |
1 | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
28 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (concluded) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash | $ | 280,710 | — | — | $ | 280,710 | ||||||||||
Foreign currency at value | 26,789 | — | — | 26,789 | ||||||||||||
Liabilities: | ||||||||||||||||
Bank borrowings payable | — | $ | (235,000,000 | ) | — | (235,000,000 | ) | |||||||||
Total | $ | 307,499 | $ | (235,000,000 | ) | — | $ | (234,692,501 | ) |
Common Stocks | Asset-Backed Securities | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests (Liabilities) | Warrants | Total | |||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2013 | $ | 1,119,143 | $ | 21,081,133 | $ | 4,187,534 | $ | 86,976,283 | $ | 2,150,980 | — | $ | 113,703 | $ | 115,628,776 | |||||||||||||||||||
Transfers into Level 31 | — | — | — | 17,936,055 | — | — | — | 17,936,055 | ||||||||||||||||||||||||||
Transfers out of Level 32 | — | (10,743,038 | ) | — | (23,415,465 | ) | — | — | — | (34,158,503 | ) | |||||||||||||||||||||||
Accrued discounts/premiums | — | 23,566 | 86,305 | 204,952 | — | — | — | 314,823 | ||||||||||||||||||||||||||
Net realized gain (loss) | — | 575,570 | (1,224,001 | ) | 326,795 | — | — | — | (321,636 | ) | ||||||||||||||||||||||||
Net change in unrealized appreciation/ depreciation3,4 | 391,799 | (562,157 | ) | 1,840,655 | (485,928 | ) | 3,538,800 | $ | (374 | ) | 24,468 | 4,747,263 | ||||||||||||||||||||||
Purchases | — | 1,158,935 | 825,762 | 28,630,114 | — | — | — | 30,614,811 | ||||||||||||||||||||||||||
Sales | — | (10,374,829 | ) | (949,298 | ) | (51,484,308 | ) | (3,831,027 | ) | — | — | (66,639,462 | ) | |||||||||||||||||||||
Closing Balance, as of August 31, 2014 | $ | 1,510,942 | $ | 1,159,180 | $ | 4,766,957 | $ | 58,688,498 | $ | 1,858,753 | $ | (374 | ) | $ | 138,171 | $ | 68,122,127 | |||||||||||||||||
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20144 | $ | 391,798 | $ | (117 | ) | $ | 603,310 | $ | (134,297 | ) | $ | 492,693 | $ | (374 | ) | $ | 24,468 | $ | 1,377,481 |
1 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $17,936,055 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $34,158,503 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at August 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2014. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $58,988,343. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments. |
Value | Valuation Techniques | Unobservable Inputs | Range of Unobservable Inputs Utilized | |||||||||||||||
Assets: | ||||||||||||||||||
Common Stocks | $ | 1,510,939 | Market Comparable Companies | Last 12 Months EBITDA Multiple6 | 6.50x | |||||||||||||
Illiquidity Discount7 | 17.50% | |||||||||||||||||
Offshore Last 12 Months EBITDA Multiple6 | 6.19x | |||||||||||||||||
Offshore Current Fiscal Year EBITDA Mulitple6 | 7.25x | |||||||||||||||||
Onshore Last 12 Months EBITDA Mulitple6 | 5.18x | |||||||||||||||||
Onshore Current Fiscal Year EBITDA Multiple6 | 4.75x | |||||||||||||||||
Discontinued Operations Expected Sale Proceeds6 | $1508 | |||||||||||||||||
Corporate Bonds | 3,928,902 | Market Comparable Companies | Last 12 Months EBITDA Multiple6 | 6.50x | ||||||||||||||
Illiquidity Discount7 | 17.50% | |||||||||||||||||
Floating Rate Loan Interests | 1,697,022 | Market Comparable Yield Analysis | Yield7 | 8.25% | ||||||||||||||
Other Interests5 | 1,858,750 | Market Comparable Companies | Tangible Book Value Multiple6 | 1.35x | ||||||||||||||
Warrants | 138,171 | Market Comparable Companies | Last 12 Months EBITDA Multiple6 | 6.50x | ||||||||||||||
Illiquidity Discount7 | 17.50% | |||||||||||||||||
Total | $ | 9,133,784 |
5 | For the year ended August 31, 2014, the valuation technique for an investment classified as other interests changed to a market approach. The investment was previously valued utilizing an income approach. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment. |
6 | Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value. |
7 | Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value. |
8 | Amount is stated in millions. |
ANNUAL REPORT | AUGUST 31, 2014 | 29 |
Consolidated Schedule of Investments August 31, 2014 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Common Stocks | Shares | Value | |||||||||||||
Auto Components — 0.0% | |||||||||||||||
Lear Corp. | 807 | $ | 81,612 | ||||||||||||
Chemicals — 0.0% | |||||||||||||||
LyondellBasell Industries NV, Class A | 37 | 4,231 | |||||||||||||
Construction & Engineering — 0.0% | |||||||||||||||
USI United Subcontractors | 6,454 | 122,626 | |||||||||||||
Diversified Consumer Services — 0.2% | |||||||||||||||
Cengage Thomson Learning (a) | 38,155 | 1,208,254 | |||||||||||||
Diversified Financial Services — 0.4% | |||||||||||||||
Kcad Holdings I Ltd. (a) | 384,412,912 | 2,625,540 | |||||||||||||
Household Durables — 0.0% | |||||||||||||||
Berkline Benchcraft Equity LLC (a) | 3,155 | — | |||||||||||||
Software — 0.4% | |||||||||||||||
HMH Holdings/EduMedia (a) | 128,441 | 2,466,067 | |||||||||||||
Total Common Stocks — 1.0% | 6,508,330 | ||||||||||||||
Asset-Backed Securities | Par (000) | ||||||||||||||
Asset-Backed Securities — 6.9% | |||||||||||||||
ACAS CLO Ltd. (b)(c): | |||||||||||||||
Series 2013-1A, Class D, 3.83%, 4/20/25 | USD | 750 | 721,875 | ||||||||||||
Series 2014-1A, Class C, 3.15%, 7/18/26 | 1,500 | 1,459,318 | |||||||||||||
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.88%, 4/15/24 (b)(c) | 1,750 | 1,681,871 | |||||||||||||
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.42%, 5/10/32 (b)(c) | 594 | 581,911 | |||||||||||||
ALM Loan Funding, Series 2013-7RA (b)(c): | |||||||||||||||
Class C, 3.68%, 4/24/24 | 1,210 | 1,156,617 | |||||||||||||
Class D, 5.23%, 4/24/24 | 1,040 | 966,312 | |||||||||||||
ALM XIV Ltd., Series 2014-14A, Class C, 3.68%, 7/28/26 (b)(c) | 3,140 | 2,980,488 | |||||||||||||
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20 | 3,750 | 3,752,925 | |||||||||||||
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 (b)(c) | 1,100 | 1,051,523 | |||||||||||||
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.58%, 10/22/25 (b)(c) | 500 | 464,488 | |||||||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.73%, 7/15/24 (b)(c) | 750 | 706,066 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.23%, 2/14/25 (b)(c) | 250 | 245,189 | |||||||||||||
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 | 2,530 | 2,560,798 | |||||||||||||
Cent CLO, Series 2014-21A, Class C, 3.73%, 7/27/26 (b)(c) | 1,000 | 947,580 | |||||||||||||
Central Park CLO Ltd., Series 2011-1A, Class D, 3.43%, 7/23/22 (b)(c) | 500 | 492,902 | |||||||||||||
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.14%, 10/17/26 (b)(c)(d) | 2,850 | 2,750,250 | |||||||||||||
CIFC Funding Ltd., Series 2014-3A, Class D, 3.55%, 7/22/26 (b)(c) | 420 | 392,812 | |||||||||||||
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.32%, 10/25/47 (b) | 1,114 | 1,101,451 | |||||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c) | 2,549 | 2,456,036 | |||||||||||||
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23 (b)(c) | 1,090 | 1,081,567 | |||||||||||||
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.28%, 7/17/23 (b)(c) | 5,000 | 4,965,875 | |||||||||||||
GSAA Trust, Series 2007-3, Class 1A2, 0.33%, 3/25/47 (b) | 2,736 | 1,500,117 | |||||||||||||
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.73%, 4/15/25 (b)(c) | 1,000 | 942,366 | |||||||||||||
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.73%, 7/15/26 (b)(c) | 1,165 | 1,096,658 |
Asset-Backed Securities | Par (000) | Value | |||||||||||||
Asset-Backed Securities (concluded) | |||||||||||||||
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.48%, 1/20/25 (b)(c) | USD | 700 | $ | 699,978 | |||||||||||
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.73%, 10/23/25 (b)(c) | 420 | 400,612 | |||||||||||||
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.58%, 7/17/25 (b)(c) | 2,000 | 1,885,838 | |||||||||||||
OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c) | 500 | 501,371 | |||||||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c) | 780 | 733,535 | |||||||||||||
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c)(d) | 2,500 | 2,435,250 | |||||||||||||
Regatta Funding LP, Series 2013-2A, Class C, 4.23%, 1/15/25 (b)(c) | 500 | 486,500 | |||||||||||||
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 | 3,000 | 3,116,616 | |||||||||||||
46,316,695 | |||||||||||||||
Interest Only Asset-Backed Securities — 0.2% | |||||||||||||||
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c) | 7,331 | 531,478 | |||||||||||||
Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 4/15/29 | 8,622 | 592,773 | |||||||||||||
1,124,251 | |||||||||||||||
Total Asset-Backed Securities — 7.1% | 47,440,946 | ||||||||||||||
Corporate Bonds | |||||||||||||||
Aerospace — 0.0% | |||||||||||||||
Telefonica SA, Series TIT, 6.00%, 7/24/17 (e) | EUR | 200 | 268,650 | ||||||||||||
Aerospace & Defense — 0.7% | |||||||||||||||
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f) | USD | 928 | 918,720 | ||||||||||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 570 | 619,875 | |||||||||||||
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c) | 339 | 369,510 | |||||||||||||
Transdigm, Inc. (c): | |||||||||||||||
6.00%, 7/15/22 (f) | 1,795 | 1,826,413 | |||||||||||||
6.50%, 7/15/24 | 835 | 855,875 | |||||||||||||
4,590,393 | |||||||||||||||
Airlines — 3.0% | |||||||||||||||
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c) | 651 | 677,398 | |||||||||||||
American Airlines Pass-Through Trust, Series 2013-2 (f): | |||||||||||||||
Class A, 4.95%, 7/15/24 | 3,647 | 3,929,157 | |||||||||||||
Class B, 5.60%, 1/15/22 | 708 | 734,972 | |||||||||||||
Class C, 6.00%, 1/15/17 (c) | 2,600 | 2,691,000 | |||||||||||||
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f) | 2,090 | 2,215,400 | |||||||||||||
Continental Airlines, Inc., 6.75%, 9/15/15 (c)(f) | 1,350 | 1,352,160 | |||||||||||||
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | 217 | 245,069 | |||||||||||||
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24 | 2,300 | 2,300,000 | |||||||||||||
US Airways Pass-Through Trust, Class C: | |||||||||||||||
Series 2011-1, 10.88%, 10/22/14 | 615 | 624,067 | |||||||||||||
Series 2012-1, 9.13%, 10/01/15 (f) | 1,754 | 1,850,027 | |||||||||||||
Virgin Australia Trust, Series 2013-1 (c): | |||||||||||||||
Class A, 5.00%, 4/23/25 | 744 | 787,193 | |||||||||||||
Class B, 6.00%, 4/23/22 (f) | 1,553 | 1,626,295 | |||||||||||||
Class C, 7.13%, 10/23/18 (f) | 1,121 | 1,170,966 | |||||||||||||
20,203,704 | |||||||||||||||
Auto Components — 1.1% | |||||||||||||||
Affinia Group, Inc., 7.75%, 5/01/21 (f) | 1,095 | 1,127,850 | |||||||||||||
Autodis SA, 6.50%, 2/01/19 | EUR | 100 | 137,394 | ||||||||||||
Brighthouse Group PLC, 7.88%, 5/15/18 | GBP | 100 | 174,731 |
30 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Auto Components (concluded) | ||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f) | USD | 2,058 | $ | 2,114,595 | ||||||||||
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 | GBP | 554 | 1,020,893 | |||||||||||
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c) | USD | 207 | 220,972 | |||||||||||
Rhino Bondco SpA, 7.25%, 11/15/20 | EUR | 110 | 153,640 | |||||||||||
Schaeffler Holding Finance BV: | ||||||||||||||
2.75%, 5/15/19 | 405 | 533,561 | ||||||||||||
6.88% (6.88% Cash or 7.63% PIK), 8/15/18 (c)(f)(g) | USD | 1,085 | 1,143,319 | |||||||||||
6.88%, 8/15/18 (g) | EUR | 375 | 519,339 | |||||||||||
Titan International, Inc., 6.88%, 10/01/20 | USD | 555 | 557,775 | |||||||||||
7,704,069 | ||||||||||||||
Auto Parts — 0.0% | ||||||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 | 223 | 245,858 | ||||||||||||
Automobiles — 0.9% | ||||||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc. (f): | ||||||||||||||
8.00%, 6/15/19 | 1,087 | 1,169,232 | ||||||||||||
8.25%, 6/15/21 | 1,165 | 1,301,887 | ||||||||||||
Ford Motor Co., 4.25%, 11/15/16 (e) | 434 | 878,308 | ||||||||||||
General Motors Co., 3.50%, 10/02/18 (f) | 2,478 | 2,530,657 | ||||||||||||
5,880,084 | ||||||||||||||
Banks — 0.9% | ||||||||||||||
Banco Espirito Santo SA: | ||||||||||||||
4.75%, 1/15/18 | EUR | 100 | 131,841 | |||||||||||
4.00%, 1/21/19 | 100 | 129,255 | ||||||||||||
CIT Group, Inc. (f): | ||||||||||||||
5.00%, 5/15/17 | USD | 890 | 940,063 | |||||||||||
5.50%, 2/15/19 (c) | 1,370 | 1,477,887 | ||||||||||||
HSBC Holdings PLC, 6.25%, 3/19/18 | EUR | 1,000 | 1,541,171 | |||||||||||
Nordea Bank AB, 4.50%, 3/26/20 | 1,020 | 1,539,333 | ||||||||||||
5,759,550 | ||||||||||||||
Beverages — 0.1% | ||||||||||||||
Constellation Brands, Inc., 7.25%, 5/15/17 | USD | 82 | 92,143 | |||||||||||
Crown European Holdings SA, 4.00%, 7/15/22 | EUR | 260 | 353,755 | |||||||||||
445,898 | ||||||||||||||
Building Products — 1.0% | ||||||||||||||
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c) | USD | 190 | 193,325 | |||||||||||
BMBG Bond Finance SCA, 5.20%, 10/15/20 (b) | EUR | 200 | 266,364 | |||||||||||
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f) | USD | 890 | 930,050 | |||||||||||
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f) | 770 | 825,825 | ||||||||||||
Cemex Finance LLC, 6.00%, 4/01/24 (c)(f) | 1,045 | 1,086,800 | ||||||||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f) | 1,030 | 1,081,500 | ||||||||||||
Ply Gem Industries, Inc., 6.50%, 2/01/22 (c) | 745 | 737,550 | ||||||||||||
USG Corp., 9.75%, 1/15/18 (f) | 1,390 | 1,636,725 | ||||||||||||
6,758,139 | ||||||||||||||
Cable Television Services — 0.1% | ||||||||||||||
SBA Communications Corp., 4.88%, 7/15/22 (c) | 710 | 699,350 | ||||||||||||
Capital Markets — 1.0% | ||||||||||||||
American Capital Ltd., 6.50%, 9/15/18 (c)(f) | 975 | 1,023,750 | ||||||||||||
Blackstone CQP Holdco LP, 9.30%, 3/18/19 | 953 | 972,188 | ||||||||||||
E*Trade Financial Corp., 0.00%, 8/31/19 (c)(e)(h) | 249 | 537,684 | ||||||||||||
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (f) | 3,285 | 3,347,037 | ||||||||||||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f) | 1,050 | 1,105,306 | ||||||||||||
6,985,965 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Chemicals — 0.8% | ||||||||||||||
Ashland, Inc., 3.88%, 4/15/18 (f) | USD | 675 | $ | 691,031 | ||||||||||
Chemtura Corp., 5.75%, 7/15/21 | 200 | 208,000 | ||||||||||||
Huntsman International LLC: | ||||||||||||||
8.63%, 3/15/21 | 655 | 718,862 | ||||||||||||
5.13%, 4/15/21 | EUR | 331 | 456,446 | |||||||||||
INEOS Group Holdings SA: | ||||||||||||||
6.13%, 8/15/18 (c) | USD | 680 | 702,100 | |||||||||||
6.50%, 8/15/18 | EUR | 122 | 166,948 | |||||||||||
LSB Industries, Inc., 7.75%, 8/01/19 | USD | 301 | 328,843 | |||||||||||
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (f) | 1,193 | 1,240,720 | ||||||||||||
U.S. Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV: | ||||||||||||||
5.75%, 2/01/21 | EUR | 200 | 278,557 | |||||||||||
7.38%, 5/01/21 (c) | USD | 398 | 433,820 | |||||||||||
5,225,327 | ||||||||||||||
Commercial Services & Supplies — 1.4% | ||||||||||||||
AA Bond Co., Ltd., 9.50%, 7/31/43 | GBP | 306 | 563,760 | |||||||||||
ADS Waste Holdings, Inc., 8.25%, 10/01/20 | USD | 292 | 310,980 | |||||||||||
ARAMARK Corp., 5.75%, 3/15/20 (f) | 712 | 745,820 | ||||||||||||
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f) | 1,000 | 1,047,678 | ||||||||||||
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (g) | EUR | 100 | 142,202 | |||||||||||
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)(f) | USD | 617 | 641,680 | |||||||||||
Covanta Holding Corp., 6.38%, 10/01/22 | 100 | 107,250 | ||||||||||||
Mobile Mini, Inc., 7.88%, 12/01/20 | 915 | 988,200 | ||||||||||||
Modular Space Corp., 10.25%, 1/31/19 (c)(f) | 1,253 | 1,299,987 | ||||||||||||
United Rentals North America, Inc. (f): | ||||||||||||||
5.75%, 7/15/18 | 494 | 519,935 | ||||||||||||
7.63%, 4/15/22 | 1,518 | 1,703,955 | ||||||||||||
5.75%, 11/15/24 | 1,039 | 1,088,353 | ||||||||||||
9,159,800 | ||||||||||||||
Communications Equipment — 2.1% | ||||||||||||||
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e) | 6,670 | 6,736,700 | ||||||||||||
Alcatel-Lucent USA, Inc. (c)(f): | ||||||||||||||
4.63%, 7/01/17 | 800 | 812,000 | ||||||||||||
6.75%, 11/15/20 | 2,150 | 2,273,625 | ||||||||||||
Avaya, Inc., 7.00%, 4/01/19 (c) | 437 | 434,815 | ||||||||||||
CommScope, Inc. (c): | ||||||||||||||
5.00%, 6/15/21 | 215 | 218,225 | ||||||||||||
5.50%, 6/15/24 | 221 | 224,868 | ||||||||||||
Zayo Group LLC/Zayo Capital, Inc. (f): | ||||||||||||||
8.13%, 1/01/20 | 1,800 | 1,941,750 | ||||||||||||
10.13%, 7/01/20 | 1,460 | 1,660,750 | ||||||||||||
14,302,733 | ||||||||||||||
Construction & Engineering — 0.3% | ||||||||||||||
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c) | 165 | 174,488 | ||||||||||||
Novafives SAS: | ||||||||||||||
4.21%, 6/30/20 (b) | EUR | 100 | 131,986 | |||||||||||
4.50%, 6/30/21 | 100 | 133,300 | ||||||||||||
Officine MaccaFerri SpA, 5.75%, 6/01/21 | 150 | 200,147 | ||||||||||||
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f) | USD | 1,138 | 1,197,745 | |||||||||||
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 | 320 | 316,800 | ||||||||||||
2,154,466 | ||||||||||||||
Construction Materials — 1.3% | ||||||||||||||
HD Supply, Inc. (f): | ||||||||||||||
8.13%, 4/15/19 | 4,285 | 4,670,650 | ||||||||||||
11.00%, 4/15/20 | 770 | 891,275 | ||||||||||||
7.50%, 7/15/20 | 2,696 | 2,898,200 | ||||||||||||
8,460,125 |
ANNUAL REPORT | AUGUST 31, 2014 | 31 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Consumer Finance — 0.7% | ||||||||||||||
Ford Motor Credit Co. LLC (f): | ||||||||||||||
3.88%, 1/15/15 | USD | 2,475 | $ | 2,505,940 | ||||||||||
7.00%, 4/15/15 | 400 | 415,880 | ||||||||||||
Hyundai Capital America, 3.75%, 4/06/16 (c)(f) | 1,285 | 1,338,041 | ||||||||||||
IVS F. SpA, 7.13%, 4/01/20 | EUR | 235 | 330,417 | |||||||||||
Springleaf Finance Corp.: | ||||||||||||||
7.75%, 10/01/21 | 52 | 59,020 | ||||||||||||
8.25%, 10/01/23 | 94 | 108,805 | ||||||||||||
4,758,103 | ||||||||||||||
Containers & Packaging — 0.4% | ||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | ||||||||||||||
6.00%, 6/30/21 (c) | 380 | 376,200 | ||||||||||||
4.25%, 1/15/22 | EUR | 320 | 415,208 | |||||||||||
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f) | USD | 1,560 | 1,583,400 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f) | 144 | 153,720 | ||||||||||||
SGD Group SAS, 5.63%, 5/15/19 | EUR | 100 | 133,384 | |||||||||||
2,661,912 | ||||||||||||||
Distributors — 0.1% | ||||||||||||||
VWR Funding, Inc., 7.25%, 9/15/17 (f) | USD | 874 | 922,070 | |||||||||||
Diversified Consumer Services — 0.3% | ||||||||||||||
APX Group, Inc.: | ||||||||||||||
6.38%, 12/01/19 | 76 | 77,140 | ||||||||||||
8.75%, 12/01/20 | 357 | 355,215 | ||||||||||||
Garda World Security Corp., 7.25%, 11/15/21 (c) | 275 | 281,531 | ||||||||||||
Laureate Education, Inc., 9.25%, 9/01/19 (c)(f) | 1,020 | 1,045,500 | ||||||||||||
1,759,386 | ||||||||||||||
Diversified Financial Services — 2.6% | ||||||||||||||
Aircastle Ltd., 6.25%, 12/01/19 (f) | 367 | 397,278 | ||||||||||||
Ally Financial, Inc. (f): | ||||||||||||||
8.30%, 2/12/15 | 2,460 | 2,533,800 | ||||||||||||
8.00%, 11/01/31 | 3,146 | 4,065,952 | ||||||||||||
Carlson Travel Holdings, Inc., 7.50%, 8/15/19 (c)(g) | 204 | 209,610 | ||||||||||||
CE Energy AS, 7.00%, 2/01/21 | EUR | 150 | 204,730 | |||||||||||
Co-Operative Group Holdings, 6.88%, 7/08/20 (i) | GBP | 190 | 336,720 | |||||||||||
General Motors Financial Co., Inc., 2.63%, 7/10/17 (f) | USD | 2,760 | 2,772,508 | |||||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c): | ||||||||||||||
7.38%, 4/01/20 (f) | 585 | 611,325 | ||||||||||||
6.88%, 4/15/22 | 456 | 457,140 | ||||||||||||
Leucadia National Corp., 8.13%, 9/15/15 (f) | 1,870 | 1,993,887 | ||||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||||
7.13%, 4/15/19 (f) | 1,294 | 1,344,143 | ||||||||||||
9.00%, 4/15/19 | 790 | 829,500 | ||||||||||||
9.88%, 8/15/19 | 307 | 340,386 | ||||||||||||
5.75%, 10/15/20 (f) | 800 | 836,000 | ||||||||||||
6.88%, 2/15/21 | 210 | 224,963 | ||||||||||||
17,157,942 | ||||||||||||||
Diversified Telecommunication Services — 3.7% | ||||||||||||||
CenturyLink, Inc.: | ||||||||||||||
6.45%, 6/15/21 | 155 | 169,725 | ||||||||||||
Series V, 5.63%, 4/01/20 (f) | 751 | 794,182 | ||||||||||||
Level 3 Communications, Inc., 8.88%, 6/01/19 (f) | 735 | 793,800 | ||||||||||||
Level 3 Financing, Inc.: | ||||||||||||||
3.82%, 1/15/18 (b)(c) | 411 | 413,055 | ||||||||||||
8.13%, 7/01/19 (f) | 3,083 | 3,337,347 | ||||||||||||
7.00%, 6/01/20 | 495 | 533,363 | ||||||||||||
6.13%, 1/15/21 (c)(f) | 1,682 | 1,774,510 | ||||||||||||
Telecom Italia SpA: | ||||||||||||||
6.13%, 11/15/16 (e) | EUR | 300 | 468,883 | |||||||||||
6.38%, 6/24/19 | GBP | 200 | 360,677 | |||||||||||
4.88%, 9/25/20 | EUR | 220 | 317,192 | |||||||||||
4.50%, 1/25/21 | 270 | 382,321 | ||||||||||||
5.88%, 5/19/23 | GBP | 450 | 785,808 |
Corporate Bonds | Par (000) | Value | |||||||||||||
Diversified Telecommunication Services (concluded) | |||||||||||||||
Telenet Finance V Luxembourg SCA: | |||||||||||||||
6.25%, 8/15/22 | EUR | 271 | $ | 386,347 | |||||||||||
6.75%, 8/15/24 | 397 | 583,447 | |||||||||||||
Verizon Communications, Inc., 3.65%, 9/14/18 (f) | USD | 13,000 | 13,865,969 | ||||||||||||
Windstream Corp.: | |||||||||||||||
7.75%, 10/15/20 | 41 | 44,178 | |||||||||||||
6.38%, 8/01/23 | 5 | 5,013 | |||||||||||||
25,015,817 | |||||||||||||||
Electric Utilities — 0.3% | |||||||||||||||
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c) | 728 | 733,460 | |||||||||||||
Homer City Generation LP (g): | |||||||||||||||
8.14% (8.14% Cash or 8.64% PIK), 10/01/19 | 345 | 369,150 | |||||||||||||
8.73% (8.73% Cash or 9.23% PIK), 10/01/26 | 599 | 634,940 | |||||||||||||
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 | 403 | 434,350 | |||||||||||||
2,171,900 | |||||||||||||||
Electrical Equipment — 0.1% | |||||||||||||||
Belden, Inc., 5.50%, 4/15/23 | EUR | 140 | 191,771 | ||||||||||||
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 | 106 | 154,599 | |||||||||||||
346,370 | |||||||||||||||
Energy Equipment & Services — 0.7% | |||||||||||||||
Calfrac Holdings LP, 7.50%, 12/01/20 (c)(f) | 503 | 534,437 | |||||||||||||
CGG SA, 7.75%, 5/15/17 | 111 | 112,388 | |||||||||||||
MEG Energy Corp. (c)(f): | |||||||||||||||
6.50%, 3/15/21 | 244 | 257,420 | |||||||||||||
7.00%, 3/31/24 | 864 | 939,600 | |||||||||||||
Peabody Energy Corp. (f): | |||||||||||||||
6.00%, 11/15/18 | 1,004 | 1,034,120 | |||||||||||||
6.25%, 11/15/21 | 583 | 580,814 | |||||||||||||
Precision Drilling Corp., 5.25%, 11/15/24 (c) | 522 | 522,000 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (c)(f) | 535 | 561,750 | |||||||||||||
Transocean, Inc., 6.00%, 3/15/18 (f) | 230 | 255,941 | |||||||||||||
4,798,470 | |||||||||||||||
Food & Staples Retailing — 0.6% | |||||||||||||||
Brakes Capital, 7.13%, 12/15/18 | GBP | 1,255 | 2,109,741 | ||||||||||||
Premier Foods Finance PLC, 5.56%, 3/15/20 (b) | 115 | 186,144 | |||||||||||||
R&R Ice Cream PLC: | |||||||||||||||
9.25%, 5/15/18 | EUR | 314 | 421,451 | ||||||||||||
4.75%, 5/15/20 | 150 | 197,092 | |||||||||||||
5.50%, 5/15/20 | GBP | 105 | 171,712 | ||||||||||||
Rite Aid Corp., 9.25%, 3/15/20 (f) | USD | 1,095 | 1,226,400 | ||||||||||||
4,312,540 | |||||||||||||||
Food Products — 0.3% | |||||||||||||||
Boparan Finance PLC: | |||||||||||||||
5.25%, 7/15/19 | GBP | 100 | 158,991 | ||||||||||||
4.38%, 7/15/21 | EUR | 105 | 132,455 | ||||||||||||
5.50%, 7/15/21 | GBP | 115 | 181,152 | ||||||||||||
Findus Bondco SA: | |||||||||||||||
9.13%, 7/01/18 | EUR | 187 | 266,594 | ||||||||||||
9.50%, 7/01/18 | GBP | 100 | 179,296 | ||||||||||||
Smithfield Foods, Inc.: | |||||||||||||||
5.88%, 8/01/21 (c) | USD | 193 | 206,510 | ||||||||||||
6.63%, 8/15/22 | 783 | 861,300 | |||||||||||||
Univeg Holding BV, 7.88%, 11/15/20 | EUR | 135 | 175,609 | ||||||||||||
2,161,907 | |||||||||||||||
Gas Utilities — 0.2% | |||||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (f) | USD | 1,515 | 1,581,281 |
32 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Health Care Equipment & Supplies — 0.3% | ||||||||||||||
3AB Optique Developpement SAS, 5.63%, 4/15/19 | EUR | 170 | $ | 215,553 | ||||||||||
Biomet, Inc., 6.50%, 10/01/20 (f) | USD | 418 | 445,693 | |||||||||||
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f) | 413 | 438,813 | ||||||||||||
IDH Finance PLC, 6.00%, 12/01/18 | GBP | 113 | 195,101 | |||||||||||
Teleflex, Inc., 6.88%, 6/01/19 (f) | USD | 675 | 713,812 | |||||||||||
2,008,972 | ||||||||||||||
Health Care Providers & Services — 2.1% | ||||||||||||||
Acadia Healthcare Co., Inc., 5.13%, 7/01/22 (c) | 240 | 242,400 | ||||||||||||
Amsurg Corp., 5.63%, 7/15/22 (c) | 1,016 | 1,038,860 | ||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f) | 995 | 1,052,212 | ||||||||||||
CHS/Community Health Systems, Inc. (f): | ||||||||||||||
5.13%, 8/15/18 | 490 | 509,600 | ||||||||||||
6.88%, 2/01/22 (c) | 1,604 | 1,704,250 | ||||||||||||
Crown Newco 3 PLC, 7.00%, 2/15/18 | GBP | 335 | 579,509 | |||||||||||
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f) | USD | 1,093 | 1,108,712 | |||||||||||
HCA Holdings, Inc., 7.75%, 5/15/21 | 285 | 310,650 | ||||||||||||
HCA, Inc.: | ||||||||||||||
3.75%, 3/15/19 (f) | 786 | 791,895 | ||||||||||||
6.50%, 2/15/20 | 160 | 179,000 | ||||||||||||
5.88%, 3/15/22 | 82 | 89,175 | ||||||||||||
4.75%, 5/01/23 | 108 | 108,945 | ||||||||||||
5.00%, 3/15/24 | 335 | 341,281 | ||||||||||||
Hologic, Inc., 6.25%, 8/01/20 (f) | 1,289 | 1,359,895 | ||||||||||||
Kindred Healthcare, Inc., 6.38%, 4/15/22 (c) | 186 | 187,860 | ||||||||||||
Tenet Healthcare Corp.: | ||||||||||||||
6.25%, 11/01/18 | 264 | 287,760 | ||||||||||||
5.00%, 3/01/19 (c) | 911 | 922,388 | ||||||||||||
4.75%, 6/01/20 | 520 | 529,100 | ||||||||||||
6.00%, 10/01/20 | 811 | 879,935 | ||||||||||||
8.13%, 4/01/22 (f) | 898 | 1,033,822 | ||||||||||||
Voyage Care Bondco PLC, 6.50%, 8/01/18 | GBP | 355 | 607,034 | |||||||||||
13,864,283 | ||||||||||||||
Home Building — 0.1% | ||||||||||||||
Weyerhaeuser Real Estate Co. (c): | ||||||||||||||
4.38%, 6/15/19 | USD | 500 | 500,000 | |||||||||||
5.88%, 6/15/24 | 340 | 346,800 | ||||||||||||
846,800 | ||||||||||||||
Hotels, Restaurants & Leisure — 4.9% | ||||||||||||||
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 (f) | 5,255 | 4,207,956 | ||||||||||||
CDW LLC/CDW Finance Corp., 6.00%, 8/15/22 | 280 | 295,050 | ||||||||||||
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 | EUR | 540 | 734,367 | |||||||||||
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (e) | GBP | 100 | 168,920 | |||||||||||
Enterprise Inns PLC, 6.50%, 12/06/18 | 926 | 1,641,682 | ||||||||||||
Gamenet SpA, 7.25%, 8/01/18 | EUR | 100 | 135,350 | |||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 | USD | 357 | 370,388 | |||||||||||
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c) | 485 | 497,125 | ||||||||||||
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 | EUR | 480 | 714,263 | |||||||||||
MCE Finance Ltd., 5.00%, 2/15/21 (c)(f) | USD | 941 | 936,295 | |||||||||||
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f) | 576 | 583,200 | ||||||||||||
Snai SpA, 7.63%, 6/15/18 | EUR | 205 | 290,235 | |||||||||||
Spirit Issuer PLC (b): | ||||||||||||||
Series A1, 1.10%, 12/28/28 | GBP | 550 | 780,970 | |||||||||||
Series A2, 3.25%, 12/28/31 | 1,800 | 2,808,975 | ||||||||||||
Series A5, 5.47%, 12/28/34 | 4,500 | 7,283,911 | ||||||||||||
Series A6, 2.35%, 12/28/36 | 2,670 | 4,244,217 | ||||||||||||
Station Casinos LLC, 7.50%, 3/01/21 (f) | USD | 2,245 | 2,424,600 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Hotels, Restaurants & Leisure (concluded) | ||||||||||||||
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (c) | USD | 78 | $ | 77,628 | ||||||||||
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(j) | 375 | — | ||||||||||||
The Unique Pub Finance Co. PLC: | ||||||||||||||
Series A3, 6.54%, 3/30/21 | GBP | 1,288 | 2,250,533 | |||||||||||
Series A4, 5.66%, 6/30/27 | 791 | 1,323,695 | ||||||||||||
Vougeot Bidco PLC, 7.88%, 7/15/20 | 218 | 378,213 | ||||||||||||
Wynn Macau Ltd., 5.25%, 10/15/21 (c)(f) | USD | 428 | 435,490 | |||||||||||
32,583,063 | ||||||||||||||
Household Durables — 1.3% | ||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c) | 510 | 503,625 | ||||||||||||
Beazer Homes USA, Inc.: | ||||||||||||||
6.63%, 4/15/18 | 910 | 962,325 | ||||||||||||
5.75%, 6/15/19 | 523 | 519,078 | ||||||||||||
Berkline/Benchcraft LLC, 1.00%, 11/03/14 (a)(j) | 200 | — | ||||||||||||
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (c)(f) | 925 | 981,656 | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c) | 259 | 268,389 | ||||||||||||
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f) | 2,130 | 2,289,750 | ||||||||||||
KB Home, 7.25%, 6/15/18 (f) | 880 | 968,000 | ||||||||||||
Spie BondCo 3 SCA, 11.00%, 8/15/19 | EUR | 248 | 363,353 | |||||||||||
Standard Pacific Corp., 8.38%, 1/15/21 (f) | USD | 1,000 | 1,175,000 | |||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c) | 597 | 602,970 | ||||||||||||
8,634,146 | ||||||||||||||
Household Products — 0.2% | ||||||||||||||
Ontex IV SA, 9.00%, 4/15/19 | EUR | 353 | 497,790 | |||||||||||
Spectrum Brands, Inc.: | ||||||||||||||
6.38%, 11/15/20 | USD | 250 | 268,750 | |||||||||||
6.63%, 11/15/22 | 285 | 308,513 | ||||||||||||
1,075,053 | ||||||||||||||
Independent Power and Renewable Electricity Producers — 0.9% | ||||||||||||||
The AES Corp., 7.75%, 10/15/15 (f) | 534 | 567,375 | ||||||||||||
Baytex Energy Corp. (c): | ||||||||||||||
5.13%, 6/01/21 | 170 | 170,212 | ||||||||||||
5.63%, 6/01/24 | 61 | 61,000 | ||||||||||||
Calpine Corp.: | ||||||||||||||
6.00%, 1/15/22 (c) | 143 | 154,083 | ||||||||||||
5.38%, 1/15/23 | 1,099 | 1,109,990 | ||||||||||||
5.88%, 1/15/24 (c) | 438 | 468,660 | ||||||||||||
5.75%, 1/15/25 | 1,162 | 1,173,620 | ||||||||||||
NRG Energy, Inc.: | ||||||||||||||
7.63%, 1/15/18 (f) | 913 | 1,028,038 | ||||||||||||
6.25%, 5/01/24 (c) | 536 | 553,420 | ||||||||||||
NRG REMA LLC: | ||||||||||||||
Series B, 9.24%, 7/02/17 | 63 | 67,548 | ||||||||||||
Series C, 9.68%, 7/02/26 (f) | 589 | 642,010 | ||||||||||||
5,995,956 | ||||||||||||||
Insurance — 1.6% | ||||||||||||||
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f) | 3,000 | 3,342,546 | ||||||||||||
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f) | 304 | 325,280 | ||||||||||||
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f) | 750 | 861,186 | ||||||||||||
Galaxy Bidco Ltd., 6.38%, 11/15/20 | GBP | 100 | 165,808 | |||||||||||
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c) | USD | 255 | 268,388 | |||||||||||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) | 595 | 635,162 | ||||||||||||
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) | EUR | 400 | 637,358 | |||||||||||
Pension Insurance Corp. PLC, 6.50%, 7/03/24 | GBP | 125 | 213,844 |
ANNUAL REPORT | AUGUST 31, 2014 | 33 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Insurance (concluded) | ||||||||||||||
Prudential Holdings LLC, 8.70%, 12/18/23 (c)(f) | USD | 2,871 | $ | 3,658,321 | ||||||||||
TMF Group Holding BV, 9.88%, 12/01/19 | EUR | 310 | 441,010 | |||||||||||
10,548,903 | ||||||||||||||
Internet Software & Services — 0.3% | ||||||||||||||
Cerved Group SpA: | ||||||||||||||
6.38%, 1/15/20 | 100 | 140,264 | ||||||||||||
8.00%, 1/15/21 | 100 | 145,323 | ||||||||||||
IAC/InterActiveCorp, 4.88%, 11/30/18 (f) | USD | 695 | 721,063 | |||||||||||
Interactive Data Corp., 5.88%, 4/15/19 (c) | 741 | 738,221 | ||||||||||||
1,744,871 | ||||||||||||||
IT Services — 2.1% | ||||||||||||||
Ceridian Corp., 8.88%, 7/15/19 (c)(f) | 1,395 | 1,562,400 | ||||||||||||
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c) | 1,004 | 1,147,070 | ||||||||||||
Ceridian LLC/Comdata, Inc., 8.13%, 11/15/17 (c) | 655 | 663,843 | ||||||||||||
Epicor Software Corp., 8.63%, 5/01/19 (f) | 1,260 | 1,351,350 | ||||||||||||
First Data Corp.: | ||||||||||||||
7.38%, 6/15/19 (c)(f) | 1,775 | 1,894,812 | ||||||||||||
6.75%, 11/01/20 (c)(f) | 813 | 880,072 | ||||||||||||
11.75%, 8/15/21 | 713 | 843,123 | ||||||||||||
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f) | 1,040 | 1,089,400 | ||||||||||||
The Western Union Co., 2.88%, 12/10/17 (f) | 4,000 | 4,136,072 | ||||||||||||
WEX, Inc., 4.75%, 2/01/23 (c)(f) | 550 | 528,000 | ||||||||||||
14,096,142 | ||||||||||||||
Machinery — 0.1% | ||||||||||||||
Amsted Industries, Inc., 5.00%, 3/15/22 (c) | 298 | 300,235 | ||||||||||||
Galapagos Holding SA, 7.00%, 6/15/22 | EUR | 100 | 128,527 | |||||||||||
Galapagos SA, 5.38%, 6/15/21 | 100 | 132,709 | ||||||||||||
561,471 | ||||||||||||||
Media — 5.1% | ||||||||||||||
Adria Bidco BV, 7.88%, 11/15/20 | 140 | 196,692 | ||||||||||||
Altice Financing SA, 6.50%, 1/15/22 (c) | USD | 850 | 894,625 | |||||||||||
Altice SA: | ||||||||||||||
7.25%, 5/15/22 | EUR | 400 | 557,288 | |||||||||||
7.75%, 5/15/22 (c)(f) | USD | 1,050 | 1,115,625 | |||||||||||
AMC Networks, Inc., 7.75%, 7/15/21 (f) | 865 | 954,744 | ||||||||||||
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (c): | ||||||||||||||
5.25%, 2/15/22 | 105 | 107,363 | ||||||||||||
5.63%, 2/15/24 | 165 | 169,950 | ||||||||||||
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j) | 509 | — | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
9.00%, 12/15/19 | 345 | 357,075 | ||||||||||||
9.00%, 3/01/21 | 966 | 1,002,225 | ||||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||||
7.63%, 3/15/20 | 677 | 724,390 | ||||||||||||
6.50%, 11/15/22 (f) | 965 | 1,027,725 | ||||||||||||
6.50%, 11/15/22 | 213 | 227,910 | ||||||||||||
Columbus International, Inc., 7.38%, 3/30/21 (c)(f) | 1,375 | 1,497,031 | ||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (f) | 3,000 | 3,099,441 | ||||||||||||
DISH DBS Corp. (f): | ||||||||||||||
7.13%, 2/01/16 | 200 | 213,500 | ||||||||||||
4.25%, 4/01/18 | 1,330 | 1,361,587 | ||||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c) | 305 | 323,300 | ||||||||||||
Gannett Co., Inc.: | ||||||||||||||
5.13%, 10/15/19 (c) | 197 | 201,925 | ||||||||||||
5.13%, 7/15/20 | 218 | 222,905 | ||||||||||||
6.38%, 10/15/23 (c) | 304 | 323,000 | ||||||||||||
Gray Television, Inc., 7.50%, 10/01/20 (f) | 428 | 451,540 | ||||||||||||
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f) | 825 | 827,062 | ||||||||||||
Intelsat Jackson Holdings SA: | ||||||||||||||
7.25%, 10/15/20 (f) | 1,660 | 1,776,200 | ||||||||||||
5.50%, 8/01/23 | 515 | 513,069 | ||||||||||||
Intelsat Luxembourg SA, 6.75%, 6/01/18 | 800 | 838,000 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Media (concluded) | ||||||||||||||
Level 3 Escrow II, Inc., 5.38%, 8/15/22 (c) | USD | 1,055 | $ | 1,060,275 | ||||||||||
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c) | 185 | 199,338 | ||||||||||||
The McClatchy Co., 9.00%, 12/15/22 | 330 | 371,250 | ||||||||||||
MDC Partners, Inc., 6.75%, 4/01/20 (c) | 733 | 765,985 | ||||||||||||
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c) | 245 | 252,963 | ||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) | 345 | 354,488 | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c) | 330 | 333,300 | ||||||||||||
Numericable Group SA: | ||||||||||||||
4.88%, 5/15/19 (c)(f) | 1,770 | 1,792,125 | ||||||||||||
5.38%, 5/15/22 | EUR | 110 | 153,192 | |||||||||||
6.00%, 5/15/22 (c)(f) | USD | 1,530 | 1,575,900 | |||||||||||
5.63%, 5/15/24 | EUR | 260 | 361,704 | |||||||||||
6.25%, 5/15/24 (c)(f) | USD | 510 | 525,937 | |||||||||||
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c) | 580 | 619,150 | ||||||||||||
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c) | 386 | 385,035 | ||||||||||||
Sirius XM Holdings, Inc., 5.75%, 8/01/21 (c)(f) | 424 | 440,960 | ||||||||||||
Sterling Entertainment Corp., 10.00%, 12/15/19 | 1,175 | 1,198,500 | ||||||||||||
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c) | 789 | 858,037 | ||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50%, 3/15/19 | 1,440 | 1,522,800 | ||||||||||||
Virgin Media Secured Finance PLC, 6.00%, 4/15/21 | GBP | 1,274 | 2,212,852 | |||||||||||
VTR Finance BV, 6.88%, 1/15/24 (c) | USD | 512 | 549,120 | |||||||||||
34,517,083 | ||||||||||||||
Metals & Mining — 1.6% | ||||||||||||||
ArcelorMittal (f): | ||||||||||||||
4.25%, 8/05/15 | 738 | 753,683 | ||||||||||||
6.13%, 6/01/18 | 612 | 666,315 | ||||||||||||
Constellium NV: | ||||||||||||||
4.63%, 5/15/21 | EUR | 195 | 266,469 | |||||||||||
5.75%, 5/15/24 (c) | USD | 358 | 372,320 | |||||||||||
Eco-Bat Finance PLC, 7.75%, 2/15/17 | EUR | 495 | 666,665 | |||||||||||
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f) | USD | 695 | 781,006 | |||||||||||
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f) | 510 | 569,288 | ||||||||||||
Novelis, Inc., 8.75%, 12/15/20 (f) | 2,375 | 2,627,344 | ||||||||||||
Peabody Energy Corp., 6.50%, 9/15/20 | 408 | 410,550 | ||||||||||||
Perstorp Holding AB, 8.75%, 5/15/17 (c) | 290 | 309,575 | ||||||||||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17 | 160 | 170,400 | ||||||||||||
Steel Dynamics, Inc., 6.38%, 8/15/22 (f) | 555 | 593,850 | ||||||||||||
ThyssenKrupp AG, 3.13%, 10/25/19 | EUR | 400 | 549,751 | |||||||||||
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f) | USD | 2,156 | 2,328,480 | |||||||||||
11,065,696 | ||||||||||||||
Multiline Retail — 0.3% | ||||||||||||||
Debenhams PLC, 5.25%, 7/15/21 | GBP | 225 | 369,799 | |||||||||||
Dufry Finance SCA, 4.50%, 7/15/22 | EUR | 135 | 185,087 | |||||||||||
Hema Bondco I BV, 6.25%, 6/15/19 | 205 | 271,887 | ||||||||||||
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f) | USD | 856 | 923,410 | |||||||||||
1,750,183 | ||||||||||||||
Oil, Gas & Consumable Fuels — 4.5% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp.: | ||||||||||||||
4.88%, 5/15/23 | 455 | 478,887 | ||||||||||||
4.88%, 3/15/24 | 209 | 219,764 | ||||||||||||
American Energy-Permian Basin LLC/AEPB Finance Corp. (c): | ||||||||||||||
7.13%, 11/01/20 | 338 | 327,860 | ||||||||||||
7.38%, 11/01/21 | 289 | 281,775 | ||||||||||||
Antero Resources Finance Corp., 5.38%, 11/01/21 (f) | 774 | 797,220 |
34 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | |||||||||||||
Oil, Gas & Consumable Fuels (concluded) | |||||||||||||||
Athlon Holdings LP/Athlon Finance Corp.: | |||||||||||||||
7.38%, 4/15/21 | USD | 254 | $ | 275,590 | |||||||||||
6.00%, 5/01/22 (c) | 230 | 236,900 | |||||||||||||
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 | 95 | 99,750 | |||||||||||||
Chaparral Energy, Inc., 7.63%, 11/15/22 | 305 | 327,494 | |||||||||||||
Cimarex Energy Co., 4.38%, 6/01/24 | 206 | 214,498 | |||||||||||||
Concho Resources, Inc., 5.50%, 4/01/23 (f) | 1,365 | 1,457,137 | |||||||||||||
CONSOL Energy, Inc., 5.88%, 4/15/22 (c)(f) | 1,653 | 1,727,385 | |||||||||||||
El Paso LLC: | |||||||||||||||
7.80%, 8/01/31 | 116 | 143,840 | |||||||||||||
7.75%, 1/15/32 | 556 | 696,390 | |||||||||||||
Energy Transfer Equity LP, 5.88%, 1/15/24 (f) | 875 | 924,219 | |||||||||||||
Energy XXI Gulf Coast, Inc., 6.88%, 3/15/24 (c) | 278 | 282,865 | |||||||||||||
EnQuest PLC, 7.00%, 4/15/22 (c) | 428 | 430,140 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f) | 450 | 474,750 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f) | 520 | 518,700 | |||||||||||||
Kinder Morgan Energy Partners LP, 4.15%, 2/01/24 | 640 | 650,506 | |||||||||||||
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f) | 1,285 | 1,431,169 | |||||||||||||
Kinder Morgan, Inc. (c): | |||||||||||||||
5.00%, 2/15/21 | 302 | 323,140 | |||||||||||||
5.63%, 11/15/23 | 306 | 337,365 | |||||||||||||
Laredo Petroleum, Inc., 7.38%, 5/01/22 | 515 | 563,925 | |||||||||||||
Lightstream Resources Ltd., 8.63%, 2/01/20 (c) | 379 | 392,265 | |||||||||||||
Linn Energy LLC/Linn Energy Finance Corp.: | |||||||||||||||
8.63%, 4/15/20 (f) | 1,083 | 1,156,102 | |||||||||||||
7.75%, 2/01/21 | 215 | 228,975 | |||||||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 | 344 | 356,900 | |||||||||||||
NGPL PipeCo LLC, 9.63%, 6/01/19 (c) | 353 | 385,653 | |||||||||||||
Oasis Petroleum, Inc.: | |||||||||||||||
7.25%, 2/01/19 | 380 | 399,000 | |||||||||||||
6.50%, 11/01/21 | 410 | 437,675 | |||||||||||||
Petrobras Global Finance BV, 3.00%, 1/15/19 (f) | 768 | 756,764 | |||||||||||||
Range Resources Corp.: | |||||||||||||||
6.75%, 8/01/20 (f) | 815 | 872,050 | |||||||||||||
5.75%, 6/01/21 | 161 | 171,868 | |||||||||||||
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (c) | 143 | 153,725 | |||||||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 (c) | 376 | 383,520 | |||||||||||||
Rosetta Resources, Inc., 5.63%, 5/01/21 | 379 | 388,001 | |||||||||||||
Sabine Pass Liquefaction LLC (f): | |||||||||||||||
5.63%, 4/15/23 | 754 | 784,160 | |||||||||||||
5.75%, 5/15/24 (c) | 456 | 474,240 | |||||||||||||
Sabine Pass LNG LP, 7.50%, 11/30/16 (f) | 3,110 | 3,378,237 | |||||||||||||
Sanchez Energy Corp., 6.13%, 1/15/23 (c) | 681 | 704,835 | |||||||||||||
SandRidge Energy, Inc.: | |||||||||||||||
8.75%, 1/15/20 | 79 | 82,950 | |||||||||||||
7.50%, 3/15/21 | 225 | 236,250 | |||||||||||||
7.50%, 2/15/23 (f) | 921 | 957,840 | |||||||||||||
Seventy Seven Energy, Inc., 6.50%, 7/15/22 (c) | 258 | 265,740 | |||||||||||||
SM Energy Co., 6.63%, 2/15/19 | 60 | 62,700 | |||||||||||||
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f) | 935 | 946,687 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 | 636 | 699,600 | |||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (f) | 176 | 184,360 | |||||||||||||
Ultra Petroleum Corp., 5.75%, 12/15/18 (c) | 425 | 438,813 | |||||||||||||
Whiting Petroleum Corp., 5.00%, 3/15/19 (f) | 1,426 | 1,504,430 | |||||||||||||
30,024,609 | |||||||||||||||
Paper & Forest Products — 0.0% | |||||||||||||||
NewPage Corp., 11.38%, 12/31/14 (a)(j) | 3,177 | — | |||||||||||||
Pfleiderer GmbH, 7.88%, 8/01/19 | EUR | 100 | 130,410 | ||||||||||||
130,410 |
Corporate Bonds | Par (000) | Value | ||||||||||||
Pharmaceuticals — 1.1% | ||||||||||||||
Capsugel SA, 7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (c)(g) | USD | 156 | $ | 159,510 | ||||||||||
Endo Finance LLC/Endo Finco, Inc. (c): | ||||||||||||||
7.25%, 1/15/22 | 121 | 131,134 | ||||||||||||
5.38%, 1/15/23 | 230 | 229,425 | ||||||||||||
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c) | 759 | 779,873 | ||||||||||||
Jaguar Holding Co. I, 9.38%, 10/15/17 (c)(g) | 268 | 275,705 | ||||||||||||
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c) | 830 | 847,638 | ||||||||||||
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (c) | 140 | 151,900 | ||||||||||||
Valeant Pharmaceuticals International, Inc. (c): | ||||||||||||||
6.75%, 8/15/18 (f) | 2,214 | 2,368,980 | ||||||||||||
6.88%, 12/01/18 (f) | 1,210 | 1,259,912 | ||||||||||||
6.38%, 10/15/20 (f) | 613 | 641,351 | ||||||||||||
7.50%, 7/15/21 | 335 | 365,150 | ||||||||||||
5.63%, 12/01/21 | 520 | 528,450 | ||||||||||||
7,739,028 | ||||||||||||||
Professional Services — 0.1% | ||||||||||||||
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f) | 540 | 580,500 | ||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | ||||||||||||||
Felcor Lodging LP, 6.75%, 6/01/19 (f) | 820 | 865,100 | ||||||||||||
iStar Financial, Inc.: | ||||||||||||||
4.00%, 11/01/17 | 435 | 432,825 | ||||||||||||
5.00%, 7/01/19 | 305 | 305,000 | ||||||||||||
Rayonier AM Products, Inc., 5.50%, 6/01/24 (c) | 64 | 62,720 | ||||||||||||
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f) | 1,300 | 1,432,891 | ||||||||||||
3,098,536 | ||||||||||||||
Real Estate Management & Development — 0.9% | ||||||||||||||
Realogy Corp. (c): | ||||||||||||||
7.63%, 1/15/20 (f) | 1,837 | 2,002,330 | ||||||||||||
9.00%, 1/15/20 | 301 | 336,368 | ||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c) | 759 | 759,000 | ||||||||||||
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c) | 220 | 228,800 | ||||||||||||
RPG Byty Sro, 6.75%, 5/01/20 | EUR | 220 | 297,741 | |||||||||||
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f) | USD | 2,110 | 2,278,800 | |||||||||||
5,903,039 | ||||||||||||||
Road & Rail — 1.1% | ||||||||||||||
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f) | 3,400 | 3,463,305 | ||||||||||||
EC Finance PLC, 5.13%, 7/15/21 | EUR | 180 | 240,562 | |||||||||||
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f) | USD | 1,170 | 1,234,350 | |||||||||||
The Hertz Corp.: | ||||||||||||||
7.50%, 10/15/18 | 540 | 563,625 | ||||||||||||
6.75%, 4/15/19 | 405 | 424,744 | ||||||||||||
5.88%, 10/15/20 | 435 | 447,506 | ||||||||||||
7.38%, 1/15/21 (f) | 675 | 722,250 | ||||||||||||
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c) | 319 | 326,178 | ||||||||||||
7,422,520 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.4% | ||||||||||||||
Micron Technology, Inc., 5.50%, 2/01/25 (c) | 840 | 850,500 | ||||||||||||
NXP BV/NXP Funding LLC (c)(f): | ||||||||||||||
3.75%, 6/01/18 | 950 | 954,750 | ||||||||||||
5.75%, 2/15/21 | 560 | 588,000 | ||||||||||||
2,393,250 |
ANNUAL REPORT | AUGUST 31, 2014 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Corporate Bonds | Par (000) | Value | ||||||||||||
Software — 0.7% | ||||||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% (7.13% Cash or 7.88% PIK), 5/01/21 (c)(g) | USD | 744 | $ | 757,020 | ||||||||||
Infor US, Inc., 9.38%, 4/01/19 (f) | 2,000 | 2,200,000 | ||||||||||||
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f) | 1,715 | 1,723,575 | ||||||||||||
4,680,595 | ||||||||||||||
Specialty Retail — 0.4% | ||||||||||||||
Magnolia BC SA, 9.00%, 8/01/20 | EUR | 274 | 362,744 | |||||||||||
New Look Bondco I PLC, 8.75%, 5/14/18 | GBP | 100 | 175,976 | |||||||||||
Party City Holdings, Inc., 8.88%, 8/01/20 | USD | 374 | 412,335 | |||||||||||
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75% (8.75% Cash or 9.50% PIK), 8/15/19 (c)(g) | 252 | 258,930 | ||||||||||||
QVC, Inc., 7.50%, 10/01/19 (c)(f) | 410 | 427,983 | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f) | 508 | 535,940 | ||||||||||||
THOM Europe SAS, 7.38%, 7/15/19 | EUR | 230 | 295,409 | |||||||||||
Twin Set-Simona Barbieri SpA, 6.08%, 7/15/19 (b) | 212 | 268,139 | ||||||||||||
2,737,456 | ||||||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||||||||||
Levi Strauss & Co., 6.88%, 5/01/22 | USD | 380 | 413,250 | |||||||||||
Springs Industries, Inc., 6.25%, 6/01/21 | 645 | 648,225 | ||||||||||||
The William Carter Co., 5.25%, 8/15/21 | 346 | 361,570 | ||||||||||||
1,423,045 | ||||||||||||||
Trading Companies & Distributors — 0.2% | ||||||||||||||
Ashtead Capital, Inc., 6.50%, 7/15/22 (c)(f) | 1,054 | 1,146,225 | ||||||||||||
Transportation Infrastructure — 1.9% | ||||||||||||||
Aguila 3 SA, 7.88%, 1/31/18 (c) | 848 | 881,920 | ||||||||||||
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f) | 917 | 930,306 | ||||||||||||
JCH Parent, Inc., 10.50% (10.25% Cash or 11.25% PIK), 3/15/19 (c)(g) | 878 | 873,610 | ||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c)(f): | ||||||||||||||
3.13%, 5/11/15 | 3,372 | 3,428,086 | ||||||||||||
3.38%, 3/15/18 | 6,155 | 6,458,565 | ||||||||||||
12,572,487 | ||||||||||||||
Wireless Telecommunication Services — 2.0% | ||||||||||||||
Digicel Ltd., 6.00%, 4/15/21 (c)(f) | 2,073 | 2,135,190 | ||||||||||||
The Geo Group, Inc., 5.88%, 1/15/22 | 340 | 347,650 | ||||||||||||
Phones4u Finance PLC, 9.50%, 4/01/18 | GBP | 207 | 351,383 | |||||||||||
Sprint Communications, Inc. (c)(f): | ||||||||||||||
9.00%, 11/15/18 | USD | 2,020 | 2,401,275 | |||||||||||
7.00%, 3/01/20 | 1,141 | 1,272,215 | ||||||||||||
Sprint Corp. (c): | ||||||||||||||
7.88%, 9/15/23 | 1,215 | 1,303,087 | ||||||||||||
7.13%, 6/15/24 | 515 | 525,300 | ||||||||||||
T-Mobile USA, Inc.: | ||||||||||||||
6.63%, 4/28/21 (f) | 1,380 | 1,452,450 | ||||||||||||
6.13%, 1/15/22 | 75 | 77,719 | ||||||||||||
6.73%, 4/28/22 (f) | 1,455 | 1,535,025 | ||||||||||||
6.50%, 1/15/24 | 535 | 556,400 | ||||||||||||
Wind Acquisition Finance SA: | ||||||||||||||
4.00%, 7/15/20 | EUR | 695 | 917,761 | |||||||||||
4.20%, 7/15/20 (b) | 320 | 422,041 | ||||||||||||
13,297,496 | ||||||||||||||
Total Corporate Bonds — 59.6% | 398,933,627 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Aerospace & Defense — 0.8% | ||||||||||||||
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | USD | 1,284 | $ | 1,277,973 | ||||||||||
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 | 1,375 | 1,347,500 | ||||||||||||
Transdigm, Inc.: | ||||||||||||||
Term Loan C, 3.75%, 2/28/20 | 650 | 645,686 | ||||||||||||
Term Loan D, 3.75%, 6/04/21 | 300 | 297,876 | ||||||||||||
TransUnion LLC, Term Loan, 4.00%, 4/09/21 | 1,576 | 1,568,832 | ||||||||||||
5,137,867 | ||||||||||||||
Air Freight & Logistics — 0.4% | ||||||||||||||
CEVA Group PLC, Synthetic Line of Credit, 6.50%, 3/19/21 | 678 | 654,402 | ||||||||||||
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 | 713 | 696,546 | ||||||||||||
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 | 123 | 120,094 | ||||||||||||
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21 | 984 | 960,754 | ||||||||||||
2,431,796 | ||||||||||||||
Airlines — 0.1% | ||||||||||||||
Northwest Airlines, Inc.: | ||||||||||||||
2.18%, 3/10/17 | 451 | 438,922 | ||||||||||||
1.56%, 9/10/18 | 621 | 592,016 | ||||||||||||
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 | 7 | 6,732 | ||||||||||||
1,037,670 | ||||||||||||||
Auto Components — 1.7% | ||||||||||||||
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 741 | 743,702 | ||||||||||||
Autoparts Holdings Ltd.: | ||||||||||||||
1st Lien Term Loan, 6.50%, 7/28/17 | 961 | 960,747 | ||||||||||||
2nd Lien Term Loan, 10.50%, 1/29/18 | 1,250 | 1,205,212 | ||||||||||||
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 | 856 | 855,700 | ||||||||||||
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 | 3,340 | 3,313,748 | ||||||||||||
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 2,985 | 2,993,388 | ||||||||||||
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18 | 1,248 | 1,242,188 | ||||||||||||
11,314,685 | ||||||||||||||
Banks — 0.1% | ||||||||||||||
Redtop Acquisitions Ltd.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 12/03/20 | 418 | 417,202 | ||||||||||||
2nd Lien Term Loan, 8.25%, 6/03/21 | 353 | 360,290 | ||||||||||||
777,492 | ||||||||||||||
Beverages — 0.0% | ||||||||||||||
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j) | 1,000 | �� | — | |||||||||||
Building Products — 1.0% | ||||||||||||||
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 | 863 | 857,103 | ||||||||||||
CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 1,639 | 1,638,972 | ||||||||||||
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 | 943 | 930,854 | ||||||||||||
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15 | 375 | 374,531 | ||||||||||||
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 | 1,147 | 1,125,972 | ||||||||||||
United Subcontractors, Inc., Term Loan, 4.24%, 6/30/15 | 172 | 162,963 | ||||||||||||
Wilsonart LLC: | ||||||||||||||
Incremental Term Loan B2, 4.00%, 10/31/19 | 766 | 755,937 | ||||||||||||
Term Loan B, 4.00%, 10/31/19 | 808 | 796,934 | ||||||||||||
6,643,266 |
36 | ANNUAL REPORT | AUGUST 31, 2014 |
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 | ||||||||||||
Capital Markets — 0.2% | ||||||||||||||
Affinion Group, Inc.: | ||||||||||||||
2nd Lien Term Loan, 8.50%, 10/12/18 | USD | 633 | $ | 627,070 | ||||||||||
Term Loan B, 6.75%, 4/30/18 | 524 | 518,584 | ||||||||||||
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 | 576 | 572,709 | ||||||||||||
1,718,363 | ||||||||||||||
Chemicals — 1.5% | ||||||||||||||
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 769 | 769,573 | ||||||||||||
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 | 662 | 657,124 | ||||||||||||
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20 | 663 | 660,262 | ||||||||||||
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21 | 1,325 | 1,323,344 | ||||||||||||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 1,258 | 1,251,851 | ||||||||||||
OXEA Finance LLC: | ||||||||||||||
2nd Lien Term Loan, 8.25%, 7/15/20 | 705 | 706,177 | ||||||||||||
Term Loan B2, 4.25%, 1/15/20 | 675 | 672,369 | ||||||||||||
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 773 | 774,564 | ||||||||||||
Solenis International LP: | ||||||||||||||
1st Lien Term Loan, 4.25%, 7/02/21 | 520 | 516,428 | ||||||||||||
2nd Lien Term Loan, 7.75%, 7/02/22 | 1,050 | 1,040,550 | ||||||||||||
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 658 | 650,121 | ||||||||||||
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20 | 932 | 929,665 | ||||||||||||
9,952,028 | ||||||||||||||
Commercial Services & Supplies — 1.6% | ||||||||||||||
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 | 1,012 | 996,745 | ||||||||||||
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 | 1,193 | 1,188,910 | ||||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 | 1,567 | 1,565,087 | ||||||||||||
Catalent Pharma Solutions, Inc.: | ||||||||||||||
Term Loan, 6.50%, 12/29/17 | 216 | 217,025 | ||||||||||||
Term Loan B, 4.50%, 5/20/21 | 625 | 625,394 | ||||||||||||
Connolly Corp.: | ||||||||||||||
1st Lien Term Loan, 5.00%, 5/14/21 | 1,175 | 1,180,146 | ||||||||||||
2nd Lien Term Loan, 8.00%, 5/14/22 | 1,000 | 1,003,750 | ||||||||||||
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20 | 1,875 | 1,877,344 | ||||||||||||
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/16/19 | 338 | 336,200 | ||||||||||||
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 1,778 | 1,762,816 | ||||||||||||
10,753,417 | ||||||||||||||
Communications Equipment — 1.6% | ||||||||||||||
Amaya Holdings BV: | ||||||||||||||
1st Lien Term Loan, 5.00%, 8/01/21 | 975 | 965,494 | ||||||||||||
2nd Lien Term Loan, 8.00%, 8/01/22 | 3,960 | 4,007,045 | ||||||||||||
Applied Systems, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.25%, 1/25/21 | 328 | 327,529 | ||||||||||||
2nd Lien Term Loan, 7.50%, 1/23/22 | 265 | 266,590 | ||||||||||||
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17 | 760 | 736,612 | ||||||||||||
CommScope, Inc., Term Loan B3, 2.66%, 1/21/17 | 434 | 435,847 | ||||||||||||
Telesat Canada, Term Loan A, 4.37%, 3/24/17 | CAD | 1,652 | 1,503,711 | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 | USD | 2,752 | 2,740,595 | |||||||||||
10,983,423 | ||||||||||||||
Construction & Engineering — 0.1% | ||||||||||||||
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/15/20 | 710 | 718,875 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Construction Materials — 0.4% | ||||||||||||||
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 | USD | 502 | $ | 502,726 | ||||||||||
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 | 1,869 | 1,858,338 | ||||||||||||
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 | 377 | 377,150 | ||||||||||||
2,738,214 | ||||||||||||||
Containers & Packaging — 0.2% | ||||||||||||||
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 | 384 | 381,799 | ||||||||||||
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | 996 | 981,820 | ||||||||||||
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21 | 50 | 49,672 | ||||||||||||
1,413,291 | ||||||||||||||
Distributors — 0.4% | ||||||||||||||
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 2,089 | 2,067,882 | ||||||||||||
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 | 200 | 199,500 | ||||||||||||
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17 | 453 | 450,555 | ||||||||||||
2,717,937 | ||||||||||||||
Diversified Consumer Services — 0.7% | ||||||||||||||
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21 | 516 | 511,858 | ||||||||||||
Fitness International LLC, Term Loan B, 5.50%, 7/01/20 | 600 | 597,498 | ||||||||||||
Garda World Securities Corp.: | ||||||||||||||
Delayed Draw Term Loan, 4.00%, 11/06/20 | 76 | 75,358 | ||||||||||||
Term Loan B, 4.00%, 11/06/20 | 297 | 294,580 | ||||||||||||
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 | 625 | 606,129 | ||||||||||||
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 | 1,090 | 1,081,007 | ||||||||||||
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 | 1,656 | 1,301,234 | ||||||||||||
4,467,664 | ||||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 | 1,509 | 1,505,417 | ||||||||||||
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18 | 447 | 446,337 | ||||||||||||
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 | 1,119 | 1,117,629 | ||||||||||||
3,069,383 | ||||||||||||||
Diversified Telecommunication Services — 1.6% | ||||||||||||||
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 | 2,227 | 2,226,207 | ||||||||||||
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 1,724 | 1,731,749 | ||||||||||||
Integra Telecom, Inc.: | ||||||||||||||
2nd Lien Term Loan, 9.75%, 2/22/20 | 1,270 | 1,289,050 | ||||||||||||
Term Loan B, 5.25%, 2/22/19 | 1,160 | 1,159,953 | ||||||||||||
Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20 | 3,365 | 3,348,175 | ||||||||||||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 988 | 987,169 | ||||||||||||
10,742,303 | ||||||||||||||
Electric Utilities — 0.4% | ||||||||||||||
American Energy—Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 | 571 | 571,255 | ||||||||||||
American Energy—Utica LLC: | ||||||||||||||
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 | 489 | 513,665 | ||||||||||||
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 | 489 | 513,737 | ||||||||||||
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 | 836 | 839,538 | ||||||||||||
2,438,195 |
ANNUAL REPORT | AUGUST 31, 2014 | 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 | |||||||||||||
Electrical Equipment — 1.0% | |||||||||||||||
Texas Competitive Electric Holdings Co. LLC: | |||||||||||||||
DIP Term Loan, 3.75%, 5/05/16 | USD | 866 | $ | 871,433 | |||||||||||
Extended Term Loan, 4.65%, 10/10/17 (a)(j) | 7,640 | 5,907,859 | |||||||||||||
6,779,292 | |||||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||||||
CDW LLC, Term Loan, 3.25%, 4/29/20 | 839 | 828,138 | |||||||||||||
Energy Equipment & Services — 0.2% | |||||||||||||||
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 1,099 | 1,096,845 | |||||||||||||
Food & Staples Retailing — 0.3% | |||||||||||||||
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 | 630 | 626,258 | |||||||||||||
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 240 | 242,599 | |||||||||||||
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 | 902 | 895,428 | |||||||||||||
1,764,285 | |||||||||||||||
Food Products — 1.3% | |||||||||||||||
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25%, 2/18/21 | 642 | 634,420 | |||||||||||||
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 | 1,502 | 1,492,128 | |||||||||||||
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 | 1,053 | 1,048,302 | |||||||||||||
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 | 675 | 675,425 | |||||||||||||
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 1,040 | 1,042,099 | |||||||||||||
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20 | 1,038 | 1,024,353 | |||||||||||||
Reddy Ice Corp.: | |||||||||||||||
1st Lien Term Loan, 6.75%, 5/01/19 | 1,471 | 1,405,163 | |||||||||||||
2nd Lien Term Loan, 10.75%, 11/01/19 | 1,380 | 1,214,400 | |||||||||||||
8,536,290 | |||||||||||||||
Health Care Equipment & Supplies — 2.0% | |||||||||||||||
Arysta LifeScience Corp.: | |||||||||||||||
1st Lien Term Loan, 4.50%, 5/29/20 | 1,470 | 1,466,782 | |||||||||||||
2nd Lien Term Loan, 8.25%, 11/30/20 | 530 | 534,309 | |||||||||||||
Biomet, Inc., Term Loan B2, 3.73%, 7/25/17 | 1,157 | 1,154,749 | |||||||||||||
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 543 | 536,800 | |||||||||||||
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 | 1,697 | 1,693,943 | |||||||||||||
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19 | 1,308 | 1,300,105 | |||||||||||||
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 633 | 632,649 | |||||||||||||
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 | 1,825 | 1,826,716 | |||||||||||||
National Vision, Inc.: | |||||||||||||||
1st Lien Term Loan, 4.00%, 3/12/21 | 1,252 | 1,229,370 | |||||||||||||
2nd Lien Term Loan, 6.75%, 3/07/22 | 340 | 334,332 | |||||||||||||
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19 | 406 | 410,724 | |||||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 | 2,175 | 2,174,087 | |||||||||||||
13,294,566 | |||||||||||||||
Health Care Providers & Services — 2.5% | |||||||||||||||
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 | 1,360 | 1,326,000 | |||||||||||||
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19 | 844 | 837,626 | |||||||||||||
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 | 460 | 459,425 | |||||||||||||
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 440 | 439,916 | |||||||||||||
Care UK Health & Social Care PLC, 5.56%, 7/15/19 | GBP | 191 | 309,162 | ||||||||||||
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 | USD | 3,985 | 3,993,144 | ||||||||||||
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 1,169 | 1,165,375 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Health Care Providers & Services (concluded) | ||||||||||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 | USD | 2,845 | $ | 2,835,924 | ||||||||||
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 | 898 | 902,704 | ||||||||||||
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17 | 1,014 | 1,028,714 | ||||||||||||
Ikaria, Inc.: | ||||||||||||||
1st Lien Term Loan, 5.00%, 2/12/21 | 510 | 510,779 | ||||||||||||
2nd Lien Term Loan, 8.75%, 2/14/22 | 270 | 273,038 | ||||||||||||
inVentiv Health, Inc., Incremental Term Loan B3, 7.75%, 5/15/18 | 231 | 229,682 | ||||||||||||
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21 | 778 | 772,929 | ||||||||||||
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21 | 579 | 577,647 | ||||||||||||
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.25%, 7/09/20 | 405 | 404,894 | ||||||||||||
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 | 594 | 591,773 | ||||||||||||
16,658,732 | ||||||||||||||
Health Care Technology — 0.1% | ||||||||||||||
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 | 628 | 619,941 | ||||||||||||
Hotels, Restaurants & Leisure — 4.6% | ||||||||||||||
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20 | 505 | 503,728 | ||||||||||||
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 1,239 | 1,240,660 | ||||||||||||
Caesars Entertainment Operating Co., Inc.: | ||||||||||||||
Extended Term Loan B6, 6.95%, 3/01/17 | 981 | 919,319 | ||||||||||||
Term Loan B7, 9.75%, 3/01/17 | 1,821 | 1,758,498 | ||||||||||||
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20 | 1,989 | 1,952,297 | ||||||||||||
Caesars Growth Properties Holdings LLC, Term Loan, 6.25%, 5/08/21 | 2,350 | 2,294,610 | ||||||||||||
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21 | 790 | 788,025 | ||||||||||||
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20 | 290 | 289,202 | ||||||||||||
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 | 1,825 | 1,834,125 | ||||||||||||
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 | 340 | 342,975 | ||||||||||||
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 585 | 586,462 | ||||||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 | 1,818 | 1,806,234 | ||||||||||||
Intrawest ULC, Term Loan, 5.50%, 11/26/20 | 612 | 614,985 | ||||||||||||
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 | 4,891 | 4,883,117 | ||||||||||||
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 | 647 | 644,861 | ||||||||||||
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 1,070 | 1,062,249 | ||||||||||||
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 730 | 726,050 | ||||||||||||
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19 | 720 | 715,965 | ||||||||||||
Sabre, Inc.: | ||||||||||||||
Incremental Term Loan, 4.00%, 2/19/19 | 397 | 396,131 | ||||||||||||
Term Loan B, 4.00%, 2/19/19 | 561 | 558,643 | ||||||||||||
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 | 2,342 | 2,331,996 | ||||||||||||
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 4.00%, 9/02/21 | 1,200 | 1,205,004 | ||||||||||||
Travelport LLC/Travelport Holdings, Inc.: | ||||||||||||||
2nd Lien PIK Term Loan 2, 4.00%, 12/01/16 | 1,055 | 1,055,361 | ||||||||||||
2nd Lien Term Loan 1, 9.50%, 1/29/16 | 1,178 | 1,200,207 | ||||||||||||
Refinancing Term Loan, 6.25%, 6/26/19 | 1,236 | 1,254,053 | ||||||||||||
30,964,757 | ||||||||||||||
Household Products — 0.2% | ||||||||||||||
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 | 1,150 | 1,144,402 |
38 | ANNUAL REPORT | AUGUST 31, 2014 |
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 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.4% | ||||||||||||||
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 | USD | 1,048 | $ | 1,047,155 | ||||||||||
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 | 830 | 830,830 | ||||||||||||
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 | 994 | 995,227 | ||||||||||||
2,873,212 | ||||||||||||||
Industrial Conglomerates — 0.3% | ||||||||||||||
Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 2,349 | 2,297,406 | ||||||||||||
Insurance — 1.0% | ||||||||||||||
Asurion LLC: | ||||||||||||||
2nd Lien Term Loan, 8.50%, 3/03/21 | 445 | 458,795 | ||||||||||||
Term Loan B1, 5.00%, 5/24/19 | 1,496 | 1,499,980 | ||||||||||||
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18 | 1,308 | 1,297,326 | ||||||||||||
Cooper Gay Swett & Crawford Ltd.: | ||||||||||||||
1st Lien Term Loan, 5.00%, 4/16/20 | 1,049 | 975,942 | ||||||||||||
2nd Lien Term Loan C, 8.25%, 10/16/20 | 500 | 450,000 | ||||||||||||
Sedgwick, Inc.: | ||||||||||||||
1st Lien Term Loan, 3.75%, 3/01/21 | 1,102 | 1,083,411 | ||||||||||||
2nd Lien Term Loan, 6.75%, 2/28/22 | 665 | 661,675 | ||||||||||||
6,427,129 | ||||||||||||||
Internet Software & Services — 0.5% | ||||||||||||||
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 | 1,169 | 1,156,990 | ||||||||||||
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 | 805 | 802,384 | ||||||||||||
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 | 1,450 | 1,453,625 | ||||||||||||
3,412,999 | ||||||||||||||
IT Services — 2.1% | ||||||||||||||
Ceridian LLC: | ||||||||||||||
Term Loan B1, 4.16%, 5/09/17 | 988 | 986,806 | ||||||||||||
Term Loan B2, 4.50%, 9/14/20 | 551 | 550,539 | ||||||||||||
First Data Corp.: | ||||||||||||||
2018 Extended Term Loan, 3.66%, 3/23/18 | 7,249 | 7,167,649 | ||||||||||||
2018 Term Loan, 3.66%, 9/24/18 | 1,640 | 1,625,142 | ||||||||||||
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18 | 754 | 707,469 | ||||||||||||
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 | 798 | 790,267 | ||||||||||||
SunGard Data Systems, Inc.: | ||||||||||||||
Term Loan C, 3.91%, 2/28/17 | 705 | 704,119 | ||||||||||||
Term Loan E, 4.00%, 3/08/20 | 379 | 378,397 | ||||||||||||
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21 | 950 | 949,287 | ||||||||||||
13,859,675 | ||||||||||||||
Leisure Products — 0.1% | ||||||||||||||
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 | 422 | 420,406 | ||||||||||||
Machinery — 1.0% | ||||||||||||||
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18 | 1,063 | 1,063,401 | ||||||||||||
Gardner Denver, Inc.: | ||||||||||||||
4.25%, 7/30/20 | 838 | 836,518 | ||||||||||||
4.75%, 7/30/20 | EUR | 221 | 291,368 | |||||||||||
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 | USD | 1,081 | 1,070,636 | |||||||||||
Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 525 | 529,494 | ||||||||||||
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 1,316 | 1,307,084 | ||||||||||||
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 571 | 568,579 | ||||||||||||
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 | 908 | 908,178 | ||||||||||||
6,575,258 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Media — 4.8% | ||||||||||||||
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 | USD | 1,090 | $ | 1,089,147 | ||||||||||
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 465 | 463,837 | ||||||||||||
Cengage Learning Acquisitions, Inc., 1st Lien Term Loan: | ||||||||||||||
0.00%, 7/03/15 (a)(j) | 2,005 | — | ||||||||||||
7.00%, 3/31/20 | 2,434 | 2,448,601 | ||||||||||||
Charter Communications Operating LLC: | ||||||||||||||
Term Loan E, 3.00%, 7/01/20 | 1,173 | 1,153,113 | ||||||||||||
Term Loan G, 3.50%, 7/24/21 | 1,435 | 1,443,079 | ||||||||||||
Clear Channel Communications, Inc.: | ||||||||||||||
Term Loan B, 3.81%, 1/29/16 | 316 | 314,122 | ||||||||||||
Term Loan D, 6.91%, 1/30/19 | 4,063 | 4,000,009 | ||||||||||||
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 | 1,341 | 1,336,872 | ||||||||||||
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 208 | 196,269 | ||||||||||||
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 | 886 | 886,050 | ||||||||||||
IMG Worldwide Holdings LLC: | ||||||||||||||
1st Lien Term Loan, 5.25%, 5/06/21 | 995 | 984,433 | ||||||||||||
2nd Lien Term Loan, 8.25%, 5/01/22 | 1,065 | 1,043,700 | ||||||||||||
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 | 2,514 | 2,500,321 | ||||||||||||
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | 395 | 396,647 | ||||||||||||
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 | 696 | 697,502 | ||||||||||||
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18 | 778 | 764,434 | ||||||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20 | 1,659 | 1,645,222 | ||||||||||||
Numericable U.S. LLC: | ||||||||||||||
Term Loan B1, 4.50%, 5/21/20 | 1,106 | 1,109,278 | ||||||||||||
Term Loan B2, 4.50%, 5/21/20 | 957 | 959,677 | ||||||||||||
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 997 | 989,572 | ||||||||||||
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 | 1,083 | 1,081,317 | ||||||||||||
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 | 2,423 | 2,406,786 | ||||||||||||
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21 | EUR | 442 | 582,097 | |||||||||||
Virgin Media Investment Holdings Ltd.: | ||||||||||||||
Term Loan B, 3.50%, 6/07/20 | USD | 410 | 404,285 | |||||||||||
Term Loan E, 4.25%, 6/30/23 | GBP | 790 | 1,308,948 | |||||||||||
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 | USD | 730 | 731,630 | |||||||||||
Ziggo BV: | ||||||||||||||
Term Loan B1A, 2.50%, 1/15/22 | 489 | 479,000 | ||||||||||||
Term Loan B2A, 2.50%, 1/15/22 | 333 | 326,723 | ||||||||||||
Term Loan B3, 2.75%, 1/15/22 | 548 | 537,342 | ||||||||||||
32,280,013 | ||||||||||||||
Metals & Mining — 0.8% | ||||||||||||||
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 | 255 | 259,144 | ||||||||||||
FMG Resources (August 2006) Property Ltd., Term Loan B, 3.75%, 6/30/19 | 1,391 | 1,384,662 | ||||||||||||
Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 2,001 | 1,994,615 | ||||||||||||
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 1,511 | 1,533,758 | ||||||||||||
5,172,179 |
ANNUAL REPORT | AUGUST 31, 2014 | 39 |
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 | ||||||||||||
Multiline Retail — 0.5% | ||||||||||||||
BJ’s Wholesale Club, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 9/26/19 | USD | 586 | $ | 582,728 | ||||||||||
2nd Lien Term Loan, 8.50%, 3/26/20 | 575 | 580,462 | ||||||||||||
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 | 948 | 954,582 | ||||||||||||
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 | 1,643 | 1,629,024 | ||||||||||||
3,746,796 | ||||||||||||||
Oil, Gas & Consumable Fuels — 1.7% | ||||||||||||||
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 | 1,499 | 1,456,888 | ||||||||||||
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21 | 1,005 | 1,007,935 | ||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 | 1,127 | 1,116,335 | ||||||||||||
Fieldwood Energy LLC: | ||||||||||||||
1st Lien Term Loan, 3.88%, 9/28/18 | 466 | 464,629 | ||||||||||||
2nd Lien Term Loan, 8.38%, 9/30/20 | 420 | 429,101 | ||||||||||||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 899 | 900,956 | ||||||||||||
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 | 187 | 186,168 | ||||||||||||
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 | 1,645 | 1,677,900 | ||||||||||||
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 900 | 918,000 | ||||||||||||
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 | 275 | 268,125 | ||||||||||||
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 | 450 | 449,811 | ||||||||||||
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 | 460 | 462,590 | ||||||||||||
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21 | 370 | 371,387 | ||||||||||||
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 | 1,015 | 1,012,363 | ||||||||||||
WTG Holdings III Corp.: | ||||||||||||||
1st Lien Term Loan, 4.75%, 1/15/21 | 299 | 297,381 | ||||||||||||
2nd Lien Term Loan, 8.50%, 1/15/22 | 160 | 159,733 | ||||||||||||
11,179,302 | ||||||||||||||
Pharmaceuticals — 1.4% | ||||||||||||||
Akorn, Inc.: | ||||||||||||||
Incremental Term Loan, 3.50%, 4/16/21 | 410 | 410,513 | ||||||||||||
Term Loan B, 4.50%, 4/16/21 | 885 | 886,106 | ||||||||||||
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21 | 853 | 847,003 | ||||||||||||
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21 | 2,100 | 2,083,737 | ||||||||||||
Mallinckrodt International Finance SA, Term Loan B, 3.50%, 3/19/21 | 793 | 789,246 | ||||||||||||
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19 | 1,649 | 1,634,154 | ||||||||||||
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 | 1,392 | 1,390,774 | ||||||||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||||||||
Series C2, Term Loan B, 3.75%, 12/11/19 | 478 | 476,251 | ||||||||||||
Series E, Term Loan B, 3.75%, 8/05/20 | 721 | 717,950 | ||||||||||||
9,235,734 | ||||||||||||||
Professional Services — 0.7% | ||||||||||||||
Advantage Sales & Marketing, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.25%, 7/23/21 | 469 | 464,474 | ||||||||||||
2nd Lien Term Loan, 7.50%, 7/25/22 | 605 | 605,127 | ||||||||||||
Delayed Draw Term Loan, 3.25%, 7/23/21 | 16 | 15,482 | ||||||||||||
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 610 | 606,461 |
Floating Rate Loan Interests (b) | Par (000) | Value | ||||||||||||
Professional Services (concluded) | ||||||||||||||
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 | USD | 850 | $ | 847,348 | ||||||||||
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,057 | 1,077,757 | ||||||||||||
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 1,166 | 1,160,480 | ||||||||||||
4,777,129 | ||||||||||||||
Real Estate Management & Development — 0.5% | ||||||||||||||
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 | 941 | 939,677 | ||||||||||||
Realogy Corp.: | ||||||||||||||
Extended Letter of Credit, 4.40%, 10/10/16 | 47 | 47,149 | ||||||||||||
Term Loan B, 3.75%, 3/05/20 | 2,101 | 2,090,457 | ||||||||||||
3,077,283 | ||||||||||||||
Road & Rail — 0.2% | ||||||||||||||
Road Infrastructure Investment LLC: | ||||||||||||||
1st Lien Term Loan, 4.25%, 3/31/21 | 1,012 | 1,001,498 | ||||||||||||
2nd Lien Term Loan, 7.75%, 9/21/21 | 675 | 666,562 | ||||||||||||
1,668,060 | ||||||||||||||
Semiconductors & Semiconductor Equipment — 0.6% | ||||||||||||||
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 | 2,680 | 2,675,739 | ||||||||||||
Freescale Semiconductor, Inc.: | ||||||||||||||
Term Loan B4, 4.25%, 2/28/20 | 720 | 716,744 | ||||||||||||
Term Loan B5, 5.00%, 1/15/21 | 377 | 378,330 | ||||||||||||
3,770,813 | ||||||||||||||
Software — 1.7% | ||||||||||||||
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 811 | 808,643 | ||||||||||||
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 460 | 452,294 | ||||||||||||
GCA Services Group, Inc.: | ||||||||||||||
2nd Lien Term Loan, 9.25%, 10/22/20 | 560 | 560,935 | ||||||||||||
Term Loan B, 4.25%, 11/01/19 | 551 | 547,779 | ||||||||||||
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 | 1,111 | 1,101,067 | ||||||||||||
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 | 610 | 570,350 | ||||||||||||
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 | 234 | 234,706 | ||||||||||||
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 1,837 | 1,882,449 | ||||||||||||
Mitchell International, Inc.: | ||||||||||||||
1st Lien Term Loan, 4.50%, 10/12/20 | 632 | 630,511 | ||||||||||||
2nd Lien Term Loan, 8.50%, 10/11/21 | 1,200 | 1,208,256 | ||||||||||||
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21 | 1,020 | 997,050 | ||||||||||||
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18 | 909 | 893,389 | ||||||||||||
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 | 850 | 845,411 | ||||||||||||
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 | 560 | 556,500 | ||||||||||||
11,289,340 | ||||||||||||||
Specialty Retail — 0.9% | ||||||||||||||
Academy Ltd., Term Loan, 4.50%, 8/03/18 | 1,456 | 1,451,643 | ||||||||||||
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20 | 1,200 | 1,192,500 | ||||||||||||
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 | 2,437 | 2,414,154 | ||||||||||||
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 893 | 890,068 | ||||||||||||
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18 | 242 | 202,995 | ||||||||||||
6,151,360 |
40 | ANNUAL REPORT | AUGUST 31, 2014 |
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 | |||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||||||
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | USD | 1,246 | $ | 1,227,618 | |||||||||||
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 | 638 | 625,498 | |||||||||||||
Nine West Holdings, Inc.: | |||||||||||||||
Guarantee Term Loan, 6.25%, 1/08/20 | 555 | 552,225 | |||||||||||||
Term Loan B, 4.75%, 10/08/19 | 440 | 440,550 | |||||||||||||
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 | 714 | 717,734 | |||||||||||||
�� | 3,563,625 | ||||||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||||||
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19 | 857 | 857,310 | |||||||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||||||
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 | 1,535 | 1,525,554 | |||||||||||||
Total Floating Rate Loan Interests — 45.5% | 304,903,700 | ||||||||||||||
Foreign Agency Obligations | |||||||||||||||
Cyprus Government International Bond, 4.63%, 2/03/20 | EUR | 1,000 | 1,307,380 | ||||||||||||
Iceland Government International Bond: | |||||||||||||||
4.88%, 6/16/16 | USD | 580 | 605,546 | ||||||||||||
5.88%, 5/11/22 | 3,030 | 3,448,155 | |||||||||||||
Total Foreign Agency Obligations — 0.8% | 5,361,081 | ||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||
Collateralized Mortgage Obligations — 2.5% | |||||||||||||||
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | 5,164 | 4,835,563 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | |||||||||||||||
Series 2005-17, Class 1A6, 5.50%, 9/25/35 | 1,284 | 1,251,798 | |||||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 2,798 | 2,587,868 | |||||||||||||
Series 2007-HY5, Class 3A1, 5.05%, 9/25/37 (b) | 1,855 | 1,731,011 | |||||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.57%, 10/25/35 (b) | 1,847 | 1,665,446 | |||||||||||||
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c) | 4,162 | 4,258,180 | |||||||||||||
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.46%, 2/26/37 (b)(c) | 664 | 660,411 | |||||||||||||
16,990,277 | |||||||||||||||
Commercial Mortgage-Backed Securities — 7.7% | |||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.95%, 2/10/51 (b) | 1,687 | 1,861,842 | |||||||||||||
Commercial Mortgage Pass-Through Certificates (b)(c): | |||||||||||||||
Series 2013-LC13, Class D, 5.22%, 8/10/46 | 3,530 | 3,462,471 | |||||||||||||
Series 2014-KYO, Class F, 3.66%, 6/11/27 | 1,855 | 1,845,078 | |||||||||||||
Commercial Mortgage Trust, Series 2013-LC6: | |||||||||||||||
Class B, 3.74%, 1/10/46 | 1,110 | 1,117,904 | |||||||||||||
Class D, 4.43%, 1/10/46 (b)(c) | 1,330 | 1,254,836 | |||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,850 | 1,989,170 | |||||||||||||
Credit Suisse Mortgage Capital Certificates (b): | |||||||||||||||
Series 2007-C2, Class A2, 5.45%, 1/15/49 | 5 | 4,974 | |||||||||||||
Series 2007-C5, Class AAB, 5.62%, 9/15/40 | 1,160 | 1,229,154 | |||||||||||||
Series 2014-SURF, Class E, 3.26%, 2/15/29 (c) | 1,000 | 1,002,559 | |||||||||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.01%, 7/10/38 (b) | 1,610 | 1,729,322 | |||||||||||||
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c) | 1,995 | 1,995,375 |
Non-Agency Mortgage-Backed Securities | Par (000) | Value | |||||||||||||
Commercial Mortgage-Backed Securities (concluded) | |||||||||||||||
GS Mortgage Securities Trust (b): | |||||||||||||||
Series 2006-GG6, Class AM, 5.62%, 4/10/38 | USD | 3,680 | $ | 3,878,683 | |||||||||||
Series 2014-GSFL, Class D, 4.06%, 7/15/31 (c) | 1,140 | 1,138,873 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.25%, 11/15/45 (b)(c) | 1,400 | 1,390,179 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||||||||||||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 297 | 298,293 | |||||||||||||
Series 2007-CB18, Class A4, 5.44%, 6/12/47 | 2,075 | 2,243,747 | |||||||||||||
Series 2007-CB19, Class A4, 5.89%, 2/12/49 (b) | 2,140 | 2,337,760 | |||||||||||||
Series 2012-LC9, Class XA, 2.08%, 12/15/47 (b) | 14,813 | 1,466,400 | |||||||||||||
LB-UBS Commercial Mortgage Trust (b): | |||||||||||||||
Series 2007-C2, Class AM, 5.49%, 2/15/40 | 2,500 | 2,666,797 | |||||||||||||
Series 2007-C6, Class A4, 5.86%, 7/15/40 | 4,469 | 4,752,872 | |||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.01%, 6/12/50 (b) | 1,501 | 1,613,697 | |||||||||||||
Talisman Finance PLC, Series 6, Class A, 0.38%, 10/22/16 (b) | EUR | 1,619 | 2,064,047 | ||||||||||||
Titan Europe PLC, Series 2007-1X, Class A, 0.81%, 1/20/17 (b) | GBP | 2,548 | 4,018,889 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.14%, 2/15/51 (b) | USD | 2,030 | 2,201,632 | ||||||||||||
WF-RBS Commercial Mortgage Trust: | |||||||||||||||
Series 2012-C8, Class B, 4.31%, 8/15/45 | 1,085 | 1,141,373 | |||||||||||||
Series 2012-C8, Class C, 5.04%, 8/15/45 (b) | 1,395 | 1,494,124 | |||||||||||||
Series 2014-C20, Class XA, 1.41%, 5/15/47 (b) | 14,954 | 1,181,732 | |||||||||||||
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.81%, 4/24/17 (b) | GBP | 46 | 75,828 | ||||||||||||
51,457,611 | |||||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.3% | |||||||||||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.39%, 11/15/45 (b)(c) | USD | 16,543 | 1,943,274 | ||||||||||||
Total Non-Agency Mortgage-Backed Securities — 10.5% | 70,391,162 | ||||||||||||||
U.S. Government Sponsored Agency Securities | |||||||||||||||
Collateralized Mortgage Obligations — 1.0% | |||||||||||||||
Freddie Mac Mortgage-Backed Securities: | |||||||||||||||
Series 3986, Class M, REMIC, 4.50%, 9/15/41 | 2,411 | 2,629,557 | |||||||||||||
Series K032, Class A2, 3.31%, 5/25/23 (b) | 3,500 | 3,655,516 | |||||||||||||
6,285,073 | |||||||||||||||
Interest Only Collateralized Mortgage Obligations — 0.8% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.23%, 12/25/17 (b) | 19,723 | 2,122,936 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, Class X1 (b): | |||||||||||||||
Series K707, 1.69%, 12/25/18 | 42,627 | 2,470,667 | |||||||||||||
Series K710, 1.91%, 5/25/19 | 13,258 | 943,567 | |||||||||||||
5,537,170 | |||||||||||||||
Mortgage-Backed Securities — 3.5% | |||||||||||||||
Fannie Mae Mortgage-Backed Securities (f): | |||||||||||||||
3.50%, 8/01/26 | 7,542 | 7,986,635 | |||||||||||||
5.00%, 7/01/20–8/01/23 | 5,598 | 5,981,355 | |||||||||||||
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 (f) | 8,905 | 9,575,323 | |||||||||||||
23,543,313 | |||||||||||||||
Total U.S. Government Sponsored Agency Securities — 5.3% | 35,365,556 |
ANNUAL REPORT | AUGUST 31, 2014 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Other Interests (k) | Beneficial Interest (000) | Value | |||||||||||||
Auto Components — 0.0% | |||||||||||||||
Lear Corp. Escrow | USD | 1,000 | $ | 8,750 | |||||||||||
Construction Materials — 0.0% | |||||||||||||||
USI Senior Holdings | 6 | — | |||||||||||||
Diversified Financial Services — 0.0% | |||||||||||||||
J.G. Wentworth LLC Preferred Equity Interests (Acquired 11/18/13, cost $969,589) (a)(l)(m) | 14 | 191,652 | |||||||||||||
Total Other Interests — 0.0% | 200,402 | ||||||||||||||
Preferred Securities | |||||||||||||||
Capital Trusts | Par (000 | ) | |||||||||||||
Banks — 0.5% | |||||||||||||||
Wachovia Capital Trust III, 5.57% (b)(f)(n) | 3,365 | 3,297,700 | |||||||||||||
Capital Markets — 0.5% | |||||||||||||||
Credit Suisse Group AG, 6.25% (b)(c)(f)(n) | 1,445 | 1,437,775 | |||||||||||||
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(n) | 1,920 | 1,982,085 | |||||||||||||
3,419,860 | |||||||||||||||
Diversified Financial Services — 4.4% | |||||||||||||||
Bank of America Corp. (b)(f)(n): | |||||||||||||||
Series U, 5.20% | 1,250 | 1,204,688 | |||||||||||||
Series V, 5.13% | 3,470 | 3,434,190 | |||||||||||||
Barclays PLC, 8.00% (b)(n) | 600 | 851,529 | |||||||||||||
Citigroup, Inc. (b)(f)(n): | |||||||||||||||
5.90% | 5,000 | 5,015,650 | |||||||||||||
5.95% | 1,370 | 1,381,987 | |||||||||||||
JPMorgan Chase & Co. (b)(f)(n): | |||||||||||||||
Series U, 6.13% | 6,690 | 6,840,525 | |||||||||||||
Series V, 5.00% | 3,000 | 2,974,968 | |||||||||||||
Macquarie Bank Ltd., 10.25%, 6/20/57 (b) | 1,450 | 1,653,000 | |||||||||||||
Morgan Stanley, Series H, 5.45% (b)(f)(n) | 1,426 | 1,450,955 | |||||||||||||
Societe Generale SA, 6.00% (b)(c)(f)(n) | 4,825 | 4,607,875 | |||||||||||||
29,415,367 | |||||||||||||||
Insurance — 3.5% | |||||||||||||||
The Allstate Corp., 6.13%, 5/15/67 (b)(f) | 3,000 | 3,195,000 | |||||||||||||
AXA SA, 6.46% (b)(c)(f)(n) | 1,625 | 1,724,531 | |||||||||||||
Genworth Holdings, Inc., 6.15%, 11/15/66 (b)(f) | 1,850 | 1,628,000 | |||||||||||||
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f) | 2,500 | 2,943,750 | |||||||||||||
Liberty Mutual Group, Inc. (c)(f): | |||||||||||||||
7.00%, 3/07/67 (b) | 1,575 | 1,673,438 | |||||||||||||
7.80%, 3/07/87 | 1,500 | 1,770,000 | |||||||||||||
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f) | 3,250 | 3,485,625 | |||||||||||||
Swiss Re Capital I LP, 6.85% (b)(c)(f)(n) | 3,000 | 3,157,500 | |||||||||||||
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f) | 3,500 | 3,561,250 | |||||||||||||
23,139,094 | |||||||||||||||
Total Capital Trusts — 8.9% | 59,272,021 |
Preferred Stocks | Shares | Value | |||||||||||||
Capital Markets — 0.8% | |||||||||||||||
The Goldman Sachs Group, Inc., Series J, 5.50% (b) | 202,526 | $ | 4,957,837 | ||||||||||||
SCE Trust III, 5.75% (b) | 21,200 | 563,496 | |||||||||||||
5,521,333 | |||||||||||||||
Consumer Finance — 0.0% | |||||||||||||||
Ally Financial, Inc., Series A, 8.50% (b) | 8,657 | 236,076 | |||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
Morgan Stanley, 6.88% (b) | 120,000 | 3,241,200 | |||||||||||||
Total Preferred Stocks — 1.3% | 8,998,609 | ||||||||||||||
Trust Preferreds — 0.5% | |||||||||||||||
Diversified Financial Services — 0.5% | |||||||||||||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) | 124,413 | 3,332,288 | |||||||||||||
Total Preferred Securities — 10.7% | 71,602,918 | ||||||||||||||
Warrants (o) — 0.0% | |||||||||||||||
Software — 0.0% | |||||||||||||||
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | 3,100 | 14,419 | |||||||||||||
Total Long-Term Investments (Cost — $927,830,032) — 140.5% | 940,722,141 | ||||||||||||||
Short-Term Securities | |||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (p)(q) | 7,390,390 | 7,390,390 | |||||||||||||
Total Short-Term Securities (Cost — $7,390,390) — 1.1% | 7,390,390 | ||||||||||||||
Options Purchased (Cost — $246,671) — 0.0% | 2,762 | ||||||||||||||
Total Investments Before Options Written (Cost — $935,467,093) — 141.6% | 948,115,293 | ||||||||||||||
Options Written (Premiums Received — $187,000) — (0.0)% | (175,052 | ) | |||||||||||||
Total Investments, Net of Options Written — 141.6% | 947,940,241 | ||||||||||||||
Liabilities in Excess of Other Assets — (41.6)% | (278,557,844 | ) | |||||||||||||
Net Assets — 100.0% | $ | 669,382,397 |
Notes to Consolidated Schedule of Investments
(a) | Non-income producing security. | |||
(b) | Variable rate security. Rate shown is as of report date. | |||
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. | |||
(d) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation | ||||||||
Bank of America N.A. | $ | 2,435,250 | — | |||||||
Morgan Stanley & Co. LLC | $ | 2,750,250 | — |
42 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(e) | Convertible security. | |||
(f) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. | |||
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. | |||
(h) | Zero-coupon bond. | |||
(i) | 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. | |||
(j) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. | |||
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. | |||
(l) | Restricted security as to resale. As of report date, the Fund held restricted securities with a current value of $191,652 and an original cost of $969,589 which was less than 0.05% of its net assets. | |||
(m) | Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary. | |||
(n) | Security is perpetual in nature and has no stated maturity date. | |||
(o) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. | |||
(p) | Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2013 | Net Activity | Shares Held at August 31, 2014 | Income | ||||||||||||||
BlackRock Liquidity Funds, TempFund, Institutional Class | 1,184,093 | 6,206,297 | 7,390,390 | $ | 2,538 |
(q) | Represents the current yield as of the report date. | |||
• | Reverse repurchase agreements outstanding as of August 31, 2014 were as follows: |
Counterparty | Interest Rate | Trade Date | Maturity Date1 | Face Value | Face Value Including Accrued Interest | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.40% | 3/07/13 | Open | $ | 1,503,125 | $ | 1,512,177 | |||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 3/22/13 | Open | 1,496,075 | 1,503,755 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 243,800 | 245,021 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 5,701,069 | 5,729,614 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,233,600 | 1,239,777 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 1,277,250 | 1,283,645 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 2,861,250 | 2,875,576 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 3,119,100 | 3,134,717 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 3,213,750 | 3,229,841 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35% | 4/03/13 | Open | 3,695,000 | 3,713,501 | |||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.40% | 5/30/13 | Open | 720,960 | 724,637 | |||||||||||||||||
Barclays Capital, Inc. | 0.44% | 6/21/13 | Open | 1,109,299 | 1,115,223 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 1,731,221 | 1,743,744 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 6/24/13 | Open | 488,876 | 492,412 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.34% | 9/18/13 | Open | 13,065,000 | 13,107,940 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 9/27/13 | Open | 1,189,125 | 1,195,844 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/15/13 | Open | 893,525 | 898,305 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/16/13 | Open | 803,937 | 808,225 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 728,012 | 731,883 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 682,594 | 686,223 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 875,600 | 880,255 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/17/13 | Open | 1,215,287 | 1,221,749 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/21/13 | Open | 676,000 | 679,538 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 845,434 | 849,858 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 1,023,231 | 1,028,586 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 10/22/13 | Open | 788,400 | 792,526 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 2,067,975 | 2,077,970 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 1,356,788 | 1,363,345 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 11/15/13 | Open | 1,283,400 | 1,289,603 | |||||||||||||||||
Barclays Capital, Inc. | 0.55% | 11/18/13 | Open | 1,313,488 | 1,319,247 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 1,227,000 | 1,232,644 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 1,538,000 | 1,545,075 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 2,602,000 | 2,613,969 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 11/27/13 | Open | 834,000 | 837,836 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/12/13 | Open | 723,000 | 726,169 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/12/13 | Open | 564,000 | 566,472 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/12/13 | Open | 549,000 | 551,406 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/12/13 | Open | 727,000 | 730,187 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/12/13 | Open | 1,323,000 | 1,328,799 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 12/16/13 | Open | 412,000 | 413,749 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/18/13 | Open | 996,000 | 1,000,108 |
ANNUAL REPORT | AUGUST 31, 2014 | 43 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (continued): |
Counterparty | Interest Rate | Trade Date | Maturity Date1 | Face Value | Face Value Including Accrued Interest | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/18/13 | Open | $ | 1,030,000 | $ | 1,034,395 | |||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/18/13 | Open | 1,222,000 | 1,227,214 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.50% | 12/27/13 | Open | 1,416,000 | 1,420,818 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 12/27/13 | Open | 973,000 | 976,642 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 12/27/13 | Open | 296,000 | 297,108 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/27/13 | Open | 1,450,000 | 1,455,723 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/27/13 | Open | 593,000 | 595,341 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/27/13 | Open | 945,000 | 948,730 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/27/13 | Open | 357,000 | 358,409 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 12/27/13 | Open | 1,228,000 | 1,232,847 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/27/13 | Open | 1,898,000 | 1,905,750 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 12/27/13 | Open | 820,000 | 823,348 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 2/28/14 | Open | 3,109,000 | 3,114,592 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 2/28/14 | Open | 3,202,000 | 3,207,759 | |||||||||||||||||
Barclays Capital, Inc. | 0.35% | 2/28/14 | Open | 1,929,000 | 1,932,470 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 2/28/14 | Open | 935,000 | 937,883 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/14 | Open | 474,000 | 475,340 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/14 | Open | 2,862,000 | 2,870,089 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 2/28/14 | Open | 1,073,000 | 1,076,033 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 3/10/14 | Open | 349,000 | 349,933 | |||||||||||||||||
HSBC Securities (USA), Inc. | 0.38% | 3/10/14 | Open | 6,339,571 | 6,351,282 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 3/11/14 | Open | 629,879 | 631,706 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 3/20/14 | Open | 686,000 | 687,887 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 500,000 | 501,047 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 1,500,000 | 1,503,140 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 1,000,000 | 1,002,093 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 800,000 | 801,674 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 2,100,000 | 2,104,395 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 500,000 | 501,047 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 500,000 | 501,047 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 1,300,000 | 1,302,721 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 900,000 | 901,884 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 2,000,000 | 2,004,186 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 1,200,000 | 1,202,512 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 500,000 | 501,047 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 600,000 | 601,256 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/16/14 | Open | 100,000 | 100,209 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/16/14 | Open | 500,000 | 501,104 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/16/14 | Open | 1,600,000 | 1,603,532 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/16/14 | Open | 2,400,000 | 2,405,297 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/16/14 | Open | 1,500,000 | 1,503,311 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 4/16/14 | Open | 500,000 | 501,142 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 4/17/14 | Open | 611,000 | 612,354 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 4/17/14 | Open | 1,633,000 | 1,636,620 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 4/17/14 | Open | 278,000 | 278,616 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 4/17/14 | Open | 960,000 | 962,128 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 4/17/14 | Open | 502,000 | 503,113 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 899,000 | 900,817 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 593,000 | 594,199 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 768,000 | 769,553 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 2,075,000 | 2,079,195 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 848,000 | 849,714 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 945,000 | 946,910 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 1,498,000 | 1,501,028 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 1,014,000 | 1,016,050 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 4/21/14 | Open | 1,539,000 | 1,542,111 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 1,244,000 | 1,246,652 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 142,000 | 142,303 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 705,000 | 706,503 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 467,000 | 467,996 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 1,180,000 | 1,182,516 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | 200,000 | 200,426 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 4/21/14 | Open | �� | 3,194,000 | 3,200,809 | ||||||||||||||||
HSBC Securities (USA), Inc. | 0.55% | 5/09/14 | Open | 1,125,643 | 1,127,621 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 5/13/14 | Open | 412,000 | 412,692 |
44 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (continued): |
Counterparty | Interest Rate | Trade Date | Maturity Date1 | Face Value | Face Value Including Accrued Interest | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 5/13/14 | Open | $ | 2,377,000 | $ | 2,380,995 | |||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 580,000 | 581,028 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 2,227,000 | 2,230,947 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 1,460,000 | 1,462,587 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 2,194,000 | 2,197,888 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 1,370,000 | 1,372,428 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 166,000 | 166,294 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 1,573,000 | 1,575,788 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 804,000 | 805,425 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 973,000 | 974,724 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 1,178,000 | 1,180,088 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 5/13/14 | Open | 627,000 | 628,111 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 5/13/14 | Open | 392,000 | 392,707 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 5/13/14 | Open | 810,000 | 811,460 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 5/13/14 | Open | 827,000 | 828,491 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 5/13/14 | Open | 841,000 | 842,516 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 5/13/14 | Open | 933,000 | 934,711 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 5/13/14 | Open | 1,049,000 | 1,050,923 | |||||||||||||||||
UBS Securities LLC | (0.50)% | 5/13/14 | Open | 980,000 | 978,503 | |||||||||||||||||
UBS Securities LLC | 0.34% | 5/13/14 | Open | 3,277,000 | 3,280,404 | |||||||||||||||||
UBS Securities LLC | 0.35% | 5/13/14 | Open | 1,693,000 | 1,694,811 | |||||||||||||||||
UBS Securities LLC | 0.45% | 5/13/14 | Open | 811,000 | 812,115 | |||||||||||||||||
UBS Securities LLC | 0.55% | 5/13/14 | Open | 2,171,000 | 2,174,648 | |||||||||||||||||
UBS Securities LLC | 0.55% | 5/13/14 | Open | 2,326,000 | 2,329,909 | |||||||||||||||||
UBS Securities LLC | 0.55% | 5/13/14 | Open | 371,000 | 371,623 | |||||||||||||||||
UBS Securities LLC | 0.55% | 5/13/14 | Open | 788,000 | 789,324 | |||||||||||||||||
UBS Securities LLC | 0.60% | 5/13/14 | Open | 2,880,000 | 2,885,280 | |||||||||||||||||
Barclays Capital, Inc. | 0.40% | 5/14/14 | Open | 3,311,000 | 3,315,010 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 5/14/14 | Open | 317,000 | 317,326 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.40% | 5/23/14 | Open | 3,352,000 | 3,355,762 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 5/27/14 | Open | 700,000 | 701,132 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 5/28/14 | Open | 2,594,000 | 2,598,150 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 5/28/14 | Open | 1,699,000 | 1,701,718 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 5/28/14 | Open | 1,244,000 | 1,245,990 | |||||||||||||||||
RBC Capital Markets LLC | 0.65% | 5/30/14 | Open | 362,520 | 363,135 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/02/14 | Open | 1,985,000 | 1,987,760 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/05/14 | Open | 553,000 | 553,784 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/05/14 | Open | 659,000 | 659,934 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/05/14 | Open | 748,000 | 749,061 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/05/14 | Open | 1,319,000 | 1,320,870 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/09/14 | Open | 1,643,000 | 1,645,109 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/09/14 | Open | 1,773,000 | 1,775,275 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/09/14 | Open | 487,000 | 487,625 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/09/14 | Open | 1,451,000 | 1,452,862 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/09/14 | Open | 978,000 | 979,255 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 984,000 | 985,300 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,502,000 | 1,503,984 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 985,000 | 986,301 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 3,193,000 | 3,197,218 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,305,000 | 1,306,724 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,341,000 | 1,342,772 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,106,000 | 1,107,461 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,610,000 | 1,612,127 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,033,000 | 1,034,365 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,195,000 | 1,196,579 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,569,000 | 1,571,073 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,017,000 | 1,018,344 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,089,000 | 1,090,439 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,648,000 | 1,650,177 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,146,000 | 1,147,514 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 6/11/14 | Open | 1,561,000 | 1,563,062 | |||||||||||||||||
RBC Capital Markets LLC | 0.65% | 6/11/14 | Open | 644,520 | 645,463 | |||||||||||||||||
Barclays Capital, Inc. | (1.75)% | 6/25/14 | Open | 518,870 | 517,155 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/25/14 | Open | 433,200 | 433,650 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.55% | 6/27/14 | Open | 754,000 | 754,760 |
ANNUAL REPORT | AUGUST 31, 2014 | 45 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded): |
Counterparty | Interest Rate | Trade Date | Maturity Date1 | Face Value | Face Value Including Accrued Interest | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 7/02/14 | Open | $ | 3,045,000 | $ | 3,048,096 | |||||||||||||||
Barclays Capital, Inc. | 0.60% | 7/02/14 | Open | 1,288,000 | 1,289,309 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 7/02/14 | Open | 4,544,000 | 4,548,620 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/07/14 | Open | 776,728 | 777,429 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/09/14 | Open | 2,689,875 | 2,692,215 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/09/14 | Open | 843,000 | 843,733 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/09/14 | Open | 992,307 | 993,170 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/10/14 | Open | 1,292,544 | 1,293,627 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 7/11/14 | Open | 468,000 | 468,399 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 7/11/14 | Open | 892,925 | 893,686 | |||||||||||||||||
UBS Securities LLC | 0.65% | 7/11/14 | Open | 411,750 | 412,114 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 7/15/14 | Open | 1,208,000 | 1,208,966 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/21/14 | Open | 1,129,950 | 1,130,715 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/21/14 | Open | 4,113,313 | 4,116,096 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/21/14 | Open | 1,196,615 | 1,197,425 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/21/14 | Open | 1,561,875 | 1,562,932 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/22/14 | Open | 783,929 | 784,447 | |||||||||||||||||
HSBC Securities (USA), Inc. | 0.55% | 7/23/14 | Open | 2,410,417 | 2,411,890 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 7/28/14 | Open | 2,298,000 | 2,299,341 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.60% | 7/29/14 | Open | 1,106,954 | 1,107,581 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.58% | 7/30/14 | Open | 3,006,000 | 3,007,598 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 7/30/14 | Open | 672,000 | 672,363 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.59% | 8/12/14 | Open | 643,000 | 643,211 | |||||||||||||||||
BNP Paribas Securities Corp. | 0.59% | 8/12/14 | Open | 855,000 | 855,280 | |||||||||||||||||
Citigroup Global Markets, Inc. | 0.16% | 8/18/14 | 9/16/14 | 22,830,000 | 22,831,421 | |||||||||||||||||
Barclays Capital, Inc. | 0.60% | 8/25/14 | Open | 494,000 | 494,033 | |||||||||||||||||
Deutsche Bank Securities, Inc. | 0.59% | 8/28/14 | Open | 843,000 | 843,055 | |||||||||||||||||
Total | $ | 293,230,556 | $ | 293,889,726 |
1 | Certain agreements have no stated maturity and can be terminated by either party at any time. |
• | Financial futures contracts outstanding as of August 31, 2014 were as follows: |
Contracts Sold | Issue | Exchange | Expiration | Notional Value | Unrealized Depreciation | |||||||||||||||||||||
(261) | 5-Year U.S. Treasury Note | Chicago Board of Trade | December 2014 | USD | 31,016,180 | $ | (38,884 | ) | ||||||||||||||||||
(153) | 10-Year U.S. Treasury Note | Chicago Board of Trade | December 2014 | USD | 19,244,531 | (4,922 | ) | |||||||||||||||||||
(94) | Long U.S. Treasury Bond | Chicago Board of Trade | December 2014 | USD | 13,168,813 | (49,756 | ) | |||||||||||||||||||
Total | $ | (93,562 | ) |
• | Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
EUR | 257,000 | USD | 344,120 | State Street Bank and Trust Co. | 10/21/14 | $ | (6,335 | ) | ||||||
GBP | 400,000 | USD | 671,028 | State Street Bank and Trust Co. | 10/21/14 | (7,226 | ) | |||||||
USD | 1,520,636 | CAD | 1,638,000 | UBS AG | 10/21/14 | 15,856 | ||||||||
USD | 266,479 | EUR | 197,000 | Barclays Bank PLC | 10/21/14 | 7,554 | ||||||||
USD | 41,665 | EUR | 31,000 | BNP Paribas S.A. | 10/21/14 | 920 | ||||||||
USD | 6,746 | EUR | 5,000 | Citibank N.A. | 10/21/14 | 174 | ||||||||
USD | 29,438,872 | EUR | 21,762,000 | JPMorgan Chase Bank N.A. | 10/21/14 | 836,242 | ||||||||
USD | 42,197,808 | GBP | 24,696,000 | Bank of America N.A. | 10/21/14 | 1,214,671 | ||||||||
Total | $ | 2,061,856 |
• | OTC options purchased as of August 31, 2014 were as follows: |
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Market Value | |||||||||||||||||||||||||
Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 46 | — |
46 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | OTC interest rate swaptions purchased as of August 31, 2014 were as follows: |
Description | Counterparty | Put/ Call | Exercise Rate | Pay/Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount (000) | Market Value | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | Credit Suisse International | Call | 2.40% | Receive | 3-month LIBOR | 9/02/14 | USD | 18,700 | $ | 2,762 | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap | Credit Suisse International | Put | 3.45% | Pay | 3-month LIBOR | 9/02/14 | USD | 112,200 | — | |||||||||||||||||||||||||||||
Total | $ | 2,762 |
• | OTC interest rate swaptions written as of August 31, 2014 were as follows: |
Description | Counterparty | Put/ Call | Exercise Rate | Pay/Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount (000) | Market Value | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | Credit Suisse International | Call | 2.60% | Pay | 3-month LIBOR | 9/02/14 | USD | 18,700 | $ | (175,052 | ) | |||||||||||||||||||||||||||
10-Year Interest Rate Swap | Credit Suisse International | Put | 3.10% | Receive | 3-month LIBOR | 9/02/14 | USD | 18,700 | — | |||||||||||||||||||||||||||||
Total | $ | (175,052 | ) |
• | OTC credit default swaps — buy protection outstanding as of August 31, 2014 were as follows: |
Issuer | Pay Fixed Rate | Counterparty | Expiration Date | Notional Amount (000) | Market Value | Premiums Paid | Unrealized Depreciation | |||||||||||||
Australia & New Zealand Banking Group Ltd. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | $(12) | $ | 9 | $ | (21 | ) | |||||||||
Westpac Banking Corp. | 1.00% | Deutsche Bank AG | 9/20/17 | USD | 1 | (12) | 10 | (22 | ) | |||||||||||
Total | $(24) | $ | 19 | $ | (43 | ) |
• | OTC interest rate swaps outstanding as of August 31, 2014 were as follows: |
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Market Value | Premiums Received | Unrealized Depreciation | ||||||||||||||
11.15%1 | 1-Day OIS | Deutsche Bank AG | 1/04/16 | BRL | 56,933 | $(22,965) | $ | (872 | ) | $ | (22,093 | ) |
1 | Fund pays the floating rate and receives the fixed 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 rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. | |||
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access | |||
• | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) | |||
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 of the Notes to Financial Statements. |
ANNUAL REPORT | AUGUST 31, 2014 | 47 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2014: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks | $ | 2,551,910 | $ | 1,208,254 | $ | 2,748,166 | $ | 6,508,330 | ||||||||
Asset-Backed Securities | — | 33,022,541 | 14,418,405 | 47,440,946 | ||||||||||||
Corporate Bonds | — | 390,026,239 | 8,907,388 | 398,933,627 | ||||||||||||
Floating Rate Loan Interests | — | 271,706,309 | 33,197,391 | 304,903,700 | ||||||||||||
Foreign Agency Obligations | — | 5,361,081 | — | 5,361,081 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 70,391,162 | — | 70,391,162 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 35,365,556 | — | 35,365,556 | ||||||||||||
Other Interests | 191,652 | — | 8,750 | 200,402 | ||||||||||||
Preferred Securities | 12,330,897 | 59,272,021 | — | 71,602,918 | ||||||||||||
Warrants | — | 14,419 | — | 14,419 | ||||||||||||
Short-Term Securities | 7,390,390 | — | — | 7,390,390 | ||||||||||||
Option Purchased: | ||||||||||||||||
Interest rate contracts | — | 2,762 | — | 2,762 | ||||||||||||
Liabilities: | ||||||||||||||||
Unfunded Floating Rate Loan Interests | — | (2,345 | ) | (175 | ) | (2,520 | ) | |||||||||
Total | $ | 22,464,849 | $ | 866,367,999 | $ | 59,279,925 | $ | 948,112,773 | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency exchange contracts | — | $ | 2,075,417 | — | $ | 2,075,417 | ||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (43 | ) | — | (43 | ) | ||||||||||
Foreign currency exchange contracts | — | (13,561 | ) | — | (13,561 | ) | ||||||||||
Interest rate contracts | $ | (93,562 | ) | (197,145 | ) | (290,707 | ) | |||||||||
Total | $ | (93,562 | ) | $ | 1,864,668 | — | $ | 1,771,106 |
1 | Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Cash | $ | 144,995 | — | — | $ | 144,995 | ||||||||||
Cash pledged as collateral for OTC derivatives | 90,000 | — | — | 90,000 | ||||||||||||
Cash pledged as collateral for reverse repurchase agreements | 8,000 | — | — | 8,000 | ||||||||||||
Cash pledged for financial futures contracts | 655,500 | — | — | 655,500 | ||||||||||||
Foreign currency at value | 1,365,114 | — | — | 1,365,114 | ||||||||||||
Liabilities: | ||||||||||||||||
Cash received for reverse repurchase agreements | — | $ | (502,000 | ) | — | (502,000 | ) | |||||||||
Reverse repurchase agreements | — | (293,889,726 | ) | — | (293,889,726 | ) | ||||||||||
Total | $ | 2,263,609 | $ | (294,391,726 | ) | — | $ | (292,128,117 | ) |
48 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited Duration Income Trust (BLW) |
Common Stocks | Asset-Backed Securities | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests (Liabilities) | Total | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Opening Balance, as of August 31, 2013 | $ | 3,050,139 | $ | 26,050,547 | $ | 7,930,102 | $ | 42,689,763 | $ | 537,766 | — | $ | 80,258,317 | |||||||||||||||||
Transfers into Level 31 | — | — | — | 11,515,493 | — | — | 11,515,493 | |||||||||||||||||||||||
Transfers out of Level 32 | — | (11,045,689 | ) | — | (7,974,147 | ) | — | — | (19,019,836 | ) | ||||||||||||||||||||
Accrued discounts/premiums | — | (1,070,633 | ) | (162 | ) | 125,940 | — | — | (944,855 | ) | ||||||||||||||||||||
Net realized gain | — | 143,052 | 1,798 | 300,100 | — | — | 444,950 | |||||||||||||||||||||||
Net change in unrealized appreciation/depreciation3,4 | (301,973 | ) | 994,556 | 19,523 | (329,985 | ) | 2,508,765 | $ | (175 | ) | 2,890,711 | |||||||||||||||||||
Purchases | — | 12,821,462 | 957,925 | 16,027,358 | — | — | 29,806,745 | |||||||||||||||||||||||
Sales | — | (13,474,890 | ) | (1,798 | ) | (29,157,131 | ) | (3,037,781 | ) | — | (45,671,600 | ) | ||||||||||||||||||
Closing Balance, as of August 31, 2014 | $ | 2,748,166 | $ | 14,418,405 | $ | 8,907,388 | $ | 33,197,391 | $ | 8,750 | $ | (175 | ) | $ | 59,279,925 | |||||||||||||||
Net change in unrealized appreciation/depreciation on investments still held at August 31, 20144 | $ | 800,426 | $ | 1,004,471 | $ | 21,250 | $ | (181,906 | ) | $ | 3,750 | $ | (175 | ) | $ | 1,647,816 |
1 | As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $11,515,493 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 | As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $19,019,836 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statement of Operations. |
4 | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at August 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
ANNUAL REPORT | AUGUST 31, 2014 | 49 |
August 31, 2014 | 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 | $ | 183,818,081 | $ | 813,078,886 | $ | 940,724,903 | |||||||||
Investments at value — affiliated3 | 2,958,501 | 3,456,864 | 7,390,390 | ||||||||||||
Cash | 103,115 | 280,710 | 144,995 | ||||||||||||
Cash pledged as collateral for OTC derivatives | 400,000 | — | 90,000 | ||||||||||||
Cash pledged for financial futures contracts | — | — | 655,500 | ||||||||||||
Cash pledged as collateral for reverse repurchase agreements | — | — | 8,000 | ||||||||||||
Investments sold receivable | 1,253,625 | 3,878,942 | 14,071,086 | ||||||||||||
Interest receivable | 1,024,933 | 4,416,975 | 9,830,889 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 79,213 | 326,539 | 2,075,417 | ||||||||||||
Foreign currency at value4 | 8,309 | 26,789 | 1,365,114 | ||||||||||||
Swaps receivable | — | — | 581,992 | ||||||||||||
Variation margin receivable on financial futures contracts | — | — | 27,271 | ||||||||||||
Dividends receivable | — | — | 1,696 | ||||||||||||
Principal paydowns receivable | — | — | 219 | ||||||||||||
Swap premiums paid | — | — | 19 | ||||||||||||
Deferred offering costs | — | 68,634 | 73,890 | ||||||||||||
Prepaid expenses | 4,123 | 9,383 | 10,970 | ||||||||||||
Other assets | — | 38,072 | 265,932 | ||||||||||||
Total assets | 189,649,900 | 825,581,794 | 977,318,283 | ||||||||||||
Liabilities | |||||||||||||||
Reverse repurchase agreements | — | — | 293,889,726 | ||||||||||||
Bank borrowings payable | 55,000,000 | 235,000,000 | — | ||||||||||||
Investments purchased payable | 3,896,704 | 16,841,567 | 11,530,473 | ||||||||||||
Investment advisory fees payable | 153,128 | 507,130 | 450,114 | ||||||||||||
Income dividends payable | 72,153 | 121,913 | 91,406 | ||||||||||||
Interest expense payable | 39,177 | 175,044 | — | ||||||||||||
Unrealized depreciation on unfunded floating rate loan interests | 6,227 | 27,493 | 2,520 | ||||||||||||
Officer’s and Directors’ fees payable | 2,521 | 11,126 | 335,602 | ||||||||||||
Options written at value5 | — | — | 175,052 | ||||||||||||
Swaps payable | — | — | 563,947 | ||||||||||||
Cash received as collateral for reverse repurchase agreements | — | — | 502,000 | ||||||||||||
Unrealized depreciation on OTC derivatives | — | — | 22,136 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 13,561 | ||||||||||||
Variation margin payable on financial futures contracts | — | — | 8,156 | ||||||||||||
Swap premiums received | — | — | 872 | ||||||||||||
Offering costs payable | — | 85,136 | 87,615 | ||||||||||||
Other accrued expenses payable | 129,179 | 348,964 | 262,706 | ||||||||||||
Total liabilities | 59,299,089 | 253,118,373 | 307,935,886 | ||||||||||||
Net Assets | $ | 130,350,811 | $ | 572,463,421 | $ | 669,382,397 | |||||||||
Net Assets Consist of | |||||||||||||||
Paid-in capital6,7,8 | $ | 128,319,712 | $ | 660,033,945 | $ | 703,327,827 | |||||||||
Undistributed net investment income | 466,939 | (680,740 | ) | 553,777 | |||||||||||
Undistributed net realized gain (accumulated net realized loss) | 1,290,059 | (82,882,076 | ) | (49,298,832 | ) | ||||||||||
Net unrealized appreciation/depreciation | 274,101 | (4,007,708 | ) | 14,799,625 | |||||||||||
Net Assets | $ | 130,350,811 | $ | 572,463,421 | $ | 669,382,397 | |||||||||
Net asset value per share | $ | 14.41 | $ | 15.38 | $ | 18.09 | |||||||||
1 Consolidated Statement of Assets and Liabilities. | |||||||||||||||
2 Investments at cost — unaffiliated | $ | 183,616,880 | $ | 817,264,333 | $ | 928,076,703 | |||||||||
3 Investments at cost — affiliated | $ | 2,958,501 | $ | 3,456,864 | $ | 7,390,390 | |||||||||
4 Foreign currency at cost | $ | 8,395 | $ | 27,113 | $ | 1,381,613 | |||||||||
5 Premiums received | — | — | $ | 187,000 | |||||||||||
6 Par value per share | $ | 0.001 | $ | 0.100 | $ | 0.001 | |||||||||
7 Shares outstanding | 9,044,041 | 37,232,488 | 37,003,854 | ||||||||||||
8 Shares authorized | unlimited | 200 million | unlimited |
50 | ANNUAL REPORT | AUGUST 31, 2014 |
Year Ended August 31, 2014 | 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 | $ | 9,365,568 | $ | 40,992,000 | $ | 53,823,335 | |||||||||
Dividends — unaffiliated | 104,306 | 16,174 | 422,173 | ||||||||||||
Dividends — affiliated | 199 | 677 | 2,538 | ||||||||||||
Foreign taxes withheld | — | (1,570 | ) | — | |||||||||||
Total income | 9,470,073 | 41,007,281 | 54,248,046 | ||||||||||||
Expenses | |||||||||||||||
Investment advisory | 1,778,964 | 5,893,034 | 5,269,157 | ||||||||||||
Professional | 105,408 | 105,897 | 225,378 | ||||||||||||
Custodian | 83,766 | 243,446 | 202,146 | ||||||||||||
Accounting services | 32,487 | 105,222 | 91,744 | ||||||||||||
Transfer agent | 22,705 | 64,012 | 80,545 | ||||||||||||
Printing | 15,247 | 27,052 | 24,520 | ||||||||||||
Officer and Directors | 12,657 | 55,853 | 106,213 | ||||||||||||
Registration | 8,936 | 5,972 | 12,378 | ||||||||||||
Offering | — | 35,746 | 38,485 | ||||||||||||
Miscellaneous | 27,852 | 58,139 | 115,534 | ||||||||||||
Total expenses excluding interest expense and income tax | 2,088,022 | 6,594,373 | 6,166,100 | ||||||||||||
Interest expense | 428,915 | 1,916,702 | 1,419,902 | ||||||||||||
Income tax | — | 10,078 | — | ||||||||||||
Total expenses | 2,516,937 | 8,521,153 | 7,586,002 | ||||||||||||
Less fees waived by Manager | (386 | ) | (1,253 | ) | (5,339 | ) | |||||||||
Less fees paid indirectly | (36 | ) | (317 | ) | (60 | ) | |||||||||
Total expenses after fees waived and paid indirectly | 2,516,515 | 8,519,583 | 7,580,603 | ||||||||||||
Net investment income | 6,953,558 | 32,487,698 | 46,667,443 | ||||||||||||
Realized and Unrealized Gain (Loss) | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investments | 2,102,360 | 3,543,152 | 15,733,912 | ||||||||||||
Financial futures contracts | — | — | (2,449,414 | ) | |||||||||||
Foreign currency transactions | (311,361 | ) | (1,101,777 | ) | (6,067,164 | ) | |||||||||
Swaps | (235,758 | ) | (1,835,061 | ) | (2,923,102 | ) | |||||||||
1,555,241 | 606,314 | 4,294,232 | |||||||||||||
Net change in unrealized appreciation/depreciation on: | |||||||||||||||
Investments | (1,265,286 | ) | 522,652 | 12,152,705 | |||||||||||
Financial futures contracts | — | — | (213,832 | ) | |||||||||||
Foreign currency translations | 67,453 | 374,645 | 2,661,973 | ||||||||||||
Options written | — | — | 11,948 | ||||||||||||
Swaps | (5,672 | ) | (77,863 | ) | (8,034 | ) | |||||||||
Unfunded floating rate loan interests | (10,929 | ) | (48,169 | ) | (10,908 | ) | |||||||||
(1,214,434 | ) | 771,265 | 14,593,852 | ||||||||||||
Net realized and unrealized gain | 340,807 | 1,377,579 | 18,888,084 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 7,294,365 | $ | 33,865,277 | $ | 65,555,527 |
1 | Consolidated Statement of Operations. |
ANNUAL REPORT | AUGUST 31, 2014 | 51 |
Year Ended August 31, | | ||||||||||
Increase (Decrease) in Net Assets: | 2014 | 2013 | |||||||||
Operations | |||||||||||
Net investment income | $ | 6,953,558 | $ | 7,859,267 | |||||||
Net realized gain | 1,555,241 | 3,251,344 | |||||||||
Net change in unrealized appreciation/depreciation | (1,214,434 | ) | (578,700 | ) | |||||||
Net increase in net assets resulting from operations | 7,294,365 | 10,531,911 | |||||||||
Dividends to Shareholders From1 | |||||||||||
Net investment income | (7,542,730 | ) | (7,633,968 | ) | |||||||
Capital Share Transactions | |||||||||||
Reinvestment of dividends | — | 246,640 | |||||||||
Net Assets | |||||||||||
Total increase (decrease) in net assets | (248,365 | ) | 3,144,583 | ||||||||
Beginning of year | 130,599,176 | 127,454,593 | |||||||||
End of year | $ | 130,350,811 | $ | 130,599,176 | |||||||
Undistributed net investment income, end of year | $ | 466,939 | $ | 1,357,213 |
1 | Dividends for annual periods determined in accordance with federal income tax regulations. |
52 | ANNUAL REPORT | AUGUST 31, 2014 |
Consolidated Statements of Changes in Net Assets | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Year Ended August 31, | | ||||||||||
Increase (Decrease) in Net Assets: | 2014 | 2013 | |||||||||
Operations | |||||||||||
Net investment income | $ | 32,487,698 | $ | 35,052,895 | |||||||
Net realized gain | 606,314 | 14,417,374 | |||||||||
Net change in unrealized appreciation/depreciation | 771,265 | (1,626,772 | ) | ||||||||
Net increase in net assets resulting from operations | 33,865,277 | 47,843,497 | |||||||||
Dividends to Shareholders From1 | |||||||||||
Net investment income | (33,203,943 | ) | (34,814,179 | ) | |||||||
Capital Share Transactions | |||||||||||
Proceeds issued resulting from reorganization | — | 280,530,144 | |||||||||
Reinvestment of dividends | — | 1,252,625 | |||||||||
Net increase in net assets derived from capital share transactions | — | 281,782,769 | |||||||||
Net Assets | |||||||||||
Total increase in net assets | 661,334 | 294,812,087 | |||||||||
Beginning of year | 571,802,087 | 276,990,000 | |||||||||
End of year | $ | 572,463,421 | $ | 571,802,087 | |||||||
Undistributed net investment income (loss), end of year | $ | (680,740 | ) | $ | 1,191,768 |
1 | Dividends for annual periods determined in accordance with federal income tax regulations. |
ANNUAL REPORT | AUGUST 31, 2014 | 53 |
Consolidated Statements of Changes in Net Assets | BlackRock Limited Duration Income Trust (BLW) |
Year Ended August 31, | | ||||||||||
Increase (Decrease) in Net Assets: | 2014 | 2013 | |||||||||
Operations | |||||||||||
Net investment income | $ | 46,667,443 | $ | 48,146,073 | |||||||
Net realized gain | 4,294,232 | 15,966,288 | |||||||||
Net change in unrealized appreciation/depreciation | 14,593,852 | (7,037,223 | ) | ||||||||
Net increase in net assets resulting from operations | 65,555,527 | 57,075,138 | |||||||||
Dividends to Shareholders From1 | |||||||||||
Net investment income | (45,292,717 | ) | (51,220,576 | ) | |||||||
Capital Share Transactions | |||||||||||
Reinvestment of dividends | — | 873,743 | |||||||||
Net Assets | |||||||||||
Total increase in net assets | 20,262,810 | 6,728,305 | |||||||||
Beginning of year | 649,119,587 | 642,391,282 | |||||||||
End of year | $ | 669,382,397 | $ | 649,119,587 | |||||||
Undistributed net investment income, end of year | $ | 553,777 | $ | 3,778,403 |
1 | Dividends for annual periods determined in accordance with federal income tax regulations. |
54 | ANNUAL REPORT | AUGUST 31, 2014 |
Year Ended August 31, 2014 | 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 | $ | 7,294,365 | $ | 33,865,277 | $ | 65,555,527 | |||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | |||||||||||||||
(Increase) decrease in interest receivable | 26,236 | 239,244 | (260,667 | ) | |||||||||||
(Increase) decrease in swaps receivable | 8,407 | 54,103 | (493,493 | ) | |||||||||||
Decrease in cash pledged for centrally cleared swaps | 60,000 | 260,000 | — | ||||||||||||
Increase in cash pledged for financial futures contracts | — | — | (489,000 | ) | |||||||||||
Decrease in cash pledged as collateral for reverse repurchase agreements | — | — | 1,042,000 | ||||||||||||
(Increase) decrease in cash pledged as collateral for OTC derivatives | (400,000 | ) | 960,000 | 600,000 | |||||||||||
Increase in other assets | — | (38,072 | ) | (47,965 | ) | ||||||||||
(Increase) decrease in prepaid expenses | (775 | ) | (6,528 | ) | 7,446 | ||||||||||
Increase in variation margin receivable on financial futures contracts | — | — | (23,132 | ) | |||||||||||
Increase in dividends receivable | — | — | (26 | ) | |||||||||||
Decrease in swap premiums paid | — | — | 7 | ||||||||||||
Increase in investment advisory fees payable | 3,352 | 12,038 | 17,151 | ||||||||||||
Increase in interest expense payable | 3,080 | 13,039 | 206,329 | ||||||||||||
Increase (decrease) in other accrued expenses payable | (7,158 | ) | (107,376 | ) | 49,062 | ||||||||||
Increase in swaps payable | — | — | 563,945 | ||||||||||||
Increase in variation margin payable on financial futures contracts | — | — | 8,156 | ||||||||||||
Increase in Officer’s and Directors’ fees payable | 278 | 1,432 | 71,156 | ||||||||||||
Decrease in swap premiums received | (208,963 | ) | (1,249,424 | ) | (2,070,003 | ) | |||||||||
Decrease in variation margin payable on centrally cleared swaps | (2 | ) | (7 | ) | — | ||||||||||
Increase in cash received as collateral for reverse repurchase agreements | — | — | 502,000 | ||||||||||||
Net realized gain on investments | (1,934,632 | ) | (2,621,021 | ) | (11,832,955 | ) | |||||||||
Net unrealized (gain) loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | 1,214,434 | (822,545 | ) | (14,759,719 | ) | ||||||||||
Amortization of premium and accretion of discount on investments | (402,368 | ) | (2,029,741 | ) | 1,207,053 | ||||||||||
Premiums received from options written | — | — | 187,000 | ||||||||||||
Proceeds from sales of long-term investments | 109,567,484 | 473,101,887 | 548,002,956 | ||||||||||||
Purchases of long-term investments | (112,922,468 | ) | (489,616,854 | ) | (555,483,260 | ) | |||||||||
Net proceeds from purchases of short-term securities | (1,660,232 | ) | (2,549,221 | ) | (6,206,297 | ) | |||||||||
Net cash provided by operating activities | 641,038 | 9,466,231 | 26,353,271 | ||||||||||||
Cash Used for Financing Activities | |||||||||||||||
Proceeds from bank borrowings | 79,000,000 | 328,000,000 | — | ||||||||||||
Payments on bank borrowings | (73,000,000 | ) | (307,000,000 | ) | — | ||||||||||
Net borrowing of reverse repurchase agreements | — | — | 20,336,197 | ||||||||||||
Payments for offering costs | — | (19,244 | ) | (24,760 | ) | ||||||||||
Amortization of deferred offering costs | — | 35,746 | 38,485 | ||||||||||||
Cash dividends paid to shareholders | (7,535,457 | ) | (33,189,137 | ) | (45,283,581 | ) | |||||||||
Decrease in bank overdraft | — | — | (444,474 | ) | |||||||||||
Net cash used for financing activities | (1,535,457 | ) | (12,172,635 | ) | (25,378,133 | ) | |||||||||
Cash Impact from Foreign Exchange Fluctuations | |||||||||||||||
Cash impact from foreign exchange fluctuations | $ | 318 | $ | (304 | ) | $ | (12,615 | ) | |||||||
Cash and Foreign Currency | |||||||||||||||
Net increase in cash and foreign currency | (894,101 | ) | (2,706,708 | ) | 962,523 | ||||||||||
Cash and foreign currency at beginning of period | 1,005,525 | 3,014,207 | 547,586 | ||||||||||||
Cash and foreign currency at end of period | $ | 111,424 | $ | 307,499 | $ | 1,510,109 | |||||||||
Supplemental Disclosure of Cash Flow Information | |||||||||||||||
Cash paid during the period for interest | $ | 425,835 | $ | 1,903,663 | $ | 1,213,573 |
1 | Consolidated Statement of Cash Flows. |
ANNUAL REPORT | AUGUST 31, 2014 | 55 |
Year Ended August 31, | | ||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | $ | 12.53 | |||||||||||||
Net investment income1 | 0.77 | 0.87 | 0.85 | 0.86 | 0.85 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.30 | 0.90 | (0.45 | ) | 0.87 | |||||||||||||||||
Net increase from investment operations | 0.80 | 1.17 | 1.75 | 0.41 | �� | 1.72 | |||||||||||||||||
Dividends from net investment income2 | (0.83 | ) | (0.85 | ) | (0.80 | ) | (0.79 | ) | (0.70 | ) | |||||||||||||
Net asset value, end of year | $ | 14.41 | $ | 14.44 | $ | 14.12 | $ | 13.17 | $ | 13.55 | |||||||||||||
Market price, end of year | $ | 13.84 | $ | 13.77 | $ | 13.94 | $ | 12.65 | $ | 12.86 | |||||||||||||
Total Return3 | |||||||||||||||||||||||
Based on net asset value | 5.98% | 8.52% | 13.94% | 2.93% | 14.39% | ||||||||||||||||||
Based on market price | 6.75% | 4.82% | 17.12% | 4.17% | 23.33% | ||||||||||||||||||
Ratio to Average Net Assets | |||||||||||||||||||||||
Total expenses | 1.92% | 1.92% | 1.91% | 2.02% | 1.91% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.92% | 1.92% | 1.91% | 2.02% | 1.90% | ||||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.60% | 1.58% | 4 | 1.61% | 4 | 1.71% | 1.65% | ||||||||||||||||
Net investment income | 5.31% | 6.04% | 6.24% | 6.10% | 6.40% | ||||||||||||||||||
Supplemental Data | |||||||||||||||||||||||
Net assets, end of year (000) | $ | 130,351 | $ | 130,599 | $ | 127,455 | $ | 118,897 | $ | 122,062 | |||||||||||||
Borrowings outstanding, end of year (000) | $ | 55,000 | $ | 49,000 | $ | 55,000 | $ | 43,000 | $ | 24,000 | |||||||||||||
Average borrowings outstanding, during the year (000) | $ | 47,110 | $ | 47,384 | $ | 39,007 | $ | 36,369 | $ | 24,633 | |||||||||||||
Portfolio turnover rate | 59% | 85% | 53% | 91% | 102% | ||||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,370 | $ | 3,665 | $ | 3,317 | $ | 3,765 | $ | 6,086 |
1 | Based on average shares outstanding. |
2 | Dividends for annual periods determined in accordance with federal income tax regulations. |
3 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions. |
4 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively. |
56 | ANNUAL REPORT | AUGUST 31, 2014 |
Financial Highlights | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Year Ended August 31, | | |||||||||||||||||||||
20141 | 20131 | 20121 | 2011 | 2010 | ||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | $ | 12.93 | ||||||||||||
Net investment income2 | 0.87 | 0.99 | 0.97 | 0.96 | 0.91 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | 0.42 | 0.90 | (0.36 | ) | 1.48 | ||||||||||||||||
Net increase from investment operations | 0.91 | 1.41 | 1.87 | 0.60 | 2.39 | |||||||||||||||||
Dividends and distributions from:3 | ||||||||||||||||||||||
Net investment income | (0.89 | ) | (1.03 | ) | (0.93 | ) | (0.86 | ) | (0.94 | ) | ||||||||||||
Net realized gain | — | — | — | (0.06 | ) | (0.02 | ) | |||||||||||||||
Total dividends and distributions | (0.89 | ) | (1.03 | ) | (0.93 | ) | (0.92 | ) | (0.96 | ) | ||||||||||||
Net asset value, end of year | $ | 15.38 | $ | 15.36 | $ | 14.98 | $ | 14.04 | $ | 14.36 | ||||||||||||
Market price, end of year | $ | 14.26 | $ | 14.96 | $ | 15.20 | $ | 13.33 | $ | 14.61 | ||||||||||||
Total Return4 | ||||||||||||||||||||||
Based on net asset value | 6.45% | 9.68% | 13.91% | 4.04% | 18.91% | |||||||||||||||||
Based on market price | 1.33% | 5.28% | 21.74% | (2.91)% | 27.59% | |||||||||||||||||
Ratio to Average Net Assets | ||||||||||||||||||||||
Total expenses | 1.48% | 1.54% | 5 | 1.67% | 6 | 1.60% | 1.45% | |||||||||||||||
Total expenses after fees waived and paid indirectly | 1.48% | 1.52% | 5 | 1.67% | 6 | 1.60% | 1.45% | |||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax | 1.15% | 1.15% | 5,7 | 1.35% | 6,7 | 1.30% | 1.22% | |||||||||||||||
Net investment income | 5.65% | 6.49% | 6.67% | 6.44% | 6.43% | |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||
Net assets, end of year (000) | $ | 572,463 | $ | 571,802 | $ | 276,990 | $ | 259,205 | $ | 264,379 | ||||||||||||
Borrowings outstanding, end of year (000) | $ | 235,000 | $ | 214,000 | $ | 117,000 | $ | 93,000 | $ | 53,000 | ||||||||||||
Average borrowings outstanding, during the year (000) | $ | 210,521 | $ | 201,830 | $ | 88,197 | $ | 79,195 | $ | 48,258 | ||||||||||||
Portfolio turnover rate | 58% | 88% | 53% | 91% | 96% | |||||||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,436 | $ | 3,672 | $ | 3,367 | $ | 3,787 | $ | 5,988 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends and distributions for annual periods determined in accordance with federal income tax regulations. |
4 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions. |
5 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively. |
6 | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively. |
7 | For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly, excluding interest expense and borrowing costs, was 1.14% and 1.26%, respectively. |
ANNUAL REPORT | AUGUST 31, 2014 | 57 |
Financial Highlights | BlackRock Limited Duration Income Trust (BLW) |
Year Ended August 31, | | |||||||||||||||||||||
20141 | 20131 | 20121 | 2011 | 2010 | ||||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | $ | 14.95 | ||||||||||||
Net investment income2 | 1.26 | 1.30 | 1.31 | 1.34 | 1.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.51 | 0.25 | 0.88 | (0.37 | ) | 1.62 | ||||||||||||||||
Net increase from investment operations | 1.77 | 1.55 | 2.19 | 0.97 | 2.74 | |||||||||||||||||
Dividends from net investment income3 | (1.22 | ) | (1.39 | ) | (1.33 | ) | (1.24 | ) | (0.90 | ) | ||||||||||||
Net asset value, end of year | $ | 18.09 | $ | 17.54 | $ | 17.38 | $ | 16.52 | $ | 16.79 | ||||||||||||
Market price, end of year | $ | 16.81 | $ | 16.89 | $ | 18.00 | $ | 16.01 | $ | 16.76 | ||||||||||||
Total Return4 | ||||||||||||||||||||||
Based on net asset value | 10.77% | 9.13% | 13.86% | 5.85% | 19.00% | |||||||||||||||||
Based on market price | 6.89% | 1.47% | 21.68% | 2.77% | 26.04% | |||||||||||||||||
Ratio to Average Net Assets | ||||||||||||||||||||||
Total expenses | 1.14% | 1.12% | 1.05% | 1.01% | 0.82% | |||||||||||||||||
Total expenses after fees waived and paid indirectly | 1.14% | 1.12% | 1.05% | 1.00% | 0.81% | |||||||||||||||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 0.92% | 0.90% | 0.89% | 0.87% | 0.73% | |||||||||||||||||
Net investment income | 7.00% | 7.34% | 7.82% | 7.75% | 6.90% | |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||
Net assets, end of year (000) | $ | 669,382 | $ | 649,120 | $ | 642,391 | $ | 609,818 | $ | 619,381 | ||||||||||||
Borrowings outstanding, end of year (000) | $ | 293,890 | $ | 273,347 | $ | 296,476 | $ | 244,120 | $ | 123,233 | ||||||||||||
Average borrowings outstanding, during the year (000) | $ | 291,249 | $ | 301,214 | $ | 242,396 | $ | 191,303 | $ | 44,160 | ||||||||||||
Portfolio turnover rate | 57% | 71% | 54% | 106% | 5 | 248% | 6 | |||||||||||||||
Asset coverage, end of year per $1,000 | $ | 3,278 | $ | 3,375 | $ | 3,167 | $ | 3,498 | $ | 6,026 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Dividends for annual periods determined in accordance with federal income tax regulations. |
4 | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions. |
5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 87%. |
6 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 113%. |
58 | ANNUAL REPORT | AUGUST 31, 2014 |
Target Fund | | Shares Prior to Reorganization | | Conversion Ratio | | Shares of FRA | ||||||||
FRB | 10,585,281 | 0.91462449 | 9,681,549 | |||||||||||
DVF | 12,405,453 | 0.72423797 | 8,984,499 |
Target Funds | ||||||||||
| FRB | | DVF | |||||||
Net assets | $ | 145,503,247 | $ | 135,026,897 | ||||||
Paid-in capital | $ | 199,203,523 | $ | 228,382,425 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (164,508 | ) | $ | (88,960 | ) | ||||
Accumulated net realized loss | $ | (54,909,880 | ) | $ | (89,378,206 | ) | ||||
Net unrealized appreciation (depreciation) | $ | 1,374,112 | $ | (3,888,362 | ) |
Target Fund | | Fair Value of Investments | | Cost of Investments | ||||||
FRB | $ | 220,588,307 | $ | 219,010,017 | ||||||
DVF | $ | 206,051,284 | $ | 209,710,937 |
• | Net investment income: $36,549,895 |
• | Net realized and change in unrealized gain/loss on investments: $15,835,377 |
• | Net increase/decrease in net assets resulting from operations: $52,385,271 |
ANNUAL REPORT | AUGUST 31, 2014 | 59 |
Notes to Financial Statements (continued) |
60 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
ANNUAL REPORT | AUGUST 31, 2014 | 61 |
Notes to Financial Statements (continued) |
62 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
ANNUAL REPORT | AUGUST 31, 2014 | 63 |
Notes to Financial Statements (continued) |
| Borrower | | Unfunded Floating Rate Loan Interest | | Value of Underlying Floating Rate Loan Interest | | Unrealized Depreciation | |||||||||||
BHL | Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan | $ | 233,913 | $ | 232,014 | $ | (2,298 | ) | ||||||||||
Allied Security Holdings LLC, 2nd Lien Delayed Draw Term Loan | $ | 34,243 | $ | 33,943 | $ | (362 | ) | |||||||||||
Polymer Group, Inc., Delayed Draw Term Loan | $ | 33,987 | $ | 33,902 | $ | (85 | ) | |||||||||||
Ziggo BV, Term Loan B2A | $ | 12,047 | $ | 11,810 | $ | (163 | ) | |||||||||||
Ziggo BV, Term Loan B3 | $ | 246,556 | $ | 241,709 | $ | (3,319 | ) | |||||||||||
FRA | Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan | $ | 1,030,266 | $ | 1,021,900 | $ | (10,128 | ) | ||||||||||
Allied Security Holdings LLC, 2nd Lien Delayed Draw Term Loan | $ | 157,518 | $ | 156,140 | $ | (1,666 | ) | |||||||||||
Polymer Group, Inc., Delayed Draw Term Loan | $ | 149,697 | $ | 149,323 | $ | (374 | ) | |||||||||||
Ziggo BV, Term Loan B2A | $ | 53,089 | $ | 52,045 | $ | (716 | ) | |||||||||||
Ziggo BV, Term Loan B3 | $ | 1,086,547 | $ | 1,065,186 | $ | (14,609 | ) | |||||||||||
BLW | Allied Security Holdings LLC, 1st Lien Delayed Draw Term Loan | $ | 183,551 | $ | 182,060 | $ | (2,345 | ) | ||||||||||
Polymer Group, Inc., Delayed Draw Term Loan | $ | 70,049 | $ | 69,874 | $ | (175 | ) |
64 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
Counterparty | | Reverse Repurchase Agreements | | Fair Value of Non-cash Collateral Pledged Including Accrued Interest1 | | Cash Collateral Pledged/Received1 | | Net Amount | ||||||||||
Barclays Capital, Inc. | $ | 53,276,150 | $ | (53,276,150 | ) | — | — | |||||||||||
BNP Paribas Securities Corp. | 14,606,431 | (14,606,431 | ) | — | — | |||||||||||||
Citigroup Global Markets, Inc. | 22,831,421 | (22,831,421 | ) | — | — | |||||||||||||
Credit Suisse Securities (USA) LLC | 25,192,261 | (25,192,261 | ) | — | — | |||||||||||||
Deutsche Bank Securities, Inc. | 151,355,341 | (151,355,341 | ) | — | — | |||||||||||||
HSBC Securities (USA), Inc. | 9,890,793 | (9,890,793 | ) | — | — | |||||||||||||
RBC Capital Markets LLC | 1,008,598 | (1,008,598 | ) | — | — | |||||||||||||
UBS Securities LLC | 15,728,731 | (15,728,731 | ) | — | — | |||||||||||||
Total | $ | 293,889,726 | $ | (293,889,726 | ) | — | — |
1 | Net collateral with a value of $325,193,863 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
ANNUAL REPORT | AUGUST 31, 2014 | 65 |
Notes to Financial Statements (continued) |
Forward foreign currency exchange contracts, when used by the Funds, help to manage the overall 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 forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.
BLW | ||||||||||||||||||||||||||||||||
Calls | | | Puts | |||||||||||||||||||||||||||||
| Contracts | | Notional (000)1 | | Premium Received | Contracts | | Notional (000)1 | | Premium Received | ||||||||||||||||||||||
Outstanding options, beginning of year | — | — | — | — | — | — | ||||||||||||||||||||||||||
Options written | — | $ | 18,700 | $ | 93,500 | — | $ | 18,700 | $ | 93,500 | ||||||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||||||||||
Options expired | — | — | — | — | — | — | ||||||||||||||||||||||||||
Options closed | — | — | — | — | — | — | ||||||||||||||||||||||||||
Outstanding options, end of year | — | $ | 18,700 | $ | 93,500 | — | $ | 18,700 | $ | 93,500 |
1 | Amount shown is in the currency in which the transaction was denominated. |
66 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
• | 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 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 protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation 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 occur. As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. |
• | Interest rate swaps — The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. |
Fair Values of Derivative Financial Instruments as of August 31, 2014 | ||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||
BHL | FRA | BLW | ||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||
Interest rate contracts | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC swaps; Swap premiums received; Investments at value — unaffiliated2; Options written at value | — | — | — | — | $ | 2,762 | $ | 291,579 | |||||||||||||||||
Foreign currency exchange contracts | Unrealized appreciation/depreciation on forward foreign currency exchange contracts | $ | 79,213 | — | $ | 326,539 | — | 2,075,417 | 13,561 | |||||||||||||||||
Credit contracts | Unrealized appreciation on OTC swaps; Swap premiums paid | — | — | — | — | 19 | 43 | |||||||||||||||||||
Total | $ | 79,213 | — | $ | 326,539 | $ | 2,078,198 | $ | 305,183 |
1 | Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
2 | Includes options purchased at value as reported in the schedules of Investments. |
ANNUAL REPORT | AUGUST 31, 2014 | 67 |
Notes to Financial Statements (continued) |
The Effect of Derivative Financial Instruments in the Statements of Operations Year Ended August 31, 2014 | |||||||||||||||||||||||||||
Net Realized Gain (Loss) From | Net Change in Unrealized Appreciation/ Depreciation on | ||||||||||||||||||||||||||
| BHL | | FRA | | BLW | | BHL | | FRA | | BLW | ||||||||||||||||
Interest rate contracts: | |||||||||||||||||||||||||||
Financial futures contracts | — | — | $ | (2,449,414 | ) | — | — | $ | (213,832 | ) | |||||||||||||||||
Swaps | — | — | 226,821 | — | — | (22,093 | ) | ||||||||||||||||||||
Options1 | — | — | — | — | — | (186,984 | ) | ||||||||||||||||||||
Foreign currency exchange contracts: | |||||||||||||||||||||||||||
Foreign currency transactions/translations | $ | (359,592 | ) | $ | (1,197,962 | ) | (6,154,412 | ) | $ | 65,895 | $ | 369,481 | 2,730,982 | ||||||||||||||
Credit contracts: | |||||||||||||||||||||||||||
Swaps | (235,758 | ) | (1,835,061 | ) | (3,149,923 | ) | (5,672 | ) | (77,863 | ) | 14,059 | ||||||||||||||||
Total | $ | (595,350 | ) | $ | (3,033,023 | ) | $ | (11,526,928 | ) | $ | 60,223 | $ | 291,618 | $ | 2,322,132 |
1 | 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 | — | — | 60 | |||||||||||
Average number of contracts sold | — | — | 326 | |||||||||||
Average notional value of contracts purchased | — | — | $ | 13,209,381 | ||||||||||
Average notional value of contracts sold | — | — | $ | 40,255,529 | ||||||||||
Forward foreign currency exchange contracts: | ||||||||||||||
Average number of contracts-USD purchased | 3 | 4 | 8 | |||||||||||
Average number of contracts-USD sold | 1 | 1 | 2 | |||||||||||
Average U.S. dollar amounts purchased | $ | 4,671,630 | $ | 17,112,925 | $ | 83,495,526 | ||||||||
Average U.S. dollar amounts sold | $ | 107,641 | $ | 414,983 | $ | 5,084,047 | ||||||||
Options: | ||||||||||||||
Average number of option contracts purchased | — | 44 | 46 | |||||||||||
Average notional amount of option contracts purchased | — | $ | 41,486 | $ | 43,372 | |||||||||
Average number of swaption contracts purchased | — | — | 1 | |||||||||||
Average number of swaption contracts written | — | — | 1 | |||||||||||
Average notional amount of swaption contracts purchased | — | — | $ | 65,450,000 | ||||||||||
Average notional amount of swaption contracts written | — | — | $ | 18,700,000 | ||||||||||
Credit default swaps: | ||||||||||||||
Average number of contracts-buy protection | — | — | 2 | |||||||||||
Average number of contracts-sell protection | 6 | 9 | 21 | |||||||||||
Average notional amount-buy protection | — | — | $ | 1,000 | ||||||||||
Average notional amount-sell protection | $ | 1,333,588 | $ | 6,816,927 | $ | 9,163,190 | ||||||||
Interest rate swaps: | ||||||||||||||
Average number of contracts-receives fixed rate | — | — | 1 | |||||||||||
Average notional amount-receives fixed rate | — | — | $ | 6,358,441 |
68 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
BHL | | Assets | | Liabilities | ||||||
Derivative Financial Instruments: | ||||||||||
Forward foreign currency exchange contracts | $ | 79,213 | — | |||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | — | ||||||||
Total derivative assets and liabilities subject to an MNA | $ | 79,213 | — |
FRA | | Assets | | Liabilities | ||||||
Derivative Financial Instruments: | ||||||||||
Forward foreign currency exchange contracts | $ | 326,539 | — | |||||||
Derivatives not subject to an MNA or similar agreement | — | — | ||||||||
Total derivative assets and liabilities subject to an MNA | $ | 326,539 | — |
BLW | | Assets | | Liabilities | ||||||
Derivative Financial Instruments: | ||||||||||
Financial futures contracts | $ | 27,271 | $ | 8,156 | ||||||
Forward foreign currency exchange contracts | 2,075,417 | 13,561 | ||||||||
Options1 | 2,762 | 175,052 | ||||||||
Swaps—OTC2 | 19 | 23,008 | ||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 2,105,469 | 219,777 | |||||||
Derivatives not subject to an MNA or similar agreement | (27,271 | ) | (8,156 | ) | ||||||
Total derivative assets and liabilities subject to an MNA | $ | 2,078,198 | $ | 211,621 |
1 | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedules of Investments. |
2 | Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
ANNUAL REPORT | AUGUST 31, 2014 | 69 |
Notes to Financial Statements (continued) |
BHL | | | | | | |||||||||||||||||
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | Derivatives Available for Offset | | Non-cash Collateral Received | | Cash Collateral Received | | Net Amount of Derivative Assets1 | ||||||||||||
Bank of America N.A. | $ | 60,399 | — | — | — | $ | 60,399 | |||||||||||||||
Citibank N.A. | 18,814 | — | — | — | 18,814 | |||||||||||||||||
Total | $ | 79,213 | — | — | — | $ | 79,213 |
FRA | | | | | | |||||||||||||||||
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | Derivatives Available for Offset | | Non-cash Collateral Received | | Cash Collateral Received | | Net Amount of Derivative Assets1 | ||||||||||||
Bank of America N.A. | $ | 225,759 | — | — | — | $ | 225,759 | |||||||||||||||
Citibank N.A. | 71,044 | — | — | — | 71,044 | |||||||||||||||||
UBS AG | 29,736 | — | — | — | 29,736 | |||||||||||||||||
Total | $ | 326,539 | �� | — | — | — | $ | 326,539 |
BLW | | | | | | |||||||||||||||||
Counterparty | | Derivative Assets Subject to an MNA by Counterparty | | Derivatives Available for Offset2 | | Non-cash Collateral Received | | Cash Collateral Received | | Net Amount of Derivative Assets1 | ||||||||||||
Bank of America N.A. | $ | 1,214,671 | — | — | — | $ | 1,214,671 | |||||||||||||||
Barclays Bank PLC | 7,554 | — | — | — | 7,554 | |||||||||||||||||
BNP Paribas S.A. | 920 | — | — | — | 920 | |||||||||||||||||
Citibank N.A. | 174 | — | — | — | 174 | |||||||||||||||||
Credit Suisse International | 2,762 | $ | (2,762 | ) | — | — | — | |||||||||||||||
Deutsche Bank AG | 19 | (19 | ) | — | — | — | ||||||||||||||||
JPMorgan Chase Bank N.A. | 836,242 | — | — | — | 836,242 | |||||||||||||||||
UBS AG | 15,856 | — | — | — | 15,856 | |||||||||||||||||
Total | $ | 2,078,198 | $ | (2,781 | ) | — | — | $ | 2,075,417 | |||||||||||||
Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty | | Derivatives Available for Offset2 | | Non-cash Collateral Pledged | | Cash Collateral Pledged3 | | Net Amount of Derivative Liabilities4 | ||||||||||||
Credit Suisse International | $ | 175,052 | $ | (2,762 | ) | — | — | $ | 172,290 | |||||||||||||
Deutsche Bank AG | 23,008 | (19 | ) | — | $ | (22,989 | ) | — | ||||||||||||||
State Street Bank and Trust Co. | 13,561 | — | — | — | 13,561 | |||||||||||||||||
Total | $ | 211,621 | $ | (2,781 | ) | — | $ | (22,989 | ) | $ | 185,851 |
1 | Net amount represents the net amount receivable from the counterparty in the event of default. |
2 | The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA. |
3 | Excess of the collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
4 | Net amount represents the net amount payable due to the counterparty in the event of default. |
BHL | 1.00% | |||||
FRA | 0.75% | |||||
BLW | 0.55% |
70 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
| BHL | | FRA | | BLW | |||||||||
Purchases | $ | 462,075 | $ | 2,040,625 | — | |||||||||
Sales | — | — | $ | 7,169,073 |
| BHL | | FRA | | BLW | |||||||||
Purchases | $ | 108,919,391 | $ | 472,504,295 | $ | 547,978,742 | ||||||||
Sales | $ | 108,511,931 | $ | 467,418,855 | $ | 558,531,465 |
| BHL | | FRA | | BLW | |||||||||
Paid-in capital | — | $ | (35,746 | ) | $ | (38,485 | ) | |||||||
Undistributed net investment income | $ | (301,102 | ) | $ | (1,156,263 | ) | $ | (4,599,352 | ) | |||||
Undistributed net realized gain (accumulated net realized loss) | $ | 301,102 | $ | 1,192,009 | $ | 4,637,837 |
ANNUAL REPORT | AUGUST 31, 2014 | 71 |
Notes to Financial Statements (continued) |
| | BHL | | FRA | | BLW | ||||||||||||
Ordinary income | 8/31/14 | $ | 7,542,730 | $ | 33,203,943 | $ | 45,292,717 | |||||||||||
8/31/13 | 7,633,968 | 34,814,179 | 51,220,576 | |||||||||||||||
Total | 8/31/14 | $ | 7,542,730 | $ | 33,203,943 | $ | 45,292,717 | |||||||||||
8/31/13 | $ | 7,633,968 | $ | 34,814,179 | $ | 51,220,576 |
| BHL | | FRA | | BLW | |||||||||
Undistributed ordinary income | $ | 998,736 | $ | 1,902,969 | $ | 4,821,267 | ||||||||
Undistributed long-term capital gains | 1,286,571 | — | — | |||||||||||
Capital loss carryforwards | — | (80,943,972 | ) | (47,790,149 | ) | |||||||||
Net unrealized gains (losses)1 | (254,208 | ) | (8,529,521 | ) | 9,023,452 | |||||||||
Total | $ | 2,031,099 | $ | (87,570,524 | ) | $ | (33,945,430 | ) |
1 | The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization and accretion methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the accounting for swap agreements, dividends recognized for tax purposes, the deferral of compensation to Directors and investments in wholly owned subsidiaries. |
Expires August 31, | | FRA | | BLW | ||||||
2015 | $ | 169,958 | — | |||||||
2016 | 20,623,334 | $ | 284,006 | |||||||
2017 | 30,228,590 | 9,996,868 | ||||||||
2018 | 27,716,009 | 37,509,275 | ||||||||
2019 | 2,206,081 | — | ||||||||
Total | $ | 80,943,972 | $ | 47,790,149 |
| BHL | | FRA | | BLW | |||||||||
$ | 572,418 | $ | 3,798,307 | $ | 10,972,097 |
| BHL | | FRA | | BLW | |||||||||
Tax cost | $ | 187,024,477 | $ | 823,020,859 | $ | 938,952,218 | ||||||||
Gross unrealized appreciation | $ | 1,164,357 | $ | 9,303,132 | $ | 28,610,126 | ||||||||
Gross unrealized depreciation | (1,412,252 | ) | (15,788,241 | ) | (19,447,051 | ) | ||||||||
Net unrealized appreciation (depreciation) | $ | (247,895 | ) | $ | (6,485,109 | ) | $ | 9,163,075 |
| Commitment Amounts | |||||
BHL | $ 64,000,000 | |||||
FRA | $280,000,000 |
72 | ANNUAL REPORT | AUGUST 31, 2014 |
Notes to Financial Statements (continued) |
| Daily Weighted Average Interest Rate | |||||
BHL | 0.91% | |||||
FRA | 0.91% |
| Year Ended August 31, 2014 | | Year Ended August 31, 2013 | |||||||
BHL | — | 16,935 | ||||||||
FRA | — | 18,747,801 | 1 | |||||||
BLW | — | 49,145 |
1 | Includes 18,666,048 shares issued from the reorganization. |
ANNUAL REPORT | AUGUST 31, 2014 | 73 |
Notes to Financial Statements (concluded) |
| Common Dividend Per Share | |||
BHL | $0.0605 | |||
FRA | $0.0700 | |||
BLW | $0.0995 |
| Common Dividend Per Share | |||
BHL | $0.0583 | |||
FRA | $0.0674 | |||
BLW | $0.0995 |
74 | ANNUAL REPORT | AUGUST 31, 2014 |
Boston, Massachusetts
October 24, 2014
BHL | FRA | BLW | ||||||||||||||
Qualified Dividend Income for Individuals1 | ||||||||||||||||
September 2013-August 2014 | 2.14 | % | — | 3.26 | % | |||||||||||
Dividends Qualifying for the Dividends Received Deduction for Corporations1 | ||||||||||||||||
September 2013-August 2014 | 2.14 | % | — | 2.73 | % | |||||||||||
Interest-Related Dividends for Non-U.S. Residents2 | ||||||||||||||||
September 2013-December 2013 | 88.60 | % | 88.31 | % | 79.98 | % | ||||||||||
January 2014-August 2014 | 79.71 | % | 80.40 | % | 79.73 | % |
1 | The Fund hereby designates the percentage indicated above or the maximum amount allowable by law. |
2 | Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations. |
ANNUAL REPORT | AUGUST 31, 2014 | 75 |
1 | Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. |
76 | ANNUAL REPORT | AUGUST 31, 2014 |
Disclosure of Investment Advisory Agreements (continued) |
ANNUAL REPORT | AUGUST 31, 2014 | 77 |
Disclosure of Investment Advisory Agreements (continued) |
The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.
78 | ANNUAL REPORT | AUGUST 31, 2014 |
Disclosure of Investment Advisory Agreements (concluded) |
ANNUAL REPORT | AUGUST 31, 2014 | 79 |
80 | ANNUAL REPORT | AUGUST 31, 2014 |
Name, Address1 and Year of Birth | Position(s) Held with Funds | Length of Time Served as a Director3 | Principal Occupation(s) During Past Five Years | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Directorships | |||||
Independent Directors2 | ||||||||||
Richard E. Cavanagh 1946 | Chairman of the Board and Director | Since 2007 | Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | 82 RICs consisting of 82 Portfolios | None | |||||
Karen P. Robards 1950 | Vice Chairperson of the Board, Chairperson of the Audit Committee and Director | Since 2007 | Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987. | 82 RICs consisting of 82 Portfolios | AtriCure, Inc. (medical devices); Greenhill & Co., Inc. | |||||
Michael J. Castellano 1946 | Director and Member of the Audit Committee | Since 2011 | Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012. | 82 RICs consisting of 82 Portfolios | None | |||||
Frank J. Fabozzi4 1948 | Director and Member of the Audit Committee | Since 2007 | Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006. | 115 RICs consisting of 237 Portfolios | None | |||||
Kathleen F. Feldstein 1941 | Director | Since 2007 | President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009. | 82 RICs consisting of 82 Portfolios | The McClatchy Company (publishing) | |||||
James T. Flynn 1939 | Director and Member of the Audit Committee | Since 2007 | Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995. | 82 RICs consisting of 82 Portfolios | None | |||||
Jerrold B. Harris 1942 | Director | Since 2007 | Trustee, Ursinus College since 2000; Director, Ducks Unlimited, Inc. (conservations) since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999. | 82 RICs consisting of 82 Portfolios | BlackRock Kelso Capital Corp. (business development company) | |||||
R. Glenn Hubbard 1958 | Director | Since 2007 | Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988. | 82 RICs consisting of 82 Portfolios | ADP (data and information services); Metropolitan Life Insurance Company (insurance) |
ANNUAL REPORT | AUGUST 31, 2014 | 81 |
Officers and Directors (continued) |
Name, Address1 and Year of Birth | Position(s) Held with Funds | Length of Time Served as a Director3 | Principal Occupation(s) During Past Five Years | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Directorships | ||||||||||||||||||
Independent Directors2 (concluded) | |||||||||||||||||||||||
W. Carl Kester 1951 | Director and Member of the Audit Committee | Since 2007 | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 82 RICs consisting of 82 Portfolios | None | ||||||||||||||||||
1 The address of each Director is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055. | |||||||||||||||||||||||
2 Independent Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding good cause thereof. In 2013, the Board of Directors unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year which the Board believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31 of the year in which he turns 75. Mr. Flynn turns 75 in 2014. | |||||||||||||||||||||||
3 Date shown is the earliest date a person has served for the Funds covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Directors as joining the Funds’ board in 2007, those Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998. | |||||||||||||||||||||||
4 Dr. Fabozzi is also a board member of the BlackRock Equity-Liquidity Complex. | |||||||||||||||||||||||
Interested Directors5 | |||||||||||||||||||||||
Paul L. Audet 1953 | Director | Since 2011 | Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005. | 144 RICs consisting of 330 Portfolios | None | ||||||||||||||||||
Henry Gabbay 1947 | Director | Since 2007 | Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 144 RICs consisting of 330 Portfolios | None | ||||||||||||||||||
5 Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Funds based on his position with BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Funds based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. Interested Directors of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding a good cause thereof. |
82 | ANNUAL REPORT | AUGUST 31, 2014 |
Officers and Directors (concluded) |
Name, Address1 and Year of Birth | Position(s) Held with Funds | Length of Time Served | Principal Occupation(s) During Past Five Years | ||||||||||||
Officers2 | |||||||||||||||
John M. Perlowski 1964 | President and Chief Executive Officer | Since 2011 | Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. | ||||||||||||
Brendan Kyne 1977 | Vice President | Since 2009 | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Americas Product Development for BlackRock since 2013, Head of Product Development and Management for BlackRock’s U.S. Retail Group from 2009 to 2013 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008. | ||||||||||||
Robert W. Crothers 1981 | Vice President | Since 2012 | Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010. | ||||||||||||
Neal Andrews 1966 | Chief Financial Officer | Since 2007 | Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | ||||||||||||
Jay Fife 1970 | Treasurer | Since 2007 | Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | ||||||||||||
Charles Park 1967 | Chief Compliance Officer and Anti-Money Laundering Officer | Since 2014 | Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||||||||||||
Janey Ahn 1975 | Secretary | Since 2012 | Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009. Assistant Secretary of the Funds from 2008 to 2012. | ||||||||||||
1 The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055. | |||||||||||||||
2 Officers of the Funds serve at the pleasure of the Boards. |
Effective June 6, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Funds and Charles Park became Chief Compliance Officer and Anti-Money Laundering Officer of the Funds. |
Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 | Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110 Transfer Agent Common Shares Computershare Trust Company, N.A. Canton, MA 02021 | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP New York, NY 10036 | Address of the Funds 100 Bellevue Parkway Wilmington, DE 19809 |
ANNUAL REPORT | AUGUST 31, 2014 | 83 |
Proxy Results
Paul L. Audet | Michael J. Castellano | R. Glenn Hubbard | | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | ||||||||||||||||||||||
BHL | 7,416,467 | 142,354 | 0 | 7,402,377 | 156,444 | 0 | 7,415,524 | 143,297 | 0 | ||||||||||||||||||||||||||||||
BLW | 28,167,427 | 322,726 | 0 | 28,175,187 | 314,966 | 0 | 28,141,719 | 348,434 | 0 |
W. Carl Kester | | |||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | ||||||||||||||||||||||||||||||||
BHL | 7,415,524 | 143,297 | 0 | |||||||||||||||||||||||||||||||||||
BLW | 28,170,791 | 319,362 | 0 |
Paul L. Audet | Michael J. Castellano | Richard E. Cavanagh | | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | ||||||||||||||||||||||
FRA | 27,450,782 | 701,572 | 0 | 27,447,363 | 704,991 | 0 | 27,444,576 | 707,778 | 0 |
Frank J. Fabozzi | Kathleen F. Feldstein | James T. Flynn | | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | ||||||||||||||||||||||
FRA | 27,441,098 | 711,256 | 0 | 27,425,007 | 727,347 | 0 | 27,429,118 | 723,236 | 0 |
Henry Gabbay | Jerrold B. Harris | R. Glenn Hubbard | | ||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | ||||||||||||||||||||||
FRA | 27,443,465 | 708,889 | 0 | 27,432,760 | 719,594 | 0 | 27,436,136 | 716,218 | 0 | ||||||||||||||||||||||||||||||
W. Carl Kester | Karen P. Robards | ||||||||||||||||||||||||||||||||||||||
| Votes For | | Votes Withheld | | Abstain | | Votes For | | Votes Withheld | | Abstain | ||||||||||||||||||||||||||||
FRA | 27,435,400 | 716,954 | 0 | 27,442,063 | 710,291 | 0 |
84 | ANNUAL REPORT | AUGUST 31, 2014 |
Additional Information (continued) |
Fund Certification
Dividend Policy
ANNUAL REPORT | AUGUST 31, 2014 | 85 |
Additional Information (continued) |
General Information
86 | ANNUAL REPORT | AUGUST 31, 2014 |
Additional Information (concluded) |
Shelf Offering Program
BlackRock Privacy Principles
ANNUAL REPORT | AUGUST 31, 2014 | 87 |
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CEFT-BK3-8/14-AR | ![]() |
Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.
Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:
Michael Castellano
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.
Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
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Item 4 – | Principal Accountant Fees and Services |
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund: |
(a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees3 | |||||
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock Floating Rate Income Strategies Fund, Inc. | $67,688 | $66,638 | $0 | $0 | $24,800 | $21,800 | $0 | $0 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):
Current Fiscal Year End | Previous Fiscal Year End | |
(b) Audit-Related Fees1 | $0 | $0 |
(c) Tax Fees2 | $0 | $0 |
(d) All Other Fees3 | $2,555,000 | $2,865,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2 The nature of the services includes tax compliance, tax advice and tax planning.
3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g.,
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unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:
Entity Name | Current Fiscal Year End | Previous Fiscal Year End |
BlackRock Floating Rate Income Strategies Fund, Inc. | $24,800 | $21,800 |
Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,555,000 and $2,865,000, respectively, were billed by D&T to the Investment Adviser. |
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5 – Audit Committee of Listed Registrants
(a) | The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)): Michael Castellano |
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
(b) | Not Applicable |
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
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(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2014.
(a)(1) The registrant is managed by a team of investment professionals comprised of Leland Hart, Managing Director at BlackRock, and C. Adrian Marshall, Director at BlackRock. Each is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Hart and Marshall have been members of the registrant’s portfolio management team since 2009.
Portfolio Manager | Biography | |
Leland Hart | Managing Director of BlackRock since 2009; Partner of R3 Capital Partners ("R3") in 2009; Managing Director of R3 from 2008 to 2009; Managing Director of Lehman Brothers from 2006 to 2008; Executive Director of Lehman Brothers from 2003 to 2006. | |
C. Adrian Marshall | Director of BlackRock since 2007; Vice President of BlackRock from 2004 to 2007. |
(a)(2) | As of August 31, 2014: |
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(ii) Number of Other Accounts Managed and Assets by Account Type | (iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based | |||||
(i) Name of Portfolio Manager | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts |
Leland Hart | 6 | 21 | 13 | 0 | 4 | 0 |
$4.64 Billion | $1.25 Billion | $1.91 Billion | $0 | $5.75 Million | $0 | |
C. Adrian Marshall | 6 | 21 | 13 | 0 | 4 | 0 |
$4.64 Billion | $1.25 Billion | $1.91 Billion | $0 | $5.75 Million | $0 |
(iv) Portfolio Manager Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc. its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc. or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Hart and Marshall may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Hart and Marshall may therefore be entitled to receive a portion of any incentive fees earned on such accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.
(a)(3) | As of August 31, 2014: |
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Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of August 31, 2014.
BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.
Discretionary Incentive Compensation
Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: a combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.
Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.
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Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Hart and Marshall have unvested long-term incentive awards.
Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.
Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:
Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($260,000 for 2014). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.
(a)(4) | Beneficial Ownership of Securities – As of August 31, 2014. |
Portfolio Manager | Dollar Range of Equity Securities of the Fund Beneficially Owned |
Leland Hart | $100,001-$500,000 |
C. Adrian Marshall | $10,001-$50,000 |
(b) Not Applicable |
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
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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 – See Item 2 |
(a)(2) – Certifications – Attached hereto |
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto
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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: November 3, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: November 3, 2014
By: | /s/ Neal J. Andrews | |
Neal J. Andrews | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: November 3, 2014
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