UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549
FORM N-CSRS
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: Donald C. Burke, Chief Executive Officer, BlackRock
Floating Rate Income Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ 08536.
Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2009
Date of reporting period: 02/28/2009
Item 1 – Report to Stockholders
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EQUITIES FIXED INCOME REAL ESTATE LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS
Semi-Annual Report
FEBRUARY 28, 2009 | (UNAUDITED)
BlackRock Defined Opportunity Credit Trust (BHL)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
BlackRock Senior Floating Rate Fund, Inc.
BlackRock Senior Floating Rate Fund II, Inc.
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents | |
Page | |
A Letter to Shareholders | 3 |
Semi-Annual Report: | |
Fund Summaries | 4 |
The Benefits and Risks of Leveraging | 10 |
Derivative Instruments | 11 |
Disclosure of Expenses | 11 |
Fund Financial Statements | |
Schedules of Investments | 12 |
Statements of Assets and Liabilities | 36 |
Statements of Operations | 37 |
Statements of Changes in Net Assets | 39 |
Statements of Cash Flows | 42 |
Fund Financial Highlights | 43 |
Fund Notes to Financial Statements | 49 |
Master Senior Floating Rate LLC Portfolio Summary | 57 |
Master Senior Floating Rate LLC Financial Statements: | |
Schedule of Investments | 58 |
Statement of Assets and Liabilities | 64 |
Statement of Operations | 65 |
Statements of Changes in Net Assets | 67 |
Master Senior Floating Rate LLC Financial Highlights | 67 |
Master Senior Floating Rate LLC Notes to Financial Statements | 68 |
Officers and Directors/Trustees | 71 |
Additional Information | 72 |
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
A Letter to Shareholders
Dear Shareholder
The present time may well be remembered as one of the most tumultuous periods in financial market history. Over the past year, the housing market
collapse and the ensuing credit crisis swelled into an all-out global financial market meltdown, featuring the collapse of storied financial firms, volatile
swings in the world’s financial markets and monumental government actions, including the recent passage of the nearly $800 billion American Recovery
and Reinvestment Act of 2009.
The US economy appeared somewhat resilient through the first few months of 2008 before becoming mired in the worst recession in decades. The
economic data was dire across the board, but worse was the intensifying pace of deterioration in consumer spending, employment, manufacturing and
other key indicators. US gross domestic product (GDP) contracted at an annual rate of 6.3% in the 2008 fourth quarter — substantially below forecast and
the worst reading since 1982. The Federal Reserve Board (the “Fed”) took forceful action to revive the global economy and financial system. In addition to
slashing the federal funds target rate from 3% to a record low range of 0% to 0.25%, the central bank provided enormous cash injections and significantly
expanded its balance sheet via various lending and acquisition programs.
Against this backdrop, US equities contended with relentless market volatility, and the sentiment turned decisively negative toward period end. Declines
were significant and broad based, with little divergence among the returns for large and small cap stocks. Non-US stocks were not spared either, as the
credit crisis revealed itself to be global in nature and economic activity slowed dramatically.
Risk aversion remained the dominant theme in fixed income markets, leading the Treasury sector to top all other asset classes. The high yield market was
particularly hard hit in this environment, as economic turmoil, combined with frozen credit markets and substantial technical pressures, took a heavy toll.
Meanwhile, tax-exempt issues posted positive returns for the period, but the sector was not without significant challenges, including a shortage of market
participants, lack of liquidity, difficult funding environment and backlog of new-issue supply.
In all, investors continued to gravitate toward relative safety, as evidenced in the six- and 12-month returns of the major benchmark indexes:
Total Returns as of February 28, 2009 | 6-month | 12-month |
US equities (S&P 500 Index) | (41.82)% | (43.32)% |
Small cap US equities (Russell 2000 Index) | (46.91) | (42.38) |
International equities (MSCI Europe, Australasia, Far East Index) | (44.58) | (50.22) |
US Treasury securities (Merrill Lynch 10-Year US Treasury Index) | 8.52 | 8.09 |
Taxable fixed income (Barclays Capital US Aggregate Bond Index*) | 1.88 | 2.06 |
Tax-exempt fixed income (Barclays Capital Municipal Bond Index*) | 0.05 | 5.18 |
High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index*) | (21.50) | (20.92) |
* Formerly a Lehman Brothers index.
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.
Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For our most current
views on the economy and financial markets, we invite you to visit www.blackrock.com/funds. We thank you for entrusting BlackRock with your investments,
and we look forward to continuing to serve you in the months and years ahead.
Sincerely,
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Rob Kapito
President, BlackRock Advisors, LLC
THIS PAGE NOT PART OF YOUR FUND REPORT 3
Fund Summary as of February 28, 2009 BlackRock Defined Opportunity Credit Trust
Investment Objective
BlackRock Defined Opportunity Credit Trust (BHL) (the “Fund”) seeks high current income, with a secondary objective of long-
term capital appreciation.
Performance
For the six months ended February 28, 2009, the Fund returned (20.79)% based on market price and (27.30)% based on net
asset value (“NAV”). For the same period, the Lipper Loan Participation Funds category posted an average return of (39.55)% on
a market price basis and (35.93)% on a NAV basis. The performance of the Lipper category does not necessarily correlate to that
of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. All
returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the differ-
ence between performance based on price and performance based on NAV. This semi-annual period was one of the most difficult
in market history. Accordingly, the Fund was conservatively invested with an emphasis on more liquid credits and defensive market
sectors, which aided relative performance for the six months.
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.
Fund Information
Symbol on New York Stock Exchange | BHL |
Initial Offering Date | January 31, 2008 |
Yield on Closing Market Price as of February 28, 2009 ($9.35)1 | 14.44% |
Current Monthly Distribution per Share2 | $0.1125 |
Current Annualized Distribution per Share2 | $1.3500 |
Leverage as of February 28, 20093 | 24% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0825. The Yield on
Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.
The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of
capital or net realized gain.
3 Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to any
borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion of
leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Market Price | $9.35 | $12.66 | (26.15)% | $13.29 | $6.53 |
Net Asset Value | $9.70 | $14.31 | (32.22)% | $14.35 | $8.36 |
The following chart shows the portfolio composition of the Fund’s long-term investments:
Portfolio Composition
2/28/09 | 8/31/08 | |
Floating Rate Loan Interests | 99% | 99% |
Corporate Bonds | 1 | 1 |
4 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Fund Summary as of February 28, 2009 BlackRock Diversified Income Strategies Fund, Inc.
Investment Objective
BlackRock Diversified Income Strategies Fund, Inc. (DVF) (the “Fund”) seeks to provide investors with a high current income by
investing primarily in a diversified portfolio of floating rate debt securities and instruments, including floating or variable rate
loans, bonds, preferred securities (including convertible preferred securities), notes or other debt securities or instruments that pay
a floating rate of interest.
Performance
For the six months ended February 28, 2009, the Fund returned (47.13)% based on market price and (53.82)% based on NAV.
For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (39.55)% on a market
price basis and (35.93)% on a NAV basis. All returns reflect reinvestment of dividends. The Fund moved from a discount to a
premium to NAV, which accounts for the difference between performance based on price and performance based on NAV. During
the period, high yield bonds, which made up 48% of the Fund’s portfolio as of February 28, 2009, performed inline with loans.
This was neutral to performance, however, the Fund’s allocation to high yield floating rate notes detracted, as these issues under-
performed. The Fund was 25% leveraged as of February 28, 2009, amplifying its negative return during one of the most difficult
periods in market history. Credit quality also hampered results, as the Fund’s average credit distribution was lower than that of
the market.
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.
Fund Information
Symbol on New York Stock Exchange | DVF |
Initial Offering Date | January 31, 2005 |
Yield on Closing Market Price as of February 28, 2009 ($6.03)1 | 24.88% |
Current Monthly Distribution per Share2 | $0.125 |
Current Annualized Distribution per Share2 | $1.500 |
Leverage as of February 28, 20093 | 25% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.1150. The Yield on
Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.
The new distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of
capital or net realized gain.
3 As a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to any borrowing that may be out-
standing, minus the sum of accrued liabilities, other than debt representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 10.
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Market Price | $6.03 | $12.77 | (52.78)% | $13.04 | $4.75 |
Net Asset Value | $5.75 | $13.94 | (58.75)% | $13.94 | $5.73 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s
corporate bond investments:
Portfolio Composition | ||
2/28/09 | 8/31/08 | |
Floating Rate Loan Interests | 50% | 47% |
Corporate Bonds | 48 | 50 |
Common Stock | 1 | 3 |
Non-U.S. Government Agency | ||
Mortgage-Backed Securities | 1 | — |
Credit Quality Allocations4 | ||
2/28/09 | 8/31/08 | |
AA/Aa | — | 3% |
BBB/Baa | — | 1 |
BB/Ba | 9% | 7 |
B/B | 62 | 61 |
CCC/Caa | 19 | 20 |
CC/Ca | 6 | 2 |
Not Rated | 4 | 6 |
4 Using the higher of Standard & Poor’s (“S&P”) or Moody’s Investor
Service (“Moody’s”) ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 5
Fund Summary as of February 28, 2009 BlackRock Floating Rate Income Strategies Fund, Inc
Investment Objective
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (the “Fund”) seeks high current income and such preservation of
capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and
instruments.
Performance
For the six months ended February 28, 2009, the Fund returned (35.03)% based on market price and (37.26)% based on NAV.
For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (39.55)% on a market
price basis and (35.93)% on a NAV basis. The performance of the Lipper category does not necessarily correlate to that of the
Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. 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 six-month period featured considerable volatility
in credit markets. Consequently, the Fund was invested fairly conservatively in terms of credit and sector allocation, which
aided performance.
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.
Fund Information
Symbol on New York Stock Exchange | FRA |
Initial Offering Date | October 31, 2003 |
Yield on Closing Market Price as of February 28, 2009 ($8.74)1 | 15.77% |
Current Monthly Distribution per Share2 | $0.114835 |
Current Annualized Distribution per Share2 | $1.378020 |
Leverage as of February 28, 20093 | 19% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.104835. The Yield on
Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate.
The new distribution rate is not constant and is subject to further change in the future.
3 Represents loans outstanding as a percentage of managed assets, which is the total assets of the Fund, including any assets attributable to
any borrowing that may be outstanding, minus the sum of accrued liabilities (other than debt representing financial leverage). For a discussion
of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Market Price | $8.74 | $14.49 | (39.68)% | $14.68 | $7.79 |
Net Asset Value | $9.39 | $16.12 | (41.75)% | $16.12 | $8.96 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the
Fund’s corporate bond investments:
Portfolio Composition | ||
2/28/09 | 8/31/08 | |
Floating Rate Loan Interests | 71% | 73% |
Corporate Bonds | 28 | 26 |
Non-U.S. Government Agency | ||
Mortgage-Backed Securities | 1 | — |
Common Stocks | — | 1 |
Credit Quality Allocations4 | ||
2/28/09 | 8/31/08 | |
AA/Aa | — | 5% |
BBB/Baa | 18% | 11 |
BB/Ba | 17 | 11 |
B/B | 51 | 59 |
CCC/Caa | 7 | 8 |
CC/Ca | 1 | — |
D | 1 | — |
Not Rated | 5 | 6 |
4 Using the higher of S&P’s or Moody’s ratings.
6 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Fund Summary as of February 28, 2009 BlackRock Limited Duration Income Trust
Investment Objective
BlackRock Limited Duration Income Trust (BLW) (the “Fund”) seeks to provide current income and capital appreciation.
Performance
For the six months ended February 28, 2009, the Fund returned (13.14)% based on market price and (20.15)% based on NAV.
For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (34.08)%
on a market price basis and (34.87)% on a NAV basis. 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 Fund’s 24% allocation to mortgage securities (as of February 28, 2009) helped relative performance dramatically,
as these issues outperformed high yield for the six-month period. The Fund employed very little leverage, which also proved
beneficial to performance.
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.
Fund Information
Symbol on New York Stock Exchange | BLW |
Initial Offering Date | July 30, 2003 |
Yield on Closing Market Price as of February 28, 2009 ($11.96)1 | 10.03% |
Current Monthly Distribution per Share2 | $0.10 |
Current Annualized Distribution per Share2 | $1.20 |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance
does not guarantee future results.
2 A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.09. The Yield on Closing
Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new
distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or
net realized gain.
The table below summarizes the Fund’s market price and net asset value per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Market Price | $11.96 | $14.57 | (17.91)% | $14.83 | $ 8.83 |
Net Asset Value | $12.61 | $16.71 | (24.54)% | $16.81 | $11.86 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the
Fund’s corporate bond investments:
Portfolio Composition | ||
2/28/09 | 8/31/08 | |
Floating Rate Loan Interests | 44% | 46% |
U.S. Government Agency | ||
Mortgage-Backed Securities | 24 | 16 |
Corporate Bonds | 24 | 32 |
U.S. Government Obligations | 5 | 4 |
Foreign Government Obligations | 3 | 2 |
Credit Quality Allocations3 | ||
2/28/09 | 8/31/08 | |
AAA/Aaa | — | 7% |
BBB/Baa | 23% | 14 |
BB/Ba | 21 | 17 |
B/B | 34 | 44 |
CCC/Caa | 17 | 13 |
C/C | 1 | — |
Not Rated | 4 | 5 |
3 Using the higher of S&P’s or Moody’s ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 7
Fund Summary as of February 28, 2009 BlackRock Senior Floating Rate Fund, Inc.
Investment Objective
BlackRock Senior Floating Rate Fund, Inc. (the “Fund”) is a continuously offered closed-end fund that seeks high current income
and such preservation of capital as is consistent with investment in senior collateralized corporate loans made by banks and
other financial institutions.
Performance
For the six months ended February 28, 2009, the Fund returned (22.69)% based on NAV. For the same period, the closed-end
Lipper Loan Participation Funds category posted an average return of (35.93)% on a NAV basis. All returns reflect reinvestment
of dividends. The Fund employed no leverage during the six months, while the Lipper category comprises primarily leveraged
closed-end funds. This had a huge impact on relative performance during the first three months of the reporting period —
notably, the worst period in market history. In general, the Fund was defensively positioned with respect to sector allocation,
and was broadly diversified among individual credits. This aided performance in the first half, but detracted as performance
improved during the final two months.
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.
Fund Information1
Initial Offering Date | November 3, 1989 |
Yield based on Net Asset Value as of February 28, 2009 ($5.95)2 | 6.60% |
Current Monthly Distribution per Share3 | $0.030132 |
Current Annualized Distribution per Share3 | $0.392792 |
1 The Fund is a continuously offered closed-end fund that does not trade on an exchange.
2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.
Past performance does not guarantee future results.
3 The distribution is not constant and is subject to change.
The table below summarizes the change in the Fund’s NAV per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Net Asset Value | $5.95 | $7.98 | (25.44)% | $7.98 | $5.54 |
Expense Example for Continuously Offered Closed-End Funds
Actual | Hypothetical5 | |||||
Beginning | Ending | Beginning | Ending | |||
Account Value | Account Value | Expenses Paid | Account Value | Account Value | Expenses Paid | |
September 1, 2008 February 28,2009 | During the Period4 | September 1, 2008 February 28,2009 | During the Period4 | |||
BlackRock Senior Floating Rate, Inc. | $1,000 | $773.10 | $6.66 | $1,000 | $1,017.39 | $7.57 |
4 Expenses are equal to the annualized expense ratio of 1.51%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year
period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.
5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.
See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 11 for further information on how expenses were calculated.
8 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Fund Summary as of February 28, 2009 BlackRock Senior Floating Rate Fund II, Inc.
Investment Objective
BlackRock Senior Floating Rate Fund II, Inc. (the “Fund”) is a continuously offered closed-end fund that seeks high current
income and such preservation of capital as is consistent with investment in senior collateralized corporate loans made by banks
and other financial institutions.
Performance
For the six months ended February 28, 2009, the Fund returned (22.75)% based on NAV. For the same period, the closed-end
Lipper Loan Participation Funds category posted an average return of (35.93)% on a NAV basis. All returns reflect reinvestment
of dividends. The Fund employed no leverage during the six months, while the Lipper category comprises primarily leveraged
closed-end funds. This had a huge impact on relative performance during the first three months of the reporting period —
notably, the worst period in market history. In general, the Fund was defensively positioned with respect to sector allocation,
and was broadly diversified among individual credits. This aided performance in the first half, but detracted as performance
improved during the final two months.
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.
Fund Information1
Initial Offering Date | March 26, 1999 |
Yield based on Net Asset Value as of February 28, 2009 ($6.44)2 | 6.46% |
Current Monthly Distribution per Share3 | $0.031926 |
Current Annualized Distribution per Share3 | $0.416178 |
1 The Fund is a continuously offered closed-end fund that does not trade on an exchange.
2 Yield based on net asset value is calculated by dividing the current annualized distribution per share by the net asset value.
Past performance does not guarantee future results.
3 The distribution is not constant and is subject to change.
The table below summarizes the change in the Fund’s NAV per share:
2/28/09 | 8/31/08 | Change | High | Low | |
Net Asset Value | $6.44 | $8.67 | (25.72)% | $8.67 | $6.02 |
Expense Example for Continuously Offered Closed-End Funds
Actual | Hypothetical5 | |||||
Beginning | Ending | Beginning | Ending | |||
Account Value | Account Value | Expenses Paid | Account Value | Account Value | Expenses Paid | |
September 1, 2008 February 28,2009 | During the Period4 | September 1, 2008 February 28,2009 | During the Period4 | |||
BlackRock Senior Floating Rate II, Inc. | $1,000 | $772.50 | $7.30 | $1,000 | $1,016.56 | $8.30 |
4 Expenses are equal to the annualized expense ratio of 1.67%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year
period shown). Because the Fund is a feeder fund, the expense table reflects the expenses of both the feeder fund and the Master LLC in which it invests.
5 Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the most recent fiscal half year divided by 365.
See “Disclosure of Expenses for Continuously Offered Closed-End Funds” on page 11 for further information on how expenses were calculated.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 9
The Benefits and Risks of Leveraging
BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income
Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc.
and BlackRock Limited Duration Income Trust (each a “Fund” and collec-
tively, the “Funds”) may utilize leverage to seek to enhance the yield and
NAV of its Common Shares. However, these objectives cannot be achieved
in all interest rate environments.
The Funds may utilize leverage through borrowings and the issuance of
short-term debt securities. In general, the concept of leveraging is based
on the premise that the cost of assets to be obtained from leverage will be
based on short-term interest rates, which normally will be lower than the
income earned by each Fund on its longer-term portfolio investments. To
the extent that the total assets of the Fund (including the assets obtained
from leverage) are invested in higher-yielding portfolio investments, the
Fund’s shareholders will benefit from the incremental yield.
The interest earned on securities purchased with the proceeds from lever-
age is paid to Common Shareholders in the form of dividends, and the
value of these portfolio holdings is reflected in the per share NAV of the
Fund’s Common Shares. However, in order to benefit Common Share-
holders, the yield curve must be positively sloped; that is, short-term inter-
est rates must be lower than long-term interest rates. If the yield curve
becomes negatively sloped, meaning short-term interest rates exceed long-
term interest rates, returns to Common Shareholders will be lower than if
the Fund had not used leverage.
To illustrate these concepts, assume a Fund’s Common Shares capitaliza-
tion is $100 million and it issues debt securities for an additional $30 mil-
lion, creating a total value of $130 million available for investment in long-
term securities. If prevailing short-term interest rates are 3% and long-term
interest rates are 6%, the yield curve has a strongly positive slope. In this
case, the Fund pays interest expense on the $30 million of debt securities
based on the lower short-term interest rates. At the same time, the Fund’s
total portfolio of $130 million earns the income based on long-term inter-
est rates. In this case, the interest expense of the debt securities is signifi-
cantly lower than the income earned on the fund’s long-term investments,
and therefore the Common Shareholders are the beneficiaries of the incre-
mental yield.
Conversely, if prevailing short-term interest rates rise above long-term inter-
est rates of 6%, the yield curve has a negative slope. In this case, the Fund
pays interest expense on the higher short-term interest rates whereas the
Fund’s total portfolio earns income based on lower long-term interest rates.
If short-term interest rates rise, narrowing the differential between short-term
and long-term interest rates, the incremental yield pickup on the Common
Shares will be reduced or eliminated completely.
Furthermore, the value of the Fund’s portfolio investments generally varies
inversely with the direction of long-term interest rates, although other fac-
tors can influence the value of portfolio investments. In contrast, the
redemption value of the Fund’s debt securities do not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the
Fund’s NAV positively or negatively in addition to the impact on Fund per-
formance from leverage from debt securities.
The use of leverage may enhance opportunities for increased returns to the
Funds and Common Shareholders, but as described above, it also creates
risks as short- or long-term interest rates fluctuate. Leverage also will gen-
erally cause greater changes in a Funds’ NAV, market price and dividend
rate than a comparable portfolio without leverage. If the income derived
from securities purchased with assets received from leverage exceeds the
cost of leverage, the Funds’ net income will be greater than if leverage had
not been used. Conversely, if the income from the securities purchased is
not sufficient to cover the cost of leverage, the Funds’ net income will be
less than if leverage had not been used, and therefore the amount avail-
able for distribution to shareholders will be reduced. The Funds may be
required to sell portfolio securities at inopportune times or below fair mar-
ket values in order to comply with regulatory requirements applicable to
the use of leverage or as required by the terms of leverage instruments
which may cause the Funds to incur losses. The use of leverage may limit a
Funds’ ability to invest in certain types of securities or use certain types of
hedging strategies. The Funds will incur expenses in connection with the
use of leverage, all of which are borne by the holders of the Common
Shares and may reduce returns on the Common Shares.
Under the Investment Company Act of 1940, the Funds are permitted to
borrow through a credit facility and the issuance of short-term debt securities
up to 33 1 / 3% of total managed assets. As of February 28, 2009, BlackRock
Limited Duration Income Trust had no outstanding leverage and the other
Funds had outstanding leverage from credit facility borrowings as a per-
centage of total managed assets as follows:
Percent of | |
Leverage | |
BlackRock Defined Opportunity Credit Trust | 24% |
BlackRock Diversified Income Strategies Fund, Inc | 25% |
BlackRock Floating Rate Income Strategies Fund, Inc | 19% |
10 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Derivative Instruments
The Funds may invest in various derivative instruments, including swap
agreements, futures and forward currency contracts, and other instruments
specified in the Notes to Financial Statements, which constitute forms of
economic leverage. Such instruments are used to obtain exposure to a
market without owning or taking physical custody of securities or to hedge
market and/or interest rate risks. Such derivative instruments involve risks,
including the imperfect correlation between the value of a derivative instru-
ment and the underlying asset, possible default of the other party to the
transaction and illiquidity of the derivative instrument. The Funds’ ability to
successfully use a derivative instrument depends on the Advisor’s ability to
accurately predict pertinent market movements, which cannot be assured.
The use of derivative instruments may result in losses greater than if they
had not been used, may require the Funds to sell or purchase portfolio
securities at inopportune times or for prices other than current market
values, may limit the amount of appreciation the Funds can realize on
an investment or may cause the Funds to hold a security that it might
otherwise sell. The Funds’ investments in these instruments are discussed
in detail in the Notes to Financial Statements.
Disclosure of Expenses for Continuously Offered Closed-End Funds
Shareholders of BlackRock Senior Floating Rate Fund, Inc. and
BlackRock Senior Floating Rate Fund II, Inc. may incur the following charges:
(a) expenses related to transactions, including early withdrawal fees; and
(b) operating expenses, including advisory fees, and other Fund expenses.
The examples on pages 8 and 9 (which are based on a hypothetical invest-
ment of $1,000 invested on September 1, 2008 and held through
February 28, 2009) are intended to assist shareholders both in calculating
expenses based on an investment in each Fund and in comparing
these expenses with similar costs of investing in other mutual funds.
The tables provide information about actual account values and actual
expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account
value by $1,000 and then multiply the result by the number under the
heading entitled “Expenses Paid During the Period.”
The tables also provide information about hypothetical account values and
hypothetical expenses based on each Fund’s actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in these
Funds and other funds, compare the 5% hypothetical example with the 5%
hypothetical examples that appear in other funds’ shareholder reports.
The expenses shown in the tables are intended to highlight shareholders’
ongoing costs only and do not reflect any transactional expenses, such
as early withdrawal fees. Therefore, the hypothetical examples are useful
in comparing ongoing expenses only, and will not help shareholders deter-
mine the relative total expenses of owning different funds. If these trans-
actional expenses were included, shareholder expenses would have
been higher.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 11
Schedule of Investments February 28, 2009 (Unaudited)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Aerospace & Defense — 1.8% | ||||
Avio S.p.A. Facility: | ||||
B2, 2.604%, 12/15/14 | USD | 471 | $ | 243,834 |
C2, 3.229%, 12/14/15 | 500 | 258,750 | ||
Hawker Beechcraft Acquisition Co. LLC: | ||||
Letter of Credit Facility Deposit, 2.10%, 3/26/14 | 135 | 61,807 | ||
Term Loan, 2.479% – 3.459%, 3/26/14 | 2,291 | 1,052,566 | ||
1,616,957 | ||||
Auto Components — 2.7% | ||||
Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14 | 2,199 | 1,456,534 | ||
Dana Holding Corp. Term Advance, | ||||
6.50% – 7.25%, 1/31/15 | 1,321 | 402,071 | ||
Goodyear Tire & Rubber Co., The Loan (Second Lien), | ||||
2.23%, 4/30/14 | 750 | 521,518 | ||
2,380,123 | ||||
Automobiles — 0.4% | ||||
Ford Motor Co. Term Loan, 5%, 12/15/13 | 992 | 317,156 | ||
Building Products — 1.5% | ||||
Building Materials Corp. of America Term Loan Advance, | ||||
3.625% – 3.875%, 2/22/14 | 745 | 507,849 | ||
Momentive Performance Materials (Blitz 06-103 GMBH) | ||||
Tranche B-2 Term Loan, 3.803%, 12/04/13 | EUR | 1,000 | 790,229 | |
1,298,078 | ||||
Capital Markets — 0.7% | ||||
Nuveen Investments, Inc. Term Loan, | ||||
3.479% – 4.466%, 11/13/14 | USD | 1,310 | 617,619 | |
Chemicals — 5.5% | ||||
Brenntag Holding Gmbh & Co. KG Facility B2, | ||||
2.47% – 3.501%, 1/20/14 | 1,000 | 790,000 | ||
Cognis GMBH Facility C, 3.996%, 9/15/13 | 1,000 | 587,500 | ||
Huish Detergents Inc. Tranche B Term Loan, | ||||
2.17%, 4/26/14 | 992 | 840,269 | ||
Matrix Acquisition Corp. (MacDermid, Inc.) | ||||
Tranche B Term Loan, 2.479%, 4/12/14 | 1,712 | 1,010,017 | ||
PQ Corp. (fka Niagara Acquisition, Inc.): | ||||
Loan (Second Lien), 7.68%, 7/30/15 | 1,000 | 350,000 | ||
Term Loan (First Lien), 4.43% – 4.71%, 7/31/14 | 995 | 594,513 | ||
Solutia Inc. Loan, 8.50%, 2/28/14 | 992 | 637,669 | ||
4,809,968 | ||||
Commercial Services & Supplies — 4.6% | ||||
Alliance Laundry Systems LLC Term Loan, | ||||
3.35% – 3.59%, 1/27/12 | 842 | 686,316 | ||
Aramark Corp.: | ||||
Letter of Credit Facility, 2.038%, 1/26/14 | 119 | 103,208 | ||
U.S. Term Loan, 3.334%, 1/26/14 | 1,881 | 1,624,570 | ||
Kion Group GMBH (formerly Neggio Holdings 3 GMBH): | ||||
Facility B, 2.479%, 12/29/14 | 500 | 170,000 | ||
Facility C, 2.979%, 12/29/15 | 500 | 170,000 | ||
Synagro Technologies, Inc. Term Loan (First Lien), | ||||
2.45%, 4/02/14 | 992 | 553,287 | ||
West Corp. Term B-2 Loan, 2.82% – 2.854%, 10/24/13 | 988 | 722,953 | ||
4,030,334 | ||||
Computers & Peripherals — 1.0% | ||||
Intergraph Corp. Initial Term Loan (First Lien), | ||||
3.256%, 5/29/14 | 1,000 | 855,000 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Containers & Packaging — 3.5% | ||||
Crown Americas LLC Additional Term B Dollar Loan, | ||||
2.205%, 11/15/12 | USD | 495 | $ | 442,109 |
Graphic Packaging International, Inc. Incremental Term | ||||
Loan, 3.203% – 4.185%, 5/16/14 | 1,480 | 1,261,557 | ||
Smurfit Kappa Acquisitions (JSG): | ||||
C1 Term Loan Facility, 3.678% – 5.28%, 7/16/15 | EUR | 500 | 466,426 | |
Term B1, 3.428% – 5.03%, 7/16/14 | 500 | 466,426 | ||
Smurfit-Stone Container TLB, 8.75%, 2/03/10 | USD | 435 | 432,281 | |
3,068,799 | ||||
Diversified Consumer Services — 1.1% | ||||
Coinmach Corp. Term Loan, 3.47% – 4.26%, 11/14/14 | 1,489 | 967,669 | ||
Diversified Telecommunication Services — 5.7% | ||||
BCM Ireland Holdings Ltd. (Eircom): | ||||
Facility B, 3.428%, 8/14/14 | EUR | 493 | 416,914 | |
Facility C, 3.678%, 8/14/13 | 492 | 416,961 | ||
Hawaiian Telcom Communications, Inc. Tranche C | ||||
Term Loan, 4.75%, 5/30/14 | USD | 500 | 208,438 | |
Integra Telecom Holdings, Inc. Term Loan (First Lien), | ||||
5.506% – 7.219%, 8/31/13 | 1,982 | 1,189,462 | ||
PAETEC Holding Corp. Replacement Term Loan, | ||||
2.979%, 2/28/13 | 970 | 703,345 | ||
Time Warner Telecom Holdings Inc. Term Loan B Loan, | ||||
2.48%, 1/07/13 | 1,030 | 910,639 | ||
Wind Finance SL S.A. Euro Facility (Second Lien), | ||||
11.473%, 12/17/14 | EUR | 1,000 | 1,097,923 | |
4,943,682 | ||||
Electric Utilities — 0.6% | ||||
Astoria Generating Co. Acquisitions, LLC Second Lien | ||||
Term Loan C, 4.23%, 8/23/13 | USD | 750 | 540,937 | |
Electronic Equipment & Instruments — 2.4% | ||||
Flextronics International Ltd.: | ||||
A Closing Date Loan, 3.344% – 3.685%, 10/01/14 | 765 | 501,144 | ||
Delay Draw Term Loan, 3.344%, 10/01/12 | 220 | 144,007 | ||
L-1 Identity Solutions Operating Co. Term Loan, | ||||
6.75%, 8/05/13 | 370 | 339,762 | ||
Matinvest 2 SAS/Butterfly Wendel US, Inc. | ||||
(Deutsche Connector): | ||||
B-2 Facility, 2.695%, 6/22/14 | 909 | 609,205 | ||
C-2 Facility, 3.195%, 6/22/15 | 751 | 503,360 | ||
2,097,478 | ||||
Energy Equipment & Services — 1.9% | ||||
Dresser, Inc. Term B Loan, 2.729% – 3.488%, 5/04/14 | 1,488 | 1,068,565 | ||
Volnay Acquisition Co. I (aka CGG) B1 Term Loan Facility, | ||||
2.906% – 5.428%, 1/12/14 | 702 | 605,528 | ||
1,674,093 | ||||
Food & Staples Retailing — 1.1% | ||||
AB Acquisitions UK Topco 2 Ltd Facility B2 UK | ||||
Borrower, 4.161%, 7/09/15 | GBP | 1,000 | 1,005,300 | |
Food Products — 1.3% | ||||
Dole Food Co., Inc.: | ||||
Credit-Linked Deposit, 2.13%, 4/12/13 | USD | 74 | 65,941 | |
Tranche B Term Loan, 2.50% – 4.25%, 4/12/13 | 130 | 116,575 | ||
Solvest, Ltd. (Dole) Tranche C Term Loan, | ||||
2.563% – 4.25%, 4/12/13 | 485 | 434,324 | ||
Wm. Wrigley Jr. Co. Tranche B Term Loan, | ||||
6.50%, 10/06/14 | 500 | 493,334 | ||
1,110,174 |
See Notes to Financial Statements.
12 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Health Care Equipment & Supplies — 3.3% | ||||
Bausch & Lomb Inc. | ||||
Delayed Draw Term Loan, 4.709%, 4/24/15 | USD | 150 | $ | 127,664 |
Parent Term Loan, 4.709%, 4/24/15 | 988 | 842,580 | ||
Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15 | 977 | 870,064 | ||
DJO Finance LLC (ReAble Therapeutics Fin LLC) Term | ||||
Loan, 3.479% – 4.459%, 5/20/14 | 990 | 823,350 | ||
Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13 | 254 | 228,521 | ||
2,892,179 | ||||
Health Care Providers & Services — 8.9% | ||||
CHS/Community Health Systems, Inc.: | ||||
Delayed Draw Term Loan, 2.729%, 7/25/14 | 168 | 142,069 | ||
Funded Term Loan, 2.729% – 3.506%, 7/25/14 | 3,292 | 2,787,375 | ||
HCA Inc.: | ||||
Tranche A-1 Term Loan, 3.459%, 11/17/12 | 1,963 | 1,708,546 | ||
Tranche B-1 Term Loan, 3.709%, 11/18/13 | 961 | 809,761 | ||
HealthSouth Corp. Term Loan, | ||||
2.95% – 4.69%, 3/10/13 | 1,762 | 1,554,935 | ||
Surgical Care Affiliates, LLC Term Loan, | ||||
3.459%, 12/29/14 | 495 | 296,985 | ||
Symbion, Inc.: | ||||
Tranche A Term Loan, 3.729%, 8/23/13 | 477 | 238,378 | ||
Tranche B Term Loan, 3.729%, 8/25/14 | 477 | 238,378 | ||
7,776,427 | ||||
Health Care Technology — 0.5% | ||||
Sunquest Information Systems, Inc. (Misys Hospital | ||||
Systems, Inc.) Term Loan, 3.73% – 4.21%, 10/13/14 | 494 | 395,000 | ||
Hotels, Restaurants & Leisure — 3.1% | ||||
Harrah’s Operating Co., Inc. Term B-2 Loan, | ||||
4.159% – 4.459%, 1/28/15 | 1,729 | 1,005,931 | ||
Penn National Gaming, Inc. Term Loan B, | ||||
2.23% – 2.99%, 10/03/12 | 985 | 886,928 | ||
QCE, LLC (Quiznos) Term Loan (First Lien), | ||||
3.75%, 5/05/13 | 992 | 547,220 | ||
VML US Finance LLC (aka Venetian Macau) Term B: | ||||
Delayed Draw Project Loan, 2.73%, 5/25/12 | 181 | 104,014 | ||
Funded Project Loan, 2.73%, 5/27/13 | 319 | 183,714 | ||
2,727,807 | ||||
Household Durables — 2.9% | ||||
Jarden Corp. Term Loan B3, 3.959%, 1/24/12 | 1,733 | 1,564,501 | ||
Yankee Candle Co., Inc. Term Loan, | ||||
2.42% – 3.47%, 2/06/14 | 1,606 | 974,197 | ||
2,538,698 | ||||
Household Products — 0.5% | ||||
VI-JON, Inc. (VJCS Acquisition, Inc.) Tranche B | ||||
Term Loan, 2.72%, 4/24/14 | 500 | 425,000 | ||
IT Services — 8.6% | ||||
Amadeus Global Travel Distribution SA: | ||||
Term Loan B, 2.419%, 5/22/15 | 969 | 550,393 | ||
Term Loan C, 2.919%, 5/22/16 | 969 | 550,393 | ||
Amadeus IT Group SA/Amadeus Verwaltungs GmbH: | ||||
Term B3 Facility, 3.747%, 6/30/13 | EUR | 308 | 233,198 | |
Term B4 Facility, 3.747%, 6/30/13 | 186 | 141,219 | ||
Term C3 Facility, 4.247%, 6/30/14 | 308 | 233,198 | ||
Term C3 Facility, 4.247%, 6/30/14 | 186 | 141,219 | ||
Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14 | USD | 2,000 | 1,380,000 | |
First Data Corp. Initial Tranche: | ||||
B-2 Term Loan, 3.223% – 3.229%, 9/24/14 | 2,724 | 1,788,577 | ||
B-3 Term Loan, 3.223% – 3.229%, 9/24/14 | 991 | 647,588 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
IT Services (concluded) | ||||
SunGard Data Systems Inc. (Solar Capital Corp.) | ||||
New US Term Loan: | ||||
2.198% – 2.991%, 2/28/14 | USD | 1,982 | $ | 1,658,528 |
6.75%, 2/28/14 | 249 | 229,924 | ||
7,554,237 | ||||
Independent Power Producers & | ||||
Energy Traders — 6.7% | ||||
Dynegy Holdings Inc.: | ||||
Term Letter of Credit Facility Term Loan, 1.98%, 4/02/13 | 208 | 172,078 | ||
Tranche B Term Loan, 1.98%, 4/02/13 | 17 | 13,994 | ||
Mirant North America, LLC Term Loan, | ||||
2.229%, 1/03/13 | 748 | 681,636 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit, 1.60%, 2/01/13 | 164 | 150,182 | ||
Term Loan, 1.869% – 2.959%, 2/01/13 | 1,738 | 1,595,512 | ||
Texas Competitive Electric Holdings Co., LLC (TXU): | ||||
Initial Tranche B-1 Term Loan, | ||||
3.948% – 4.451%, 10/10/14 | 496 | 309,338 | ||
Initial Tranche B-3 Term Loan, | ||||
3.948% – 4.451%, 10/10/14 | 4,702 | 2,933,110 | ||
5,855,850 | ||||
Industrial Conglomerates — 0.7% | ||||
Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14 | 990 | 603,718 | ||
Insurance — 0.8% | ||||
Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14 | 990 | 742,481 | ||
Internet & Catalog Retail — 0.2% | ||||
FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14 | 249 | 213,216 | ||
Life Sciences Tools & Services — 1.4% | ||||
Life Technologies Corp. Term B Facility, | ||||
5.25%, 11/20/15 | 1,247 | 1,220,379 | ||
Machinery — 3.3% | ||||
LN Acquisition Corp. (Lincoln Industrial): | ||||
Delayed Draw Term Loan (First Lien), | ||||
2.95%, 7/11/14 | 269 | 216,252 | ||
Initial U.S. Term Loan (First Lien), 2.95%, 7/11/14 | 716 | 576,673 | ||
Navistar International Corp.: | ||||
Revolving Credit-Linked Deposit, | ||||
3.677% – 3.729%, 1/19/12 | 533 | 381,778 | ||
Term Advance, 3.729%, 1/19/12 | 1,467 | 1,049,888 | ||
Oshkosh Truck Corp. Term B Loan, | ||||
2.20% – 3.95%, 12/06/13 | 892 | 624,070 | ||
2,848,661 | ||||
Media — 31.5% | ||||
AlixPartners, LLP Tranche C Term Loan, | ||||
2.94% – 3.36%, 10/12/13 | 500 | 430,000 | ||
Alpha Topco Ltd. (Formula One): | ||||
Facility B1, 2.854%, 12/31/13 | 572 | 287,662 | ||
Facility B2, 2.854%, 12/31/13 | 393 | 197,768 | ||
Bresnan Communications, LLC: | ||||
Additional Term Loan B (First Lien), | ||||
3.13%, 6/30/13 | 250 | 213,125 | ||
Term Loan B (First Lien), 3.18% – 4.20%, 9/29/13 | 500 | 426,250 | ||
CSC Holdings Inc (Cablevision) Incremental Term Loan, | ||||
2.205% – 2.692%, 3/29/13 | 1,728 | 1,568,497 | ||
Catalina Marketing Corp. Initial Term Loan, | ||||
4.459%, 10/01/14 | 1,979 | 1,568,110 | ||
Cengage Learning Acquisitions, Inc. (Thomson Learning) | ||||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 2,488 | 1,741,250 | ||
Cequel Communications, LLC (aka Cebridge) Term Loan, | ||||
2.445% – 4.25%, 11/05/13 | 2,476 | 2,086,856 | ||
Charter Communications Operating, LLC Replacement | ||||
Term Loan, 3.18% – 3.36%, 3/06/14 | 1,741 | 1,382,082 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 13
Schedule of Investments (continued)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Media (concluded) | ||||
Clarke American Corp. Tranche B Term Loan, | ||||
2.979% – 3.959%, 6/30/14 | USD | 1,480 | $ | 871,661 |
Dex Media West LLC Tranche B Term Loan, | ||||
7%, 10/24/14 | 750 | 360,000 | ||
Discovery Communications Holding, LLC Term Loan B, | ||||
3.459%, 5/14/14 | 987 | 895,053 | ||
FoxCo Acquisition Sub, LLC Term Loan, | ||||
7.25%, 7/14/15 | 749 | 384,358 | ||
Getty Images, Inc Initial Term Loan, | ||||
6.25% – 7.25%, 7/02/15 | 497 | 472,860 | ||
Gray Television, Inc. Term Loan B – DD, | ||||
1.95% – 2.93%, 12/31/14 | 483 | 242,325 | ||
HMH Publishing Co. Ltd. (fka Education Media) | ||||
Tranche A Term Loan, 5.256%, 6/12/14 | 1,995 | 1,122,188 | ||
Hanley-Wood, LLC (FSC Acquisition) Term Loan, | ||||
2.695% – 2.729%, 3/08/14 | 496 | 180,297 | ||
Hargray Acquisition Co./DPC Acquisition LLC/HCP | ||||
Acquisition LLC, Term Loan (First Lien), | ||||
3.486%, 6/27/14 | 491 | 387,741 | ||
Idearc Inc (Verizon) Tranche B Term Loan, | ||||
2.48% – 3.46%, 11/17/14 | 368 | 128,477 | ||
Insight Midwest Holdings, LLC B Term Loan, | ||||
2.42%, 4/07/14 | 1,000 | 879,583 | ||
Intelsat Corp. (fka PanAmSat Corp.): | ||||
Term B-2-B, 3.925%, 1/03/14 | 663 | 566,489 | ||
Term B-2-C, 3.925%, 1/03/14 | 663 | 566,489 | ||
Tranche B-2-A Term Loan, 3.925%, 1/03/14 | 663 | 566,661 | ||
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG): | ||||
Facility B1, 4.589%, 6/28/15 | EUR | 1,010 | 114,483 | |
Facility C1, 4.839%, 6/30/16 | 1,010 | 114,483 | ||
Local TV Finance, LLC Term Loan, 2.48%, 5/07/13 | USD | 1,982 | 832,605 | |
MCC Iowa LLC (Mediacom Broadband Group): | ||||
Tranche D-1 Term Loan, 2.12%, 1/31/15 | 879 | 747,567 | ||
Tranche D-2 Term Loan, 2.12%, 1/31/15 | 248 | 210,886 | ||
Mediacom Illinois, LLC (fka Mediacom | ||||
Communications, LLC) Tranche C Term Loan, | ||||
1.87%, 1/31/15 | 735 | 610,384 | ||
NTL Cable Plc: | ||||
Term Loan, 4.392%, 11/19/37 | GBP | 389 | 447,261 | |
Term Loan B, 5.892%, 9/03/12 | 469 | 538,117 | ||
NV Broadcasting, LLC Term Loan (First Lien), | ||||
5.22%, 11/01/13 | USD | 1,639 | 639,148 | |
Newsday, LLC: | ||||
Fixed Rate Term Loan, 9.75%, 8/01/13 | 250 | 225,625 | ||
Floating Rate Term Loan, 6.594%, 8/01/13 (a) | 500 | 438,750 | ||
Nielsen Finance LLC Dollar Term Loan, | ||||
2.448%, 8/09/13 | 2,472 | 1,939,626 | ||
Parkin Broadcasting, LLC Term Loan, 5.22%, 11/01/13 | 336 | 131,106 | ||
Sunshine Acquisition Ltd. (aka HIT Entertainment) | ||||
Term Facility, 3.49%, 7/31/14 | 1,751 | 831,623 | ||
TWCC Holding Corp. Term Loan, 7.25%, 9/14/15 | 399 | 380,646 | ||
UPC Financing Partnership: | ||||
Facility N, 2.163%, 12/31/14 | 250 | 211,875 | ||
M Facility, 3.759%, 12/31/14 | EUR | 750 | 694,957 | |
M Facility, 3.759%, 11/19/37 | 650 | 602,296 | ||
Virgin Media NTL Term Loan B, | ||||
5.892%, 9/03/12 | GBP | 281 | 321,915 | |
27,559,135 | ||||
Metals & Mining — 0.7% | ||||
Algoma Steel Inc. Term Loan, 2.92%, 6/20/13 | USD | 995 | 587,020 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Multi-Utilities — 0.5% | ||||
FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | ||||
First Lien Term Loan B, 4.125%, 11/01/13 | USD | 443 | $ | 369,847 |
Synthetic Letter of Credit, 2.65%, 11/01/13 | 57 | 47,653 | ||
417,500 | ||||
Multiline Retail — 1.5% | ||||
Dollar General Corp. Tranche B-1 Term Loan, | ||||
3.198% – 3.924%, 7/07/14 | 1,500 | 1,295,114 | ||
Oil, Gas & Consumable Fuels — 1.7% | ||||
Petroleum GEO-Services ASA/PGS Finance, Inc. | ||||
Term Loan, 3.21%, 6/29/15 | 1,458 | 1,047,419 | ||
Vulcan Energy Corp. (fka Plains Resources, Inc.) | ||||
Term B3 Loan, 5.50%, 8/12/11 | 500 | 432,500 | ||
1,479,919 | ||||
Paper & Forest Products — 3.5% | ||||
Georgia-Pacific LLC Term B Loan, | ||||
2.956% – 4.189%, 12/20/12 | 2,667 | 2,301,967 | ||
NewPage Corp. Term Loan, 5.313%, 12/22/14 | 1,233 | 750,718 | ||
3,052,685 | ||||
Personal Products — 0.9% | ||||
American Safety Razor Co., LLC Loan (Second Lien), | ||||
6.73%, 1/30/14 | 1,250 | 800,000 | ||
Pharmaceuticals — 0.9% | ||||
Warner Chilcott Co., Inc. Tranche B Acquisition Date | ||||
Term Loan, 3.459%, 1/18/12 | 579 | 522,445 | ||
Warner Chilcott Corp. Tranche C Acquisition Date | ||||
Term Loan, 3.459%, 1/18/12 | 269 | 242,722 | ||
765,167 | ||||
Professional Services — 1.1% | ||||
Booz Allen Hamilton Inc. Tranche B Term Loan,�� | ||||
7.50%, 7/31/15 | 998 | 939,146 | ||
Real Estate Management & Development — 0.3% | ||||
Capital Automotive LP Term Loan, 2.17%, 12/16/10 | 600 | 280,000 | ||
Road & Rail — 0.8% | ||||
RailAmerica, Inc.: | ||||
Canadian Term Loan, 5.44%, 8/14/09 | 65 | 58,707 | ||
U.S. Term Loan, 5.44%, 8/14/09 | 685 | 616,293 | ||
675,000 | ||||
Specialty Retail — 2.2% | ||||
Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan, | ||||
2.73% – 3.709%, 10/20/13 | 928 | 623,983 | ||
General Nutrition Centers, Inc. Term Loan, | ||||
3.69% – 3.72%, 9/16/13 | 990 | 720,170 | ||
Michaels Stores, Inc. Term Loan B, | ||||
2.688% – 3.313%, 10/31/13 | 990 | 553,505 | ||
1,897,658 | ||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||
Hanesbrands Inc. Term B Loan (First Lien), | ||||
2.909% – 4%, 9/05/13 | 436 | 408,322 | ||
Wireless Telecommunication Services — 3.4% | ||||
Cricket Communications, Inc. (aka Leap Wireless) | ||||
Term B Loan, 6.50%, 6/16/13 | 1,070 | 989,970 | ||
MetroPCS Wireless, Inc. New Tranche B Term Loan, | ||||
2.75% – 3.438%, 11/03/13 | 1,536 | 1,331,492 | ||
Ntelos, Inc. Term B-1 Facility, 2.73%, 8/24/11 | 742 | 675,479 | ||
2,996,941 | ||||
Total Floating Rate Loan Interests — 126.2% | 110,280,627 |
See Notes to Financial Statements.
14 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (concluded)
BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Par | |||
Corporate Bonds | (000) | Value | |
Diversified Telecommunication Services — 0.7% | |||
Qwest Corp., 5.246%, 6/15/13 (a) | USD 750 | $ | 635,625 |
Total Corporate Bonds — 0.7% | 635,625 | ||
Total Long-Term Investments | |||
(Cost — $146,762,245) — 126.9% | 110,916,252 | ||
Beneficial | |||
Interest | |||
Short-Term Securities | (000) | ||
BlackRock Liquidity Series, LLC | |||
Cash Sweep Series, 0.73% (b)(c) | 2,338 | 2,338,274 | |
Total Short-Term Securities | |||
(Cost — $2,338,274) — 2.7% | 2,338,274 | ||
Total Investments (Cost — $149,100,519*) — 129.6% | 113,254,526 | ||
Liabilities in Excess of Other Assets — (29.6)% | (25,860,529) | ||
Net Assets — 100.0% | $ 87,393,997 |
* The cost and unrealized appreciation (depreciation) of investments as of February
28, 2009, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 148,898,929 | |
Gross unrealized appreciation | $ | 98,628 |
Gross unrealized depreciation | (35,743,031) | |
Net unrealized depreciation | $ | (35,644,403) |
(a) Variable rate security. Rate shown is as of report date.
(b) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Net | ||
Affiliate | Activity | Income |
BlackRock Liquidity Series, LLC | ||
Cash Sweep Series | USD (27,287) | $14,960 |
(c) Represents the current yield as of report date.
•For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine indus
try sub-classifications for reporting ease.
•Foreign currency exchange contracts as of February 28, 2009 were as follows:
Currency | Currency | Settlement | Unrealized | ||||
Purchased | Sold | Counterparty | Date | Appreciation | |||
USD | 5,195,272 | EUR | 3,963,000 | Deutsche Bank AG 3/18/09 | $ | 172,291 | |
USD | 644,025 | EUR | 500,000 | UBS AG | 3/18/09 | 10,252 | |
USD | 209,232 | EUR | 165,000 | UBS AG | 3/18/09 | 87 | |
USD | 2,101,838 | GBP | 1,418,500 | Deutsche Bank AG 3/18/09 | 71,293 | ||
USD | 217,518 | GBP | 150,000 | UBS AG | 3/18/09 | 2,797 | |
Total | $ | 256,720 |
•Credit default swaps on traded indexes — sold protection outstanding as of
February 28, 2009 were as follows:
Received | Notional | |||||
Fixed | Counter- | Credit | Amount | Unrealized | ||
Issuer | Rate | party | Expiration | Rating1 | (000)2 | Depreciation |
LCDX Index | 3.25% | JPMorgan | June | B– | USD 1,000 | $(26,702) |
Chase Bank | 2013 |
1 Using Standard and Poor’s weighted average ratings of the underlying securities
in the index.
2 The maximum potential amount the Fund may pay should a negative credit
event take place as defined under the terms of the agreement.
•Currency Abbreviations: | |
EUR | Euro |
GBP | British Pound |
USD | U.S. Dollar |
•Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157, “Fair Value Measurements,” clarifies the definition of fair value, establishes
a framework for measuring fair values and requires additional disclosures about the
use of fair value measurements. Various inputs are used in determining the fair
value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical securities
•Level 2 — other observable inputs (including, but not limited to: quoted prices
for 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
circumstance, to the extent observable inputs are not available (including the
Fund’s own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Fund’s policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of February 28, 2009 in
determining the fair valuation of the Fund’s investments:
Valuation | Investments in | Other Financial | |||
Inputs | Securities | Instruments* | |||
Assets | Assets | Liabilities | |||
Level 1 | — | — | — | ||
Level 2 | $ 86,549,621 | $ | 256,720 | $ | (26,702) |
Level 3 | 26,704,905 | — | — | ||
Total | $113,254,526 | $ | 256,720 | $ | (26,702) |
* Other financial instruments are foreign currency exchange contracts and swaps,
which are valued at the unrealized appreciation/depreciation on the instrument.
The following is a reconciliation of investments for unobservable inputs (Level 3)
that were used in determining fair value:
Investments in | ||
Securities | ||
Assets | ||
Balance as of August 31, 2008 | $ | 4,841,355 |
Accrued discounts/premiums | 224,400 | |
Realized loss | (275,118) | |
Change in unrealized appreciation/depreciation1 | (15,927,562) | |
Net sales | (2,114,803) | |
Net transfers in Level 3 | 39,956,633 | |
Balance as of February 28, 2009 | $ | 26,704,905 |
1 Included in the related net change in unrealized appreciation/depreciation on
the Statements of Operations.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 15
Schedule of Investments February 28, 2009 (Unaudited)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Airlines — 0.5% | ||||
US Airways Group, Inc. Loan, 2.979%, 3/21/14 | USD | 740 | $ | 336,469 |
Auto Components — 2.8% | ||||
Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14 | 1,954 | 1,294,426 | ||
Dana Holding Corp. Term Advance, 7.25%, 1/31/15 | 887 | 270,080 | ||
Intermet Corp.: | ||||
Term Loan B PIK, 7.696%, 11/08/10 (a) | 110 | 43,816 | ||
Term Loan B, 7.696%, 11/08/10 (b)(c) | 402 | 160,797 | ||
Synth Letter of Credit, 2.343%, 11/09/10 (b)(c) | 335 | 134,110 | ||
Synth Letter of Credit PIK, 2.343%, 11/09/10 (a) | 25 | 10,111 | ||
Metaldyne Co. LLC: | ||||
Deposit Funded Loan, 0.347% – 5.125%, 1/11/12 | 87 | 10,385 | ||
Initial Tranche B Term Loan, 8% – 9.87%, 1/13/14 | 590 | 70,804 | ||
1,994,529 | ||||
Automobiles — 0.3% | ||||
Ford Motor Co. Term Loan, 5%, 12/15/13 | 323 | 103,176 | ||
General Motors Corp. Secured Term Loan, | ||||
4.148%, 11/29/13 | 248 | 88,873 | ||
192,049 | ||||
Beverages — 0.2% | ||||
Culligan International Co. Loan (Second Lien), | ||||
6.485% – 8.536%, 4/24/13 | EUR | 500 | 111,985 | |
Building Products — 0.7% | ||||
Stile Acquisition Corp. (aka Masonite): | ||||
Canadian Term Loan, 6.25%, 4/06/13 | USD | 566 | 231,335 | |
US Term Loan, 6.75%, 4/06/13 | 572 | 233,590 | ||
464,925 | ||||
Chemicals — 4.2% | ||||
Edwards (Cayman Islands II) Ltd. Term Loan (First Lien), | ||||
2.479%, 5/31/14 | 493 | 295,500 | ||
Huish Detergents Inc. Tranche B Term Loan, | ||||
2.17%, 4/26/14 | 243 | 205,853 | ||
ISP Chemco LLC Term Loan, 2% – 2.75%, 6/04/14 | 493 | 412,059 | ||
PQ Corp. (fka Niagara Acquisition, Inc.): | ||||
Loan (Second Lien), 7.68%, 7/30/15 | 3,250 | 1,137,500 | ||
Term Loan (First Lien), 4.43% – 4.71%, 7/31/14 | 498 | 297,256 | ||
Solutia Inc. Loan, 8.50%, 2/28/14 | 995 | 639,271 | ||
2,987,439 | ||||
Commercial Services & Supplies — 1.7% | ||||
NES Rentals Holdings, Inc. Permanent Term Loan | ||||
(Second-Lien), 8%, 7/20/13 | 1,726 | 828,342 | ||
West Corp. Term B-2 Loan, | ||||
2.82% – 2.854%, 10/24/13 | 556 | 407,186 | ||
1,235,528 | ||||
Computers & Peripherals — 1.2% | ||||
Dealer Computer Services, Inc. (Reynolds & Reynolds) | ||||
Term Loan (First Lien), 2.479%, 10/26/12 | 663 | 431,155 | ||
Intergraph Corp. Second Lien Term Loan, | ||||
6.479% – 7.256%, 11/28/14 | 500 | 412,500 | ||
843,655 | ||||
Construction & Engineering — 0.2% | ||||
Brand Energy & Infrastructure Services, Inc. (FR Brand | ||||
Acquisition Corp.) Second Lien Term Loan, | ||||
3.688% – 3.75%, 2/07/15 | 491 | 147,375 | ||
Containers & Packaging — 0.9% | ||||
Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 | 3,086 | 617,222 | ||
Diversified Consumer Services — 1.6% | ||||
Coinmach Corp. Term Loan, 3.47% – 4.26%, 11/14/14 | 1,737 | 1,128,947 | ||
Diversified Financial Services — 0.3% | ||||
J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14 | 2,000 | 180,000 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Diversified Telecommunication Services — 3.0% | ||||
Hawaiian Telcom Communications, Inc. Tranche C | ||||
Term Loan, 4.75%, 5/30/14 | USD | 1,500 | $ | 625,313 |
Wind Acquisition Holdings Finance S.A. Dollar PIK | ||||
Loan, 8.393%, 12/21/11 | 2,179 | 1,481,502 | ||
2,106,815 | ||||
Electrical Equipment — 0.4% | ||||
Generac Acquisition Corp. First Lien Term Loan, | ||||
2.919%, 11/10/13 | 494 | 264,258 | ||
Energy Equipment & Services — 1.9% | ||||
Dresser, Inc. Term B Loan, | ||||
2.729% – 3.488%, 5/04/14 | 970 | 696,874 | ||
MEG Energy Corp.: | ||||
Delayed Draw Term Loan, 3.46%, 4/02/13 | 496 | 307,288 | ||
Initial Term Loan, 3.46%, 4/03/13 | 486 | 301,475 | ||
1,305,637 | ||||
Food & Staples Retailing — 1.1% | ||||
McJunkin Corp. Term Loan, 4.709%, 1/31/14 | 735 | 535,325 | ||
WM. Bolthouse Farms, Inc. Second Lien Term Loan, | ||||
5.979%, 12/16/13 | 500 | 272,500 | ||
807,825 | ||||
Food Products — 2.2% | ||||
Dole Food Co., Inc.: | ||||
Credit-Linked Deposit, 0.66%, 4/12/13 | 86 | 77,368 | ||
Tranche B Term Loan, 2.50% – 4.25%, 4/12/13 | 153 | 136,776 | ||
JRD Holdings, Inc. (Jetro Holdings) Term Loan, | ||||
2.697%, 7/02/14 | 484 | 421,406 | ||
Solvest, Ltd. (Dole) Tranche C Term Loan, | ||||
2.563% – 4.25%, 4/12/13 | 568 | 509,588 | ||
Sturm Foods, Inc.: | ||||
Initial Term Loan First Loan, | ||||
3.438% – 3.75%, 1/31/14 (a) | 491 | 278,784 | ||
Initial Term Loan Second Lien, 7.25%, 7/31/14 | 500 | 125,000 | ||
1,548,922 | ||||
Health Care Equipment & Supplies — 1.2% | ||||
DJO Finance LLC (ReAble Therapeutics Fin LLC) | ||||
Term Loan, 3.479% – 4.459%, 5/20/14 | 743 | 617,513 | ||
Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13 | 254 | 228,521 | ||
846,034 | ||||
Health Care Providers & Services — 0.7% | ||||
CCS Medical, Inc. (Chronic Care) Term Loan (First Lien), | ||||
4.71%, 9/30/12 | 484 | 217,647 | ||
Health Management Associates, Inc. Term B Loan, | ||||
3.209%, 2/28/14 | 379 | 302,197 | ||
519,844 | ||||
Hotels, Restaurants & Leisure — 2.2% | ||||
Golden Nugget, Inc. Second Lien Term Loan, | ||||
3.73%, 12/31/14 | 500 | 65,000 | ||
Green Valley Ranch Gaming, LLC Second Lien | ||||
Term Loan, 3.697%, 8/16/14 | 500 | 25,000 | ||
Harrah's Operating Co., Inc. Term B-2 Loan, | ||||
4.159% – 4.459%, 1/28/15 | 496 | 288,652 | ||
Lake at Las Vegas Joint Venture/LLV-1, LLC (b)(c): | ||||
Revolving Loan Credit-Linked Deposit Account, | ||||
11.75%, 6/20/12 | 120 | 5,617 | ||
Term Loan, 11.75%, 6/20/12 | 1,125 | 52,510 | ||
Las Vegas Sands, LLC: | ||||
Delayed Draw I Term Loan, 2.16%, 5/23/14 | 199 | 87,809 | ||
Tranche B Term Loan, 2.16%, 5/23/14 | 788 | 347,705 | ||
QCE, LLC (Quiznos) Term Loan (Second Lien), | ||||
7.218%, 11/05/13 | 1,000 | 335,000 | ||
VML US Finance LLC (aka Venetian Macau) Term B: | ||||
Delayed Draw Project Loan, 2.73%, 5/25/12 | 76 | 43,957 | ||
Funded Project Loan, 2.73%, 5/27/13 | 549 | 316,038 | ||
1,567,288 |
See Notes to Financial Statements.
16 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Household Durables — 1.2% | ||||
American Residential Services LLC Term Loan | ||||
(Second Lien), 12%, 4/17/15 | USD | 1,010 | $ | 862,729 |
IT Services — 3.7% | ||||
Activant Solutions Inc. Term Loan, 3.438%, 5/02/13 | 1,570 | 737,792 | ||
Audio Visual Services Group, Inc.: | ||||
Loan (Second Lien), 6.96%, 8/28/14 | 500 | 35,000 | ||
Tranche B Term Loan (First Lien), 3.71%, 2/28/14 | 988 | 276,500 | ||
Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14 | 1,000 | 690,000 | ||
First Data Corp.: | ||||
Initial Tranche B-2 Term Loan, | ||||
3.223% – 3.229%, 9/24/14 | 1,139 | 747,925 | ||
Initial Tranche B-3 Term Loan, | ||||
3.223% – 3.229%, 9/24/14 | 122 | 79,626 | ||
2,566,843 | ||||
Independent Power Producers & Energy Traders — 0.7% | ||||
Texas Competitive Electric Holdings Co., LLC (TXU) Initial | ||||
Tranche B-2 Term Loan, 3.909% – 4.451%, 10/10/14 | 738 | 460,494 | ||
Industrial Conglomerates — 0.3% | ||||
Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14 | 398 | 242,488 | ||
Insurance — 0.5% | ||||
Alliant Insurance Services Term Loan B, | ||||
4.459%, 10/23/14 | 494 | 370,313 | ||
Internet & Catalog Retail — 0.6% | ||||
FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14 | 499 | 426,431 | ||
Machinery — 3.2% | ||||
Navistar International Corp.: | ||||
Revolving Credit-Linked Deposit, | ||||
3.677% – 3.729%, 1/19/12 | 800 | 572,666 | ||
Term Advance, 3.729%, 1/19/12 | 2,200 | 1,574,833 | ||
Rexnord Holdings, Inc Loan, 9.181%, 3/01/13 | 390 | 97,502 | ||
2,245,001 | ||||
Media — 19.5% | ||||
Affinion Group Holdings, Inc. Loan, 8.523%, 3/01/12 | 1,150 | 517,500 | ||
AlixPartners, LLP Tranche C Term Loan, | ||||
2.94% – 3.36%, 10/12/13 | 506 | 435,258 | ||
Cengage Learning Acquisitions, Inc. (Thomson Learning) | ||||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 2,236 | 1,565,379 | ||
Cequel Communications, LLC (aka Cebridge): | ||||
Second Lien Tranche A Term Loan (Cash Pay), | ||||
4.913%, 5/05/14 | 2,000 | 1,225,000 | ||
Term Loan, 2.445% – 4.25%, 11/05/13 | 793 | 668,427 | ||
EB Sports Corp Loan, 9.27%, 5/01/12 | 1,327 | 331,759 | ||
Ellis Communications KDOC, LLC Loan, 10%, 12/30/11 | 1,948 | 1,168,611 | ||
HMH Publishing Co. Ltd. (fka Education Media): | ||||
Mezzanine, 10.756%, 11/14/14 | 5,862 | 1,758,777 | ||
Tranche A Term Loan, 5.256%, 6/12/14 | 1,534 | 862,894 | ||
Insight Midwest Holdings, LLC B Term Loan, | ||||
2.42%, 4/07/14 | 475 | 417,802 | ||
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG) | ||||
Facility B1, 4.589%, 6/30/15 | EUR | 337 | 38,161 | |
NEP II, Inc. Term B Loan, 2.729%, 2/18/14 | USD | 482 | 390,816 | |
Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13 | 2,000 | 1,805,000 | ||
Nielsen Finance LLC Dollar Term Loan, 2.448%, 8/09/13 | 1,955 | 1,533,874 | ||
Penton Media, Inc.: | ||||
Loan (Second Lien), 2.729% – 3.424%, 2/01/14 | 983 | 109,303 | ||
Term Loan (First Lien), 6.174%, 2/01/13 | 1,000 | 372,500 | ||
TWCC Holding Corp. Term Loan, 7.25%, 9/14/15 | 499 | 475,808 | ||
13,676,869 | ||||
Metals & Mining — 0.7% | ||||
Euramax International, Inc.: | ||||
Domestic Loan (Second Lien), 13%, 6/29/13 | 503 | 75,375 | ||
Domestic Term Loan, 8.75%, 6/29/12 | 1,224 | 397,697 | ||
473,072 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Multiline Retail — 0.3% | ||||
Dollar General Corp. Tranche B-2 Term Loan, | ||||
3.229%, 7/07/14 | USD | 250 | $ | 205,813 |
Oil, Gas & Consumable Fuels — 5.7% | ||||
Petroleum GEO-Services ASA/PGS Finance, Inc. | ||||
Term Loan, 3.21%, 6/29/15 | 477 | 342,405 | ||
ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14 | 2,000 | 1,610,000 | ||
Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18 | 1,717 | 1,373,350 | ||
Vulcan Energy Corp. (fka Plains Resources, Inc.) | ||||
Term B3 Loan, 5.50%, 8/12/11 | 750 | 648,750 | ||
3,974,505 | ||||
Real Estate Management & Development — 0.8% | ||||
LNR Property Corp. Initial Tranche B Term Loan, | ||||
3.92%, 7/12/11 | 1,140 | 598,500 | ||
Software — 1.0% | ||||
Aspect Software, Inc. Loan (Second Lien), | ||||
8.313%, 7/11/12 | USD | 2,500 | 750,000 | |
Total Floating Rate Loan Interests — 65.6% | 46,059,804 | |||
Corporate Bonds | ||||
Auto Components — 2.6% | ||||
Allison Transmission, Inc. (d): | ||||
11%, 11/01/15 | 95 | 46,075 | ||
11.25%, 11/01/15 (a) | 305 | 117,425 | ||
The Goodyear Tire & Rubber Co., 8.625%, 12/01/11 | 2,000 | 1,600,000 | ||
Lear Corp., 8.75%, 12/01/16 | 255 | 43,350 | ||
1,806,850 | ||||
Building Products — 3.0% | ||||
CPG International I, Inc., 8.561%, 7/01/12 (e) | 2,500 | 1,325,000 | ||
Momentive Performance Materials, Inc. Series WI, | ||||
9.75%, 12/01/14 | 400 | 152,000 | ||
Ply Gem Industries, Inc., 11.75%, 6/15/13 | 1,350 | 621,000 | ||
2,098,000 | ||||
Capital Markets — 2.1% | ||||
E*Trade Financial Corp., 12.50%, 11/30/17 | 2,125 | 977,500 | ||
Marsico Parent Co., LLC, 10.625%, 1/15/16 (d) | 724 | 296,840 | ||
Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(d) | 283 | 116,198 | ||
Marsico Parent Superholdco, LLC, | ||||
14.50%, 1/15/18 (a)(d) | 193 | 79,423 | ||
1,469,961 | ||||
Chemicals — 2.1% | ||||
American Pacific Corp., 9%, 2/01/15 | 440 | 369,600 | ||
Wellman Holdings, Inc. (f): | ||||
Second Lien Subordinate Note, 10%, 1/29/19 | 894 | 894,000 | ||
Third Lien Subordinate Note, 5%, 1/29/19 | 272 | 190,400 | ||
1,454,000 | ||||
Commercial Services & Supplies — 0.9% | ||||
West Corp., 11%, 10/15/16 | 985 | 630,400 | ||
Construction Materials — 1.2% | ||||
Nortek, Inc., 10%, 12/01/13 | 2,050 | 820,000 | ||
Containers & Packaging — 8.6% | ||||
Berry Plastics Holding Corp., 5.871%, 9/15/14 (e) | 2,235 | 1,039,275 | ||
Packaging Dynamics Finance Corp., 10%, 5/01/16 (d) | 1,570 | 675,100 | ||
Smurfit Kappa Funding Plc, 7.75%, 4/01/15 (g) | 5,000 | 2,912,500 | ||
Smurfit-Stone Container Enterprises, Inc., | ||||
8%, 3/15/17 (b)(c) | 780 | 68,250 | ||
Wise Metals Group LLC, 10.25%, 5/15/12 | 2,750 | 1,347,500 | ||
6,042,625 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 17
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
Par | ||||
Corporate Bonds | (000) | Value | ||
Diversified Financial Services — 3.1% | ||||
FCE Bank Plc, 7.125%, 1/16/12 | EUR | 2,300 | $ | 1,778,651 |
Ford Motor Credit Co. LLC, 4.01%, 1/13/12 (e) | USD | 815 | 399,350 | |
2,178,001 | ||||
Food Products — 1.0% | ||||
Tyson Foods, Inc., 10.50%, 3/01/14 (d) | 750 | 706,875 | ||
Hotels, Restaurants & Leisure — 4.9% | ||||
Harrahs Operating Co., Inc.: | ||||
10%, 12/15/15 (d) | 220 | 61,600 | ||
10.75%, 2/01/16 | 1,992 | 278,880 | ||
10.75%, 2/01/18 (a) | 944 | 57,941 | ||
10%, 12/15/18 (d) | 938 | 262,640 | ||
Little Traverse Bay Bands of Odawa Indians, | ||||
10.25%, 2/15/14 (d) | 800 | 368,000 | ||
Shingle Springs Tribal Gaming Authority, | ||||
9.375%, 6/15/15 (d) | 410 | 239,850 | ||
Snoqualmie Entertainment Authority, | ||||
5.384%, 2/01/14 (d)(e) | 305 | 164,700 | ||
Travelport LLC, 5.886%, 9/01/14 (e) | 810 | 259,200 | ||
Tropicana Entertainment LLC Series WI, | ||||
9.625%, 12/15/14 (b)(c) | 120 | 1,200 | ||
Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (d) | 1,000 | 800,000 | ||
Universal City Florida Holding Co. I, | ||||
5.92%, 5/01/10 (e) | 2,025 | 972,000 | ||
3,466,011 | ||||
Household Durables — 0.5% | ||||
Stanley-Martin Communities LLC, 9.75%, 8/15/15 | 1,250 | 350,000 | ||
IT Services — 0.3% | ||||
Alliance Data Systems Corp., 1.75%, 8/01/13 (d)(f) | 370 | 246,975 | ||
Independent Power Producers & Energy Traders — 2.1% | ||||
Dynegy Holdings, Inc., 8.375%, 5/01/16 | 1,000 | 635,000 | ||
Energy Future Holdings Corp., 11.25%, 11/01/17 (a) | 1,000 | 440,000 | ||
Texas Competitive Electric Holdings Co. LLC, | ||||
10.50%, 11/01/16 (a) | 800 | 384,000 | ||
1,459,000 | ||||
Industrial Conglomerates — 0.7% | ||||
Sequa Corp. (d): | ||||
11.75%, 12/01/15 | 1,530 | 244,800 | ||
13.50%, 12/01/15 (a) | 2,132 | 255,068 | ||
499,868 | ||||
Insurance — 0.3% | ||||
USI Holdings Corp., 5.113%, 11/15/14 (d)(e) | 490 | 232,750 | ||
Machinery — 1.9% | ||||
ESCO Corp., 5.871%, 12/15/13 (d)(e) | 920 | 570,400 | ||
RBS Global, Inc., 8.875%, 9/01/16 | 505 | 380,013 | ||
Titan International, Inc., 8%, 1/15/12 | 460 | 369,150 | ||
1,319,563 | ||||
Marine — 0.1% | ||||
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 | 141 | 84,600 | ||
Media — 4.3% | ||||
Affinion Group, Inc., 10.125%, 10/15/13 | 320 | 248,000 | ||
CSC Holdings, Inc., 8.50%, 4/15/14 (d) | 180 | 172,800 | ||
Canadian Satellite Radio Holdings, Inc., | ||||
12.75%, 2/15/14 | 3,000 | 607,500 | ||
Local Insight Regatta Hldgs, Inc., 11%, 12/01/17 | 832 | 199,680 | ||
TL Acquisitions, Inc., 10.50%, 1/15/15 (d) | 1,570 | 737,900 | ||
Virgin Media, Inc., 6.50%, 11/15/16 (d)(f) | 2,000 | 1,045,000 | ||
3,010,880 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Metals & Mining — 1.9% | ||||
Aleris International, Inc. (b)(c): | ||||
9%, 12/15/14 | USD | 370 | $ | 37 |
10%, 12/15/16 | 500 | 625 | ||
RathGibson, Inc., 11.25%, 2/15/14 | 1,390 | 305,800 | ||
Ryerson, Inc., 8.545%, 11/01/14 (d)(e) | 2,010 | 1,025,100 | ||
1,331,562 | ||||
Oil, Gas & Consumable Fuels — 4.8% | ||||
Chesapeake Energy Corp., 9.50%, 2/15/15 | 800 | 744,000 | ||
Denbury Resources, Inc., 9.75%, 3/01/16 | 1,500 | 1,410,000 | ||
Forest Oil Corp., 8.50%, 2/15/14 (d) | 640 | 582,400 | ||
SandRidge Energy, Inc., 5.06%, 4/01/14 (e) | 1,000 | 657,172 | ||
3,393,572 | ||||
Paper & Forest Products — 5.7% | ||||
Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (e) | 5,000 | 450,000 | ||
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)(d) | 2,623 | 1,183,870 | ||
Bowater, Inc., 9%, 8/01/09 | 190 | 48,450 | ||
NewPage Corp.: | ||||
7.42%, 5/01/12 (e) | 3,000 | 720,000 | ||
10%, 5/01/12 | 1,820 | 550,550 | ||
Verso Paper Holdings LLC Series B, | ||||
4.92%, 8/01/14 (e) | 4,000 | 1,040,000 | ||
3,992,870 | ||||
Pharmaceuticals — 1.3% | ||||
Angiotech Pharmaceuticals, Inc., | ||||
5.011%, 12/01/13 (e) | 1,500 | 918,750 | ||
Real Estate Management & Development — 1.0% | ||||
Realogy Corp.: | ||||
10.50%, 4/15/14 | 2,445 | 513,450 | ||
12.375%, 4/15/15 | 1,460 | 175,200 | ||
688,650 | ||||
Semiconductors & Semiconductor Equipment — 0.9% | ||||
Avago Technologies Finance Pte. Ltd., | ||||
6.761%, 6/01/13 (e) | 400 | 314,000 | ||
Spansion, Inc., 4.386%, 6/01/13 (b)(c)(d) | 1,410 | 329,588 | ||
643,588 | ||||
Software — 0.1% | ||||
BMS Holdings, Inc., 9.224%, 2/15/12 (a)(d)(e) | 446 | 107,517 | ||
Specialty Retail — 2.4% | ||||
Buffets, Inc., 12.50%, 11/01/14 (b)(c) | 360 | 36 | ||
General Nutrition Centers, Inc., 7.584%, 3/15/14 (a)(e) | 1,670 | 985,300 | ||
Michaels Stores, Inc.: | ||||
10%, 11/01/14 | 715 | 243,994 | ||
11.375%, 11/01/16 | 1,135 | 268,144 | ||
United Auto Group, Inc., 7.75%, 12/15/16 | 355 | 170,400 | ||
1,667,874 | ||||
Wireless Telecommunication Services — 5.9% | ||||
BCM Ireland Preferred Equity Ltd., | ||||
8.959%, 2/15/17 (a)(d) | EUR | 438 | 27,755 | |
Crown Castle International Corp., 9%, 1/15/15 | USD | 215 | 209,625 | |
Digicel Group Ltd. (d): | ||||
8.875%, 1/15/15 | 1,070 | 797,150 | ||
9.125%, 1/15/15 (a) | 2,129 | 1,490,300 | ||
iPCS, Inc., 3.295%, 5/01/13 (e) | 200 | 144,000 | ||
Nordic Telephone Co. Holdings ApS (d): | ||||
8.875%, 5/01/16 | 800 | 728,000 | ||
10.357%, 5/01/16 (e) | EUR | 500 | 526,115 | |
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a) | USD | 325 | 195,000 | |
4,117,945 | ||||
Total Corporate Bonds — 63.7% | 44,738,687 |
See Notes to Financial Statements.
18 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
(Percentages shown are based on Net Assets)
Non-U.S. Government Agency | Par | ||
Mortgage-Backed Securities | (000) | Value | |
Commercial Mortgage-Backed Securities — 1.5% | |||
Crown Castle Towers LLC: | |||
Series 2005-1A Class AFL, 0.841%, 6/15/35 (e) | USD 785 | $ | 714,350 |
Series 2005-1A Class AFX, 4.643%, 6/15/35 (d) | 220 | 210,100 | |
Global Signal Trust Series 2006-1 Class A2, | |||
5.45%, 2/15/36 | 125 | 116,875 | |
Total Non-U.S.Government Agency Mortgage-Backed | |||
Securities — 1.5% | 1,041,325 | ||
Asset-Backed Securities | |||
North Street Referenced Linked Notes 2000-1 Ltd. | |||
Series 2005-8A Class D, 16.496%, 6/15/41 (d)(e) | 1,350 | 62,019 | |
Total Asset-Backed Securities — 0.1% | 62,019 | ||
Capital Trusts | |||
Diversified Financial Services — 0.3% | |||
Citigroup, Inc. Series E, 8.40% (e)(h) | 690 | 241,569 | |
Total Capital Trusts — 0.3% | 241,569 | ||
Common Stocks | Shares | ||
Capital Markets — 0.1% | |||
E*Trade Financial Corp. (b) | 96,809 | 77,447 | |
Chemicals — 0.0% | |||
Wellman Holdings, Inc. | 1,613 | 403 | |
Electrical Equipment — 0.1% | |||
Medis Technologies Ltd. (b) | 176,126 | 100,392 | |
Oil, Gas & Consumable Fuels — 0.9% | |||
EXCO Resources, Inc. (b) | 72,787 | 663,089 | |
Paper & Forest Products — 0.5% | |||
Ainsworth Lumber Co. Ltd. | 311,678 | 176,394 | |
Ainsworth Lumber Co. Ltd. (b)(d) | 349,782 | 198,481 | |
374,875 | |||
Total Common Stocks — 1.6% | 1,216,206 | ||
Preferred Stocks | |||
Capital Markets — 0.0% | |||
Marsico Parent Superholdco, LLC, 16.75% (d) | 48 | 20,880 | |
Total Preferred Stocks — 0.0% | 20,880 | ||
Total Long-Term Investments | |||
(Cost — $199,041,581) — 132.8% | 93,380,490 | ||
Beneficial | |||
Interest | |||
Short-Term Securities | (000) | ||
BlackRock Liquidity Series, LLC | |||
Cash Sweep Series, 0.73% (i)(j) | USD 2,757 | 2,757,179 | |
Total Short-Term Securities | |||
(Cost — $2,757,179) — 3.9% | 2,757,179 |
Options Purchased | Contracts | Value | |
Over-the-Counter Call Options | |||
Marsico Parent Superholdco LLC, expiring | |||
December 2009 at USD 942.86, | |||
Goldman Sachs & Co. | 13 | $ | 20,995 |
Total Options Purchased | |||
(Cost — $12,711) — 0.0% | 20,995 | ||
Total Investments (Cost — $201,811,471*) — 136.7% | 96,158,664 | ||
Liabilities in Excess of Other Assets — (36.7)% | (25,839,974) | ||
Net Assets — 100.0% | $ | 70,318,690 |
* The cost and unrealized appreciation (depreciation) of investments as of February 28,
2009, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 201,810,260 | |
Gross unrealized appreciation | $348,397 | |
Gross unrealized depreciation | (105,999,993) | |
Net unrealized depreciation | $(105,651,596) |
(a) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(b) Non-income producing security.
(c) Issuer filed for bankruptcy and/or is in default of interest payments.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(e) Variable rate security. Rate shown is as of report date.
(f) Convertible security.
(g) All, or portion of, security held as collateral in connection with swaps.
(h) Security is perpetual in nature and has no stated maturity date.
(i) Represents the current yield as of report date.
(j) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Net | ||
Affiliate | Activity | Income |
BlackRock Liquidity Series, LLC | ||
Cash Sweep Series | USD (2,835,226) | $17,840 |
•For Fund compliance purposes, the Fund’s industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease.
•Foreign currency exchange contracts as of February 28, 2009 were as follows:
Unrealized | ||||||
Currency | Currency | Settlement Appreciation | ||||
Purchased | Sold | Counterparty | Date | (Depreciation) | ||
USD | 345,725 | CAD | 425,000 | UBS AG | 3/18/09 | $ 11,678 |
USD | 2,906,531 | EUR | 2,217,000 | Deutsche Bank AG | 3/18/09 | 96,383 |
USD | 94,210 | EUR | 75,000 | UBS AG | 3/18/09 | (856) |
Total | $ 107,205 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 19
Schedule of Investments (continued)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
•Credit default swaps on single-name issues — buy protection outstanding as of
February 28, 2009 were as follows:
Pay | Notional | ||||||
Fixed | Amount | Unrealized | |||||
Issuer | Rate | Counterparty | Expiration | (000) | Appreciation | ||
Tyson | Goldman Sachs | ||||||
Foods, Inc. | 4.22% | Bank USA | March 2014 | USD | 500 | 162 | |
Masco | JPMorgan | ||||||
Corp. | 5.30% | Chase Bank, | |||||
National | |||||||
Association | March 2014 | USD | 500 | 14,093 | |||
Host Hotel & | Goldman Sachs | ||||||
Resorts LP | 5.00% | Bank USA | March 2014 | USD 1,275 | 21,736 | ||
Mohawk | JPMorgan | ||||||
Industries | 4.45% | Chase Bank, | |||||
National | |||||||
Association | March 2014 | USD | 500 | 5,594 | |||
Total | $ | 41,585 |
•Credit default swaps on single-name issues — sold protection outstanding as of
February 28, 2009 were as follows:
Received | Notional | |||||
Fixed | Counter- | Credit | Amount | Unrealized | ||
Issuer | Rate | party | Expiration | Rating1 | (000)2 | Depreciation |
Ford Motor | Deutsche | March | ||||
Co. | 4.20% | Bank AG | 2010 | CCC | USD 2,000 | $(1,397,085) |
BAA Ferrovial | ||||||
Junior | Deutsche | June | ||||
Term Loan | 2.00% | Bank AG | 2012 | A– | GBP 300 | (108,863) |
Total | $(1,505,948) |
1 Using Standard and Poor’s ratings of the issuer.
2 The maximum potential amount the Fund may pay should a negative credit
event take place as defined under the terms of the agreement.
Credit default swaps on traded indexes — buy protection outstanding as of
February 28, 2009 were as follows:
Pay | Notional | |||
Fixed | Amount Unrealized | |||
Issuer | Rate | Counterparty | Expiration | (000) Appreciation |
Dow Jones | 5.00% | Credit | June | USD 1,940 $ 352,096 |
CDX North | Suisse | 2013 | ||
America | International | |||
High Yield | ||||
Index |
•Credit default swaps on traded indexes — sold protection outstanding as of
February 28, 2009 were as follows:
Pay | Notional | |||||
Fixed | Counter- | Credit | Amount | Unrealized | ||
Issuer | Rate | party | Expiration | Rating1 | (000)2 | Depreciation |
Aces High | 5.00% | Morgan | March | CCC+ | USD 7,000 | $(5,336,893) |
Yield Index | Stanley | 2010 | ||||
Capital | ||||||
Services, Inc. |
1 Using Standard & Poor’s weighted average ratings of the underlying securities in
the Index.
2 The maximum potential amount the Fund may pay should a negative credit
event take place under the terms of the agreement.
•Interest rate swaps outstanding as of February 28, 2009 were as follows:
Notional | ||
Amount | Unrealized | |
(000) | Depreciation | |
Pay a fixed rate of 4.823% and receive a | ||
floating rate based on 3-month LIBOR | ||
Broker, JPMorgan Chase Bank, | ||
National Association | ||
Expires January 2013 | USD 20,000 | $ (1,823,284) |
•CurrencyAbbreviations: | |
CAD | Canadian Dollar |
EUR | Euro |
USD | U.S. Dollar |
See Notes to Financial Statements.
20 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (concluded)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
•Effective September 1, 2008, the Fund adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, “Fair Value
Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, estab-
lishes a framework for measuring fair values and requires additional disclosures
about the use of fair value measurements. Various inputs are used in determining
the fair value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical securities
•Level 2 — other observable inputs (including, but not limited to: quoted prices
for 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
circumstance, to the extent observable inputs are not available (including the
Fund’s own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indica-
tion of the risk associated with investing in those securities. For information about
the Fund’s policy regarding valuation of investments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of February 28, 2009 in deter-
mining the fair valuation of the Fund’s investments:
Valuation | Investments in | Other Financial | ||
Inputs | Securities | Instruments* | ||
Assets | Assets | Liabilities | ||
Level 1 | $ | 1,017,322 | — | — |
Level 2 | 65,867,757 | $ 522,737 | $ (8,558,118) | |
Level 3 | 29,252,590 | — | (108,863) | |
Total | $ | 96,137,669 | $ 522,737 | $ (8,666,981) |
* Other financial instruments are swaps, foreign currency exchange contracts
and options. Swaps and foreign currency exchange contracts are valued at
the unrealized appreciation/depreciation on the instrument and options are
shown at market value.
The following is a reconciliation of investments for unobservable inputs (Level 3)
that were used in determining fair value:
Investments in | ||
Securities | ||
Assets | ||
Balance as of August 31, 2008 | $ | 17,146,004 |
Accrued discounts/premiums | 95,505 | |
Realized loss | (2,360,754) | |
Change in unrealized appreciation/depreciation1 | (28,504,080) | |
Net sales | (7,789,301) | |
Net transfers in Level 3 | 50,665,216 | |
Balance as of February 28, 2009 | $ | 29,252,590 |
1 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations.
Other Financial | ||
Instruments* | ||
Liabilities | ||
Balance as of August 31, 2008 | — | |
Accrued discounts/premiums | — | |
Realized gain (loss) | — | |
Change in unrealized appreciation/depreciation | $ | (44,064) |
Net purchases (sales) | — | |
Net transfers out of Level 3 | (64,799) | |
Balance as of February 28, 2009 | $ | (108,863) |
* Other financial instruments are swaps, foreign currency exchange contracts
and options. Swaps and foreign currency exchange contracts are valued at
the unrealized appreciation/depreciation on the instrument and options are
shown at market value.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 21
Schedule of Investments February 28, 2009 (Unaudited)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Aerospace & Defense — 5.7% | ||||
Avio S.p.A.: | ||||
Dollar Mezzanine Term Loan, 10.061%, 12/13/16 | USD | 2,079 | $ | 488,438 |
Facility B2, 2.604% – 3.936, 12/15/14 | 1,661 | 859,731 | ||
Facility C2, 3.229% – 4.56%, 12/14/15 | 1,771 | 916,512 | ||
Hawker Beechcraft Acquisition Co. LLC: | ||||
Letter of Credit Facility Deposit, 3.459%, 3/26/14 | 240 | 110,313 | ||
Term Loan, 2.479% – 3.459%, 3/26/14 | 4,089 | 1,878,628 | ||
IAP Worldwide Services, Inc. Term Loan (First-Lien), | ||||
8.25%, 12/30/12 | 2,030 | 1,055,361 | ||
Vought Aircraft Industries, Inc.: | ||||
Revolver, 2.47% – 2.48%, 12/22/10 | 3,000 | 1,800,000 | ||
Term Loan, 2.98%, 12/22/11 | 3,016 | 2,432,895 | ||
Tranche B Letter of Credit Deposit, 2.97%, 12/22/10 | 373 | 301,156 | ||
9,843,034 | ||||
Airlines — 0.9% | ||||
Delta Air Lines, Inc. Credit-Linked Deposit Loan, | ||||
0.32% – 2.445%, 4/30/12 | 1,238 | 940,500 | ||
US Airways Group, Inc. Loan, 2.979%, 3/21/14 | 1,480 | 672,938 | ||
1,613,438 | ||||
Auto Components — 3.3% | ||||
Affinia Group Inc. Tranche B Term Loan, | ||||
4.174%, 11/30/11 | 2,544 | 1,271,786 | ||
Allison Transmission, Inc. Term Loan, 3.32%, 8/07/14 | 4,885 | 3,236,064 | ||
Dana Holding Corp. Term Advance, 7.25%, 1/31/15 | 1,576 | 479,392 | ||
GPX International Tire Corp. Tranche B Term Loan, | ||||
8.23% – 10.25%, 3/30/12 | 1,266 | 696,228 | ||
5,683,470 | ||||
Automobiles — 0.2% | ||||
Ford Motor Co. Term Loan, 5.0%, 12/15/13 | 522 | 166,668 | ||
General Motors Corp. Secured Term Loan, | ||||
4.148%, 11/29/13 | 422 | 151,085 | ||
317,753 | ||||
Beverages — 0.1% | ||||
Culligan International Co. Loan (Second Lien), | ||||
6.48% – 8.536%, 4/24/13 | EUR | 500 | 111,985 | |
Building Products — 2.1% | ||||
Building Materials Corp. of America Term Loan Advance, | ||||
3.625% – 3.875%, 2/22/14 | USD | 2,729 | 1,860,560 | |
PGT Industries, Inc. Tranche A-2 Term Loan, | ||||
6.25%, 2/14/12 | 1,923 | 1,057,719 | ||
Stile Acquisition Corp. (aka Masonite) Canadian | ||||
Term Loan, 6.25%, 4/06/13 | 912 | 372,680 | ||
Stile U.S. Acquisition Corp. (aka Masonite) US Term | ||||
Loan, 6.75%, 4/06/13 | 921 | 376,312 | ||
3,667,271 | ||||
Capital Markets — 0.8% | ||||
Riskmetrics Group Holdings, LLC Term B Loan | ||||
(First Lien), 3.459%, 1/10/14 | 1,453 | 1,300,521 | ||
Chemicals — 4.4% | ||||
Edwards (Cayman Islands II) Ltd. Term Loan (First Lien), | ||||
2.479%, 5/31/14 | 493 | 295,500 | ||
Huish Detergents Inc. Tranche B Term Loan, | ||||
2.17%, 4/26/14 | 1,478 | 1,250,950 | ||
ISP Chemco LLC Term Loan, 2.0% – 2.75%, 6/04/14 | 985 | 824,117 | ||
PQ Corp. (fka Niagara Acquisition, Inc.) Term Loan | ||||
(First Lien), 4.43% – 4.71%, 7/31/14 | 3,980 | 2,378,050 | ||
Solutia Inc. Loan, 8.50%, 2/28/14 | 4,485 | 2,881,552 | ||
7,630,169 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Commercial Services & Supplies — 0.7% | ||||
John Maneely Co. Term Loan, | ||||
4.41% – 4.604%, 12/09/13 | USD | 851 | $ | 487,360 |
West Corp. Term B-2 Loan, 2.82% – 2.854%, 10/24/13 | 1,037 | 759,598 | ||
1,246,958 | ||||
Computers & Peripherals — 0.9% | ||||
Dealer Computer Services, Inc. (Reynolds & Reynolds) | ||||
Term Loan (First Lien), 2.479%, 10/26/12 | 1,110 | 721,403 | ||
Intergraph Corp.: | ||||
Initial Term Loan (First Lien), 3.256%, 5/29/14 | 419 | 357,980 | ||
Second Lien Term Loan, 8.181%, 11/28/14 | 500 | 412,500 | ||
1,491,883 | ||||
Construction Materials — 0.4% | ||||
Headwaters Inc. Term Loan B1 (First Lien), | ||||
5.97%, 4/30/11 | 1,025 | 717,708 | ||
Containers & Packaging — 2.0% | ||||
Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 | 1,218 | 243,640 | ||
Graham Packaging Co., LP New Term Loan, | ||||
2.688% – 6.313%, 10/07/11 | 1,217 | 1,018,143 | ||
Graphic Packaging International, Inc. Incremental | ||||
Term Loan, 3.203% – 4.185%, 5/16/14 | 1,970 | 1,679,263 | ||
Smurfit-Stone Container Term Loan B, 8.75%, 2/03/10 | 580 | 576,375 | ||
3,517,421 | ||||
Distributors — 0.3% | ||||
Keystone Automotive Operations, Inc. Loan, | ||||
3.947% – 5.75%, 1/12/12 | 1,426 | 534,883 | ||
Diversified Consumer Services — 1.0% | ||||
Coinmach Corp. Term Loan, 3.47% – 4.26%, 11/14/14 | 2,729 | 1,774,060 | ||
Diversified Financial Services — 1.3% | ||||
DaimlerChrysler Financial Services Americas LLC | ||||
Term Loan (First Lien), 6.0%, 8/03/12 | 3,960 | 2,059,148 | ||
J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14 | 2,300 | 207,000 | ||
2,266,148 | ||||
Electrical Equipment — 1.0% | ||||
Generac Acquisition Corp. First Lien Term Loan, | ||||
2.919%, 11/10/13 | 548 | 293,393 | ||
Sensus Metering Systems New Term B-1, | ||||
2.47% – 3.256%, 12/17/10 | 1,578 | 1,420,435 | ||
1,713,828 | ||||
Energy Equipment & Services — 2.4% | ||||
Dresser, Inc. Term B Loan, 2.729% – 3.489%, 5/04/14 | 4,000 | 2,872,000 | ||
MEG Energy Corp.: | ||||
Delayed Draw Term Loan, 3.46%, 4/02/13 | 991 | 614,575 | ||
Initial Term Loan, 3.46%, 4/03/13 | 973 | 602,950 | ||
4,089,525 | ||||
Food & Staples Retailing — 3.4% | ||||
AB Acquisitions UK Topco 2 Ltd. Facility B2 UK Borrower, | ||||
4.161%, 7/09/15 | GBP | 3,000 | 3,015,899 | |
Advantage Sales & Marketing, Inc. (ASM Merger | ||||
Sub, Inc.) Term Loan, 2.45% – 3.47%, 3/29/13 | USD | 1,461 | 1,147,133 | |
DSW Holdings, Inc. Loan, 2.705%, 3/02/12 | 924 | 674,844 | ||
McJunkin Corp. Term Loan, 4.709%, 1/31/14 | 725 | 528,151 | ||
WM. Bolthouse Farms, Inc. Second Lien Term Loan, | ||||
5.979%, 12/16/13 | 1,000 | 545,000 | ||
5,911,027 |
See Notes to Financial Statements.
22 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Food Products — 1.3% | ||||
Dole Food Co., Inc.: | ||||
Credit-Linked Deposit, 2.79%, 4/12/13 | USD | 176 | $ | 158,033 |
Tranche B Term Loan, 2.50% – 4.25%, 4/12/13 | 312 | 279,382 | ||
Solvest, Ltd. (Dole) Tranche C Term Loan, | ||||
2.563% – 4.25%, 4/12/13 | 1,161 | 1,040,895 | ||
Sturm Foods, Inc.: | ||||
Initial Term Loan First Loan, | ||||
3.438% – 3.75%, 1/31/14 (a) | 975 | 553,355 | ||
Initial Term Loan Second Lien, 7.25%, 7/31/14 | 1,000 | 250,000 | ||
2,281,665 | ||||
Health Care Equipment & Supplies — 0.7% | ||||
DJO Finance LLC (ReAble Therapeutics Fin LLC) | ||||
Term Loan, 3.479% – 4.459%, 5/20/14 | 990 | 823,350 | ||
Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13 | 381 | 342,781 | ||
1,166,131 | ||||
Health Care Providers & Services — 2.1% | ||||
CCS Medical, Inc. (Chronic Care) Term Loan (First Lien), | ||||
4.71%, 9/30/12 | 473 | 212,968 | ||
CHS/Community Health Systems, Inc.: | ||||
Delayed Draw Term Loan, 2.729%, 7/25/14 | 65 | 55,312 | ||
Funded Term Loan, 2.729% – 3.506%, 7/25/14 | 1,280 | 1,083,853 | ||
Health Management Associates, Inc. Term B Loan, | ||||
3.209%, 2/28/14 | 2,874 | 2,291,708 | ||
3,643,841 | ||||
Hotels, Restaurants & Leisure — 3.6% | ||||
Golden Nugget, Inc. Second Lien Term Loan, | ||||
3.73%, 12/31/14 | 500 | 65,000 | ||
Green Valley Ranch Gaming, LLC Second Lien | ||||
Term Loan, 3.697%, 8/16/14 | 500 | 25,000 | ||
Greenwood Racing Inc. Term Loan, 2.73%, 11/28/11 | 490 | 362,600 | ||
Harrah's Operating Co., Inc.: | ||||
Term B-1 Loan, 4.159% – 4.459%, 1/28/15 | 236 | 136,327 | ||
Term B-2 Loan, 4.159% – 4.459%, 1/28/15 | 2,779 | 1,616,453 | ||
Term B-3 Loan, 4.159% – 4.459%, 1/28/15 | 210 | 121,180 | ||
Las Vegas Sands, LLC: | ||||
Delayed Draw I Term Loan, 2.16%, 5/23/14 | 398 | 175,617 | ||
Tranche B Term Loan, 2.16%, 5/23/14 | 1,576 | 695,410 | ||
Penn National Gaming, Inc. Term Loan B, | ||||
2.23% – 2.99%, 10/03/12 | 1,195 | 1,076,174 | ||
QCE, LLC (Quiznos) Term Loan (Second Lien), | ||||
3.75%, 11/05/13 | 984 | 542,431 | ||
Travelport LLC (fka Travelport Inc.): | ||||
Original Post-First Amendment and Restatement | ||||
Synthetic Letter of Credit Loan, 2.729% – | ||||
3.709%, 8/23/13 | 178 | 105,133 | ||
Tranche B Dollar Term Loan, 2.729%, 8/23/13 | 889 | 523,962 | ||
VML US Finance LLC (aka Venetian Macau) Term B: | ||||
Delayed Draw Project Loan, 2.73%, 5/25/12 | 384 | 220,899 | ||
Funded Project Loan, 2.73%, 5/27/13 | 866 | 498,420 | ||
6,164,606 | ||||
Household Durables — 2.8% | ||||
American Residential Services LLC Term Loan | ||||
(Second Lien), 12%, 4/17/15 | 2,020 | 1,725,457 | ||
Simmons Bedding Co. Tranche D Term Loan, | ||||
9.535%, 12/19/11 | 3,166 | 2,418,797 | ||
Yankee Candle Co., Inc. Term Loan, | ||||
2.42% – 3.47%, 2/06/14 | 1,250 | 758,334 | ||
4,902,588 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
IT Services — 2.6% | ||||
Activant Solutions Inc. Term Loan, 3.438%, 5/02/13 | USD | 1,962 | $ | 922,240 |
Audio Visual Services Group, Inc.: | ||||
Loan (Second Lien), 6.96%, 8/28/14 | 1,000 | 70,000 | ||
Tranche B Term Loan (First Lien), 3.71%, 2/28/14 | 1,481 | 414,750 | ||
Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14 | 2,000 | 1,380,000 | ||
First Data Corp.: | ||||
Initial Tranche B-2 Term Loan, | ||||
3.223% – 3.229%, 9/24/14 | 1,286 | 844,271 | ||
Initial Tranche B-3 Term Loan, | ||||
3.223% – 3.229%, 9/24/14 | 343 | 224,256 | ||
RedPrairie Corp.: | ||||
Loan (Second Lien), 7.736%, 1/20/13 | 300 | 129,000 | ||
Term Loan, 4.25% – 5.25%, 7/20/12 | 636 | 400,882 | ||
4,385,399 | ||||
Independent Power Producers & Energy Traders — 1.1% | ||||
Calpine Generating Co., LLC Second Priority Term Loan, | ||||
11.07%, 4/01/10 | 1 | 598 | ||
Texas Competitive Electric Holdings Co., LLC (TXU): | ||||
Initial Tranche B-2 Term Loan, | ||||
3.948% – 4.451%, 10/10/14 | 983 | 612,954 | ||
Initial Tranche B-3 Term Loan, | ||||
3.948% – 4.451%, 10/10/14 | 1,955 | 1,219,463 | ||
1,833,015 | ||||
Industrial Conglomerates — 1.0% | ||||
Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14 | 2,796 | 1,705,759 | ||
Insurance — 0.2% | ||||
Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14 | 494 | 370,313 | ||
Internet & Catalog Retail — 0.4% | ||||
FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14 | 748 | 639,647 | ||
Leisure Equipment & Products — 2.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B Term Loan, | ||||
2.98% – 3.93%, 6/08/12 | 3,890 | 2,178,400 | ||
Easton-Bell Sports, Inc. Tranche B Term Loan, | ||||
2.66% – 2.92%, 3/16/12 | 3,119 | 2,281,872 | ||
Fender Musical Instruments Corp.: | ||||
Delayed Draw Loan, 2.75%, 6/09/14 | 166 | 74,750 | ||
Initial Loan, 3.71%, 6/09/14 | 329 | 147,997 | ||
4,683,019 | ||||
Machinery — 4.0% | ||||
NACCO Materials Handling Group, Inc. Loan, | ||||
2.479% – 4.595%, 3/21/13 | 1,463 | 760,500 | ||
Navistar International Corp.: | ||||
Revolving Credit-Linked Deposit, | ||||
3.67% – 3.729%, 1/19/12 | 1,333 | 954,444 | ||
Term Advance, 3.729%, 1/19/12 | 3,667 | 2,624,721 | ||
Oshkosh Truck Corp. Term B Loan, | ||||
2.20% – 3.95%, 12/06/13 | 1,761 | 1,232,538 | ||
TriMas Co. LLC: | ||||
Tranche B Term Loan, 2.729% – 3.434%, 8/02/13 | 1,588 | 1,000,716 | ||
Tranche B-1 Loan, 2.40%, 3/27/12 | 375 | 236,250 | ||
6,809,169 | ||||
Media — 23.2% | ||||
Affinion Group Holdings, Inc. Loan, 8.523%, 3/01/12 | 2,000 | 900,000 | ||
AlixPartners, LLP Tranche C Term Loan, | ||||
2.94% – 3.36%, 10/12/13 | 1,591 | 1,367,953 | ||
Bresnan Communications, LLC Additional Term Loan B | ||||
(First Lien), 3.13%, 6/30/13 | 1,500 | 1,278,750 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 23
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Media (concluded) | ||||
Catalina Marketing Corp. Initial Term Loan, | ||||
4.459%, 10/01/14 | USD | 1,732 | $ | 1,372,489 |
Cengage Learning Acquisitions, Inc. (Thomson Learning): | ||||
Term Loan, 2.98%, 7/03/14 | 234 | 152,071 | ||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 5,221 | 3,654,879 | ||
Cequel Communications, LLC (aka Cebridge): | ||||
Second Lien Tranche A Term Loan (Cash Pay), | ||||
4.913%, 5/05/14 | 2,000 | 1,225,000 | ||
Term Loan, 2.445% – 4.25%, 11/05/13 | 2,121 | 1,787,765 | ||
Clarke American Corp. Tranche B Term Loan, | ||||
2.979% – 3.959%, 6/30/14 | 985 | 580,165 | ||
Dollar General Corp. Tranche B-2 Term Loan, | ||||
3.160%, 7/07/14 | 725 | 596,856 | ||
Emmis Operating Co. Tranche B Term Loan, | ||||
2.479% – 3.466%, 11/01/13 | 545 | 234,400 | ||
HMH Publishing Co. Ltd. (fka Education Media): | ||||
Mezzanine, 10.756%, 11/14/14 | 9,593 | 2,877,998 | ||
Tranche A Term Loan, 5.256%, 6/12/14 | 2,630 | 1,479,247 | ||
Hanley-Wood, LLC (FSC Acquisition) Term Loan, | ||||
2.695% – 2.729%, 3/08/14 | 1,481 | 538,187 | ||
Insight Midwest Holdings, LLC B Term Loan, | ||||
2.42%, 4/07/14 | 1,825 | 1,605,239 | ||
Intelsat Subsidiary Holding Co. Ltd. Tranche B | ||||
Term Loan, 3.925%, 1/03/14 | 1,906 | 1,677,254 | ||
Knology, Inc. Term Loan, 2.663%, 6/30/12 | 728 | 582,315 | ||
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG): | ||||
Facility B1, 4.589%, 6/30/15 | EUR | 337 | 38,161 | |
Facility C1, 4.839%, 6/30/16 | 337 | 38,161 | ||
MCC Iowa LLC (Mediacom Broadband Group) Tranche A | ||||
Term Loan, 1.87%, 3/31/10 | USD | 888 | 820,938 | |
MCNA Cable Holdings LLC (OneLink Communications) | ||||
Loan (PIK facility), 9.62%, 3/01/13 (a) | 1,179 | 731,214 | ||
Mediacom Illinois, LLC (fka Mediacom | ||||
Communications, LLC) Tranche C Term Loan, | ||||
1.87%, 1/31/15 | 3,097 | 2,572,280 | ||
Mediannuaire Holding (Pages Jaunes) Term Loan D, | ||||
5.909%, 1/11/17 | EUR | 500 | 80,593 | |
Metro-Goldwyn-Mayer Inc. Tranche B Term Loan, | ||||
3.729% – 4.7809%, 4/09/12 | USD | 3,314 | 1,474,576 | |
Multicultural Radio Broadcasting, Inc. Term Loan, | ||||
3.195%, 12/18/12 | 328 | 229,814 | ||
Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13 | 1,000 | 902,500 | ||
NextMedia Operating, Inc.: | ||||
Delay Draw Term Loan, 5.123%, 11/15/12 | 200 | 94,149 | ||
Initial Term Loan (First Lien), 5.174%, 11/15/12 | 267 | 125,461 | ||
Loan (Second Lien), 8.17%, 11/15/13 | 1,763 | 432,034 | ||
Nielsen Finance LLC Dollar Term Loan, | ||||
2.448%, 8/09/13 | 5,865 | 4,601,621 | ||
Penton Media, Inc. Loan (Second Lien), | ||||
6.174%, 2/01/14 | 1,000 | 111,250 | ||
Sunshine Acquisition Ltd. (aka HIT Entertainment) | ||||
Term Facility, 3.49%, 7/31/14 | 732 | 347,716 | ||
TWCC Holding Corp. Term Loan, 7.25%, 9/14/15 | 748 | 713,711 | ||
UPC Financing Partnership M Facility, | ||||
3.760%, 12/31/14 | EUR | 5,000 | 4,633,044 | |
39,857,791 | ||||
Multi-Utilities — 1.9% | ||||
Energy Transfer Equity, LP Term Loan, | ||||
2.991%, 11/01/12 | USD | 1,000 | 870,000 | |
FirstLight Power Resources, Inc. (fka NE Energy, Inc.) | ||||
Second Lien Term Loan, 5.966%, 5/01/14 | 500 | 315,000 | ||
Riverside Energy Center Term Loan, 5.424%, 6/24/11 | 1,531 | 1,393,367 |
Floating Rate Loan Interests | (000) | Value | ||
Multi-Utilities (concluded) | ||||
Rocky Mountain Energy Center: | ||||
LLC Credit Linked Deposit, 1.074%, 6/24/11 | USD | 134 | $ | 121,909 |
LLC Term Loan, 5.424%, 6/24/11 | 701 | 638,203 | ||
3,338,479 | ||||
Oil, Gas & Consumable Fuels — 2.7% | ||||
Big West Oil, LLC: | ||||
Delayed Advance Loan, 4.50%, 5/15/14 | 550 | 269,500 | ||
Initial Advance Loan, 4.50%, 5/15/14 | 438 | 214,375 | ||
Coffeyville Resources, LLC: | ||||
Funded Letter of Credit, 8.75%, 12/28/10 | 487 | 353,311 | ||
Tranche D Term Loan, 8.75%, 12/30/13 | 1,567 | 1,137,938 | ||
Petroleum GEO-Services ASA/PGS Finance, Inc. | ||||
Term Loan, 3.21%, 6/29/15 | 953 | 684,811 | ||
Vulcan Energy Corp. (fka Plains Resources Inc) Term B3 | ||||
Loan, 5.50%, 8/12/11 | 1,500 | 1,297,500 | ||
Western Refining, Inc. Term Loan, 8.25%, 5/30/14 | 986 | 612,125 | ||
4,569,560 | ||||
Paper & Forest Products — 0.7% | ||||
NewPage Corp. Term Loan, 5.313%, 12/22/14 | 1,238 | 753,750 | ||
Verso Paper Finance Holdings LLC Loan, | ||||
7.685% – 8.435%, 2/01/13 | 1,899 | 379,722 | ||
1,133,472 | ||||
Pharmaceuticals — 0.5% | ||||
Catalent Pharma Solutions, Inc. (fka Cardinal | ||||
Health 409, Inc.) Euro Term Loan, 5.223%, 4/15/14 | EUR | 985 | 899,087 | |
Real Estate Management & Development — 1.0% | ||||
Mattamy Funding Partnership Loan, 3.563%, 4/11/13 | USD | 973 | 680,750 | |
Realogy Corp. Initial Term B Loan, 3.434%, 10/10/13 | 1,970 | 1,114,145 | ||
1,794,895 | ||||
Specialty Retail — 0.6% | ||||
Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan, | ||||
2.73% – 3.71%, 10/20/13 | 1,436 | 965,887 | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||||
Renfro Corp. Tranche B Term Loan, | ||||
4.16% – 4.48%, 10/05/13 | 436 | 218,125 | ||
Total Floating Rate Loan Interests — 84.1% | 144,793,530 | |||
Corporate Bonds | ||||
Auto Components — 2.5% | ||||
The Goodyear Tire & Rubber Co., 6.318%, 12/01/09 (b) | 4,500 | 4,235,625 | ||
Building Products — 2.2% | ||||
CPG International I, Inc.: | ||||
8.561%, 7/01/12 (b) | 3,500 | 1,855,000 | ||
10.50%, 7/01/13 | 3,000 | 1,590,000 | ||
Momentive Performance Materials, Inc. Series WI, | ||||
9.75%, 12/01/14 | 750 | 285,000 | ||
3,730,000 |
See Notes to Financial Statements.
24 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
Par | ||||
Corporate Bonds | (000) | Value | ||
Capital Markets — 1.9% | ||||
E*Trade Financial Corp., 12.50%, 11/30/17 (c) | USD | 5,313 | $ | 2,443,750 |
Marsico Parent Co., LLC, 10.625%, 1/15/16 (c) | 1,168 | 478,880 | ||
Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(c) | 457 | 187,416 | ||
Marsico Parent Superholdco, LLC, | ||||
14.50%, 1/15/18 (a)(c) | 312 | 127,747 | ||
3,237,793 | ||||
Chemicals — 1.1% | ||||
GEO Specialty Chemicals Corp., | ||||
7.50%, 3/31/15 (a)(c)(d) | 820 | 614,217 | ||
GEO Specialty Chemicals, Inc., | ||||
9.935%, 12/31/09 (b)(d) | 1,319 | 987,601 | ||
Wellman Holdings, Inc. Third Lien Subordinate Note, | ||||
5%, 1/29/19 (d) | 430 | 301,000 | ||
1,902,818 | ||||
Commercial Services & Supplies — 1.9% | ||||
Allied Waste North America, Inc. Series B, | ||||
7.375%, 4/15/14 | 3,375 | 3,324,375 | ||
Construction Materials — 0.8% | ||||
Nortek, Inc., 10%, 12/01/13 | 3,420 | 1,368,000 | ||
Containers & Packaging — 3.2% | ||||
Berry Plastics Holding Corp., 5.871%, 9/15/14 (b) | 1,450 | 674,250 | ||
Clondalkin Acquisition BV, 3.996%, 12/15/13 (b)(c) | 4,000 | 2,480,000 | ||
Crown European Holdings SA, 6.25%, 9/01/11 | EUR | 795 | 977,624 | |
Owens Brockway Glass Container, Inc., | ||||
6.75%, 12/01/14 | 395 | 445,677 | ||
Packaging Dynamics Finance Corp., 10%, 5/01/16 (c) | USD | 2,350 | 1,010,500 | |
5,588,051 | ||||
Diversified Financial Services — 1.8% | ||||
FCE Bank Plc, 7.125%, 1/16/12 | EUR | 4,000 | 3,093,306 | |
Diversified Telecommunication Services — 1.7% | ||||
Qwest Corp., 5.246%, 6/15/13 (b) | USD | 3,500 | 2,966,250 | |
Food & Staples Retailing — 0.1% | ||||
AmeriQual Group LLC, 9.50%, 4/01/12 (c) | 250 | 150,000 | ||
Health Care Equipment & Supplies — 1.4% | ||||
DJO Finance LLC, 10.875%, 11/15/14 | 3,250 | 2,470,000 | ||
Hotels, Restaurants & Leisure — 3.0% | ||||
American Real Estate Partners LP, 7.125%, 2/15/13 | 5,000 | 4,112,500 | ||
Harrah's Operating Co., Inc.: | ||||
10.75%, 2/01/16 | 1,325 | 185,500 | ||
10.75%, 2/01/18 (a) | 315 | 19,335 | ||
10%, 12/15/18 (c) | 505 | 141,400 | ||
Little Traverse Bay Bands of Odawa Indians, | ||||
10.25%, 2/15/14 (c) | 1,565 | 719,900 | ||
5,178,635 | ||||
IT Services — 1.9% | ||||
First Data Corp., 9.875%, 9/24/15 | 6,000 | 3,300,000 | ||
Independent Power Producers & Energy Traders — 1.5% | ||||
Texas Competitive Electric Holdings Co. LLC, | ||||
10.25%, 11/01/15 | 5,230 | 2,641,150 | ||
Industrial Conglomerates — 0.2% | ||||
Sequa Corp. (c): | ||||
11.75%, 12/01/15 | 640 | 102,400 | ||
13.50%, 12/01/15 (a) | 1,591 | 190,309 | ||
�� | 292,709 |
Par | |||
Corporate Bonds | (000) | Value | |
Machinery — 0.7% | |||
Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (c) | USD 2,000 | $ | 1,100,000 |
Media — 1.9% | |||
CSC Holdings, Inc.: | |||
8.50%, 4/15/14 (c) | 420 | 403,200 | |
Series B, 7.625%, 4/01/11 | 2,000 | 1,980,000 | |
Cablevision Systems Corp. Series B, 8%, 4/15/12 | 575 | 556,312 | |
Local Insight Regatta Hldgs, Inc., 11%, 12/01/17 | 1,244 | 298,560 | |
3,238,072 | |||
Metals & Mining — 0.7% | |||
FMG Finance Property Ltd., 5.261%, 9/01/11 (b)(c) | 265 | 225,250 | |
Ryerson, Inc., 8.545%, 11/01/14 (b)(c) | 1,680 | 856,800 | |
1,082,050 | |||
Oil, Gas & Consumable Fuels — 0.6% | |||
SandRidge Energy, Inc., 5.06%, 4/01/14 (b) | 1,600 | 1,051,475 | |
Paper & Forest Products — 1.9% | |||
Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (b) | 2,650 | 238,500 | |
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)(c) | 1,147 | 517,679 | |
NewPage Corp.: | |||
10%, 5/01/12 | 2,000 | 605,000 | |
7.42%, 5/01/12 (b) | 3,925 | 942,000 | |
Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (b) | 4,000 | 1,040,000 | |
3,343,179 | |||
Pharmaceuticals — 0.4% | |||
Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (b) | 1,000 | 612,500 | |
Real Estate Management & Development — 0.1% | |||
Realogy Corp., 10.50%, 4/15/14 | 1,055 | 221,550 | |
Semiconductors & Semiconductor Equipment — 0.8% | |||
Avago Technologies Finance Pte. Ltd., | |||
6.761%, 6/01/13 (b) | 900 | 706,500 | |
Spansion, Inc., 4.386%, 6/01/13 (b)(c)(e)(f) | 2,870 | 670,862 | |
1,377,362 | |||
Specialty Retail — 0.2% | |||
General Nutrition Centers, Inc., 7.584%, 3/15/14 (a)(b) | 700 | 413,000 | |
Wireless Telecommunication Services — 0.4% | |||
Crown Castle International Corp., 9%, 1/15/15 | 550 | 536,250 | |
Digicel Group Ltd., 9.125%, 1/15/15 (a)(c) | 278 | 194,600 | |
730,850 | |||
Total Corporate Bonds — 32.9% | 56,648,750 | ||
Common Stocks | Shares | ||
Capital Markets — 0.1% | |||
E*Trade Financial Corp. (e) | 242,021 | 193,617 | |
Chemicals — 0.0% | |||
GEO Specialty Chemicals, Inc. (e) | 13,117 | 5,035 | |
Wellman Holdings, Inc. | 430 | 108 | |
5,143 | |||
Electrical Equipment — 0.0% | |||
Medis Technologies Ltd. (e) | 71,654 | 40,843 | |
Energy Equipment & Services — 0.2% | |||
Trico Marine Services, Inc. (e) | 119,185 | 389,735 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 25
Schedule of Investments (continued)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
Common Stocks | Shares | Value | |
Paper & Forest Products — 0.1% | |||
Ainsworth Lumber Co. Ltd. | 136,289 | $ | 77,133 |
Ainsworth Lumber Co. Ltd. (c)(e) | 152,951 | 86,791 | |
Western Forest Products, Inc. (c)(e) | 84,448 | 9,957 | |
173,881 | |||
Total Common Stocks — 0.4% | 803,219 | ||
Non-U.S. Government Agency | Par | ||
Mortgage-Backed Securities | (000) | ||
Commercial Mortgage-Backed Securities — 1.4% | |||
Crown Castle Towers LLC Series 2005-1A: | |||
Class AFL, 0.936%, 6/15/35 (b) | USD 1,795 | 1,633,450 | |
Class AFX, 4.643%, 6/15/35 (c) | 495 | 472,725 | |
Global Signal Trust Series 2006-1 Class A2, | |||
5.45%, 2/15/36 | 290 | 271,150 | |
Total Non-U.S. Government Agency | |||
Mortgage-Backed Securities — 1.4% | 2,377,325 | ||
Preferred Stocks | Shares | ||
Capital Markets — 0.0% | |||
Marsico Parent Superholdco, LLC, 16.75% (c) | 78 | 33,930 | |
Total Preferred Stocks — 0.0% | 33,930 | ||
Total Long-Term Investments | |||
(Cost — $335,541,062) — 118.8% | 204,656,754 | ||
Beneficial | |||
Interest | |||
Short-Term Securities | (000) | ||
BlackRock Liquidity Series, LLC | |||
Cash Sweep Series, 0.73% (g)(h) | USD 4,457 | 4,457,276 | |
Total Short-Term Securities | |||
(Cost — $4,457,276) — 2.6% | 4,457,276 | ||
Options Purchased | Contracts | ||
Over the Counter Call Options | |||
Marsico Parent Superholdco LLC, expiring | |||
December 2009 at USD 942.86 Broker, | |||
Goldman Sachs & Co. | 20 | 32,300 | |
Total Options Purchased | |||
(Cost — $19,556) — 0.0% | 32,300 | ||
Total Investments (Cost — $340,017,894*) — 121.4% | 209,146,330 | ||
Liabilities in Excess of Other Assets — (21.4)% | (36,911,150) | ||
Net Assets — 100.0% | $ 172,235,180 |
* The cost and unrealized appreciation (depreciation) of investments as of February
28, 2009, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 339,963,284 | |
Gross unrealized appreciation | $ 313,322 | |
Gross unrealized depreciation | (131,130,276) | |
Net unrealized depreciation | $(130,816,954) |
(a) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(b) Variable rate security. Rate shown is as of report date.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(d) Convertible security.
(e) Non-income producing security.
(f) Issuer filed for bankruptcy and/or is in default of interest payments.
(g) Represents the current yield as of report date.
(h) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Net | ||
Affiliate | Activity | Income |
BlackRock Liquidity Series, LLC | ||
Cash Sweep Series | USD 2,822,607 | $24,202 |
•For Fund compliance purposes, the Fund's industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine industry
sub-classifications for reporting ease.
•Foreign currency exchange contracts as of February 28, 2009 were as follows:
Currency | Currency | Settlement | Unrealized | |||
Purchased | Sold | Counterparty | Date | Appreciation | ||
USD | 256,243 | CAD | 315,000 | UBS AG | 3/18/09 | $ 8,655 |
USD 10,228,578 | EUR | 7,802,000 | Deutsche Bank AG | 3/18/09 | 339,191 | |
USD | 1,383,308 | EUR | 1,055,000 | Citibank NA | 3/18/09 | 46,047 |
USD | 837,233 | EUR | 650,000 | UBS AG | 3/18/09 | 13,328 |
USD | 3,118,328 | GBP | 2,103,000 | UBS AG | 3/18/09 | 107,940 |
Total | $ 515,161 |
•Credit default swaps on single-name issues — buy protection outstanding as of
February 28, 2009 were as follows:
Pay | Notional | |||||
Fixed | Amount | Unrealized | ||||
Issuer | Rate | Counterparty | Expiration | (000)2 | Appreciation | |
First Data | 5% | JPMorgan Chase | December | |||
Corp. | Bank, NA | 2013 | USD | 3,000 | $ 184,800 | |
First Data | 5% | JPMorgan Chase | December | |||
Corp. | Bank, NA | 2013 | USD | 3,000 | 237,300 | |
Host Hotels & | 5% | Goldman Sachs | March | USD | 2,500 | 42,620 |
Resorts LP | Bank USA | 2014 | ||||
Masco Corp. | 5.3% | JPMorgan Chase | March | |||
Bank, NA | 2014 | USD | 1,000 | 28,186 | ||
Mohawk | 4.45% | JPMorgan Chase | March | |||
Industries, | Bank, NA | 2014 | USD | 1,000 | 11,188 | |
Inc. | ||||||
Total | $ 504,094 |
See Notes to Financial Statements.
26 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (concluded)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
•Credit default swaps on single-name issues — sold protection outstanding as of
February 28, 2009 were as follows:
Receive | Notional | |||
Fixed | Amount Unrealized | |||
Issuer1 | Rate | Counterparty | Expiration | (000)2 Depreciation |
Ford Motor | 3.80% | UBS AG | March | USD 10,000 $(7,007,760) |
Co. | 2010 |
1 Credit rating is CCC using Standard and Poor’s ratings.
2 The maximum potential amount the Fund may pay should a negative credit
event take place as defined under the terms of the agreement.
•Credit default swaps on traded indexes — buy protection outstanding as of February
28, 2009 were as follows:
Pay | Notional | ||||
Fixed | Amount | Unrealized | |||
Issuer | Rate | Counterparty | Expiration | (000) | Appreciation |
Dow Jones | 5% | Credit Suisse | June | USD 3,880 | $704,193 |
CDX North | International | 2013 | |||
America | |||||
High Yield | |||||
Index 10.V1 |
•Currency Abbreviations: | |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
USD | U.S. Dollar |
•Effective September 1, 2008, the Fund adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, “Fair Value Measure-
ments” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a
framework for measuring fair values and requires additional disclosures about the
use of fair value measurements. Various inputs are used in determining the fair
value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical securities
•Level 2 — other observable inputs (including, but not limited to: quoted prices
for 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
circumstance, to the extent observable inputs are not available (including the
Fund’s own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indica-
tion of the risk associated with investing in those securities. For information about
the Fund’s policy regarding valuation of investments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of February 28, 2009 in deter-
mining the fair valuation of the Fund’s investments:
Valuation | Investments in | Other Financial | |||
Inputs | Securities | Instruments* | |||
Assets | Assets | Liabilities | |||
Level 1 | $ 711,284 | — | — | ||
Level 2 | 145,788,452 | $ | 1,755,748 | $ (7,007,760) | |
Level 3 | 62,614,294 | — | — | ||
Total | $ 209,114,030 | $ | 1,755,748 | $ (7,007,760) |
* Other financial instruments are swaps, foreign currency exchange contracts
and options. Swaps and foreign currency exchange contracts are valued at
the unrealized appreciation/depreciation on the instruments and options are
shown at market value.
The following is a reconciliation of investments for unobservable inputs (Level 3)
that were used in determining fair value:
Investments in | ||
Securities | ||
Assets | ||
Balance as of August 31, 2008 | $ | 27,977,920 |
Accrued discounts/premiums | 164,900 | |
Realized loss | (5,006,943) | |
Change in unrealized appreciation/depreciation1 | (46,483,912) | |
Net sales | (16,941,868) | |
Net transfers in Level 3 | 102,904,197 | |
Balance as of February 28, 2009 | $ | 62,614,294 |
1 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 27
Schedule of Investments February 28, 2009 (Unaudited)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Aerospace & Defense — 0.8% | ||||
Avio Holding SpA: | ||||
Term Loan B, 2.604%, 9/25/14 | USD | 1,000 | $ | 517,500 |
Term Loan C, 3.229%, 9/25/15 | 1,000 | 517,500 | ||
Hawker Beechcraft Acquisition Co. LLC: | ||||
Letter of Credit Facility Deposit, 2.10%, 3/26/14 | 244 | 112,016 | ||
Term Loan, 2.479% – 3.459%, 3/26/14 | 4,569 | 2,099,278 | ||
IAP Worldwide Services, Inc. First Lien Term Loan, | ||||
7.25%, 12/31/12 | 585 | 304,392 | ||
Wesco Aircraft Hardware Corp. First Lien Term Loan, | ||||
2.73%, 9/25/13 | 486 | 401,156 | ||
3,951,842 | ||||
Airlines — 0.2% | ||||
US Airways Group, Inc. Term Loan, 2.979%, 3/23/14 | 2,220 | 1,009,407 | ||
Auto Components — 0.7% | ||||
Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14 | 4,053 | 2,685,303 | ||
Dana Holding Corp. Term Advance, 6.50% – 7.25%, 1/31/15 | 890 | 270,759 | ||
Dayco Products LLC — (Mark IV Industries, Inc.) | ||||
Replacement Term B Loan, 5.97% – 8.48%, 6/01/11 | 854 | 204,853 | ||
Metaldyne Co. LLC: | ||||
Deposited Fund Tranche Loan, 0.346% – | ||||
5.125%, 1/11/12 | 98 | 11,769 | ||
Initial Tranche Term B Loan, 2% – 8%, 1/11/14 | 669 | 80,244 | ||
Rally Parts, LLC (Motorsport Aftermarket) Tranche | ||||
Term B Loan, 2.98% – 3.96%, 11/03/13 | 490 | 181,300 | ||
3,434,228 | ||||
Beverages — 0.1% | ||||
Culligan International Co., Second Lien Term Loan, | ||||
6.485% – 8.536%, 5/25/13 | EUR | 1,500 | 335,954 | |
Le-Nature's, Inc. Term B Loan, | ||||
10.25%, 12/28/12 (e)(f) | USD | 1,000 | 145,000 | |
480,954 | ||||
Building Products — 1.0% | ||||
Armstrong World Industries, Inc. Tranche B Term Loan, | ||||
2.223%, 10/02/13 | 194 | 174,177 | ||
Building Material Corp. of America Advance Term Loan, | ||||
3.625% – 3.875%, 2/22/14 | 2,873 | 1,958,643 | ||
Custom Building Products, Inc. Second Lien Term Loan, | ||||
10.75%, 4/29/12 | 1,500 | 847,500 | ||
Momentive Performance Materials (Blitz 06-103 GMBH): | ||||
Tranche B-1, 2.75%, 12/04/13 | 967 | 716,839 | ||
Tranche B-2, 3.803%, 12/04/13 | EUR | 1,000 | 790,229 | |
United Subcontractors Inc. Tranche B Term Loan, | ||||
6.43% – 6.80%, 12/27/12 | USD | 1,820 | 364,016 | |
4,851,404 | ||||
Capital Markets — 0.2% | ||||
Marsico Parent Co., LLC Term Loan, | ||||
4.50% – 7.25%, 12/15/14 | 475 | 225,393 | ||
Nuveen Investments, Inc. Term Loan, | ||||
3.479% – 4.466%, 11/13/14 | 1,496 | 705,367 | ||
930,760 | ||||
Chemicals — 3.1% | ||||
Brenntag Holdings GMBH & Co. KG Facility: | ||||
B6A and B6B, 7.163%, 11/24/37 | EUR | 500 | 488,717 | |
Second Lien Term Loan 2, 5.501%, 7/17/15 | USD | 500 | 289,375 | |
Second Lien Term Loan 3A, 9.421%, 3/21/16 | EUR | 115 | 86,361 | |
Second Lien Term Loan 3B, 9.421%, 3/15/16 | 385 | 289,209 | ||
Cognis GMBH Facility: | ||||
Term Loan A, 5.329%, 11/17/13 | 803 | 641,564 | ||
Term Loan B, 5.329%, 11/16/13 | 197 | 157,118 | ||
Edwards (Cayman Islands II) Ltd. First Lien Term Loan, | ||||
2.479%, 5/23/14 | USD | 493 | 295,500 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Chemicals (concluded) | ||||
ElectriciInvest Holding Co. Ltd (Viridian Group Plc) | ||||
Junior Term Facility: | ||||
6.082%, 4/20/12 | EUR | 894 | $ | 764,728 |
5.928%, 12/21/12 | GBP | 900 | 872,917 | |
Huish Detergents, Inc. Tranche Term B Loan, | ||||
2.17%, 4/26/14 | USD | 1,244 | 1,052,989 | |
ISP Chemco Term B Loan, 2% – 2.75%, 6/04/14 | 1,478 | 1,236,175 | ||
Ineos U.S. Finance LLC Term Facility: | ||||
A4, 7.702%, 2/20/13 | 923 | 364,674 | ||
B2, 8.202%, 2/20/15 | 1,631 | 636,101 | ||
C2, 8.703%, 2/20/14 | 1,631 | 636,101 | ||
Lucite International Group Holdings Ltd. PIK, | ||||
11.312%, 7/03/14 (c) | EUR | 1,185 | 1,026,543 | |
PQ Corp. (fka Niagara Acquisition, Inc.): | ||||
First Lien Term Loan, 4.43% – 4.71%, 7/31/14 | USD | 3,980 | 2,378,050 | |
Second Lien Term Loan, 7.68%, 7/30/15 | 3,250 | 1,137,500 | ||
Rockwood Specialties Group, Inc. Tranche Term Loan D, | ||||
1.979%, 12/13/12 | 960 | 843,200 | ||
Solutia, Inc. Term Loan, 8.50%, 2/28/14 | 1,741 | 1,118,725 | ||
14,315,547 | ||||
Commercial Services & Supplies — 1.6% | ||||
Aramark Corp. | ||||
Letter of Credit, 2.038%, 1/26/14 | 185 | 159,546 | ||
Term Loan, 3.334%, 1/26/14 | 2,907 | 2,511,359 | ||
EnviroSolutions Real Property Holdings, Inc. Initial | ||||
Term Loan, 10.50%, 7/01/12 | 503 | 276,698 | ||
Kion GmbH: | ||||
Term Loan B, 2.479%, 3/04/15 | 250 | 85,000 | ||
Term Loan C, 2.979%, 3/04/16 | 250 | 85,000 | ||
Language Line, Inc. Tranche B-1 Term Loan, | ||||
4.71%, 11/14/11 | 708 | 608,563 | ||
Sirva Worldwide, Inc. Second Lien Term Loan, | ||||
12%, 5/15/15 | 246 | 12,299 | ||
Synagro Technologies, Inc. First Lien Term Loan, | ||||
2.45%, 4/01/14 | 2,729 | 1,521,540 | ||
West Corp. Term B Loan-2, | ||||
2.82% – 2.854%, 10/31/13 | 2,940 | 2,152,729 | ||
7,412,734 | ||||
Communications Equipment — 0.2% | ||||
SafeNet, Inc. First Lien Term Loan, | ||||
3.398% – 3.66%, 4/12/14 | 1,970 | 1,068,725 | ||
Computers & Peripherals — 0.6% | ||||
Dealer Computer Services, Inc. (Reynolds & | ||||
Reynolds) First Lien Term Loan, 2.479%, 10/31/12 | 1,381 | 897,534 | ||
Intergraph Corp.: | ||||
First Lien Initial Term Loan, 3.256%, 5/15/14 | 1,431 | 1,223,363 | ||
Second Lien Term Loan, | ||||
6.479% – 7.256%, 11/17/14 | 750 | 618,750 | ||
2,739,647 | ||||
Construction & Engineering — 0.2% | ||||
Brand Energy & Infrastructure Services, Inc. | ||||
Term Loan B: | ||||
3.688% – 3.75%, 1/31/14 | 990 | 638,335 | ||
7% – 7.313%, 2/15/15 | 1,000 | 300,000 | ||
938,335 | ||||
Containers & Packaging — 1.5% | ||||
Atlantis Plastic Films, Inc. Second Lien Term Loan, | ||||
12.25%, 3/22/12 (e)(f) | 250 | 0 | ||
Graham Packaging Co. LP New Term Loan, | ||||
2.689% – 6.313%, 9/30/11 | 1,585 | 1,326,418 | ||
Graphic Packaging International, Inc. Incremental | ||||
Term Loan, 3.203% – 4.185%, 5/16/14 | 2,340 | 1,994,125 |
See Notes to Financial Statements.
28 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Containers & Packaging (concluded) | ||||
Modelo 3 S.a.r.l. (Mivisa) Tranche B2 Term Loan, | ||||
5.452%, 6/03/15 | EUR | 1,000 | $ | 933,908 |
Smurfit-Stone Container Enterprises, Inc.: | ||||
Term Loan, 5%, 11/01/10 | USD | 568 | 376,065 | |
Term Loan B, 0.50%, 2/03/10 | 580 | 576,375 | ||
Term Loan B, 0.50%, 11/01/11 | 130 | 86,429 | ||
Term Loan C, 2.69% – 4.50%, 2/03/10 | 630 | 592,200 | ||
Term Loan C, 1.312%, 11/01/11�� | 376 | 250,363 | ||
Solo Cup Co. Term B Loan1, | ||||
3.913% – 5.75%, 2/27/11 | 1,114 | 1,003,031 | ||
7,138,914 | ||||
Distributors — 0.1% | ||||
Keystone Automotive Operations, Inc. Term Loan, | ||||
3.947% – 5.75%, 1/12/12 | 1,426 | 534,883 | ||
Diversified Consumer Services — 0.7% | ||||
Coinmach Corp. Term Loan, 3.47% – 4.26%, 11/15/14 | 4,714 | 3,064,286 | ||
Diversified Financial Services — 0.2% | ||||
JG Wentworth, LLC: | ||||
First Lien Term Loan, 3.709%, 4/03/14 | 4,000 | 360,000 | ||
Term Loan B, 3.709%, 4/03/14 | 400 | 36,000 | ||
Professional Services Industries Inc. First Lien | ||||
Term Loan, 3.23%, 10/31/12 | 649 | 564,323 | ||
960,323 | ||||
Diversified Telecommunication Services — 1.4% | ||||
Eircom Group Plc: | ||||
Term Loan B, 3.428%, 8/14/14 | EUR | 1,970 | 1,667,657 | |
Term Loan C, 3.678%, 8/14/13 | 1,970 | 1,667,843 | ||
Hawaiian Telcom Communications, Inc. Tranche C | ||||
Term Loan, 4.75%, 6/01/14 | USD | 1,898 | 791,312 | |
Time Warner Telecom Holdings Inc. Term B Loan, | ||||
2.48%, 2/23/14 | 2,013 | 1,778,905 | ||
Wind Telecomunicazione S.P.A. A1 Term Loan Facility, | ||||
3.082% – 6.973%, 9/22/12 | EUR | 424 | 468,486 | |
6,374,203 | ||||
Electric Utilities — 0.4% | ||||
Astoria Generating Co. Acquisitions, LLC Second Lien | ||||
Term Loan C, 4.23%, 8/23/13 | USD | 1,500 | 1,081,875 | |
TPF Generation Holdings LLC: | ||||
First Lien Term Loan, 2.479%, 11/28/13 | 448 | 407,129 | ||
Letter of Credit, 1.359%, 11/28/13 | 151 | 136,806 | ||
Revolving Credit, 1.359%, 11/28/13 | 47 | 42,886 | ||
1,668,696 | ||||
Electrical Equipment — 0.4% | ||||
Electrical Components International Holdings Co. (ECI) | ||||
Second Lien Term Loan, 11.50%, 5/05/14 | 500 | 125,000 | ||
Generac Acquisition Corp. First Lien Term Loan, | ||||
2.919%, 11/10/13 | 1,464 | 783,213 | ||
Sensus Metering Systems New Term B Loan-1, | ||||
2.47% – 3.256%, 12/17/10 | 1,057 | 950,870 | ||
1,859,083 | ||||
Electronic Equipment & Instruments — 0.9% | ||||
Deutsch Connectors: | ||||
Term B Loan, 2.695%, 7/27/14 | 34 | 22,827 | ||
Term B Loan 2, 2.695%, 7/27/14 | 457 | 305,883 | ||
Term Loan C, 3.195%, 7/27/15 | 851 | 570,304 | ||
Flextronics International Ltd.: | ||||
Delay Draw Term Loan, 3.344%, 10/05/14 | 1,103 | 722,615 | ||
Term Loan A, 3.344% – 3.685%, 10/01/14 | 3,839 | 2,514,698 | ||
4,136,327 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Energy Equipment & Services — 0.8% | ||||
Dresser, Inc. Term B Loan, 2.729% – 3.488%, | ||||
5/15/14 | USD | 3,432 | $ | 2,464,440 |
MEG Energy Corp. Term Loan, 3.46%, 3/23/13 | 486 | 301,475 | ||
Trinidad USA Partnership LLP US Term Loan, | ||||
2.913%, 4/15/11 | 1,458 | 1,093,125 | ||
3,859,040 | ||||
Food & Staples Retailing — 1.3% | ||||
AB Acquisitions UK Topco 2 Ltd. Facility B2 | ||||
UK Borrower, 4.161%, 7/09/15 | GBP | 4,000 | 4,021,199 | |
Advantage Sales & Marketing, Inc. (ASM Merger | ||||
Sub, Inc.) Term Loan, 2.45% – 3.47%, 4/15/13 | USD | 970 | 761,571 | |
DS Waters of America, Inc. Term Loan, | ||||
4.455%, 3/31/12 | 500 | 275,000 | ||
WM. Bolthouse Farms, Inc. First Lien Term Loan, | ||||
2.688%, 11/29/12 | 970 | 807,525 | ||
5,865,295 | ||||
Food Products — 1.2% | ||||
Dole Food Co., Inc.: | ||||
Letter of Credit, 2.13%, 4/12/13 | 280 | 250,710 | ||
Term Loan C, 2.50%, 4/12/13 | 1,842 | 1,651,321 | ||
Tranche Term B Loan, 2.50% – 4.25%, 4/12/13 | 494 | 443,223 | ||
Michael Foods, Inc. Term B Loan-1, | ||||
3.001% – 3.328%, 11/21/10 | 2,167 | 2,036,765 | ||
Sturm Foods, Inc.: | ||||
First Lien Term Loan, 3.75%, 1/22/14 | 1,346 | 763,798 | ||
First Lien Term Loan, 3.438%, 1/22/14 (c)(g) | 500 | 283,750 | ||
Second Lien Term Loan, 7.25%, 11/12/37 | 500 | 125,000 | ||
5,554,567 | ||||
Health Care Equipment & Supplies — 1.5% | ||||
Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15 | 4,444 | 3,955,493 | ||
DJO Finance LLC (ReAble Therapeutics Fin LLC) | ||||
Term Loan, 3.479% – 4.459%, 11/20/13 | 2,475 | 2,058,376 | ||
Select Medical Corp. Tranche B Term Loan, | ||||
2.473% – 4.25%, 2/24/12 | 963 | 770,000 | ||
6,783,869 | ||||
Health Care Providers & Services — 3.1% | ||||
CHSI Community Health Systems, Inc.: | ||||
Delay Draw Term Loan, 2.729%, 6/18/14 | 419 | 354,402 | ||
Term B Loan, 2.729% – 3.506%, 7/25/14 | 8,188 | 6,932,939 | ||
CSS Medical, Inc. (Chronic Care) First Lien Term Loan, | ||||
4.71%, 8/01/12 | 583 | 262,518 | ||
Catalent Pharma (fka Cardinal Health 409, Inc.) | ||||
Euro Term Loan, 5.223%, 11/19/37 | EUR | 1,970 | 1,798,174 | |
HCA, Inc. Tranche Term B-1 Loan, 3.709%, 11/15/12 | USD | 1,216 | 1,025,239 | |
Health Management Associates, Inc. Term B Loan, | ||||
3.209%, 2/28/14 | 882 | 703,055 | ||
HealthSouth Corp. Term Loan, | ||||
2.95% – 4.75%, 3/12/13 | 2,324 | 2,050,539 | ||
Surgical Care Affiliates, LLC Term Loan, | ||||
3.459%, 6/29/14 | 1,977 | 1,186,451 | ||
14,313,317 | ||||
Health Care Technology — 0.3% | ||||
Sunquest Information Systems, Inc. | ||||
(Misys Hospital Systems, Inc.) Term Loan, | ||||
3.73% – 4.21%, 10/11/14 | 1,481 | 1,185,000 | ||
Hotels, Restaurants & Leisure — 1.9% | ||||
BLB Worldwide Holdings, Inc. (Wembley, Inc.) First | ||||
Priority Term Loan, 4.75%, 8/12/12 | 1,989 | 729,303 | ||
CCM Merger Inc. (Motor City Casino) Term B Loan, | ||||
8.50%, 7/26/12 | 1,555 | 878,747 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 29
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Hotels, Restaurants & Leisure (concluded) | ||||
Green Valley Ranch Gaming, LLC: | ||||
First Lien Term Loan, 2.449% – 4%, 2/26/14 | USD | 473 | $ | 189,700 |
Second Lien Term Loan, 3.697%, 2/26/14 | 1,500 | 75,000 | ||
Harrah's Operating Co., Inc.: | ||||
Term Loan B-1, 4.159% – 4.459%, 1/28/15 | 552 | 318,097 | ||
Term Loan B-2, 4.159% – 4.459%, 1/28/15 | 695 | 404,113 | ||
Term Loan B-3, 4.159% – 4.459%, 1/28/15 | 806 | 464,643 | ||
OSI Restaurant Partners, Inc.: | ||||
Revolving Credit, 1.813% – 2.813%, 5/15/14 | 32 | 15,075 | ||
Term Loan B, 2.813%, 5/15/14 | 381 | 178,633 | ||
Penn National Gaming, Inc. Term Loan B, | ||||
2.23% – 2.99%, 10/03/12 | 4,025 | 3,625,589 | ||
QCE, LLC (Quiznos) First Lien Term Loan, | ||||
3.75%, 5/05/13 | 1,950 | 1,075,287 | ||
Travelport LLC (fka Travelport Inc.) First Priority Term | ||||
Loan, 7.979%, 3/20/12 | 4,454 | 913,149 | ||
8,867,336 | ||||
Household Durables — 0.9% | ||||
Berkline/Benchcraft, LLC First Lien Term Loan, | ||||
6.578%, 11/10/11 | 95 | 4,735 | ||
Jarden Corp. Term Loan B3, 3.959%, 1/24/12 | 990 | 893,679 | ||
Simmons Bedding Co. Tranche D Term Loan, | ||||
9.535%, 12/19/11 | 3,250 | 2,483,000 | ||
Yankee Candle Co., Inc. Term Loan, | ||||
2.42% – 3.47%, 2/06/14 | 1,000 | 606,667 | ||
3,988,081 | ||||
Household Products — 0.1% | ||||
Central Garden & Pet Co. Tranche B Term Loan, | ||||
1.98% – 3.75%, 9/30/12 | 996 | 672,439 | ||
IT Services — 2.4% | ||||
Affiliated Computer Services, Inc. (ACS) Term Loan, | ||||
2.479%, 3/20/13 | 728 | 671,573 | ||
Amadeus Global Travel distribution SA: | ||||
Term Loan B, 3.747%, 6/30/13 | EUR | 307 | 233,198 | |
Term Loan B-4, 3.747%, 6/30/13 | 186 | 141,219 | ||
Term Loan C, 4.247%, 6/30/14 | 307 | 233,198 | ||
Term Loan C-4, 4.247%, 6/30/14 | 186 | 141,219 | ||
Audio Visual Services Group, Inc. Second Lien Term | ||||
Loan, 6.96%, 8/28/13 | USD | 1,000 | 70,000 | |
Ceridian Corp. US Term Loan, 3.47%, 11/09/14 | 3,500 | 2,415,000 | ||
First Data Corp.: | ||||
Term Loan B-1, 3.223% – 3.229%, 9/24/14 | 3,682 | 2,416,956 | ||
Term Loan B-2, 3.223% – 3.229%, 9/24/14 | 1,244 | 816,526 | ||
Term Loan B-3, 3.223% – 3.229%, 9/24/14 | 846 | 552,535 | ||
RedPrairie Corp. Term Loan, 4.25% – 5.25%, 7/17/12 | 685 | 431,672 | ||
SunGard Data Systems Inc. (Solar Capital Corp.) | ||||
New US Term Loan, 2.198% – 2.991%, 2/28/14 | 2,911 | 2,435,297 | ||
Verifone, Inc. Term B Loan, 3.23%, 2/28/13 | 920 | 717,600 | ||
11,275,993 | ||||
Independent Power Producers & Energy Traders — 1.5% | ||||
Texas Competitive Electric Holdings Co., LLC: | ||||
Initial Tranche Term Loan B-2, 3.948% – | ||||
4.451%, 10/10/14 | 4,209 | 2,626,058 | ||
Initial Tranche Term Loan B-3, 3.948% – | ||||
4.451%, 10/10/14 | 7,269 | 4,534,303 | ||
7,160,361 | ||||
Insurance — 0.1% | ||||
Conseco, Inc. Term Loan, 2.447%, 10/10/13 | 733 | 410,561 | ||
Leisure Equipment & Products — 0.1% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B Term Loan, | ||||
2.98% – 3.93%, 6/08/12 | 973 | 544,600 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Life Sciences Tools & Services — 0.7% | ||||
Life Technologies Corp. Facility Term B Loan, | ||||
5.25%, 6/11/15 | USD | 2,244 | $ | 2,196,682 |
Quintiles Transnational Corp. Term B Loan, | ||||
3.459%, 3/21/13 | 973 | 857,016 | ||
3,053,698 | ||||
Machinery — 1.5% | ||||
Blount, Inc. Term Loan B, 2.163%, 8/09/10 | 722 | 636,546 | ||
LN Acquisition Corp. (Lincoln Industrials) Initial | ||||
Second Lien Term Loan, 6.21%, 12/18/14 | 1,500 | 1,200,000 | ||
NACCO Materials Handling Group, Inc. Term Loan, | ||||
2.479% – 4.595%, 3/21/13 | 488 | 253,500 | ||
Navistar International Transportation Corp.: | ||||
Advance Term Loan, 3.729%, 1/19/12 | 2,750 | 1,968,541 | ||
Credit-Linked Deposit, 3.696% – 3.729%, 1/19/12 | 1,000 | 715,833 | ||
OshKosh Truck Corp. Term B Loan, | ||||
2.20% – 3.95%, 12/06/13 | 2,201 | 1,540,673 | ||
Standard Steel: | ||||
Delay Draw Term Loan, 2.98%, 6/21/12 | 77 | 49,169 | ||
First Lien Term Loan, 3.96%, 6/21/12 | 381 | 243,966 | ||
Trimas Co.: | ||||
Letter of Credit, 2.40%, 8/02/11 | 94 | 59,063 | ||
Term Loan B, 2.729% – 3.434%, 8/02/13 | 397 | 250,179 | ||
6,917,470 | ||||
Marine — 0.2% | ||||
Dockwise Shipping BV: | ||||
Term Loan B, 3.459%, 4/26/15 | 1,000 | 503,333 | ||
Term Loan C, 4.334%, 4/26/16 | 1,000 | 503,333 | ||
1,006,666 | ||||
Media — 12.7% | ||||
Acosta, Inc. Term Loan, 2.73%, 2/28/14 | 975 | 794,625 | ||
Affinion Group Holdings, Inc. Term Loan: | ||||
8.523%, 1/31/12 | 500 | 225,000 | ||
8.523%, 3/01/12 | 500 | 225,000 | ||
AlixPartners Tranche C Term Loan, | ||||
2.94% – 3.36%, 10/30/13 | 1,446 | 1,243,594 | ||
Atlantic Broadband Finance, LLC Tranche B-2 | ||||
Term Loan, 3.71%, 2/27/14 | 975 | 867,869 | ||
CSC Holdings Inc. (Cablevision) Incremental Term Loan, | ||||
2.205% – 2.692%, 3/23/13 | 2,895 | 2,627,317 | ||
Catalina Marketing Corp. Initial Term Loan, | ||||
4.459%, 10/01/14 | 3,461 | 2,743,011 | ||
Cengage Learning Acquisitions, Inc. (Thomson | ||||
Learning) Tranche 1 Incremental Term Loan, | ||||
7.50%, 7/05/14 | 3,731 | 2,611,875 | ||
Cequel Communications, LLC (aka Cebridge) Term | ||||
Loan, 2.445% – 4.25%, 11/05/13 | 7,379 | 6,218,842 | ||
Charter Communications Operating, LLC Replacement | ||||
Term Loan, 3.18% – 3.36%, 11/23/37 | 3,950 | 3,135,352 | ||
Clarke American Corp. Tranche B Term Loan, | ||||
2.979% – 3.959%, 12/31/14 | 3,384 | 1,993,160 | ||
Dex Media West LLC Tranche B Term Loan, | ||||
7%, 10/24/14 | 2,250 | 1,080,000 | ||
Discovery Communications Holding, LLC Term B Loan, | ||||
3.459%, 5/14/14 | 1,480 | 1,341,492 | ||
Formula One Group: | ||||
Second Lien Term Loan, 2.854%, 7/05/14 | 589 | 165,000 | ||
Term Loan B, 5.311%, 12/31/13 | 1,000 | 503,409 | ||
Term Loan B, 2.854%, 1/05/14 | 857 | 431,493 | ||
FoxCo Acquisition Subsidiary, LLC Term Loan, | ||||
2.45% – 4.25%, 7/14/15 | 1,000 | 513,333 | ||
Getty Images, Inc. Initial Term Loan, | ||||
6.25% – 7.25%, 6/30/15 | 745 | 709,289 |
See Notes to Financial Statements.
30 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Media (concluded) | ||||
Gray Television, Inc. Term Loan B-DD, | ||||
1.95% – 2.93%, 12/31/14 | USD | 731 | $ | 366,736 |
HIT Entertainment Ltd.: | ||||
First Lien Term Loan, 3.49%, 8/31/12 | 1,268 | 602,314 | ||
Second Lien Term Loan, 6.74%, 2/24/13 | 1,000 | 200,000 | ||
HMH Publishing Co., Ltd. Mezzanine Assignment, | ||||
5.256%, 11/14/14 | 9,060 | 2,718,109 | ||
Hanley-Wood, LLC (FSC Acquisition) Term Loan, | ||||
2.695% – 2.729%, 3/08/14 | 1,481 | 538,187 | ||
Insight Midwest Holdings, LLC B Term Loan, | ||||
2.42%, 4/06/14 | 2,550 | 2,242,937 | ||
Knology, Inc. Term Loan, 2.663%, 6/30/12 | 485 | 388,210 | ||
MCC Iowa (Mediacom Broadband Group) | ||||
Tranche D-1 Term Loan, 2.12%, 1/31/15 | 1,960 | 1,666,000 | ||
Mediacom Illinois, LLC (fka Mediacom | ||||
Communications, LLC) Tranche C Term Loan, | ||||
1.87%, 1/31/15 | 1,936 | 1,607,675 | ||
Metro-Goldwyn-Mayer Inc. Tranche B Term Loan, | ||||
3.729% – 4.709, 3/15/12 | 3,870 | 1,722,218 | ||
Multicultural Radio Broadcasting Inc. Term Loan, | ||||
3.195%, 12/15/12 | 328 | 229,814 | ||
NTL Cable Plc: | ||||
Second Lien Term Loan, 4.392%, 11/19/37 | GBP | 1,101 | 1,264,726 | |
Term Loan, 4.919%, 7/17/13 | 2,000 | 2,013,781 | ||
New Vision Television Term Loan B: | ||||
5.22% — 5.25%, 10/21/13 | USD | 990 | 386,090 | |
Newsday, LLC Fixed Rate Term Loan, 9.75%, 7/02/13 | 1,500 | 1,353,750 | ||
Nexstar Broadcasting Group: | ||||
Term Loan, 3.209%, 10/01/12 | 1,781 | 997,504 | ||
Term Loan B, 3.209%, 10/01/12 | 1,883 | 1,054,297 | ||
Nielsen Finance LLC Dollar Term Loan, | ||||
2.448%, 8/15/13 | 4,219 | 3,310,345 | ||
PanAmSat Corp.: | ||||
Term Loan B, 3.925%, 1/03/14 | 590 | 504,262 | ||
Term Loan B2, 3.925%, 1/03/14 | 591 | 504,415 | ||
Term B Loan B2C, 3.925%, 1/03/14 | 590 | 504,262 | ||
Penton Media: | ||||
Second Lien Term Loan, 6.174%, 2/01/14 | 1,000 | 111,250 | ||
Term Loan, 2.729% – 3.424, 2/01/13 | 1,105 | 411,729 | ||
ProSiebenSat. 1 Media AG: | ||||
Second Lien Term Loan, 5.964%, 12/28/16 | EUR | 904 | 49,130 | |
Term Loan B, 4.589%, 6/30/15 | 337 | 38,161 | ||
Term Loan B, 4.839%, 6/30/16 | 337 | 38,161 | ||
Puerto Rico Cable Acquisition Co. Inc. (D/B/A | ||||
Choice TV) Term Loan, 8%, 1/28/12 | 692 | 380,769 | ||
San Juan Cable First Lien Term loan, 9.62%, 10/26/12 | 1,769 | 1,096,820 | ||
Sitel, LLC (ClientLogic) U.S. Term Loan, | ||||
5.947% – 6.911%, 1/30/14 | 911 | 503,899 | ||
Telecommunications Management, LLC: | ||||
Assignment Term Loan, 3.979%, 6/30/13 | 926 | 555,750 | ||
Delay Draw Term Loan, 3.979%, 6/30/13 | 233 | 140,080 | ||
United Pan Europe Communications: | ||||
Term Loan M, 3.76%, 11/19/37 | EUR | 1,413 | 1,308,835 | |
Term Loan N, 2.163%, 12/31/14 | USD | 2,000 | 1,695,000 | |
Yell Group Plc Facility B2 (Euro), 4.553%, 4/30/11 | EUR | 1,500 | 1,298,536 | |
59,233,413 | ||||
Metals & Mining — 0.2% | ||||
Algoma Steel Inc. Term Loan, 2.92%, 6/19/13 | 497 | 293,510 | ||
Compass Minerals International, Inc. Term Loan, | ||||
1.96% – 2.96%, 12/22/12 | 776 | 722,136 | ||
Euramax International Plc Second Lien Term Loan: | ||||
13%, 6/21/13 | 83 | 12,496 | ||
13%, 6/29/13 | 168 | 25,191 | ||
1,053,333 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Multi-Utilities — 0.4% | ||||
Coleto Creek Power, LP (aka Coleto Creek WLE, LP): | ||||
First Lien Term Loan, 4.209%, 7/31/13 | USD | 1,180 | $ | 810,524 |
Synthetic Letter of Credit, 1.359%, 7/31/13 | 84 | 57,417 | ||
FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | ||||
First Lien Term Loan, 4.125%, 10/31/13 | 1,230 | 1,027,411 | ||
Letter of Credit, 2.65%, 10/03/13 | 159 | 132,378 | ||
MACH Gen, LLC Synthetic Letter of Credit First Lien | ||||
Term Loan, 2.25%, 2/12/13 | 69 | 51,739 | ||
2,079,469 | ||||
Multiline Retail — 0.0% | ||||
The Neiman Marcus Group, Inc. Term Loan, | ||||
4.193%, 4/06/13 | 280 | 179,292 | ||
Oil, Gas & Consumable Fuels — 1.3% | ||||
Big West Oil: | ||||
Delay Draw Term Loan, 4.50%, 5/15/14 | 550 | 269,500 | ||
Term Loan, 4.50%, 5/15/14 | 438 | 214,375 | ||
CR Gas Storage: | ||||
Bridge Loan, 2.205%, 5/08/11 | 29 | 22,532 | ||
Delay Draw Term Loan, 2.203%, 5/08/13 | 51 | 39,467 | ||
Term Loan, 4.847%, 5/08/13 | 528 | 411,489 | ||
Coffeyville Resources, LLC: | ||||
Funded Letter of Credit, 3.15%, 12/21/13 | 243 | 176,655 | ||
Tranche D Term Loan, 8.50% – 8.75%, 12/28/13 | 783 | 568,969 | ||
Drummond Co., Inc. Term Advance, 1.723%, 2/15/12 | 1,275 | 1,236,750 | ||
Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18 | 3,029 | 2,423,558 | ||
Western Refining, Inc. Term Loan, 8.25%, 5/30/14 | 915 | 567,993 | ||
5,931,288 | ||||
Paper & Forest Products — 1.7% | ||||
Georgia-Pacific LLC: | ||||
First Lien Term Loan B, | ||||
2.956% – 4.189%, 12/22/12 | 5,261 | 4,541,312 | ||
Term Loan B2, 2.956% – 4.189%, 3/08/13 | 2,209 | 1,906,312 | ||
NewPage Corp. Term Loan, 5.313%, 12/21/14 | 2,479 | 1,509,779 | ||
Verso Paper Finance Holdings LLC Term Loan, | ||||
7.685% – 8.435%, 2/01/13 | 575 | 114,928 | ||
8,072,331 | ||||
Personal Products — 0.6% | ||||
American Safety Razor Co., LLC Second Lien | ||||
Term Loan, 6.73%, 1/25/14 | 2,500 | 1,600,000 | ||
Prestige Brands, Inc. Tranche Term Loan B-1, | ||||
2.729%, 10/06/10 | 1,092 | 971,495 | ||
2,571,495 | ||||
Real Estate Management & Development — 0.5% | ||||
Enclave Term Loan B, 6.14%, 3/01/12 | 3,000 | 1,200,000 | ||
Georgian Towers Term Loan, 6.14%, 3/01/12 | 3,000 | 1,050,000 | ||
Pivotal Promontory, LLC Second Lien Term Loan, | ||||
11.50%, 8/11/11 (e)(f) | 750 | 37,500 | ||
2,287,500 | ||||
Road & Rail — 0.3% | ||||
Rail America, Inc. Term Loan, 5.44%, 6/30/09 | 1,500 | 1,350,000 | ||
Software — 0.2% | ||||
Bankruptcy Management Solutions, Inc. First Lien | ||||
Term Loan, 4.48%, 7/06/12 | 978 | 566,950 | ||
CCC Information Services Group Inc. Term Loan, | ||||
3.72%, 2/10/13 | 411 | 329,119 | ||
896,069 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 31
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Specialty Retail — 0.6% | ||||
ADESA, Inc. (KAR Holdings, Inc.) Initial Term Loan, | ||||
2.73% – 3.709%, 10/20/13 | USD | 1,679 | $ | 1,129,668 |
Burlington Coat Factory Warehouse Corp. Term Loan, | ||||
2.73%, 5/28/13 | 586 | 206,788 | ||
Eye Care Centers of America, Inc. Term Loan, | ||||
2.92% – 3.97%, 3/01/12 | 527 | 437,457 | ||
Orchard Supply Hardware Term Loan B, | ||||
2.784%, 12/21/13 | 1,500 | 930,000 | ||
2,703,913 | ||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||
Hanesbrands Inc. Term Loan, 2.909% – 4%, 9/05/13 | 872 | 816,645 | ||
Renfro Corp. Tranche B Term Loan, | ||||
4.16% – 4.71%, 10/05/13 | 436 | 218,125 | ||
St. John Knits International, Inc. Term Loan, | ||||
9%, 8/24/13 | 631 | 378,397 | ||
1,413,167 | ||||
Trading Companies & Distributors — 0.2% | ||||
Beacon Sales Acquisition, Inc. Term B Loan, | ||||
2.479% – 3.435%, 11/02/13 | 1,222 | 865,494 | ||
Wireless Telecommunication Services — 1.0% | ||||
Cellular South, Inc.: | ||||
Delay Draw Term Loan, 1.979%, 5/16/14 | 500 | 450,000 | ||
Term Loan B, 1.979% – 3.75%, 5/29/14 | 1,478 | 1,329,750 | ||
Cricket Communications, Inc. (aka Leap wireless) | ||||
Term B Loan, 6.50%, 6/16/13 | 1,444 | 1,336,486 | ||
NTELOS Inc. Term B-1 Loan, 2.73%, 8/14/11 | 1,678 | 1,527,061 | ||
4,643,297 | ||||
Total Floating Rate Loan Interests — 51.9% | 241,608,652 | |||
US Government Agency | ||||
Mortgage-Backed Securities | ||||
Fannie Mae Guaranteed Pass Through Certificates: | ||||
5.00%, 3/15/24 (i) | 121,000 | 124,403,125 | ||
5.50%, 12/01/28 – 11/01/33 (j) | 7,389 | 7,602,151 | ||
Total US Government Agency | ||||
Mortgage-Backed Securities — 28.4% | 132,005,276 | |||
Corporate Bonds | ||||
Air Freight & Logistics — 0.1% | ||||
Park-Ohio Industries, Inc., 8.375%, 11/15/14 | 905 | 371,050 | ||
Airlines — 0.1% | ||||
American Airlines, Inc. Series 99-1, 7.324%, 4/15/11 | 520 | 488,800 | ||
Auto Components — 0.1% | ||||
Allison Transmission, Inc. (b): | ||||
11%, 11/01/15 | 135 | 65,474 | ||
11.25%, 11/01/15 (c) | 435 | 167,475 | ||
Lear Corp., 8.75%, 12/01/16 | 525 | 89,250 | ||
322,199 | ||||
Automobiles — 0.0% | ||||
Ford Capital BV, 9.50%, 6/01/10 | 500 | 160,000 | ||
Building Products — 0.2% | ||||
CPG International I, Inc., 10.50%, 7/01/13 | 750 | 397,500 | ||
Momentive Performance Materials, Inc., | ||||
11.50%, 12/01/16 | 1,850 | 388,500 | ||
786,000 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Capital Markets — 0.7% | ||||
E*Trade Financial Corp., 12.50%, 11/30/17 | USD | 2,656 | $ | 1,221,875 |
Marsico Parent Co., LLC, 10.625%, 1/15/16 | 2,651 | 1,086,910 | ||
Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(c) | 1,039 | 425,904 | ||
Marsico Parent Superholdco, LLC, | ||||
14.50%, 1/15/18 (b)(c) | 707 | 289,946 | ||
3,024,635 | ||||
Chemicals — 0.9% | ||||
American Pacific Corp., 9%, 2/01/15 | 1,100 | 924,000 | ||
Ames True Temper, Inc., 5.094%, 1/15/12 (d) | 2,085 | 1,355,250 | ||
Innophos, Inc., 8.875%, 8/15/14 | 2,225 | 1,768,875 | ||
Terra Capital, Inc. Series B, 7%, 2/01/17 | 15 | 13,650 | ||
4,061,775 | ||||
Commercial Services & Supplies — 1.2% | ||||
Casella Waste Systems, Inc., 9.75%, 2/01/13 | 2,000 | 1,750,000 | ||
DI Finance Series B, 9.50%, 2/15/13 | 2,326 | 2,116,660 | ||
Waste Services, Inc., 9.50%, 4/15/14 | 2,065 | 1,631,350 | ||
5,498,010 | ||||
Containers & Packaging — 0.7% | ||||
Berry Plastics Holding Corp.: | ||||
5.871%, 9/15/14 (d) | 510 | 237,150 | ||
8.875%, 9/15/14 | 465 | 276,675 | ||
Crown Americas LLC, 7.75%, 11/15/15 | 885 | 891,638 | ||
Impress Holdings BV, 4.219%, 9/15/13 (b)(d) | 1,370 | 1,013,800 | ||
Pregis Corp., 12.375%, 10/15/13 | 2,020 | 898,900 | ||
3,318,163 | ||||
Diversified Financial Services — 1.2% | ||||
Ford Motor Credit Co. LLC: | ||||
5.544%, 4/15/09 (d) | 60 | 55,500 | ||
7.375%, 2/01/11 | 2,800 | 1,671,216 | ||
4.01%, 1/13/12 (d) | 565 | 276,850 | ||
7.80%, 6/01/12 | 1,665 | 902,467 | ||
GMAC LLC, 6.875%, 8/28/12 (b) | 1,731 | 996,606 | ||
Structured Asset Repackaged Trust, 1.633%, 1/21/10 | 2,088 | 1,775,072 | ||
5,677,711 | ||||
Diversified Telecommunication Services — 3.7% | ||||
Cincinnati Bell, Inc., 7.25%, 7/15/13 | 1,420 | 1,356,100 | ||
Deutsche Telekom International Finance BV, | ||||
8.50%, 6/15/10 | 5,000 | 5,256,075 | ||
Qwest Communications International, Inc.: | ||||
7.50%, 2/15/14 | 610 | 516,975 | ||
Series B, 7.50%, 2/15/14 | 2,985 | 2,529,788 | ||
Qwest Corp., 5.246%, 6/15/13 (d) | 3,000 | 2,542,500 | ||
Wind Acquisition Finance SA, 10.75%, 12/01/15 (b) | 1,500 | 1,503,750 | ||
Windstream Corp.: | ||||
8.125%, 8/01/13 | 2,340 | 2,269,800 | ||
8.625%, 8/01/16 | 1,060 | 1,017,600 | ||
16,992,588 | ||||
Electric Utilities — 0.7% | ||||
Edison Mission Energy, 7.50%, 6/15/13 | 590 | 541,325 | ||
Elwood Energy LLC, 8.159%, 7/05/26 | 141 | 113,281 | ||
Midwest Generation LLC Series B, 8.56%, 1/02/16 | 2,676 | 2,642,091 | ||
3,296,697 | ||||
Electronic Equipment & Instruments — 0.1% | ||||
Sanmina-SCI Corp., 8.125%, 3/01/16 | 1,340 | 469,000 | ||
Energy Equipment & Services — 0.1% | ||||
Compagnie Generale de Geophysique-Veritas: | ||||
7.50%, 5/15/15 | 255 | 199,538 | ||
7.75%, 5/15/17 | 420 | 325,500 | ||
North American Energy Partners, Inc., | ||||
8.75%, 12/01/11 | 140 | 110,250 | ||
635,288 |
See Notes to Financial Statements.
32 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Corporate Bonds | (000) | Value | ||
Food & Staples Retailing — 0.3% | ||||
Rite Aid Corp., 7.50%, 3/01/17 | USD | 2,355 | $ | 1,271,700 |
Gas Utilities — 0.1% | ||||
Targa Resources, Inc., 8.50%, 11/01/13 | 725 | 456,750 | ||
Health Care Equipment & Supplies — 1.2% | ||||
Biomet, Inc., 10%, 10/15/17 | 500 | 500,000 | ||
DJO Finance LLC, 10.875%, 11/15/14 | 6,420 | 4,879,200 | ||
5,379,200 | ||||
Health Care Providers & Services — 0.7% | ||||
Tenet Healthcare Corp., 6.50%, 6/01/12 | 1,985 | 1,766,650 | ||
Viant Holdings, Inc., 10.125%, 7/15/17 (b) | 2,948 | 1,474,000 | ||
3,240,650 | ||||
Hotels, Restaurants & Leisure — 1.6% | ||||
American Real Estate Partners LP: | ||||
8.125%, 6/01/12 | 5,860 | 5,156,800 | ||
7.125%, 2/15/13 | 1,480 | 1,217,300 | ||
Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(e)(f) | 1,344 | 120,960 | ||
Harrahs Operating Co., Inc.: | ||||
10%, 12/15/15 (b) | 300 | 84,000 | ||
10.75%, 2/01/16 | 2,719 | 380,660 | ||
10.75%, 2/01/18 (c) | 1,323 | 80,417 | ||
10%, 12/15/18 (b) | 1,292 | 361,760 | ||
Tropicana Entertainment LLC Series WI, | ||||
9.625%, 12/15/14 (e)(f) | 375 | 3,750 | ||
7,405,647 | ||||
Household Durables — 0.0% | ||||
Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (c)(e)(f)(g) | 200 | 0 | ||
IT Services — 0.4% | ||||
First Data Corp., 9.875%, 9/24/15 | 250 | 137,500 | ||
iPayment, Inc., 9.75%, 5/15/14 | 950 | 560,500 | ||
iPayment Investors LP, 12.75%, 7/15/14 (b)(c)(g) | 4,474 | 1,118,396 | ||
1,816,396 | ||||
Independent Power Producers & Energy Traders — 0.7% | ||||
The AES Corp., 8.75%, 5/15/13 (b) | 2,803 | 2,718,910 | ||
NRG Energy, Inc.: | ||||
7.25%, 2/01/14 | 210 | 197,925 | ||
7.375%, 2/01/16 | 595 | 548,888 | ||
3,465,723 | ||||
Industrial Conglomerates — 0.2% | ||||
Sequa Corp. (b): | ||||
11.75%, 12/01/15 | 3,210 | 513,600 | ||
13.50%, 12/01/15 (c) | 5,314 | 635,750 | ||
1,149,350 | ||||
Machinery — 0.7% | ||||
AGY Holding Corp., 11%, 11/15/14 | 1,700 | 1,020,000 | ||
Accuride Corp., 8.50%, 2/01/15 | 850 | 255,000 | ||
Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b) | 3,125 | 1,718,750 | ||
Synventive Molding Solutions Sub-Series A, | ||||
14%, 1/14/11 | 692 | 380,484 | ||
3,374,234 | ||||
Marine — 0.1% | ||||
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 | 676 | 405,600 | ||
Media — 5.4% | ||||
Affinion Group, Inc., 10.125%, 10/15/13 | 2,825 | 2,189,374 | ||
CMP Susquehanna Corp., 9.875%, 5/15/14 | 2,425 | 72,750 | ||
Cablevision Systems Corp. Series B, | ||||
8.334%, 4/01/09 (d) | 800 | 800,000 | ||
Charter Communications Holdings II LLC (e)(f): | ||||
10.25%, 9/15/10 | 1,155 | 929,775 | ||
Series B, 10.25%, 9/15/10 | 765 | 612,000 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Media (concluded) | ||||
Comcast Cable Communications LLC, | ||||
6.875%, 6/15/09 | USD | 6,685 | $ | 6,730,231 |
DirecTV Holdings LLC, 8.375%, 3/15/13 | 500 | 505,000 | ||
EchoStar DBS Corp.: | ||||
7%, 10/01/13 | 200 | 186,500 | ||
7.125%, 2/01/16 | 200 | 180,500 | ||
Local Insight Regatta Holdings, Inc., 11%, 12/01/17 | 1,575 | 378,000 | ||
Network Communications, Inc., 10.75%, 12/01/13 | 1,520 | 235,600 | ||
Nielsen Finance LLC, 10%, 8/01/14 | 3,695 | 3,048,375 | ||
ProtoStar I Ltd., 18%, 10/15/12 (b)(h) | 3,454 | 1,899,760 | ||
Rainbow National Services LLC (b): | ||||
8.75%, 9/01/12 | 925 | 926,156 | ||
10.375%, 9/01/14 | 3,134 | 3,208,433 | ||
Salem Communications Corp., 7.75%, 12/15/10 | 2,000 | 990,000 | ||
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) | 4,965 | 2,333,550 | ||
25,226,004 | ||||
Metals & Mining — 0.5% | ||||
AK Steel Corp., 7.75%, 6/15/12 | 1,250 | 1,075,000 | ||
Freeport-McMoRan Copper & Gold, Inc., | ||||
7.084%, 4/01/15 (d) | 1,495 | 1,117,513 | ||
2,192,513 | ||||
Multiline Retail — 0.9% | ||||
JC Penny Corp. Inc., 8%, 3/01/10 | 4,400 | 4,367,704 | ||
Oil, Gas & Consumable Fuels — 1.7% | ||||
Berry Petroleum Co., 8.25%, 11/01/16 | 550 | 280,500 | ||
Chesapeake Energy Corp., 6.375%, 6/15/15 | 650 | 531,375 | ||
Compton Petroleum Finance Corp., | ||||
7.625%, 12/01/13 | 700 | 234,500 | ||
EXCO Resources, Inc., 7.25%, 1/15/11 | 495 | 395,381 | ||
Encore Acquisition Co., 6%, 7/15/15 | 250 | 193,750 | ||
OPTI Canada, Inc., 8.25%, 12/15/14 | 1,990 | 676,600 | ||
Overseas Shipholding Group, Inc., 8.75%, 12/01/13 | 1,650 | 1,464,375 | ||
Sabine Pass LNG LP, 7.50%, 11/30/16 | 1,515 | 1,018,838 | ||
SandRidge Energy, Inc.: | ||||
5.06%, 4/01/14 (d) | 1,500 | 985,758 | ||
8.625%, 4/01/15 (c) | 1,500 | 1,035,000 | ||
Whiting Petroleum Corp.: | ||||
7.25%, 5/01/13 | 1,390 | 1,132,850 | ||
7.25%, 5/01/12 | 75 | 63,000 | ||
8,011,927 | ||||
Paper & Forest Products — 0.2% | ||||
Bowater, Inc., 4.996%, 3/15/10 (d) | 670 | 120,600 | ||
Domtar Corp., 7.875%, 10/15/11 | 140 | 119,350 | ||
NewPage Corp.: | ||||
7.42%, 5/01/12 (d) | 1,500 | 360,000 | ||
10%, 5/01/12 | 665 | 201,163 | ||
801,113 | ||||
Professional Services — 0.1% | ||||
FTI Consulting, Inc., 7.75%, 10/01/16 | 350 | 345,625 | ||
Real Estate Investment Trusts (REITs) — 0.1% | ||||
Rouse Co. LP, 5.375%, 11/26/13 | 2,000 | 600,000 | ||
Software — 0.0% | ||||
BMS Holdings, Inc., 9.224%, 2/15/12 (b)(c)(d) | 543 | 130,962 | ||
Specialty Retail — 1.6% | ||||
General Nutrition Centers, Inc.: | ||||
7.584%, 3/15/14 (c)(d) | 2,250 | 1,327,500 | ||
10.75%, 3/15/15 | 1,700 | 1,190,000 | ||
Group 1 Automotive, Inc., 8.25%, 8/15/13 (f) | 5,000 | 3,750,000 | ||
Lazy Days' R.V. Center, Inc., 11.75%, 5/15/12 (e)(f) | 1,454 | 116,320 | ||
Sonic Automotive, Inc. Series B, 8.625%, 8/15/13 | 3,500 | 1,085,000 | ||
7,468,820 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 33
Schedule of Investments (continued)
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
Par | ||||
Corporate Bonds | (000) | Value | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||||
Quiksilver, Inc., 6.875%, 4/15/15 | USD | 575 | $ | 287,500 |
Tobacco — 0.2% | ||||
Reynolds American, Inc., 7.625%, 6/01/16 | 1,000 | 878,462 | ||
Wireless Telecommunication Services — 1.4% | ||||
Cricket Communications, Inc., 9.375%, 11/01/14 | 270 | 246,375 | ||
Digicel Group Ltd. (b): | ||||
8.875%, 1/15/15 | 1,120 | 834,400 | ||
9.125%, 1/15/15 (c) | 2,467 | 1,726,900 | ||
MetroPCS Wireless, Inc., 9.25%, 11/01/14 | 350 | 330,750 | ||
Nordic Telephone Co. Holdings ApS, | ||||
8.875%, 5/01/16 (b) | 3,850 | 3,503,500 | ||
6,641,925 | ||||
Total Corporate Bonds — 28.0% | 130,019,721 | |||
US Government Obligations | ||||
Fannie Mae, 7.25%, 1/15/10 | 17,000 | 17,890,443 | ||
U.S. Treasury Notes: | ||||
3.875%, 5/15/09 (h) | 6,000 | 6,043,362 | ||
3.375%, 9/15/09 | 3,425 | 3,476,375 | ||
4.25%, 8/15/15 | 1,815 | 2,008,127 | ||
Total US Government Obligations — 6.3% | 29,418,307 | |||
Foreign Government Obligations | ||||
Colombia Government International Bond, | ||||
9.75%, 4/23/09 | 5,000 | 5,050,000 | ||
Peru Government International Bond, | ||||
8.375%, 5/03/16 | 4,871 | 5,431,165 | ||
Turkey Government International Bond, 7%, 9/26/16 | 5,093 | 4,736,490 | ||
Total Foreign Government Obligations — 3.3% | 15,217,655 | |||
Asset-Backed Securities | ||||
Sterling Bank Trust Series 2004-2 Class Note, | ||||
2.081%, 3/30/30 (a) | 19,594 | 1,194,019 | ||
Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (a) | 15,871 | 1,477,973 | ||
Total Asset-Backed Securities — 0.6% | 2,671,992 | |||
Common Stocks | ||||
Capital Markets — 0.0% | ||||
E*Trade Financial Corp. (f) | 121,011 | 96,809 | ||
Commercial Services & Supplies — 0.0% | ||||
Sirva Common Stock | 1,109 | 5,545 | ||
Total Common Stocks — 0.0% | 102,354 | |||
Preferred Stocks | ||||
Capital Markets — 0.0% | ||||
Marsico Parent Superholdco, LLC, 16.75% (b) | 177 | 76,995 | ||
Total Preferred Stocks — 0.0% | 76,995 |
Warrants(k) | Shares | Value |
Machinery — 0.0% | ||
Synventive Molding Solutions (expires 1/15/13) | 1 | 0 |
Total Warrants — 0.0% | 0 | |
Beneficial | ||
Interest | ||
Other Interests (l) | (000) | |
Health Care Providers & Services — 0.0% | ||
Critical Care Systems International, Inc. (g) | USD 7,579 | 1,525 |
Household Durables — 0.0% | ||
Berkline Benchcraft Equity LLC (g) | 3,155 | 0 |
Total Other Interests — 0.0% | 1,525 | |
Total Long-Term Investments | ||
(Cost — $744,323,872) — 118.5% | 551,122,477 | |
Short-Term Securities | Shares | |
BlackRock Liquidity Funds, TempFund, 0.86% (g)(m) | 31,220,283 | 31,220,283 |
Total Short-Term Securities | ||
(Cost — $31,220,283) — 6.7% | 31,220,283 | |
Options Purchased | Contracts | |
Over-the-Counter Call Options | ||
Marsico Parent Superholdco LLC, expiring | ||
December 2009 at USD 942.86 | ||
Broker Goldman Sachs & Co. | 46 | 74,290 |
Total Options Purchased (Cost — $44,978) — 0.0% | 74,290 | |
Total Investments (Cost — $775,589,133*) — 125.2% | 582,417,050 | |
Liabilities in Excess of Other Assets — (25.2)% | (117,255,378) | |
Net Assets — 100.0% | $ 465,161,672 |
* The cost and unrealized appreciation (depreciation) of investments as of February 28,
2009, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 775,657,541 |
Gross unrealized appreciation | $ 1,854,170 |
Gross unrealized depreciation | (195,094,661) |
Net unrealized depreciation | $(193,240,491) |
(a) Represents the interest only portion of a mortgage-backed security and has
either a nominal or notional amount of principal.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(c) Represents a payment-in-kind security, which may pay interest/dividends in
additional par/shares.
(d) Variable rate security. Rate shown is as of report date.
(e) Issuer filed for bankruptcy and/or is in default of interest payments.
(f) Non-income producing security.
(g) Represents the current yield as of report date.
(h) Convertible security.
See Notes to Financial Statements.
34 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (concluded)
BlackRock Limited Duration Income Trust (BLW)
(i) Represents or includes a to-be-announced transaction. The Fund has committed to
purchasing securities for which all specific information is not available at this time.
Unrealized | ||
Counterparty | Market Value | Appreciation |
Barclays Capital PLC | $124,403,125 | $170,156 |
(j) All, or a portion of security, pledged as collateral in connection with open financial
futures contracts.
(k) Warrants entitle the Fund to purchase a predetermined number of shares of com-
mon stock. The purchase price and number of shares are subject to adjustment
under certain conditions until the expiration date.
(l) Other interests represent beneficial interest in liquidation trusts and other reorgani-
zation entities and are non-income producing.
(m) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Net | ||
Affiliate | Activity | Income |
BlackRock Liquidity Funds, TempFund | USD 31,220,283 | $20,283 |
•For Fund compliance purposes, the Fund's industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine industry
sub-classification for reporting ease.
•Financial futures contracts sold as of February 28, 2009 were as follows:
Expiration | Face | Unrealized | ||
Contracts | Issue | Date | Value | Appreciation |
57 | 5-Year U.S. Treasury Bond | June 2009 | $6,628,587 | $16,811 |
•Foreign currency exchange contracts as of February 28, 2009 were as follows:
Unrealized | ||||||
Currency | Currency | Settlement Appreciation | ||||
Purchased | Sold | Counterparty | Date | (Depreciation) | ||
USD | 529,140 | EUR | 400,000 | Citibank N.A. | 3/18/09 | $ 22,122 |
USD | 1,803,270 | EUR | 1,400,000 | UBS AG | 3/18/09 | 28,707 |
USD 14,055,445 | EUR 10,721,000 | Deutsche Bank AG | 3/18/09 | 466,094 | ||
USD | 191,534 | GBP | 139,500 | Citibank NA | 3/18/09 | (8,157) |
USD | 8,041,224 | GBP | 5,423,000 | UBS AG | 3/18/09 | 278,344 |
Total | $ 787,110 |
•CurrencyAbbreviations: | |
EUR | Euro |
GBP | British Pound |
USD | U.S. Dollar |
•Effective September 1, 2008, the Fund adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, “Fair Value Measure-
ments” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a
framework for measuring fair values and requires additional disclosures about the
use of fair value measurements. Various inputs are used in determining the fair
value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical securities
•Level 2 — other observable inputs (including, but not limited to: quoted prices
for 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
circumstance, to the extent observable inputs are not available (including the
Fund’s own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indica-
tion of the risk associated with investing in those securities. For information about
the Fund’s policy regarding valuation of investments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of February 28, 2009 in deter-
mining the fair valuation of the Fund’s investments:
Valuation | Investments in | Other Financial | |||
Inputs | Securities | Instruments* | |||
Assets | Assets | Liabilities | |||
Level 1 | $ 31,317,092 | $ | 16,811 | — | |
Level 2 | 449,520,281 | 869,557 | $ | (8,157) | |
Level 3 | 101,505,387 | — | — | ||
Total | $582,342,760 | $ | 886,368 | $ | (8,157) |
•Other financial instruments are futures, foreign currency exchange contracts
and options. Futures and foreign currency exchange contracts are valued at the
unrealized appreciation/depreciation on the instrument and options are shown
at market value.
The following is a reconciliation of investments for unobservable inputs (Level 3)
that were used in determining fair value:
Investments in | ||
Securities | ||
Assets | ||
Balance as of August 31, 2008 | $ | 27,082,546 |
Accrued discounts/premiums | 340,388 | |
Realized loss | (6,448,682) | |
Change in unrealized appreciation/depreciation1 | (72,247,376) | |
Net sales | (1,890,185) | |
Net transfers in Level 3 | 154,668,696 | |
Balance as of February 28, 2009 | $ | 101,505,387 |
1 Included in the related net change in unrealized appreciation/depreciation
on the Statements of Operations.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 35
Statements of Assets and Liabilities | |||||||
BlackRock | BlackRock | ||||||
BlackRock | Diversified | Floating Rate | BlackRock | ||||
Defined | Income | Income | Limited | ||||
Opportunity | Strategies | Strategies | Duration | ||||
Credit Trust | Fund, Inc. | Fund, Inc. | Income Trust | ||||
February 28, 2009 (Unaudited) | (BHL) | (DVF) | (FRA) | (BLW) | |||
Assets | |||||||
Investments at value — unaffiliated1 | $ 110,916,252 | $ | 93,401,485 | $ | 204,689,054 | $ | 551,196,767 |
Investments at value — affiliated2 | 2,338,274 | 2,757,179 | 4,457,276 | 31,220,283 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 256,720 | 108,061 | 515,161 | 795,267 | |||
Unrealized appreciation on unfunded corporate loans | — | — | 9,352 | — | |||
Unrealized appreciation on swaps | — | 393,681 | 1,208,287 | — | |||
Foreign currency at value3 | 694,351 | 238,153 | 332,957 | 709,554 | |||
Cash | 173,136 | — | — | 25,895 | |||
Swap premiums paid | — | 362,580 | 2,009,941 | — | |||
Cash collateral on swaps | — | 2,100,000 | — | — | |||
Interest receivable | 674,269 | 2,730,641 | 4,110,019 | 7,603,303 | |||
Investments sold receivable | 2,268,125 | 1,832,827 | 3,218,443 | 2,318,759 | |||
Dividends receivable | — | 16,822 | — | 590 | |||
Swaps receivable | 6,500 | 132,591 | 73,890 | — | |||
Commitment fees receivable | 327 | — | 1,772 | 171 | |||
Principal paydown receivable | 62,075 | — | 49,851 | 46,943 | |||
Margin variation receivable | — | — | — | 11,578 | |||
Prepaid expenses | 1,024 | 6,294 | 12,115 | 69,729 | |||
Other assets | 33,694 | — | 12,323 | 83,476 | |||
Total assets | 117,424,747 | 104,080,314 | 220,700,441 | 594,082,315 | |||
Liabilities | |||||||
Loan payable | 27,000,000 | 23,500,000 | 39,500,000 | — | |||
Unrealized depreciation on forward foreign currency exchange contracts | — | 856 | — | 8,157 | |||
Unrealized depreciation on unfunded corporate loans | 6,893 | — | — | — | |||
Unrealized depreciation on swaps | 26,702 | 8,666,125 | 7,007,760 | — | |||
Swap premiums received | 227,742 | — | — | — | |||
Swaps payable | — | 120,724 | 117,978 | — | |||
Investments purchased payable | 2,406,739 | 965,644 | 895,270 | 128,279,810 | |||
Interest expense payable | 42,062 | 6,809 | 7,900 | — | |||
Deferred income | 26,696 | — | 34,592 | 14,144 | |||
Bank overdraft | — | 24,377 | 48,737 | — | |||
Officer’s and Directors’/Trustees’ fees payable | 70 | 64 | 135 | 64,316 | |||
Investment advisory fees payable | 91,564 | 56,713 | 126,188 | 202,219 | |||
Income dividends to shareholders payable | 201,691 | — | 229,564 | 143,253 | |||
Other liabilities | — | 412,558 | 495,052 | — | |||
Other affiliates payable | 591 | 1,190 | 2,085 | 4,400 | |||
Other accrued expenses payable | — | 6,564 | — | 204,344 | |||
Total liabilities | 30,030,750 | 33,761,624 | 48,465,261 | 128,920,643 | |||
Net Assets | $ 87,393,997 | $ | 70,318,690 | $ | 172,235,180 | $ | 465,161,672 |
Net Assets Consist of | |||||||
Par value4 per share5 | $ 9,009 | $ | 1,222,669 | $ | 1,833,682 | $ | 36,890 |
Paid-in capital in excess of par | 127,890,080 | 230,656,312 | 347,664,609 | 701,305,214 | |||
Distributions in excess of net investment income | (2,838,491) | (2,012,286) | (583,822) | (5,510,833) | |||
Accumulated net realized loss | (2,032,343) | (45,710,037) | (40,354,660) | (38,302,106) | |||
Net unrealized appreciation/depreciation | (35,634,258) | (113,837,968) | (136,324,629) | (192,367,493) | |||
Net Assets | $ 87,393,997 | $ | 70,318,690 | $ | 172,235,180 | $ | 465,161,672 |
Net asset value | $ 9.70 | $ | 5.75 | $ | 9.39 | $ | 12.61 |
1 Investment at cost — unaffiliated | $ 146,762,245 | $ | 199,054,292 | $ | 335,560,618 | $ | 744,368,850 |
2 Investment at cost — affiliated | $ 2,338,274 | $ | 2,757,179 | $ | 4,457,276 | $ | 31,220,283 |
3 Foreign currency at cost | $ 705,770 | $ | 265,798 | $ | 341,841 | $ | 714,689 |
4 Par value per share | $ 0.001 | $ | 0.10 | $ | 0.10 | $ | 0.001 |
5 Shares outstanding | 9,008,704 | 12,226,693 | 18,336,820 | 36,889,650 |
See Notes to Financial Statements.
36 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statements of Assets and Liabilities (concluded) | ||||
BlackRock | BlackRock | |||
Senior Floating | Senior Floating | |||
February 28, 2009 (Unaudited) | Rate Fund, Inc. | Rate Fund II, Inc. | ||
Assets | ||||
Investment at value — Master Senior Floating Rate (the “Master LLC”)1 | $ 268,277,380 | $ | 122,821,506 | |
Capital shares sold receivable | 604,596 | 522,999 | ||
Prepaid expenses | 197,337 | 102,912 | ||
Total assets | 269,079,313 | 123,447,417 | ||
Liabilities | ||||
Income dividends payable | 1,294,538 | 575,561 | ||
Contributions payable to the Master LLC | 604,596 | 522,999 | ||
Administration fees payable | 52,997 | 37,822 | ||
Other affiliates payable | 45,892 | 13,686 | ||
Officer’s and Directors’ fees payable | 157 | 69 | ||
Other accrued expenses payable | 30,790 | 17,918 | ||
Total liabilities | 2,028,970 | 1,168,055 | ||
Net Assets | $ 267,050,343 | $ | 122,279,362 | |
Net Assets Consist of | ||||
Par value $0.10 per share, 1,000,000 shares authorized2 | $ 4,489,008 | $ | 1,898,017 | |
Paid-in capital in excess of par | 746,184,668 | 223,669,959 | ||
Undistributed net investment income | 201,596 | 100,753 | ||
Accumulated net realized loss | (361,736,583) | (45,991,526) | ||
Net unrealized appreciation/depreciation | (122,088,346) | (57,397,841) | ||
Net Assets | $ 267,050,343 | $ | 122,279,362 | |
Net asset value | $ | 5.95 | $ | 6.44 |
1 Cost — investment in Master LLC | $ 390,365,726 | $ | 180,219,347 | |
2 Shares outstanding | 44,890,078 | 18,980,172 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 37
Statements of Operations | ||||
BlackRock | BlackRock | |||
BlackRock | Diversified | Floating Rate | BlackRock | |
Defined | Income | Income | Limited | |
Opportunity | Strategies | Strategies | Duration | |
Credit Trust | Fund, Inc. | Fund, Inc. | Income Trust | |
Six Months Ended February 28, 2009 (Unaudited) | (BHL) | (DVF) | (FRA) | (BLW) |
Investment Income | ||||
Interest | $ 5,740,508 | $ 8,997,785 | $ 13,656,833 | $ 23,011,421 |
Facility and other fees | 62,316 | 79,411 | 447,438 | 291,886 |
Income — affiliated | 14,960 | 17,840 | 24,202 | 26,189 |
Total income | 5,817,784 | 9,095,036 | 14,128,473 | 23,329,496 |
Expenses | ||||
Investment advisory | 649,684 | 520,825 | 1,005,216 | 1,421,884 |
Professional | 144,069 | 57,637 | 79,380 | 81,529 |
Registration | 8,442 | 4,046 | 4,271 | 5,645 |
Borrowing costs1 | 21,362 | 172,159 | 144,633 | — |
Accounting services | 13,130 | 12,833 | 27,418 | 38,757 |
Transfer agent | 9,280 | 13,337 | 20,285 | 7,817 |
Printing | 8,935 | 10,125 | 15,861 | 53,042 |
Custodian | 7,588 | 9,312 | 13,870 | 17,705 |
Officer and Directors/Trustees | 5,513 | 4,947 | 12,536 | 13,883 |
Offering costs | — | — | 1,696 | — |
Miscellaneous | 16,895 | 19,620 | 21,908 | 39,581 |
Total expenses excluding interest expense | 884,898 | 824,841 | 1,347,074 | 1,679,843 |
Interest expense | 286,443 | 727,985 | 1,081,126 | 101,938 |
Total expenses | 1,171,341 | 1,552,826 | 2,428,200 | 1,781,781 |
Less fees waived by advisor | — | — | — | (3,484) |
Less fees paid indirectly | (396) | (338) | (456) | (1,413) |
Total expenses after waiver and fees paid indirectly | 1,170,945 | 1,552,488 | 2,427,744 | 1,776,884 |
Net investment income | 4,646,839 | 7,542,548 | 11,700,729 | 21,552,612 |
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments | (4,444,940) | (27,584,924) | (33,647,266) | (24,137,791) |
Futures and swaps | (857,171) | (2,244,905) | 320,258 | 85,002 |
Foreign currency transactions | 2,515,750 | 780,893 | 2,689,793 | 7,859,857 |
(2,786,361) | (29,048,936) | (30,637,215) | (16,192,932) | |
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (35,960,131) | (63,633,292) | (86,533,722) | (130,399,531) |
Futures and swaps | (217,498) | (5,027,675) | (3,895,546) | (53,465) |
Foreign currency transactions | (734,047) | (143,472) | (761,212) | (2,461,822) |
Unfunded corporate loans | (11,866) | (2,059) | 191,960 | 26,733 |
(36,923,542) | (68,806,498) | (90,998,520) | (132,888,085) | |
Total realized and unrealized loss | (39,709,903) | (97,855,434) | (121,635,735) | (149,081,017) |
Net Decrease in Net Assets Resulting from Operations | $ (35,063,064) | $ (90,312,886) | $ (109,935,006) | $ (127,528,405) |
1 See Note 8 of the Notes to Financial Statements for details of short-term borrowings.
See Notes to Financial Statements.
38 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statements of Operations (concluded) | |||
BlackRock | Blackrock | ||
Senior Floating | Senior Floating | ||
Six Months Ended February 28, 2009 (Unaudited) | Rate Fund, Inc. | Rate Fund II, Inc. | |
Investment Income | |||
Net Investment income allocated from the Master LLC: | |||
Interest | $ 12,500,246 | $ | 5,686,904 |
Income — affiliated | 128,265 | 59,041 | |
Facility and other fees | 163,730 | 74,432 | |
Expenses | (1,552,074) | (707,102) | |
Total income | 11,240,167 | 5,113,275 | |
Expenses | |||
Administration | 372,798 | 271,770 | |
Transfer agent | 159,158 | 48,716 | |
Tender offer | 63,623 | 37,411 | |
Professional | 45,125 | 26,863 | |
Printing | 37,905 | 22,467 | |
Registration | 17,305 | 12,608 | |
Officer and Directors | 460 | 212 | |
Miscellaneous | 6,062 | 5,937 | |
Total expenses | 702,436 | 425,984 | |
Net investment income | 10,537,731 | 4,687,291 | |
Realized and Unrealized Gain (Loss) Allocated from the Master LLC | |||
Net realized gain (loss) from: | |||
Investments | (19,231,655) | (8,737,548) | |
Swaps | 114,163 | 52,739 | |
Foreign currency transactions | 2,045,418 | 940,794 | |
(17,072,074) | (7,744,015) | ||
Net change in unrealized appreciation/depreciation on investments, swaps, foreign currency and unfunded corporate loans | (81,616,206) | (38,089,005) | |
Total realized and unrealized loss | (98,688,280) | (45,833,020) | |
Net Decrease in Net Assets Resulting from Operations | $ (88,150,549) | $ | (41,145,729) |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 39
Statements of Changes in Net Assets | BlackRock Defined Opportunity Credit Trust (BHL) | ||
Six Months | Period | ||
Ended | January 31, | ||
February 28, | 20081 to | ||
2009 | August 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | |
Operations | |||
Net investment income | $ | 4,646,839 | $ 4,088,383 |
Net realized gain (loss) | (2,786,361) | 641,116 | |
Net change in unrealized appreciation/depreciation | (36,923,542) | 1,289,284 | |
Net increase (decrease) in net assets resulting from operations | (35,063,064) | 6,018,783 | |
Dividends and Distributions to Shareholders From | |||
Net investment income | (6,047,240)2 | (5,435,571) | |
Tax return of capital | — | (481,911) | |
Decrease in net assets resulting from dividends and distributions to shareholders | (6,047,240) | (5,917,482) | |
Capital Share Transactions | |||
Net proceeds from the issuance of shares | — | 127,448,000 | |
Capital charges with respect to issuance of shares | — | (200,500) | |
Reinvestment of dividends | 809,153 | 224,341 | |
Net increase in net assets resulting from share transactions | 809,153 | 127,471,841 | |
Net Assets | |||
Total increase (decrease) in net assets | (40,301,151) | 127,573,142 | |
Beginning of period | 127,695,148 | 122,006 | |
End of period | $ | 87,393,997 | $ 127,695,148 |
End of period distributions in excess of net investment income | $ | (2,838,491) | $ (1,438,090) |
1 Commencement of operations.
2 A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.
BlackRock Diversified Income Strategies Fund, Inc. (DVF) | |||
Six Months | |||
Ended | Year | ||
February 28, | Ended | ||
2009 | August 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | |
Operations | |||
Net investment income | $ | 7,542,548 | $ 19,628,678 |
Net realized loss | (29,048,936) | (13,105,495) | |
Net change in unrealized appreciation/depreciation | (68,806,498) | (28,460,128) | |
Net decrease in net assets resulting from operations | (90,312,886) | (21,936,945) | |
Dividends and Distributions to Shareholders From | |||
Net investment income | (9,379,189)3 | (20,910,360) | |
Tax return of capital | — | (443,389) | |
Decrease in net assets resulting from dividends and distributions to shareholders | (9,379,189) | (21,353,749) | |
Capital Share Transactions | |||
Reinvestment of dividends | 303,686 | 205,747 | |
Net Assets | |||
Total decrease in net assets | (99,388,389) | (43,084,947) | |
Beginning of period | 169,707,079 | 212,792,026 | |
End of period | $ | 70,318,690 | $ 169,707,079 |
End of period distributions in excess of net investment income | $ | (2,012,286) | $ (175,645) |
3 A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.
See Notes to Financial Statements.
40 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statements of Changes in Net Assets | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | |
Six Months | ||
Ended | Year | |
February 28, | Ended | |
2009 | August 31, | |
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 |
Operations | ||
Net investment income | $ 11,700,729 | $ 26,533,760 |
Net realized loss | (30,637,215) | (10,426,510) |
Net change in unrealized appreciation/depreciation | (90,998,520) | (26,845,871) |
Net decrease in net assets resulting from operations | (109,935,006) | (10,738,621) |
Dividends to Shareholders From | ||
Net investment income | (13,133,191) | (28,321,303) |
Capital Share Transactions | ||
Reinvestment of dividends | 298,574 | — |
Net Assets | ||
Total decrease in net assets | (122,769,623) | (39,059,924) |
Beginning of period | 295,004,803 | 334,064,727 |
End of period | $ 172,235,180 | $ 295,004,803 |
End of period undistributed (distributions in excess of) net investment income | $ (583,822) | $ 848,640 |
BlackRock Limited Duration Income Trust (BLW)
Six Months | Period | ||
Ended | November 1, | Year | |
February 28, | 2007 to | Ended | |
2009 | August 31, | October 31, | |
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | 2007 |
Operations | |||
Net investment income | $ 21,552,612 | $ 41,919,013 | $ 55,219,613 |
Net realized gain (loss) | (16,192,932) | (24,118,166) | 3,120,082 |
Net change in unrealized appreciation/depreciation | (132,888,085) | (40,618,831) | (21,221,592) |
Net increase (decrease) in net assets resulting from operations | (127,528,405) | (22,817,984) | 37,118,103 |
Dividends and Distributions to Shareholders From | |||
Net investment income | (23,702,670)1 | (43,898,690) | (51,967,739) |
Net realized gain | — | — | (2,229,742) |
Tax return of capital | — | — | (1,074,826) |
Decrease in net assets resulting from dividends and distributions to shareholders | (23,702,670) | (43,898,690) | (55,272,307) |
Capital Share Transactions | |||
Reinvestment of dividends | — | — | 2,057,525 |
Net Assets | |||
Total decrease in net assets | (151,231,075) | (66,716,674) | (16,096,679) |
Beginning of period | 616,392,747 | 683,109,421 | 699,206,100 |
End of period | $ 465,161,672 | $ 616,392,747 | $ 683,109,421 |
End of undistributed (distributions in excess of) net investment income | $ (5,510,833) | $ (3,360,775) | $ 800,386 |
1 A portion of the dividends from net investment income for the six months ended February 28, 2009 may be deemed a tax return of capital or realized gain at fiscal year end.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 41
Statements of Changes in Net Assets | BlackRock Senior Floating Rate Fund, Inc. | ||
Six Months | |||
Ended | |||
February 28, | Year Ended | ||
2009 | August 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | |
Operations | |||
Net investment income | $ | 10,537,731 | $ 26,675,323 |
Net realized loss | (17,072,074) | (14,362,509) | |
Net change in unrealized appreciation/depreciation | (81,616,206) | (18,260,695) | |
Net decrease in net assets resulting from operations | (88,150,549) | (5,947,881) | |
Dividends to Shareholders From | |||
Net investment income | (10,504,204) | (26,664,539) | |
Capital Share Transactions | |||
Net decrease in net assets resulting from capital share transactions | (33,695,125) | (73,502,678) | |
Net Assets | |||
Total decrease in net assets | (132,349,878) | (106,115,098) | |
Beginning of period | 399,400,221 | 505,515,319 | |
End of period | $ | 267,050,343 | $ 399,400,221 |
End of period undistributed net investment income | $ | 201,596 | $ 168,069 |
BlackRock Senior Floating Rate Fund II, Inc. | |||
Six Months | |||
Ended | |||
February 28, | Year Ended | ||
2009 | August 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | |
Operations | |||
Net investment income | $ | 4,687,291 | $ 12,299,609 |
Net realized loss | (7,744,015) | (6,857,340) | |
Net change in unrealized appreciation/depreciation | (38,089,005) | (8,921,385) | |
Net decrease in net assets resulting from operations | (41,145,729) | (3,479,116) | |
Dividends and Distributions to Shareholders From | |||
Net investment income | (4,671,647) | (12,294,014) | |
Net realized gain | (460,006) | — | |
Decrease in net assets resulting from dividends and distributions to shareholders | (5,131,653) | (12,294,014) | |
Capital Share Transactions | |||
Net decrease in net assets resulting from capital share transactions | (18,080,305) | (45,450,688) | |
Net Assets | |||
Total decrease in net assets | (64,357,687) | (61,223,818) | |
Beginning of period | 186,637,049 | 247,860,867 | |
End of period | $ | 122,279,362 | $ 186,637,049 |
End of period undistributed net investment income | $ | 100,753 | $ 85,109 |
See Notes to Financial Statements.
42 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statements of Cash Flows | |||||
BlackRock | BlackRock | ||||
BlackRock | Diversified | Floating Rate | |||
Defined | Income | Income | |||
Opportunity | Strategies | Strategies | |||
Credit Trust | Fund, Inc. | Fund, Inc. | |||
Six Months Ended February 28, 2009 (Unaudited) | (BHL) | (DVF) | (FRA) | ||
Cash Provided by Operating Activities | |||||
Net decrease in net assets resulting from operations | $ (35,063,064) | $ | (90,312,886) | $ | (109,935,006) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash | |||||
provided by operating activities: | |||||
Decrease in receivables | 729,618 | 1,356,678 | 823,067 | ||
Increase (decrease) in prepaid expenses and other assets | (33,694) | — | 7,880 | ||
Increase in other liabilities | (287,661) | (492,982) | 45,944 | ||
Net realized and unrealized loss | 41,118,713 | 95,547,870 | 124,978,057 | ||
Amortization of premium and discount on investments | (1,185,459) | (374,850) | (1,109,000) | ||
Paid-in-kind income | — | (507,299) | (516,550) | ||
Cash collateral on swaps | — | (2,100,000) | — | ||
Swap premiums paid | — | (385,438) | (1,838,750) | ||
Proceeds from sales and paydowns of long-term securities | 38,874,180 | 66,797,973 | 118,160,338 | ||
Purchases of long-term securities | (28,225,350) | (21,875,725) | (53,938,622) | ||
Net proceeds from sales of short-term investments | 1,432,371 | 2,835,226 | — | ||
Net purchases of short-term investments | — | — | (2,822,607) | ||
Cash provided by operating activities | 17,359,654 | 50,488,567 | 73,854,751 | ||
Cash Used for Financing Activities | |||||
Cash receipts from loans | 15,000,000 | 14,000,000 | 34,000,000 | ||
Cash payments on loans | (26,500,000) | (56,000,000) | (96,000,000) | ||
Cash dividends paid to shareholders | (5,237,232) | (9,256,909) | (12,839,203) | ||
Net cash used for financing activities | (16,737,232) | (51,256,909) | (74,839,203) | ||
Cash Impact from Foreign Exchange Fluctuations | |||||
Cash impact from foreign exchange fluctuations | (11,419) | (27,645) | (8,884) | ||
Cash | |||||
Net increase (decrease) in cash | 611,003 | (795,987) | (993,336) | ||
Cash at beginning of period | 256,484 | 1,009,763 | 1,277,556 | ||
Cash at end of period | $ 867,487 | $ | 213,776 | $ | 284,220 |
Cash Flow Information | |||||
Cash paid for interest | $ 385,363 | $ | 770,824 | $ | 1,149,608 |
Non-Cash Financing Activities | |||||
Reinvestment of dividends | $ 809,153 | $ | 303,686 | $ | 298,574 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 43
Financial Highlights | BlackRock Defined Opportunity Credit Trust (BHL) | |||
Six Months | Period | |||
Ended | January 31, | |||
February 28, | 20081 to | |||
2009 | August 31, | |||
(Unaudited) | 2008 | |||
Per Share Operating Performance | ||||
Net asset value, beginning of period | $ | 14.31 | $ | 14.332 |
Net investment income3 | 0.52 | 0.47 | ||
Net realized and unrealized gain (loss) | (4.45) | 0.21 | ||
Net increase (decrease) from investment operations | (3.93) | 0.68 | ||
Dividends and distributions from: | ||||
Net investment income4 | (0.68) | (0.62) | ||
Tax return of capital | — | (0.06) | ||
Total dividends and distributions | (0.68) | (0.68) | ||
Capital charges with respect to issuance of shares | — | (0.02) | ||
Net asset value, end of period | $ | 9.70 | $ | 14.31 |
Market price, end of period | $ | 9.35 | $ | 12.66 |
Total Investment Return5 | ||||
Based on net asset value | (27.30)%6 | 4.79%6 | ||
Based on market price | (20.79)%6 | (11.44)%6 | ||
Ratios to Average Net Assets | ||||
Total expenses after fees paid indirectly and excluding interest expense | 1.91%7 | 1.48%7 | ||
Total expenses after fees paid indirectly | 2.53%7 | 1.78%7 | ||
Total expenses | 2.53%7 | 1.78%7 | ||
Net investment income | 10.02%7 | 5.52%7 | ||
Supplemental Data | ||||
Net assets, end of period (000) | $ | 87,394 | $ | 127,695 |
Loan outstanding, end of period (000) | $ | 27,000 | $ | 38,500 |
Average loan outstanding during the period (000) | $ | 37,522 | $ | 13,788 |
Portfolio turnover | 10% | 18% | ||
Asset coverage, end of period per $1,000 | $ | 4,237 | $ | 4,317 |
1 Commencement of operations.
2 Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.
3 Based on average shares outstanding.
4 A portion of the distribution may be deemed a tax return of capital or net realized gain.
5 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment
returns exclude the effects of sales charges.
6 Aggregate total investment return.
7 Annualized.
See Notes to Financial Statements.
44 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Financial Highlights | BlackRock Diversified Income Strategies Fund, Inc. (DVF) | |||||||||
Six Months | Period | |||||||||
Ended | January 31, | |||||||||
February 28, | 20051 to | |||||||||
Year Ended August 31, | ||||||||||
2009 | August 31, | |||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | ||||||
Per Share Operating Performance | ||||||||||
Net asset value, beginning of period | $ | 13.94 | $ | 17.50 | $ | 18.70 | $ | 18.38 | $ | 19.10 |
Net investment income2 | 0.62 | 1.61 | 1.83 | 1.77 | 0.84 | |||||
Net realized and unrealized gain (loss) | (8.04) | (3.41) | (1.23) | 0.25 | (0.77) | |||||
Net increase (decrease) from investment operations | (7.42) | (1.80) | 0.60 | 2.02 | 0.07 | |||||
Dividends and distributions from: | ||||||||||
Net investment income | (0.77)3 | (1.72) | (1.80) | (1.70) | (0.75) | |||||
Tax return of capital | — | (0.04) | — | — | — | |||||
Total dividends and distributions | (0.77) | (1.76) | (1.80) | (1.70) | (0.75) | |||||
Capital charges with respect to issuance of shares | — | — | — | (0.00)4 | (0.04) | |||||
Net asset value, end of period | $ | 5.75 | $ | 13.94 | $ | 17.50 | $ | 18.70 | $ | 18.38 |
Market price, end of period | $ | 6.03 | $ | 12.77 | $ | 17.16 | $ | 18.85 | $ | 17.53 |
Total Investment Return5 | ||||||||||
Based on net asset value | (53.82)%6 | (10.17)% | 3.00% | 11.99% | 0.42%6 | |||||
Based on market price | (47.13)%6 | (16.08)% | 0.19% | 18.36% | (8.53)%6 | |||||
Ratios to Average Net Assets | ||||||||||
Total expenses after waiver and fees paid indirectly and excluding interest expense | 1.62%7 | 1.23% | 1.30% | 1.29% | 1.00%7 | |||||
Total expenses after waiver and fees paid indirectly | 3.05%7 | 2.77% | 3.66% | 3.17% | 2.20%7 | |||||
Total expenses | 3.05%7 | 2.77% | 3.66% | 3.17% | 2.48%7 | |||||
Net investment income | 14.80%7 | 10.40% | 9.63% | 9.57% | 7.88%7 | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000) | $ | 70,319 | $ | 169,707 | $ | 212,792 | $ | 224,156 | $ 219,748 | |
Loan outstanding, end of period (000) | $ | 23,500 | $ | 65,500 | $ | 72,000 | $ | 88,800 | $ 101,400 | |
Average loan outstanding during the period (000) | $ | 37,235 | $ | 64,335 | $ | 95,465 | $ | 86,132 | $ 75,543 | |
Portfolio turnover | 13% | 41% | 72% | 64% | 17% | |||||
Asset coverage, end of period per $1,000 | $ | 3,992 | $ | 3,591 | $ | 3,955 | $ | 3,524 | $ 3,167 |
1 Commencement of operations.
2 Based on average shares outstanding.
3 A portion of the distribution may be deemed a tax return of capital or net realized gain.
4 Amount is less than $(0.01) per share.
5 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.
Total investment returns exclude the effects of sales charges.
6 Aggregate total investment return.
7 Annualized.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 45
Financial Highlights | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | |||||||||||
Six Months | Period | |||||||||||
Ended | October 31, | |||||||||||
February 28, | 20031 to | |||||||||||
Year Ended August 31, | ||||||||||||
2009 | August 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 16.12 | $ | 18.25 | $ | 19.32 | $ | 19.35 | $ | 19.16 | $ | 19.10 |
Net investment income | 0.642 | 1.452 | 1.542 | 1.402 | 1.232 | 0.66 | ||||||
Net realized and unrealized gain (loss) | (6.65) | (2.03) | (1.07) | (0.06) | 0.08 | 0.02 | ||||||
Net increase (decrease) from investment operations | (6.01) | (0.58) | 0.47 | 1.34 | 1.31 | 0.68 | ||||||
Dividends and distributions from: | ||||||||||||
Net investment income | (0.72) | (1.55) | (1.54) | (1.37) | (1.11) | (0.60) | ||||||
Net realized gain | — | — | — | — | (0.01) | — | ||||||
Total dividends and distributions | (0.72) | (1.55) | (1.54) | (1.37) | (1.12) | (0.60) | ||||||
Capital charges with respect to issuance of shares | — | — | — | — | — | (0.02) | ||||||
Net asset value, end of period | $ | 9.39 | $ | 16.12 | $ | 18.25 | $ | 19.32 | $ | 19.35 | $ | 19.16 |
Market price, end of period | $ | 8.74 | $ | 14.49 | $ | 16.70 | $ | 17.49 | $ | 17.85 | $ | 19.44 |
Total Investment Return3 | ||||||||||||
Based on net asset value | (37.26)%4 | (2.56)% | 2.74% | 7.92% | 7.27% | 3.50%4 | ||||||
Based on market price | (35.03)%4 | (4.28)% | 3.85% | 5.91% | (2.47)% | 0.29%4 | ||||||
Ratios to Average Net Assets | ||||||||||||
Total expenses after fees paid indirectly and excluding interest expense | 1.31%5 | 1.18% | 1.20% | 1.14% | 1.22% | 0.71%5 | ||||||
Total expenses after fees paid indirectly | 2.37%5 | 2.60% | 3.33% | 2.54% | 2.18% | 0.87%5 | ||||||
Total expenses before fees paid indirectly | 2.37%5 | 2.61% | 3.33% | 2.54% | 2.18% | 0.87%5 | ||||||
Total expenses | 2.37%5 | 2.61% | 3.33% | 2.54% | 2.18% | 1.08%5 | ||||||
Net investment income | 11.40%5 | 8.49% | 7.88% | 7.30% | 6.34% | 3.80%5 | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000) | $ | 172,235 | $ | 295,005 | $ | 334,065 | $ | 353,713 | $ | 354,114 | $ 350,254 | |
Loan outstanding, end of period (000) | $ | 39,500 | $ | 101,500 | $ | 107,000 | $ | 135,200 | $ | 123,600 | $ 123,225 | |
Average loan outstanding during the period (000) | $ | 63,307 | $ | 102,272 | $ | 133,763 | $ | 101,916 | $ | 117,702 | $ 38,654 | |
Portfolio turnover | 18% | 49% | 69% | 57% | 48% | 43% | ||||||
Asset coverage, end of period per $1,000 | $ | 5,360 | $ | 3,906 | $ | 4,122 | $ | 3,616 | $ | 3,865 | $ | 3,842 |
1 Commencement of operations.
2 Based on average shares outstanding.
3 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.
Total investment returns exclude the effects of sales charges.
4 Aggregate total investment return.
5 Annualized.
See Notes to Financial Statements.
46 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Financial Highlights | BlackRock Limited Duration Income Trust (BLW) | ||||||||||||
Six Months | Period | Period | |||||||||||
Ended | November 1, | July 30, 20031 | |||||||||||
February 28, | 2007 to | through | |||||||||||
Year Ended October 31, | |||||||||||||
2009 | August 31, | October 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||
Per Share Operating Performance | |||||||||||||
Net asset value, beginning of period | $ | 16.71 | $ 18.52 | $ | 19.01 | $ | 19.17 | $ | 20.13 | $ | 19.74 | $ | 19.102 |
Net investment income | 0.583 | 1.143 | 1.50 | 1.35 | 1.46 | 1.46 | 0.33 | ||||||
Net realized and unrealized gain (loss) | (4.04) | (1.76) | (0.49) | 0.03 | (0.94) | 0.43 | 0.60 | ||||||
Net increase (decrease) from investment operations | (3.46) | (0.62) | 1.01 | 1.38 | 0.52 | 1.89 | 0.93 | ||||||
Dividends and distributions from: | |||||||||||||
Net investment income | (0.64)4 | (1.19) | (1.41) | (1.52) | (1.33) | (1.49) | (0.25) | ||||||
Net realized gain | — | — | (0.06) | — | (0.15) | (0.01) | — | ||||||
Tax return of capital | — | — | (0.03) | (0.02) | — | — | — | ||||||
Total dividends and distributions | (0.64) | (1.19) | (1.50) | (1.54) | (1.48) | (1.50) | (0.25) | ||||||
Capital charges with respect to issuance of shares | — | — | — | — | — | — | (0.04) | ||||||
Net asset value, end of period | $ | 12.61 | $ 16.71 | $ | 18.52 | $ | 19.01 | $ | 19.17 | $ | 20.13 | $ | 19.74 |
Market price, end of period | $ | 11.96 | $ 14.57 | $ | 16.68 | $ | 18.85 | $ | 17.48 | $ | 19.95 | $ | 18.80 |
Total Investment Return5 | |||||||||||||
Based on net asset value | (20.15)%6 | (2.60)%6 | 5.66% | 7.85% | 2.93% | 10.17% | 4.71%6 | ||||||
Based on market price | (13.14)%6 | (5.70)%6 | (4.03)% | 17.31% | (5.30)% | 14.64% | (4.77)%6 | ||||||
Ratios to Average Net Assets | |||||||||||||
Total expenses after waiver and fees paid indirectly and | |||||||||||||
excluding interest expense | 0.68%7 | 0.76%7 | 0.83% | 0.91% | 0.92% | 0.90% | 0.79%7 | ||||||
Total expenses after waiver and fees paid indirectly | 0.72%7 | 1.38%7 | 2.14% | 2.19% | 1.71% | 1.25% | 0.82%7 | ||||||
Total expenses after waiver and before fees paid indirectly | 0.72%7 | 1.39%7 | 2.16% | 2.20% | 1.71% | 1.28% | 0.82%7 | ||||||
Total expenses | 0.72%7 | 1.39%7 | 2.16% | 2.20% | 1.71% | 1.26% | 0.82%7 | ||||||
Net investment income | 8.73%7 | 7.84%7 | 7.92% | 7.10% | 7.42% | 7.34% | 6.87%7 | ||||||
Supplemental Data | |||||||||||||
Net assets, end of period (000) | $ | 465,162 | $ 616,393 | $ | 638,109 | $ | 699,206 | $ | 704,961 | $ | 739,225 | $ | 724,747 |
Reverse repurchase agreements outstanding, | |||||||||||||
end of period (000) | — | $ 64,538 | $ | 109,287 | $ | 220,000 | $ | 176,010 | $ | 159,416 | $ | 118,993 | |
Reverse repurchase agreements average | |||||||||||||
daily balance (000) | $ | 23,523 | $ 120,295 | $ | 172,040 | $ | 179,366 | $ | 186,660 | $ | 195,845 | $ | 26,591 |
Portfolio turnover | 143%8 | 191%9 | 65% | 132% | 70% | 215% | 127% | ||||||
Asset coverage, end of period per $1,000 | — | $ 10,551 | $ | 7,251 | $ | 4,178 | $ | 5,005 | $ | 5,637 | $ | 7,091 |
1 Commencement of operations.
2 Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.
3 Based on average shares outstanding.
4 A portion of the distribution may be deemed a tax return of capital or net realized gain.
5 Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.
Total investment returns exclude the effects of sales charges.
6 Aggregate total investment return.
7 Annualized.
8 Includes mortgage dollar roll transactions; excluding these transactions the portfolio turnover would have been 63%.
9 Includes TBA transactions. Excluding these transactions the portfolio turnover would have been 24%.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 47
Financial Highlights | BlackRock Senior Floating Rate Fund, Inc. | |||||||||||
Six Months | ||||||||||||
Ended | ||||||||||||
February 28, | ||||||||||||
2009 | Year Ended August 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 7.98 | $ | 8.60 | $ | 8.92 | $ | 9.01 | $ | 8.91 | $ | 8.40 |
Net investment income1 | 0.23 | 0.51 | 0.60 | 0.52 | 0.37 | 0.30 | ||||||
Net realized and unrealized gain (loss) | (2.04) | (0.62) | (0.32) | (0.08) | 0.10 | 0.51 | ||||||
Net increase (decrease) from investment operations | (1.81) | (0.11) | 0.28 | 0.44 | 0.47 | 0.81 | ||||||
Dividends from net investment income | (0.22) | (0.51) | (0.60) | (0.53) | (0.37) | (0.30) | ||||||
Net asset value, end of period | $ | 5.95 | $ | 7.98 | $ | 8.60 | $ | 8.92 | $ | 9.01 | $ | 8.91 |
Total Investment Return2 | ||||||||||||
Based on net asset value | (22.69)%3 | (1.32)%4 | 3.07% | 4.97% | 5.38% | 9.73% | ||||||
Ratios to Average Net Assets5 | ||||||||||||
Total expenses | 1.51%6 | 1.28%4 | 1.44% | 1.43% | 1.41% | 1.44% | ||||||
Net investment income | 7.07%6 | 6.16% | 6.67% | 5.84% | 4.11% | 3.41% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000) | $ | 267,050 | $ | 399,400 | $ | 505,515 | $ 601,807 | $ | 676,703 | $ | 756,795 | |
Portfolio turnover for the Master LLC | 14% | 56% | 46% | 54% | 53% | 76% |
1 Based on average shares outstanding.
2 Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously offered closed-end fund, the shares of which are offered at net asset value.
No secondary market for the Fund’s shares exists.
3 Aggregate total investment return.
4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per
share $0.02 and increased total investment return 0.24%. The expense ratio excluding the refund was 1.46%.
5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income.
6 Annualized.
See Notes to Financial Statements.
48 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Financial Highlights | BlackRock Senior Floating Rate Fund II, Inc. | |||||||||||
Six Months | ||||||||||||
Ended | ||||||||||||
February 28, | ||||||||||||
2009 | Year Ended August 31, | |||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ | 8.67 | $ | 9.35 | $ | 9.70 | $ | 9.79 | $ | 9.67 | $ | 9.13 |
Net investment income1 | 0.24 | 0.54 | 0.63 | 0.56 | 0.39 | 0.30 | ||||||
Net realized and unrealized gain (loss) | (2.21) | (0.69) | (0.34) | (0.10) | 0.11 | 0.55 | ||||||
Net increase (decrease) from investment operations | (1.97) | (0.15) | 0.29 | 0.46 | 0.50 | 0.85 | ||||||
Dividends and distributions from: | ||||||||||||
Net investment income | (0.24) | (0.53) | (0.64) | (0.55) | (0.38) | (0.31) | ||||||
Net realized gain | (0.02) | — | — | — | — | — | ||||||
Total dividends and distributions | (0.26) | (0.53) | (0.64) | (0.55) | (0.38) | (0.31) | ||||||
Net asset value, end of period | $ | 6.44 | $ | 8.67 | $ | 9.35 | $ | 9.70 | $ | 9.79 | $ | 9.67 |
Total Investment Return2 | ||||||||||||
Based on net asset value | (22.75)%3 | (1.61)%4 | 2.89% | 4.90% | 5.26% | 9.41% | ||||||
Ratios to Average Net Assets5 | ||||||||||||
Total expenses | 1.67%6 | 1.50%4 | 1.59% | 1.57% | 1.54% | 1.57% | ||||||
Net investment income | 6.90%6 | 5.96% | 6.53% | 5.70% | 4.03% | 3.20% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000) | $ | 122,279 | $ | 186,637 | $ | 247,861 | $ | 322,202 | $ | 355,108 | $ | 295,382 |
Portfolio turnover for the Master LLC | 14% | 56% | 46% | 54% | 53% | 76% |
1 Based on average shares outstanding.
2 Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously offered closed-end fund, the shares of which are offered at net asset value.
No secondary market for the Fund’s shares exists.
3 Aggregate total investment return.
4 During the year ended August 31, 2008, the Fund recorded a refund related to overpayments of prior years’ tender offer fees, which increased net investment income per
share $0.02 and increased total investment return 0.11%. The expense ratio excluding the refund was 1.64%.
5 Includes the Fund’s share of the Master LLC’s allocated expenses and/or net investment income.
6 Annualized.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 49
Notes to Financial Statements (Unaudited)
1. Organization and Significant Accounting Policies:
BlackRock Defined Opportunity Credit Trust (“Defined Opportunity”),
BlackRock Diversified Income Strategies Fund, Inc. (“Diversified Income”),
BlackRock Floating Rate Income Strategies Fund, Inc. (“Floating Rate
Income”), BlackRock Limited Duration Income Trust (“Limited Duration”)
BlackRock Senior Floating Rate Fund, Inc. (“Senior Floating Rate”) and
BlackRock Senior Floating Rate Fund II, Inc. (“Senior Floating Rate II”)
(referred to as the “Funds” or individually as the “Fund”) are registered
under the Investment Company Act of 1940, as amended (the “1940 Act”).
Defined Opportunity and Limited Duration are organized as Delaware
Statutory trusts. Diversified Income, Floating Rate Income, Senior Floating
Rate and Senior Floating Rate II are organized as Maryland corporations.
Defined Opportunity, Diversified Income, Floating Rate Income and Limited
Duration are registered as diversified, closed-end management investment
companies. Senior Floating Rate and Senior Floating Rate II are registered
as continuously offered, non-diversified, closed-end management invest-
ment companies. The Funds’ financial statements are prepared in conform-
ity with accounting principles generally accepted in the United States of
America, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. The Funds determine and
make available for publication the net asset value of their Common Shares
on a daily basis.
Prior to commencement of operations on January 31, 2008, Defined
Opportunity had no operations other than those relating to organizational
matters and the sale of 8,517 Common Shares on November 13, 2007
to BlackRock Advisors, LLC (the “Advisor” or “Administrator”), an indirect,
wholly owned subsidiary of BlackRock, Inc., for $122,006. Investment
operations for Defined Opportunity commenced on January 31, 2008.
Defined Opportunity will terminate no later than December 31, 2017.
Senior Floating Rate and Senior Floating Rate II seek to achieve their
investment objectives by investing all their assets in the Master Senior
Floating Rate LLC (the “Master LLC”), which has the same investment
objective and strategies of the Funds. The value of each Fund’s invest-
ment in the Master LLC reflects each Fund’s proportionate interest in the
net assets of the Master LLC. The performance of each Fund is directly
affected by the performance of the Master LLC. The financial statements
of the Master LLC, including the Schedule of Investments, are included
elsewhere in this report and should be read in conjunction with Senior
Floating Rate and Senior Floating Rate II’s financial statements. The per-
centage of the Master LLC owned by Senior Floating Rate and Senior
Floating Rate II at February 28, 2009 was 69% and 31%, respectively.
The following is a summary of significant accounting policies followed
by the Funds:
Valuation of Investments: The Funds value their bond investments on the
basis of last available bid prices or current market quotations provided by
dealers or pricing services selected under the supervision of the Funds’
Board of Directors/Trustees (the “Board”). Floating rate loan interests are
valued at the mean between the last available bid prices from one or more
brokers or dealers as obtained from pricing services. In determining the
value of a particular investment, pricing services may use certain information
with respect to transactions in such investments, quotations from dealers,
pricing matrixes, market transactions in comparable investments, various
relationships observed in the market between investments and calculated
yield measures based on valuation technology commonly employed in the
market for such investments. The fair value of asset-backed and mortgage
backed securities are estimated based on models that consider the esti-
mated cash flows of each tranche of the entity, establishes a benchmark
yield and develops an estimated tranche specific spread to the benchmark
yield based on the unique attributes of the tranche. Financial futures con-
tracts traded on exchanges are valued at their last sale price. TBA commit-
ments are valued at the current market value of the underlying securities.
Swap agreements are valued utilizing quotes received daily by the Funds’
pricing service or through brokers which are derived using daily swap curves
and trades of underlying securities. Short-term securities with maturities
less than 60 days are valued at amortized cost, which approximates fair
value. Investments in open-end investment companies are valued at net
asset value each business day. The Funds value their investments in Cash
Sweep Series and Money Market Series, each of BlackRock Liquidity Series,
LLC, at fair value, which is ordinarily based upon their pro-rata ownership
in the net assets of the underlying fund.
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price
that day or the NASDAQ official closing price, if applicable. For equity
investments traded on more than one exchange, the last reported sale
price on the exchange where the stock is primarily traded is used. Equity
investments traded on a recognized exchange for which there were no
sales on that day are valued at the last available bid price. If no bid price
is available, the prior day’s price will be used, unless it is determined that
such prior day’s price no longer reflects the fair value of the security.
Exchange-traded options are valued at the mean between the last bid and
ask prices at the close of the options market in which the options trade. An
exchange-traded option for which there is no mean price is valued at the
last bid price. If no bid price is available, the prior day’s price will be used
unless it is determined that the prior day’s price no longer reflects the fair
value of the option. Over-the-counter options and swaptions are valued by
an independent pricing service using a mathematical model which incorpo-
rates a number of market data factors, such as the trades and prices of
the underlying securities.
In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment, the investment will be valued by a
method approved by the Board as reflecting fair value (“Fair Value Assets”).
When determining the price for Fair Value Assets, the investment advisor
and/or sub-advisor seeks to determine the price that each Fund might
reasonably expect to receive from the current sale of that asset in an
arm’s-length transaction. Fair value determinations shall be based upon
all available factors that the investment advisor and/or sub-advisor deems
50 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Notes to Financial Statements (continued)
relevant. The pricing of all Fair Value Assets is subsequently reported to
the Board or a committee thereof.
Generally, trading in foreign securities is substantially completed each
day at various times prior to the close of business on the New York Stock
Exchange (“NYSE”). The values of such securities used in computing the
net assets of each Fund are determined as of such times. Foreign currency
exchange rates will be determined as of the close of business on the
NYSE. Occasionally, events affecting the values of such securities and such
exchange rates may occur between the times at which they are determined
and the close of business on the NYSE that may not be reflected in the
computation of the Fund’s net assets. If events (for example, a company
announcement, market volatility or a natural disaster) occur during such
periods that are expected to materially affect the value of such securities,
those securities may be valued at their fair value as determined in good
faith by the Board or by the investment advisor using a pricing service
and/or procedures approved by the Board. Foreign currency exchange
contracts and forward foreign currency exchange contracts are valued at
the mean between the bid and ask prices. Interpolated values are derived
when the settlement date of the contract is an interim date for which
quotations are not available.
Senior Floating Rate and Senior Floating Rate II record their investments in
the Master LLC at fair value. Valuation of securities held by the Master LLC
is discussed in Note 1 of the Master LLC’s Notes to Financial Statements,
which are included elsewhere in this report.
Effective September 1, 2008, the Senior Floating Rate and Senior Floating
Rate II implemented Financial Accounting Standards Board Statement
of Financial Accounting Standards No. 157, “Fair Value Measurements”
(“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a
framework for measuring fair values and requires additional disclosures
about the use of fair value measurements. Various inputs are used in
determining the fair value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical
securities
•Level 2 — other observable inputs (including, but not limited to: quoted
prices for 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 circumstance, to the extent observable inputs are not available
(including the Funds’ own assumptions used in determining the fair
value of investments)
The inputs or methodology used for valuing securities are not necessar-
ily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used as of February 28, 2009
in determining the fair valuation of the Senior Floating Rate’s investments:
Investments in | |
Valuation Inputs | Securities |
Level 1 | — |
Level 2 | $ 268,277,380 |
Level 3 | — |
Total | $ 268,277,380 |
The following table summarizes the inputs used as of February 28,
2009 in determining the fair valuation of the Senior Floating Rate II’s
investments:
Investments in | |
Valuation Inputs | Securities |
Level 1 | — |
Level 2 | $ 122,821,506 |
Level 3 | — |
Total | $ 122,821,506 |
Derivative Financial Instruments: The Funds may engage in various port-
folio investment strategies both to increase the returns of the Funds and
to hedge, or protect, their exposure to interest rate movements and move-
ments in the securities markets. Losses may arise if the value of the
contract decreases due to an unfavorable change in the price of the under-
lying security, or if the counterparty does not perform under the contract.
•Financial futures contracts — The Funds may purchase or sell financial
futures contracts and options on financial futures contracts for invest-
ment purposes or to manage its interest rate risk. Futures contracts are
contracts for delayed delivery of securities at a specific future date and
at a specific price or yield. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are
known as margin variation and are recognized by the Portfolio as unre-
alized gains or losses. When the contract is closed, the Fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. The use of futures transactions involves the risk of an imperfect
correlation in the movements in the price of futures contracts, interest
rates and the underlying assets, and the possible inability of counter-
parties to meet the terms of their contracts.
•Forward foreign currency exchange contracts — A forward foreign cur-
rency exchange contract is an agreement between two parties to buy
and sell a currency at a set exchange rate on a future date. Each Fund
may enter into forward foreign currency exchange contracts as a hedge
against either specific transactions or portfolio positions. Foreign cur-
rency exchange contracts, when used by the Fund, help to manage the
overall exposure to the foreign currency backing some of the invest-
ments held by the Fund. The contract is marked-to-market daily and the
change in market value is recorded by the Fund as an unrealized gain
or loss. When the contract is closed, the Fund records 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 for-
eign currency contracts involves the risk that counterparties may not
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 51
Notes to Financial Statements (continued)
meet the terms of the agreement and market risk of unanticipated
movements in the value of a foreign currency relative to the US dollar.
•Options — The Funds may purchase and write call and put options. A
call option gives the purchaser of the option the right (but not the
obligation) to buy, and obligates the seller to sell (when the option is
exercised), the underlying position at the exercise price at any time or
at a specified time during the option period. A put option gives the
holder the right to sell and obligates the writer to buy the underlying
position at the exercise price at any time or at a specified time during
the option period.
When a Fund purchases (writes) an option, an amount equal to the
premium paid (received) by the Fund is reflected as an asset and an
equivalent liability. The amount of the asset (liability) is subsequently
marked-to-market to reflect the current market value of the option
written. When a security is purchased or sold through an exercise of an
option, the related premium paid (or received) is added to (or deducted
from) the basis of the security acquired or deducted from (or added to)
the proceeds of the security sold. When an option expires (or the Fund
enter into a closing transaction), the Fund realizes a gain or loss on the
option to the extent of the premiums received or paid (or gain or loss
to the extent the cost of the closing transaction exceeds the premium
received or paid). When a Fund writes a call option, such option is “cov-
ered,” meaning that the Fund holds the underlying security subject to
being called by the option counterparty, or cash in an amount sufficient
to cover the obligation. Certain call options are written as part of an
arrangement where the counterparty to the transaction borrows the
underlying security from the Fund in a securities lending transaction.
In purchasing and writing options, the Funds bear the market risk of
an unfavorable change in the price of the underlying security or index.
Exercise of a written option could result in the Funds purchasing a
security at a price different from the current market value. A Fund
may execute transactions in both listed and over-the-counter options.
Transactions in certain over-the-counter options may expose the Fund
to the risk of default by the counterparty to the transaction.
•Covered call options — The Funds may sell covered call options which
are options that give the purchaser the right to require the Fund to
sell a security owned by the Fund to the purchaser at a specified price
within a limited time period. A Fund will receive a premium (an up front
payment) for selling a covered call option, and if the option expires
unexercised because the price of the underlying security has gone down
the premium received by the Fund will partially offset any unrealized
losses on the underlying security. By writing a covered call option,
however, a Fund limits its ability to sell the underlying security and
gives up the opportunity to profit from any increase in the value of the
underlying security beyond the sale price specified in the option.
•Swaps — The Funds may enter into swap agreements, in which the Fund
and a counterparty agree to make periodic net payments on a specified
notional amount. These periodic payments received or made by the
Funds are recorded in the accompanying Statements of Operations
as realized gains or losses, respectively. Swaps are marked-to-market
daily and changes in value are recorded as unrealized appreciation
depreciation). When the swap is terminated, the Funds will record a
realized gain or loss equal to the difference between the proceeds from
(or cost of) the closing transaction and the Funds’ basis in the contract,
if any. Swap transactions involve, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statements
of Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform or disagree as to
the meaning of the contractual terms in the agreements, and that there
may be unfavorable changes in interest rates and/or market values
associated with these transactions.
Credit default swaps — The Funds may enter into credit default swaps
for investment purposes or to manage their credit risk. Each Fund enters
into credit default agreements to provide a measure of protection
against the default of an issuer (as buyer of protection) and/or gain
credit exposure to an issuer to which it is not otherwise exposed (as
seller of protection). Credit default swaps are agreements in which one
party pays fixed periodic payments to a counterparty in consideration
for a guarantee from the counterparty to make a specific payment
should a negative credit event take place (e.g. bankruptcy, failure to
pay, obligation accelerators, repudiation, moratorium or restructuring). A
Fund may either buy or sell (write) credit default swaps. As a buyer, the
Fund will either receive from the seller an amount equal to the notional
amount of the swap and deliver the referenced security or underlying
securities comprising of an index or 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 of an index. As a seller
(writer), the Fund 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 of an 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 of an index. In
the event of default by the counterparty, the Fund may recover amounts
paid under the agreement either partially or in total by offsetting any
payables and/or receivables with collateral held or pledged.
Interest rate swaps — Certain Funds may enter into interest rate swaps
for investment purposes or to manage their interest rate risk. Interest
rate swaps are agreements in which one party pays a floating rate of
interest on a notional principal amount and receives a fixed rate of
interest on the same notional principal amount for a specified period of
time. Alternatively, a party may pay a fixed rate and receive a floating
rate. In more complex swaps, the notional principal amount may decline
(or amortize) over time.
•Swaptions — Swap options (swaptions) are similar to options on securi-
ties except that instead of selling or purchasing the right to buy or sell a
security, the writer or purchaser of the swap option is granting or buying
52 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Notes to Financial Statements (continued)
the right to enter into a previously agreed upon swap agreement at any
time before the expiration of the option.
Foreign Currency Transactions: Foreign currency amounts are translated
into United States dollars on the following basis: (i) market value of
investment securities, assets and liabilities at the current rate of exchange;
and (ii) purchases and sales of investment securities, income and
expenses at the rates of exchange prevailing on the respective dates
of such transactions.
The Funds report foreign currency related transactions as components of
realized gains for financial reporting purposes, whereas such components
are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities: The Funds may invest in
asset-backed securities. Asset-backed securities are generally issued as
pass-through certificates, which represent undivided fractional ownership
interests in an underlying pool of assets, or as debt instruments, which are
also known as collateralized obligations, and are generally issued as the
debt of a special purpose entity organized solely for the purpose of owning
such assets and issuing such debt. Asset-backed securities are often
backed by a pool of assets representing the obligations of a number of dif-
ferent parties. The yield characteristics of certain asset-backed securities
may differ from traditional debt securities. One such major difference is
that all or a principal part of the obligations may be prepaid at any time
because the underlying assets (i.e., loans) may be prepaid at any time. As
a result, a decrease in interest rates in the market may result in increases
in the level of prepayments as borrowers, particularly mortgagors, refinance
and repay their loans. An increased prepayment rate with respect to an
asset-backed security subject to such a prepayment feature will have the
effect of shortening the maturity of the security. If a Fund has purchased
such an asset-backed security at a premium, a faster than anticipated
prepayment rate could result in a loss of principal to the extent of the
premium paid.
The Funds may purchase in the secondary market certain mortgage pass-
through securities. There are a number of important differences among the
agencies and instrumentalities of the US Government that issue mortgage
related securities and among the securities that they issue. For example,
mortgage-related securities guaranteed by the Government National
Mortgage Association (“GNMA”) are guaranteed as to the timely payment
of principal and interest by GNMA and such guarantee is backed by the full
faith and credit of the United States. However, mortgage-related securities
issued by the Federal National Mortgage Association (“FNMA”) include
FNMA guaranteed Mortgage Pass-Through Certificates, which are solely the
obligations of the FNMA, are not backed by or entitled to the full faith and
credit of the United States and are supported by the right of the issuer to
borrow from the Treasury.
Certain Funds invest a significant portion of its assets in securities backed by
commercial or residential mortgage loans or in issuers that hold mortgage
and other asset-backed securities. Please see the Schedules of Investments
for these securities. Changes in economic conditions, including delinquencies
and/or defaults on assets underlying these securities, can affect the value,
income and/or liquidity of such positions.
Capital Trusts: These securities are typically issued by corporations,
generally in the form of interest-bearing notes with preferred securities
characteristics, or by an affiliated business trust of a corporation, generally
in the form of beneficial interests in subordinated debentures or similarly
structured securities. The securities can be structured as either fixed or
adjustable coupon securities that can have either a perpetual or stated
maturity date. Dividends can be deferred without creating an event of
default or acceleration, although maturity cannot take place unless all
cumulative payment obligations have been met. The deferral of payments
does not affect the purchase or sale of these securities in the open market.
Payments on these securities are treated as interest rather than dividends
for federal income tax purposes. These securities can have a rating that is
slightly below that of the issuing company’s senior debt securities.
Mortgage Dollar Roll Transactions: The Funds may sell mortgage-backed
securities and simultaneously contract to repurchase substantially similar
(same type, coupon and maturity) securities on a specific future date at
an agreed upon price. Pools of mortgage securities are used to collateral-
ize mortgage dollar roll transactions and may have different prepayment
histories than those sold. During the period between the sale and the
repurchase, the Funds will not be entitled to receive interest and principal
payments on the securities sold. Proceeds of the sale will be invested in
additional instruments for the Funds, and the income from these invest-
ments will generate income for the Funds. The Funds will account for dollar
roll transactions as purchases and sales and realize gains and losses on
these transactions.
Mortgage dollar rolls involve the risk that the market value of the securities
that the Funds are required to purchase may decline below the agreed
upon repurchase price of those securities. If investment performance of
securities purchased with proceeds from these transactions does not
exceed the income, capital appreciation and gain or loss that would have
been realized on the securities sold as part of the dollar roll, the use of this
technique will adversely impact the investment performance of the Funds.
Floating Rate Loans: The Funds may invest in floating rate loans, which are
generally non-investment grade, made by banks, other financial institutions
and privately and publicly offered corporations. Floating rate loans are
senior in the debt structure of a corporation. Floating rate loans generally
pay interest at rates that are periodically determined by reference to a
base lending rate plus a premium. The base lending rates are generally
(i) the lending rate offered by one or more European banks, such as LIBOR
(London InterBank Offered Rate), (ii) the prime rate offered by one or more
U.S. banks or (iii) the certificate of deposit rate. The Funds consider these
investments to be investments in debt securities for purposes of its
investment policies.
The Fund earns and/or pays facility and other fees on floating rate loans.
Other fees earned/paid include commitment, amendment, consent, com-
missions and prepayment penalty fees. Facility, amendment and consent
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 53
Notes to Financial Statements (continued)
fees are typically amortized as premium and/or accreted as discount over
the term of the loan. Commitment, commission and various other fees are
recorded as income. Prepayment penalty fees are recorded on the accrual
basis. When the Fund buys a floating rate loan it may receive a facility fee
and when it sells a floating rate loan it may pay a facility fee. On an ongoing
basis, the Fund may receive a commitment fee based on the undrawn por-
tion of the underlying line of credit portion of a floating rate loan. In certain
circumstances, the Fund may receive a prepayment penalty fee upon the
prepayment of a floating rate loan by a borrower. Other fees received by the
Fund may include covenant waiver fees and covenant modification fees.
The Fund may invest in multiple series or tranches of a loan. A different series
or tranche may have varying terms and carry different associated risks.
Floating rate loans are usually freely callable at the issuer’s option. The
Fund may invest in such loans in the form of participations in loans
(“Participations”) and assignments of all or a portion of loans from third
parties. Participations typically will result in the Fund having a contractual
relationship only with the lender, not with the borrower. The Fund will have
the right to receive payments of principal, interest and any fees to which
it is entitled only from the lender selling the Participation and only upon
receipt by the lender of the payments from the borrower.
In connection with purchasing Participations, the Fund generally will have
no right to enforce compliance by the borrower with the terms of the loan
agreement relating to the loans, nor any rights of offset against the bor-
rower, and the Fund may not benefit directly from any collateral supporting
the loan in which it has purchased the Participation.
As a result, the Fund will assume the credit risk of both the borrower and
the lender that is selling the Participation. The Fund’s investments in loan
participation interests involve the risk of insolvency of the financial interme-
diaries who are parties to the transactions. In the event of the insolvency of
the lender selling the Participation, the Fund may be treated as a general
creditor of the lender and may not benefit from any offset between the
lender and the borrower.
Preferred Stock: Certain Funds may invest in preferred stocks. Preferred
stock has a preference over common stock in liquidation (and generally
in receiving dividends as well) but is subordinated to the liabilities of the
issuer in all respects. As a general rule, the market value of preferred stock
with a fixed dividend rate and no conversion element varies inversely with
interest rates and perceived credit risk, while the market price of convert-
ible preferred stock generally also reflects some element of conversion
value. Because preferred stock is junior to debt securities and other obliga-
tions of the issuer, deterioration in the credit quality of the issuer will cause
greater changes in the value of a preferred stock than in a more senior
debt security with similar stated yield characteristics. Unlike interest pay-
ments on debt securities, preferred stock dividends are payable only if
declared by the issuer’s board of directors. Preferred stock also may be
subject to optional or mandatory redemption provisions.
Reverse Repurchase Agreements: The Funds may enter into reverse repur-
chase agreements with qualified third party broker-dealers. In a reverse
repurchase agreement, the Funds sell securities to a bank or broker-dealer
and agree to repurchase the securities at a mutually agreed upon date and
price. Interest on the value of the reverse repurchase agreements issued
and outstanding is based upon competitive market rates determined at the
time of issuance. The Funds may utilize reverse repurchase agreements
when it is anticipated that the interest income to be earned from the
investment of the proceeds of the transaction is greater than the interest
expense of the transaction. Reverse repurchase agreements involve lever-
age risk and also the risk that the market value of the securities that the
Funds are obligated to repurchase under the agreement may decline below
the repurchase price. In the event the buyer of securities under a reverse
repurchase agreement files for bankruptcy or becomes insolvent, the
Funds’ use of the proceeds of the agreement may be restricted pending
determination by the other party, or its trustee or receiver, whether to
enforce the Funds’ obligation to repurchase the securities.
TBA Commitments: The Funds may enter into to-be-announced (“TBA”)
commitments to purchase or sell securities for a fixed price at a future
date. TBA commitments are considered securities in themselves, and
involve a risk of loss if the value of the security to be purchased or sold
declines or increases prior to settlement date, which is in addition to the
risk of decline in the value of the Funds’ other assets.
Treasury Roll Transactions: A treasury roll transaction involves the sale of
a Treasury security, with an agreement to repurchase the same security at
an agreed upon price and date. Treasury rolls constitute a borrowing (not
treated as purchase and sales) and the difference between the sale and
repurchase prices represents interest expense at an agreed upon rate.
Whether such a transaction produces a positive impact on performance
depends upon whether the income and gains on the securities purchased
with the proceeds received from the sale of the security exceeds the inter-
est expense incurred by the Fund. Treasury rolls are not considered pur-
chases and sales and any gains or losses incurred on the treasury rolls
will be deferred until the treasury securities are disposed.
Treasury roll transactions involve the risk that the market value of the
securities that the Fund is required to purchase may decline below the
agreed upon purchase price of those securities. If investment performance
of securities purchased with proceeds from these transactions does not
exceed the income, capital appreciation and gain or loss that would have
been realized on the securities sold as part of the dollar roll, the use of this
technique will adversely impact the investment performance of the Funds.
Segregation and Collateralization: In cases in which the 1940 Act and the
interpretive positions of the Securities and Exchange Commission (“SEC”)
require that each Fund segregates assets in connection with certain invest-
ments (e.g., dollar rolls, TBA’s beyond normal settlement, options, swaps,
forward foreign currency exchange contracts or financial futures contracts)
or certain borrowings (e.g., reverse repurchase agreements), each Fund will,
consistent with certain interpretive letters issued by the SEC, designate on
its books and records cash or other liquid securities having a market value
at least equal to the amount that would otherwise be required to be physi-
cally segregated. Furthermore, based on requirements and agreements with
54 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Notes to Financial Statements (continued)
certain exchanges and third party broker-dealers, each Fund may also be
required to deliver or deposit securities as collateral for certain investments
(e.g., financial futures contracts, reverse repurchase agreements and swaps).
Investment Transactions and Investment Income: Certain Funds’ invest-
ment transactions are recorded on the dates the transactions are entered
into (the trade dates). Realized gains and losses on security transactions
are determined on the identified cost basis. Dividend income is recorded
on the ex-dividend dates. Dividends from foreign securities where the
ex-dividend date may have passed are subsequently recorded when the
Funds have determined the ex-dividend date. Interest income is recog-
nized on the accrual basis. The Funds amortize all premiums and
discounts on debt securities.
Senior Floating Rate and Senior Floating Rate II record daily their propor-
tionate share of the Master LLC’s income, expenses and realized and unre-
alized gains and losses. In addition, both Funds accrue their own expenses.
Dividends and Distributions: Dividends from net investment income are
declared and paid monthly. Distributions of capital gains are recorded
on the ex-dividend dates.
Income Taxes: It is the Funds policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and
to distribute substantially all of their taxable income to their shareholders.
Therefore, no federal income tax provision is required. Under the applicable
foreign tax laws, a withholding tax may be imposed on interest, dividends
and capital gains at various rates.
Each Fund files US federal and various state and local tax returns. No
income tax returns are currently under examination. The statute of limita-
tions on the Funds’ US federal tax returns remains open for the year ended
August 31, 2008 for Defined Opportunity, the four years ended August 31,
2008 for Diversified Income, Floating Rate Income, Senior Floating Rate
and Senior Floating Rate II, the three years ended October 31, 2007 and
the year ended August 31, 2008 for Limited Duration. The statutes of limi-
tations on the Funds’ state and local tax returns may remain open for an
additional year depending upon the jurisdiction.
Recent Accounting Pronouncement: In March 2008, Statement of
Financial Accounting Standards No. 161, “Disclosures about Derivative
Instruments and Hedging Activities — an amendment of FASB Statement
No. 133” (“FAS 161”), was issued. FAS 161 is intended to improve financial
reporting for derivative instruments by requiring enhanced disclosure that
enables investors to understand how and why an entity uses derivatives,
how derivatives are accounted for, and how derivative instruments affect an
entity’s results of operations and financial position. FAS 161 is effective for
financial statements issued for fiscal years and interim periods beginning
after November 15, 2008. The impact on each of the Portfolio’s financial
statement disclosures, if any, is currently being assessed.
Bank Overdraft: Diversified Income and Floating Rate Income recorded
bank overdrafts which resulted from estimates of available cash.
Deferred Compensation and BlackRock Closed-End Share Equivalent
Investment Plan: Under the deferred compensation plan approved by each
Fund’s Board, non-interested Directors (“Independent Directors”) may defer
a portion of their annual complex-wide compensation. Deferred amounts
earn an approximate return as though equivalent dollar amounts have
been invested in common shares of other certain BlackRock Closed-End
Funds selected by the Independent Directors. This has approximately the
same economic effect for the Independent Directors as if the Independent
Directors had invested the deferred amounts directly in other certain
BlackRock Closed-End Funds.
The deferred compensation plan is not funded and obligations thereunder
represent general unsecured claims against the general assets of the
Funds. The Funds may, however, elect to invest in common shares of other
certain BlackRock Closed-End Funds selected by the Independent Directors
in order to match its deferred compensation obligations. Investments to
cover certain Funds’ deferred compensation liability are included in other
assets on the Statements of Assets and Liabilities. Dividends and distribu-
tions from the BlackRock Closed-End Fund investments under the plan are
included in income — affiliated on the Statements of Operations.
Other: Expenses directly related to a Fund are charged to that Fund. Other
operating expenses shared by several funds are pro-rated among those
funds on the basis of relative net assets or other appropriate methods.
2. Investment Advisory Agreement and Other Transactions
with Affiliates:
Certain Funds entered into an Investment Advisory Agreement with Advisor
to provide investment advisory and administration services. The PNC
Financial Services Group, Inc. (“PNC”) and Bank of America Corporation
(“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”).
BAC became a stockholder of BlackRock following its acquisition of Merrill
Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date,
both PNC and Merrill Lynch were considered affiliates of the Fund under
the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but
due to the restructuring of Merrill Lynch’s ownership interest of BlackRock,
BAC is not deemed to be an affiliate under the 1940 Act.
The Advisor is responsible for the management of the Funds’ portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Funds. For such services,
Defined Opportunity pays a monthly fee at an annual rate of 1.00%,
Limited Duration pays a monthly fee at an annual rate of 0.55% and
Diversified Income and Floating Rate Income each pay a monthly fee at an
annual rate of 0.75% of the average daily value of each Fund’s net assets
plus the proceeds of any outstanding borrowings. Average daily net assets
is the average daily value of the Fund’s total assets minus the sum of its
accrued liabilities.
The Advisor, on behalf of Diversified Income, Floating Rate Income and
Limited Duration, has entered into a separate sub-advisory agreement with
BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Advisor,
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 55
Notes to Financial Statements (continued)
under which the Advisor pays BFM, for services it provides, a monthly fee
that is an annual percentage of the investment advisory fee paid by the
Funds to the Advisor.
For the six months ended February 28, 2009, the Funds reimbursed the
Advisor for certain accounting services, which are included in accounting
services in the Statements of Operations. The reimbursements were
as follows:
Reimbursement | |
to Advisor | |
Defined Opportunity | $ 723 |
Diversified Income | $1,276 |
Floating Rate Income | $2,487 |
Limited Duration | $4,928 |
For the period September 1, 2008 through December 31, 2008 Merrill
Lynch, Pierce, Fenner & Smith, Incorporated (“MLPF&S”), a wholly owned
subsidiary of Merrill Lynch, received underwriting fees of $3,462,804 in
connection with the issuance of the Defined Opportunity’s Common
Shares. In addition, Defined Opportunity reimbursed MLPF&S $46,000
as a partial reimbursement of expenses incurred in connection with the
issuance of the Fund’s Common Shares.
Senior Floating Rate and Senior Floating Rate II have entered into an
Administration Agreement with the Administrator. The administration fee to
the Administrator is calculated daily and paid monthly based on an annual
rate of 0.25% and 0.40%, respectively, of the average daily value of each
Fund’s net assets for the performance of administrative services (other
than investment advice and related portfolio activities) necessary for the
operation of the Funds.
Senior Floating Rate and Senior Floating Rate II entered into a separate
Distribution Agreement and Distribution Plan with BlackRock Investments,
LLC (“BIL”), which replaced FAM Distributors, Inc. (“FAMD”) and BlackRock
Distributors, Inc. and its affiliates (“BDI”) (collectively, the “Distributor”) as
the sole distributor of the Funds. FAMD is a wholly owned subsidiary of
Merrill Lynch Group, Inc. BIL and BDI are affiliates of BlackRock, Inc.
For the six months ended February 28, 2009, the Distributor received early
withdrawal charges for Senior Floating Rate and Senior Floating Rate II in
the amount of $136,691 and $27,255, respectively, relating to the tender
of each Fund’s shares.
PNC Global Investment Servicing (U.S.) Inc., an indirect, wholly owned sub-
sidiary of PNC and an affiliate of the Administrator, is Senior Floating Rate
and Senior Floating Rate II’s transfer agent. Transfer agency fees borne by
each Fund are comprised of those fees charged for all shareholder com-
munications including mailing of shareholder reports, dividend and distri-
bution notices, and proxy materials for shareholders meetings, as well as
per account and per transaction fees related to servicing and maintenance
of shareholder accounts, including the issuing, redeeming and transferring
of shares, check writing, anti-money laundering services, and customer
identification services.
Pursuant to the terms of the custody agreement, custodian fees may be
reduced by amounts calculated on uninvested cash balances, which are
shown on the Statements of Operations as fees paid indirectly.
Certain officers and/or directors of the Funds are officers and/or directors
of BlackRock, Inc. or its affiliates. The Funds reimburse the Advisor for com-
pensation to the Funds’ Chief Compliance Officer.
3. Investments:
Purchases and sales (including paydowns and TBA and mortgage dollar roll
transactions and excluding short-term securities US Government securities)
for the six months ended February 28, 2009 were as follows:
Total | Total | |||
Purchases | Sales | |||
Defined Opportunity | $ | 13,511,775 | $ | 40,755,731 |
Diversified Income | $ | 18,951,256 | $ | 67,980,006 |
Floating Rate Income | $ | 49,461,383 | $ | 118,610,313 |
Limited Duration | $ | 892,518,966 | $ | 956,093,504 |
For the six months ended February 28, 2009, purchases and sales of US
government securities for Limited Duration were $0 and $17,000,000,
respectively.
For the six months ended February 28, 2009, purchases and sales for
Limited Duration attributable to mortgage dollar rolls were $739,743,242
and $738,788,047, respectively.
4. Reverse Repurchase Agreements:
For the six months ended February 28, 2009, Limited Duration’s daily
weighted average interest rate was 0.43%.
5. Market and Credit Risk:
In the normal course of business, the Funds invest in securities and enter
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (credit
risk). The value of securities held by the Funds may decline in response to
certain events, including those directly involving the issuers whose securi-
ties are owned by the Funds; conditions affecting the general economy;
overall market changes; local, regional or global political, social or eco-
nomic instability; and currency and interest rate and price fluctuations.
Similar to credit risk, the Funds may be exposed to counterparty risk, or
the risk that an entity with which the Funds have unsettled or open trans-
actions may default. Financial assets, which potentially expose the Funds
to credit and counterparty risks, consist principally of investments and cash
due from counterparties. The extent of the Funds’ exposure to credit and
counterparty risks with respect to these financial assets is approximated by
their value recorded in the Funds’ Statements of Assets and Liabilities.
6. Capital Share Transactions:
Defined Opportunity and Limited Duration are authorized to issue an unlim-
ited number of shares, par value $0.001, all of which were initially classi-
fied as Common Shares. Diversified Income and Floating Rate Income are
authorized to issue 200,000,000 shares, par value $0.10, all of which
56 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Notes to Financial Statements (continued)
were initially classified as Common Shares. The Board is authorized, how-
ever, to classify and reclassify any unissued shares without approval of
Common Shareholders.
Defined Opportunity’s shares issued and outstanding during the period
January 31, 2008 (commencement of operations) to August 31, 2008
increased by 8,900,000 from shares sold.
Organization costs of $22,000 were expensed upon the commencement of
operations. Offering costs incurred in connection with Defined Opportunity’s
offering of Common Shares have been charged against the proceeds from
the initial Common Share offering in the amount of $200,500.
Shares issued and outstanding for the six months ended February 28, 2009
and the period ended August 31, 2008 (and the year ended October 31,
2007 for Limited Duration) increased by the following amounts as a result
of dividend reinvestments:
Six Months Ended | Period Ended | Year Ended | |
February 28, | August 31, | October 31, | |
2009 | 2008 | 2007 | |
Defined Opportunity | 84,923 | 15,264 | — |
Diversified Income | 49,816 | 13,892 | — |
Floating Rate Income | 31,791 | — | — |
Limited Duration | — | — | 107,367 |
At February 28, 2009, the shares owned by an affiliate of the Advisor of
the Funds were as follows:
Shares | |
Defined Opportunity | 8,517 |
Floating Rate Income | 7,877 |
Limited Duration | 6,021 |
Transactions in capital shares, with respect to Senior Floating Rate and Senior Floating Rate II, were as follows:
Six Months Ended | Year Ended | |||
February 28, 2009 | August 31, 2007 | |||
Senior Floating Rate | Shares | Amount | Shares | Amount |
Shares sold | 1,837,725 | $11,319,841 | 4,490,899 | $ 36,601,922 |
Shares issued to shareholders in reinvestment of dividends | 113,657 | 699,508 | 182,375 | 1,499,356 |
Total issued | 1,951,382 | 12,019,349 | 4,673,274 | 38,101,278 |
Shares tendered | (7,128,513) | (45,714,474) | (13,412,544) | (111,603,956) |
Net decrease | (5,177,131) | $(33,695,125) | (8,739,270) | $ (73,502,678) |
Senior Floating Rate II | Shares | Amount | Shares | Amount |
Shares sold | 1,881,424 | $12,488,536 | 2,834,064 | $ 25,451,600 |
Shares issued to shareholders in reinvestment of dividends | ||||
and distributions | 36,466 | 240,166 | 41,005 | 365,615 |
Total issued | 1,917,890 | 12,728,702 | 2,875,069 | 25,817,215 |
Shares tendered | (4,462,356) | (30,809,007) | (7,873,162) | (71,267,903) |
Net decrease | (2,544,466) | $(18,080,305) | (4,998,093) | $ (45,450,688) |
7. Commitments:
Certain Funds may invest in floating rate loans. In connection with these
investments, the Funds may also enter into unfunded corporate loans
(“commitments”). Commitments may obligate the Funds to furnish tempo-
rary financing to a borrower until permanent financing can be arranged. In
connection with these commitments, the Funds earn a commitment fee,
typically set as a percentage of the commitment amount. Such fee income,
which is classified in the Statements of Operations as facility and other
fees, is recognized ratably over the commitment period. As of February 28,
2009 the Funds had the following unfunded loan commitments:
Defined Opportunity | ||||
Value of | ||||
Unfunded | Underlying | |||
Commitment | Loans | |||
Borrower | (000) | (000) | ||
Bausch & Lomb, Inc | $ | 100 | $ | 85 |
Smurfit Stone | $ | 315 | $ | 296 |
Floating Rate Income | ||||
Value of | ||||
Unfunded | Underlying | |||
Underlying | Commitment | Loans | ||
Borrower | (000) | (000) | ||
Smurfit Corp | $ | 420 | $ | 395 |
8. Short-Term Borrowings:
On May 16, 2008, Diversified Income and Floating Rate Income renewed
their revolving credit and security agreement funded by a commercial paper
asset securitization program with Citicorp North America, Inc. (“Citicorp”) as
agent, certain secondary backstop lenders, and certain asset securitization
conduits as lenders (the “Lenders”). The agreement was renewed for one
year and at the time of renewal had a maximum limit of $91 million for
Diversified Income and $155 million for Floating Rate Income.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 57
Notes to Financial Statements (concluded)
Under the Citicorp program, the conduits will fund advances to the Funds
through the issuance of highly rated commercial paper. The Funds have
granted a security interest in substantially all of their assets to, and in favor
of, the Lenders. The interest rate on the Funds’ borrowings is based on the
interest rate carried by the commercial paper plus a program fee. In addi-
tion, each Fund pays a liquidity fee to the secondary backstop lenders and
the agent. These amounts are shown on the Statements of Operations as
borrowing costs.
Under the agreement, the Funds are subject to certain conditions and
covenants, which include among other things limitations on asset declines
over prescribed time periods. As a result of the decline in net assets attribut-
able to market conditions, certain terms of the facility were renegotiated
effective December 5, 2008, which included a reduction of the maximum
limits to $50 million and $103 million for Diversified Income and Floating
Rate Income, respectively, waivers of certain financial covenants by the
Lenders, and an increase in program and liquidity fees under the facility.
For the six months ended February 28, 2009, the daily weighted average
interest rates were as follows:
Daily Weighted | |
Average | |
Interest Rate | |
Diversified Income | 1.96% |
Floating Rate Income | 1.71% |
Defined Opportunity is a party to a senior committed secured, 364-day
revolving line of credit and a separate security agreement (the “Agreement”)
with State Street Bank and Trust Company (“SSB”) dated April 9, 2008. The
Agreement has a maximum limit of $67.5 million. Defined Opportunity has
granted a security interest in substantially all of its assets to SSB. For the
six months ended February 28, 2009, the weighted average annual interest
rate was 0.76%.
9. Capital Loss Carryforward:
As of August 31, 2008, the Funds had capital loss carryforward available to
offset future realized capital gains through the indicated expiration date:
Floating | Senior | Senior | |||
Expires | Diversified | Rate | Limited | Floating | Floating |
August 31 | Income | Income | Duration | Rate | Rate II |
2009 | — | — | — | $ 64,746,799 | $ 1,546,632 |
2010 | — | — | — | 87,904,309 | 864,375 |
2011 | — | — | — | 53,409,203 | 17,719,049 |
2012 | — | — | — | 34,221,818 | 6,383,383 |
2013 | — | $ 691,829 | — | 56,166,095 | — |
2014 | $1,755,694 | — | — | 945,546 | — |
2015 | 2,237,399 | — | — | 2,561,691 | — |
2016 | 1,444,704 | 475,453 | $21,933,927 | 31,419,599 | 4,923,144 |
Total | $5,437,797 | $1,167,282 | $21,933,927 | $331,375,060 | $31,436,583 |
10. Subsequent Events:
On March 5, 2009, the Diversified Income and Floating Rate Income ter-
minated their revolving credit agreement with Citicorp and entered into a
senior committed secured, 364-day revolving line of credit and a separate
security agreement (the “Agreement”) with State Street Bank and Trust
Company (“SSB”). The Agreement has a maximum commitment of $50
million for Diversified Income and $103 million for Floating Rate Income.
The Funds have a granted security interest in substantially all of their
assets to SSB.
The Funds paid net investment income dividends on March 31, 2009 to
shareholders of record on March 16, 2009 in the following amounts:
Common | |
Dividend | |
Per Share | |
Defined Opportunity | $0.082500 |
Diversified Income | $0.115000 |
Floating Rate Income | $0.104835 |
Limited Duration | $0.090000 |
Defined Opportunity renewed its revolving line of credit and security agree-
ment with SSB effective April 8, 2009. The maximum commitment was
reduced from $67.5 million to $55 million.
Master Portfolio Summary as of February 28, 2009 (Unaudited)
Master Senior Floating Rate LLC
Portfolio Composition
Percent of | |
Long-Term | |
Investments | |
Floating Rate Loan Interests | 95% |
Corporate Bonds | 5 |
58 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments February 28, 2009 (Unaudited)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Aerospace & Defense — 2.0% | ||||
Hawker Beechcraft Acquisition Co. LLC: | ||||
Letter of Credit Facility Deposit, 3.459%, 3/26/14 | USD | 392 | $ | 180,284 |
Term Loan, 3.459% – 5.762%, 3/26/14 | 6,682 | 3,070,229 | ||
Vought Aircraft Industries, Inc.: | ||||
Revolver, 2.47% – 4.25%, 12/22/10 | 6,000 | 3,600,000 | ||
Term Loan, 2.98%, 12/22/11 | 400 | 322,667 | ||
Tranche B Letter of Credit Deposit, 2.469%, | ||||
12/22/10 | 800 | 645,334 | ||
7,818,514 | ||||
Airlines — 0.5% | ||||
Delta Air Lines, Inc. Credit-Linked Deposit Loan, | ||||
0.32% – 2.445%, 4/30/12 | 1,485 | 1,128,600 | ||
US Airways Group, Inc. Loan, 2.979%, 3/21/14 | 1,495 | 679,736 | ||
1,808,336 | ||||
Auto Components — 1.8% | ||||
Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14 | 7,089 | 4,696,661 | ||
Dana Holding Corp. Term Advance, 7.25%, 1/31/15 | 2,485 | 756,224 | ||
Goodyear Tire & Rubber Co., The Loan (Second Lien), | ||||
2.23%, 4/30/14 | 2,000 | 1,390,714 | ||
Metaldyne Co. LLC: | ||||
Deposit Funded Tranche Loan, 2.319% – 5.125%, | ||||
1/11/12 | 288 | 34,615 | ||
Initial Tranche B Term Loan, 7.875% – 8%, 1/13/14 | 1,967 | 236,012 | ||
7,114,226 | ||||
Automobiles — 0.1% | ||||
Ford Motor Co. Term Loan, 5%, 12/15/13 | 746 | 238,470 | ||
Building Products — 0.8% | ||||
Building Materials Corp. of America Term Loan Advance, | ||||
3.625% – 3.875%, 2/22/14 | 2,013 | 1,372,168 | ||
Momentive Performance Materials (Blitz 06-103 GMBH): | ||||
Tranche B-1 Term Loan, 2.75%, 12/04/13 | 1,474 | 1,092,346 | ||
Tranche B-2 Term Loan, 3.803%, 12/04/13 | EUR | 972 | 768,258 | |
3,232,772 | ||||
Capital Markets — 1.0% | ||||
Marsico Parent Co., LLC Term Loan, | ||||
4.25% – 7.75%, 12/15/14 | USD | 949 | 450,785 | |
Nuveen Investments, Inc. Term Loan, | ||||
3.479% – 4.466%, 11/13/14 | 4,233 | 1,995,593 | ||
Riskmetrics Group Holdings, LLC Term B Loan (First Lien), | ||||
3.459%, 1/10/14 | 1,453 | 1,300,521 | ||
3,746,899 | ||||
Chemicals — 3.5% | ||||
Brenntag Holding Gmbh & Co. KG: | ||||
Acquisition Facility 1, 2.47% – 3.201%, 1/20/14 | 30 | 23,734 | ||
Facility B2, 2.47% – 3.501%, 1/20/14 | 1,470 | 1,161,266 | ||
Columbian Chemicals Acquisition LLC/Columbian | ||||
Chemicals Merger Sub, Inc. Tranche B Term Loan, | ||||
4.709%, 3/16/13 | 1,732 | 952,653 | ||
Edwards (Cayman Islands II) Ltd. Term Loan (First Lien), | ||||
2.479%, 5/31/14 | 739 | 443,250 | ||
Huish Detergents Inc: | ||||
Loan (Second Lien), 4.67%, 10/26/14 | 750 | 506,250 | ||
Tranche B Term Loan, 2.17%, 4/26/14 | 1,985 | 1,680,538 | ||
ISP Chemco LLC Term Loan, 2% – 2.75%, 6/04/14 | 1,478 | 1,236,176 | ||
PQ Corp. (fka Niagara Acquisition, Inc.): | ||||
Loan (Second Lien), 7.68%, 7/30/15 | 3,000 | 1,050,000 | ||
Term Loan (First Lien), 4.43% – 4.71%, 7/31/14 | 2,985 | 1,783,538 | ||
Polymer Group, Inc. Term Loan, | ||||
2.72% – 3.72%, 11/22/12 | 1,786 | 1,321,893 | ||
Rockwood Specialties Group, Inc. Tranche E Term Loan, | ||||
1.979%, 7/30/12 | 1,853 | 1,627,475 | ||
Solutia Inc. Loan, 8.50%, 2/28/14 | 2,885 | 1,853,887 | ||
13,640,660 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Commercial Services & Supplies — 2.5% | ||||
Alliance Laundry Systems LLC Term Loan, | ||||
3.35% – 3.59%, 1/27/12 | USD | 1,430 | $ | 1,165,276 |
ARAMARK Corp.: | ||||
Letter of Credit Facility Letter of Credit, 2.038%, | ||||
1/26/14 | 225 | 194,773 | ||
Term Loan, 3.334%, 1/26/14 | 3,549 | 3,065,859 | ||
John Maneely Co.Term Loan, | ||||
4.604% – 4.41%, 12/09/13 | 1,149 | 657,936 | ||
Kion Group GMBH (fka Neggio Holdings 3 GMBH): | ||||
Facility B, 2.479%, 12/29/14 | 250 | 85,000 | ||
Facility C, 2.979%, 12/29/15 | 250 | 85,000 | ||
SIRVA Worldwide, Inc. Loan (Second Lien), | ||||
8.17% – 12%, 5/12/15 | 403 | 20,154 | ||
Synagro Technologies, Inc. Term Loan (First Lien), | ||||
2.45%, 4/02/14 | 2,730 | 1,521,889 | ||
West Corp. Term B-2 Loan, | ||||
2.811% – 2.854%, 10/24/13 | 3,903 | 2,857,552 | ||
9,653,439 | ||||
Computers & Peripherals — 0.4% | ||||
Dealer Computer Services, Inc. (Reynolds & Reynolds) | ||||
Term Loan (First Lien), 2.479%, 10/26/12 | 743 | 482,968 | ||
Intergraph Corp. Second Lien Term Loan, | ||||
6.479% – 7.256%, 11/28/14 | 1,000 | 825,000 | ||
1,307,968 | ||||
Construction & Engineering — 0.3% | ||||
BakerCorp. Tranche C Term Loan, | ||||
2.705% – 2.729, 5/08/14 | 983 | 621,431 | ||
Brand Energy & Infrastructure Services, Inc. | ||||
(FR Brand Acquisition Corp.) First Lien Term Loan B, | ||||
3.688% – 8.25%, 2/07/14 | 2,183 | 993,713 | ||
1,615,144 | ||||
Construction Materials — 0.4% | ||||
Headwaters Inc. Term Loan B1 (First Lien), | ||||
5.97%, 4/30/11 | 2,109 | 1,476,562 | ||
Containers & Packaging — 1.8% | ||||
Graham Packaging Co., LP New Term Loan, | ||||
2.688% – 4.813%, 10/07/11 | 1,751 | 1,464,760 | ||
Graphic Packaging International, Inc.: | ||||
Incremental Term Loan, 3.229% – 7.50%, 5/16/14 | 2,595 | 2,211,417 | ||
Term B Loan, 2.479% – 6.635%, 5/16/14 | 584 | 486,014 | ||
Smurfit-Stone Container Canada, Inc.: | ||||
Tranche C, 2.44% – 4.25%, 11/01/11 | 339 | 225,134 | ||
Tranche C-1 Term Loan, 2.94%, 11/01/11 | 421 | 279,906 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Deposit Funded Facility, 2.10%, 11/01/10 | 1,821 | 1,206,438 | ||
Tranche B, 2.44% – 4.25%, 11/01/11 | 180 | 118,996 | ||
Smurfit-Stone Container Term Loan B, 0%, 2/03/10 | 1,160 | 1,152,750 | ||
7,145,415 | ||||
Distributors — 0.2% | ||||
Keystone Automotive Operations, Inc. Loan, | ||||
3.947% – 5.75%, 1/12/12 | 2,615 | 980,617 | ||
Diversified Consumer Services — 0.7% | ||||
Coinmach Corp.Term Loan, 3.47% – 4.26%, 11/14/14 | 3,970 | 2,580,451 | ||
Diversified Financial Services — 0.6% | ||||
J.G. Wentworth, LLC Loan (First Lien), 3.709%, 4/04/14 | 6,800 | 612,000 | ||
LPL Holdings, Inc. Tranche D Term Loan, | ||||
2.159% – 2.229%, 6/28/13 | 2,236 | 1,810,998 | ||
2,422,998 | ||||
Diversified Media — 1.8% | ||||
Nielsen Finance LLC Dollar Term Loan, | ||||
2.448% – 4.803%, 8/09/13 | 9,099 | 7,138,633 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 59
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Diversified Telecommunication Services — 1.6% | ||||
BCM Ireland Holdings Ltd. (Eircom): | ||||
Facility B, 3.428%, 8/14/14 | EUR | 985 | $ | 833,921 |
Facility C, 3.678%, 8/14/13 | 985 | 833,828 | ||
Hawaiian Telcom Communications, Inc. Tranche C | ||||
Term Loan, 4.75%, 5/30/14 | USD | 1,595 | 665,085 | |
PAETEC Holding Corp. Replacement Term Loan, | ||||
2.979%, 2/28/13 | 1,452 | 1,052,363 | ||
Time Warner Telecom Holdings Inc. Term Loan B Loan, | ||||
2.48%, 1/07/13 | 1,960 | 1,732,150 | ||
Wind Finance SL S.A. Euro Facility (Second Lien), | ||||
11.473%, 12/17/14 | EUR | 1,000 | 1,097,923 | |
6,215,270 | ||||
Electric Utilities — 0.4% | ||||
Astoria Generating Co.Acquisitions, L.L.C. Second Lien | ||||
Term Loan C, 4.23%, 8/23/13 | USD | 2,250 | 1,622,813 | |
Electrical Equipment — 0.3% | ||||
Generac Acquisition Corp. First Lien Term Loan, | ||||
2.919% – 6.65%, 11/10/13 | 2,107 | 1,127,411 | ||
Electronic Equipment & Instruments — 0.8% | ||||
Flextronics International Ltd. A Closing Date Loan, | ||||
3.344% – 3.685%, 10/01/14 | 1,515 | 992,182 | ||
Flextronics International Ltd. Delay Draw Term Loan, | ||||
3.344%, 10/01/12 | 435 | 285,110 | ||
L-1 Identity Solutions Operating Co. Term Loan, | ||||
6.75% – 7.294%, 8/05/13 | 1,210 | 1,109,888 | ||
Safenet, Inc. Loan (Second Lien), 7.66%, 4/12/15 | 2,250 | 877,500 | ||
3,264,680 | ||||
Energy Equipment & Services — 1.7% | ||||
Brock Holdings III, Inc. Term B Loan, | ||||
0.468% – 4.25%, 2/26/14 | 1,474 | 869,513 | ||
Dresser, Inc.: | ||||
Term B Loan, 2.729% – 3.488%, 5/04/14 | 2,912 | 2,090,623 | ||
Term Loan (Second Lien), 6.988%, 5/04/15 | 2,000 | 900,000 | ||
MEG Energy Corp.: | ||||
Delayed Draw Term Loan, 3.46%, 4/02/13 | 1,239 | 768,219 | ||
Initial Term Loan, 3.46%, 4/03/13 | 1,216 | 753,688 | ||
Volnay Acquisition Co. I (aka CGG) B1 Term Loan Facility, | ||||
3.811% – 5.428%, 1/12/14 | 1,407 | 1,213,347 | ||
6,595,390 | ||||
Food & Staples Retailing — 1.4% | ||||
AB Acquisitions UK Topco 2 Ltd. Facility B2 UK Borrower, | ||||
4.161%, 7/09/15 | GBP | 4,000 | 4,021,199 | |
DS Waters of America, Inc. Term Loan, | ||||
4.455%, 10/29/12 | USD | 500 | 275,000 | |
DSW Holdings, Inc. Loan, 2.705%, 3/02/12 | 1,390 | 1,014,804 | ||
5,311,003 | ||||
Food Products — 0.9% | ||||
Dole Food Co., Inc.: | ||||
Credit-Linked Deposit, 1.03%, 4/12/13 | 345 | 309,315 | ||
Tranche B Term Loan, 2.50%, 4/12/13 | 446 | 399,414 | ||
Solvest, Ltd. (Dole) Tranche C Term Loan, | ||||
2.563% – 6%, 4/12/13 | 1,660 | 1,488,096 | ||
Sturm Foods, Inc. Initial Term Loan First Loan, | ||||
3.75%, 1/31/14 (a) | 2,456 | 1,393,922 | ||
3,590,747 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Health Care Equipment & Supplies — 2.1% | ||||
Bausch & Lomb Inc.: | ||||
Delayed Draw Term Loan, 4.709%, 4/24/15 | USD | 300 | $ | 255,738 |
Parent Term Loan, 4.709%, 4/24/15 | 1,979 | 1,687,868 | ||
Biomet, Inc. Dollar Term Loan, 4.459%, 3/25/15 | 3,191 | 2,840,047 | ||
DJO Finance LLC (ReAble Therapeutics Finance LLC) | ||||
Term Loan, 3.409% – 4.459%, 5/20/14 | 2,970 | 2,470,051 | ||
Hologic, Inc. Tranche B Term Loan, 3.75%, 3/31/13 | 889 | 799,823 | ||
8,053,527 | ||||
Health Care Providers & Services — 6.3% | ||||
CHS/Community Health Systems, Inc.: | ||||
Delayed Draw Term Loan, | ||||
2.72% – 3.404%, 7/25/14 | 464 | 392,903 | ||
Funded Term Loan, 1.018% – 5.973%, 7/25/14 | 9,073 | 7,682,379 | ||
HCA Inc.: | ||||
Tranche A-1 Term Loan, 3.459%, 11/17/12 | 6,884 | 5,990,562 | ||
Tranche B-1 Term Loan, 3.709%, 11/18/13 | 4,311 | 3,633,399 | ||
Health Management Associates, Inc. Term B Loan, | ||||
3.209%, 2/28/14 | 380 | 303,257 | ||
HealthSouth Corp. Term Loan, 2.93% – 5.50%, 3/10/13 | 3,473 | 3,064,962 | ||
Surgical Care Affiliates, LLC Term Loan, | ||||
3.459%, 12/29/14 | 990 | 593,970 | ||
Vanguard Health Holding Co. II, LLC (Vanguard | ||||
Health System, Inc.) Replacement Term Loan, | ||||
2.729% – 3.709%, 9/23/11 | 3,135 | 2,878,125 | ||
24,539,557 | ||||
Health Care Technology — 0.3% | ||||
Sunquest Information Systems, Inc. (Misys Hospital | ||||
Systems, Inc.) Term Loan, 4.21%, 10/13/14 | 1,481 | 1,185,000 | ||
Hotels, Restaurants & Leisure — 3.9% | ||||
CCM Merger Inc. (Motor City Casino) Term B Loan, | ||||
3.459% – 4.193%, 7/13/12 | 1,772 | 1,001,192 | ||
Green Valley Ranch Gaming, LLC: | ||||
Second Lien Term Loan, 3.697%, 8/16/14 | 1,750 | 87,500 | ||
Term Loan (New), 2.449% – 4%, 2/16/14 | 473 | 189,700 | ||
Harrah’s Operating Co., Inc.: | ||||
Term B-1 Loan, 4.459%, 1/28/15 | 469 | 270,566 | ||
Term B-2 Loan, 4.159%, 1/28/15 | 10,182 | 5,922,803 | ||
Term B-3 Loan, 4.159%, 1/28/15 | 417 | 240,503 | ||
Lake at Las Vegas Joint Venture/LLV-1, LLC (b)(c): | ||||
Revolving Loan Credit-Linked Deposit Account, | ||||
11.75%, 6/20/12 | 361 | 16,852 | ||
Term Loan, 11.75%, 6/20/12 | 3,376 | 157,530 | ||
Penn National Gaming, Inc. Term Loan B, | ||||
2.15% – 4.41%, 10/03/12 | 4,920 | 4,431,326 | ||
QCE, LLC (Quiznos) Term Loan: | ||||
(First Lien) 3.75%, 11/05/13 | 1,950 | 1,075,287 | ||
(Second Lien) 9.512%, 11/05/13 | 2,800 | 938,000 | ||
VML US Finance LLC (aka Venetian Macau) Term B | ||||
Funded Project Loan, 2.73%, 5/27/13 | 1,624 | 934,779 | ||
15,266,038 | ||||
Household Durables — 2.0% | ||||
American Achievement Corp. Tranche B Term Loan, | ||||
2.71% – 4.50%, 3/25/11 | 910 | 745,935 | ||
Jarden Corp. Term Loan B3, 3.959%, 1/24/12 | 1,485 | 1,340,518 | ||
Simmons Bedding Co.Tranche D Term Loan, | ||||
5.50% – 9.535%, 12/19/11 | 4,269 | 3,261,649 | ||
Visant Corp. (fka Jostens) Tranche C Term Loan, | ||||
2.413%, 12/21/11 | 1,819 | 1,568,858 | ||
Yankee Candle Co., Inc. Term Loan, | ||||
2.42% – 2.48%, 2/06/14 | 1,833 | 1,111,834 | ||
8,028,794 |
See Notes to Financial Statements.
60 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
IT Services — 4.7% | ||||
Activant Solutions Inc. Term Loan, 3.438%, 5/02/13 | USD | 3,392 | $ | 1,594,396 |
Audio Visual Services Group, Inc.: | ||||
Loan (Second Lien), 6.96%, 8/28/14 | 1,500 | 105,000 | ||
Tranche B Term Loan (First Lien), 3.71%, 2/28/14 | 1,975 | 553,000 | ||
Ceridian Corp U.S. Term Loan, 3.47%, 11/09/14 | 3,250 | 2,242,500 | ||
First Data Corp. Initial Tranche: | ||||
B-1 Term Loan, 3.159% – 3.223%, 9/24/14 | 2,831 | 1,857,979 | ||
B-2 Term Loan, 3.139% – 3.223%, 9/24/14 | 9,689 | 6,361,104 | ||
B-3 Term Loan, 3.159% – 3.223%, 9/24/14 | 995 | 650,042 | ||
RedPrairie Corp. Term Loan, 5.875%, 7/20/12 | 294 | 185,220 | ||
SunGard Data Systems Inc (Solar Capital Corp.) New US | ||||
Term Loan, 2.198% – 2.991%, 2/28/14 | 5,834 | 4,880,722 | ||
18,429,963 | ||||
Independent Power Producers & Energy Traders — 4.2% | ||||
NRG Energy, Inc. Term Loan, | ||||
1.909% – 5.262%, 2/01/13 | 4,212 | 3,868,086 | ||
Texas Competitive Electric Holdings Co., LLC (TXU): | ||||
Initial Tranche B-2 Term Loan, | ||||
3.909% – 4.451%, 10/10/14 | 9,866 | 6,155,214 | ||
Initial Tranche B-3 Term Loan, | ||||
3.909 – 4.451%%, 10/10/14 | 10,344 | 6,451,922 | ||
16,475,222 | ||||
Industrial Conglomerates — 0.4% | ||||
Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14 | 2,385 | 1,454,929 | ||
Insurance — 0.4% | ||||
Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14 | 1,973 | 1,479,389 | ||
Internet Software & Services — 0.0% | ||||
Channel Master Holdings, Inc. (b)(c): | ||||
Revolver, 8.313%, 11/15/04 | 128 | — | ||
Term Loan, 9%, 11/15/04 | 1,014 | — | ||
— | ||||
Leisure Equipment & Products — 0.4% | ||||
Fender Musical Instruments Corp.: | ||||
Delayed Draw Loan, 2.66%, 6/09/14 | 664 | 298,998 | ||
Initial Loan, 3.71%, 6/09/14 | 1,316 | 591,987 | ||
True Temper Sports, Inc. Term Loan B, | ||||
3.606% – 6.061%, 3/15/11 | 1,063 | 665,998 | ||
1,556,983 | ||||
Life Sciences Tools & Services — 0.8% | ||||
Life Technologies Corp. Term B Facility, | ||||
5.25%, 11/20/15 | 3,416 | 3,343,838 | ||
Machinery — 2.6% | ||||
Mueller Water Products Inc. Term Loan B, | ||||
3.209% – 5.512%, 5/24/14 | 2,669 | 2,167,348 | ||
Navistar International Corp.: | ||||
Revolving Credit-Linked Deposit, | ||||
3.729% – 5.739%, 1/19/12 | 1,600 | 1,145,333 | ||
Term Advance, 3.729%, 1/19/12 | 4,400 | 3,149,665 | ||
Oshkosh Truck Corp.Term B Loan, | ||||
1.95% – 4.57%, 12/06/13 | 2,641 | 1,848,808 | ||
TriMas Co. LLC: | ||||
Tranche B Term Loan, 2.729% – 3.201%, 8/02/13 | 2,360 | 1,486,639 | ||
Tranche B-1 Loan, 2.463%, 3/27/12 | 557 | 350,967 | ||
10,148,760 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Media — 19.3% | ||||
Alpha Topco Ltd. (Formula One): | ||||
Facility B2, 2.854%, 12/31/13 | USD | 857 | $ | 431,493 |
Facility D, 2.854%, 6/30/14 | 589 | 296,652 | ||
Facility D, 5.311%, 6/30/14 | 1,000 | 280,000 | ||
Bragg Communications Inc. Term Loan B Tranche Two | ||||
Facility, 4.525%, 8/31/14 | 1,213 | 1,121,563 | ||
Bresnan Communications, LLC Term Loan B (First Lien), | ||||
3.18% – 4.20%, 9/29/13 | 1,750 | 1,491,875 | ||
CSC Holdings Inc. (Cablevision) Incremental Term Loan, | ||||
2.205% – 2.692%, 3/29/13 | 3,449 | 3,130,236 | ||
Catalina Marketing Corp. Initial Term Loan, | ||||
4.459%, 10/01/14 | 3,956 | 3,135,311 | ||
Cengage Learning Acquisitions, Inc. (Thomson Learning): | ||||
Term Loan, 2.98%, 7/03/14 | 1,212 | 786,257 | ||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 7,971 | 5,579,410 | ||
Cequel Communications, LLC (aka Cebridge): | ||||
Second Lien Tranche A Term Loan (Cash Pay), 7.693%, | ||||
5/05/14 | 5,000 | 3,062,500 | ||
Term Loan, 2.453% – 4.25%, 11/05/13 | 5,902 | 4,974,482 | ||
Charter Communications Operating, LLC Replacement | ||||
Term Loan, 3.18% – 3.36%, 3/06/14 | 4,472 | 3,550,007 | ||
Clarke American Corp. Tranche B Term Loan, | ||||
2.909% – 2.959%, 6/30/14 | 3,301 | 1,944,062 | ||
Cumulus Media, Inc. Replacement Term Loan, | ||||
2.197%, 6/11/14 | 941 | 378,568 | ||
Dex Media West LLC Tranche B Term Loan, | ||||
7%, 10/24/14 | 3,000 | 1,440,000 | ||
Discovery Communications Holding, LLC Term B Loan, | ||||
3.459%, 5/14/14 | 2,439 | 2,210,659 | ||
FoxCo Acquisition Subsidiary, LLC Term Loan, 7.25%, | ||||
7/14/15 | 1,491 | 765,187 | ||
Getty Images, Inc., Initial Term Loan, 7.25%, 7/02/15 | 1,491 | 1,418,579 | ||
Gray Television, Inc. Term Loan B – DD, | ||||
1.95% – 3.50%, 12/31/14 | 1,326 | 665,841 | ||
HMH Publishing Co. Ltd. (fka Education Media): | ||||
Mezzanine, 4.409% – 10.756%, 11/14/14 | 8,527 | 2,558,221 | ||
Tranche A Term Loan, 4.409%, 6/12/14 | 4,383 | 2,465,412 | ||
Hanley-Wood, LLC (FSC Acquisition) Term Loan, | ||||
2.814%, 3/08/14 | 2,233 | 811,337 | ||
Hargray Acquisition Co./DPC Acquisition LLC/HCP | ||||
Acquisition LLC, Term Loan (First Lien), | ||||
3.486%, 6/27/14 | 1,963 | 1,550,962 | ||
Idearc Inc. (Verizon) Tranche B Term Loan, | ||||
2.48% – 3.46%, 11/17/14 | 1,340 | 467,217 | ||
Insight Midwest Holdings, LLC B Term Loan, | ||||
2.42%, 4/07/14 | 3,075 | 2,704,718 | ||
Intelsat Corp. (fka PanAmSat Corp.): | ||||
Term B-2-A, 3.925%, 1/03/14 | 1,254 | 1,070,772 | ||
Term B-2-B, 3.925%, 1/03/14 | 1,253 | 1,070,306 | ||
Term B-2-C, 3.925%, 1/03/14 | 1,253 | 1,070,306 | ||
Tranche B-2-B Term Loan, 3.925%, 1/03/14 | 1,972 | 1,735,578 | ||
Knology, Inc. Term Loan, 2.663%, 6/30/12 | 2,426 | 1,941,051 | ||
Local TV Finance, LLC Term Loan, 2.48%, 5/07/13 | 1,241 | 521,033 | ||
Lodgenet Entertainment Corp. Closing Date Term Loan, | ||||
3.46%, 4/04/14 | 1,883 | 1,042,025 | ||
MCC Iowa LLC (Mediacom Broadband Group) Tranche A | ||||
Term Loan, 1.87%, 3/31/10 | 2,219 | 2,052,344 | ||
MCNA Cable Holdings LLC (OneLink Communications) | ||||
Loan (PIK facility), 9.62%, 3/01/13 (a) | 1,179 | 731,214 | ||
Metro-Goldwyn-Mayer Inc. Tranche B Term Loan, | ||||
2.659% – 3.729%, 4/09/12 | 2,995 | 1,332,919 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 61
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Media (concluded) | ||||
Multicultural Radio Broadcasting, Inc. Term Loan, | ||||
3.195%, 12/18/12 | USD | 533 | $ | 373,447 |
NEP II, Inc. Term B Loan, 2.729%, 2/18/14 | 378 | 306,270 | ||
NTL Cable Plc Term Loan, 5.892%, 11/19/37 | GBP | 199 | 228,570 | |
NV Broadcasting, LLC Second Lien, | ||||
8.72%, 11/03/14 | USD | 3,250 | 650,000 | |
National CineMedia, LLC Term Loan, 3.75%, 2/13/15 | 1,250 | 1,021,875 | ||
Newsday, LLC Floating Rate Term Loan, | ||||
6.594%, 8/01/13 | 2,500 | 2,193,750 | ||
NextMedia Operating, Inc.: | ||||
Delay Draw Term Loan, 5.123%, 11/15/12 | 122 | 57,235 | ||
Initial Term Loan (First Lien), 5.174%, 11/15/12 | 1,403 | 659,350 | ||
Loan (Second Lien), 8.44% – 9.47%, 11/15/13 | 3,275 | 802,348 | ||
Nielsen Finance LLC Dollar Term Loan, | ||||
4.803%, 8/09/13 | 483 | 378,962 | ||
Penton Media, Inc. Loan (Second Lien), | ||||
7.799%, 2/01/14 | 500 | 55,625 | ||
Penton Media, Inc. Term Loan (First Lien), | ||||
2.659%, 2/01/13 | 491 | 182,991 | ||
Sitel, LLC (ClientLogic) U.S. Term Loan, | ||||
5.947% – 6.911%, 1/30/14 | 911 | 503,899 | ||
Sunshine Acquisition Ltd. (aka HIT Entertainment) | ||||
Term Facility, 3.49% – 4.71%, 7/31/14 | 4,243 | 2,015,511 | ||
TWCC Holding Corp. Term Loan, 7.25%, 9/14/15 | 998 | 951,615 | ||
UPC Financing Partnership: | ||||
Facility N, 2.163%, 12/31/14 | 500 | 423,750 | ||
M Facility, 3.76%, 12/31/14 | EUR | 2,800 | 2,594,505 | |
Virgin Media Investment Holdings Ltd. (fka NTL): | ||||
B1 Facility, 5.04%, 7/30/12 | GBP | 823 | 945,688 | |
B1 Facility, 5.802%, 7/30/12 | 1,141 | 1,310,766 | ||
C Facility, 5.892%, 7/17/13 | 131 | 150,550 | ||
75,594,804 | ||||
Metals & Mining — 0.4% | ||||
Algoma Steel Inc. Term Loan, 2.92%, 6/20/13 | USD 2,446 | 1,443,254 | ||
Multi-Utilities — 1.2% | ||||
Energy Transfer Equity, LP Term Loan, | ||||
2.991%, 11/01/12 | 750 | 652,500 | ||
FirstLight Power Resources, Inc. (fka NE Energy, Inc.): | ||||
First Lien Term Loan B, 4.125% – 5.75%, 11/01/13 | 1,774 | 1,481,571 | ||
Synthetic Letter of Credit, 1.35%, 11/01/13 | 226 | 188,429 | ||
KGEN LLC: | ||||
Synthetic Letter of Credit Loan (First Lien), 1.34%, | ||||
2/08/14 | 750 | 525,000 | ||
Term Loan (First Lien), 3.25%, 2/08/14 | 1,225 | 857,500 | ||
Mach Gen, LLC Synthetic Letter of Credit Loan (First Lien), | ||||
1.218%, 2/22/13 | 69 | 51,739 | ||
USPF Holdings, LLC Term Loan, 2.205%, 4/11/14 | 923 | 784,632 | ||
4,541,371 | ||||
Multiline Retail — 0.4% | ||||
Dollar General Corp. Tranche B-1 Term Loan, | ||||
3.079% – 6.17%, 7/07/14 | 2,000 | 1,726,818 | ||
Oil, Gas & Consumable Fuels — 3.0% | ||||
Big West Oil, LLC: | ||||
Delayed Advance Loan, 4.50%, 5/15/14 | 963 | 471,625 | ||
Initial Advance Loan, 4.50%, 5/15/14 | 766 | 375,156 |
Par | ||||
Floating Rate Loan Interests | (000) | Value | ||
Oil, Gas & Consumable Fuels (concluded) | ||||
Enterprise GP Holdings LP Term Loan B, | ||||
2.699% – 3.648%, 11/08/14 | USD | 1,733 | $ | 1,576,575 |
Petroleum GEO-Services ASA/PGS Finance, Inc. | ||||
Term Loan, 3.21%, 6/29/15 | 1,910 | 1,372,196 | ||
ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14 | 7,000 | 5,635,000 | ||
Vulcan Energy Corp. (fka Plains Resources Inc.) Term B3 | ||||
Loan, 6.25%, 8/12/11 | 1,750 | 1,513,750 | ||
Western Refining, Inc. Term Loan, 9.25%, 5/30/14 | 1,128 | 700,389 | ||
11,644,691 | ||||
Other — 0.1% | ||||
RedPrairie Corp. Term Loan, 5.25% – 6.313%, 7/20/12 | 489 | 307,895 | ||
Paper & Forest Products — 2.7% | ||||
Georgia-Pacific LLC Term B Loan: | ||||
1.994% – 3.689%, 12/20/12 | 7,493 | 6,467,619 | ||
1.994% – 2.956%, 12/20/12 | 1,767 | 1,525,049 | ||
NewPage Corp. Term Loan, 7%, 12/22/14 | 3,960 | 2,412,000 | ||
10,404,668 | ||||
Personal Products — 0.4% | ||||
American Safety Razor Co., LLC Loan (Second Lien), | ||||
6.73%, 1/30/14 | 2,650 | 1,696,000 | ||
Professional Services — 0.5% | ||||
Booz Allen Hamilton Inc. Tranche B Term Loan, | ||||
7.50%, 7/31/15 | 1,995 | 1,878,293 | ||
Real Estate Management & Development — 0.8% | ||||
Capital Automotive LP Term Loan, 2.217%, 12/16/10 | 2,128 | 992,894 | ||
Mattamy Funding Partnership Loan, 3.563%, 4/11/13 | 2,918 | 2,042,250 | ||
3,035,144 | ||||
Road & Rail — 0.5% | ||||
RailAmerica, Inc. Canadian Term Loan, 5.44%, 8/14/09 | 156 | 140,787 | ||
RailAmerica, Inc. U.S. Term Loan, 5.44%, 8/14/09 | 2,093 | 1,884,213 | ||
2,025,000 | ||||
Specialty Retail — 0.5% | ||||
Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan, | ||||
2.73% – 3.709%, 10/20/13 | 957 | 643,925 | ||
General Nutrition Centers, Inc. Term Loan, | ||||
3.69% – 3.72%, 9/16/13 | 1,741 | 1,266,679 | ||
1,910,604 | ||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||
Hanesbrands Inc. Term B Loan (First Lien), | ||||
2.909% – 4%, 9/05/13 | 1,045 | 979,021 | ||
Trading Companies & Distributors — 0.2% | ||||
Beacon Sales Acquisition, Inc. Term B Loan, | ||||
2.479% – 3.435%, 9/30/13 | 978 | 692,396 | ||
Wireless Telecommunication Services — 1.7% | ||||
Cellular South, Inc.: | ||||
Delayed Draw Term Loan, 1.988%, 5/29/14 | 500 | 450,000 | ||
Term Loan, 1.979% – 3.75%, 5/29/14 | 1,478 | 1,329,750 | ||
Cricket Communications, Inc. (aka Leap Wireless) | ||||
Term B Loan, 6.50%, 6/16/13 | 3,283 | 3,038,978 | ||
MetroPCS Wireless, Inc. New Tranche B Term Loan, | ||||
2.75%, 11/03/13 | 2,237 | 1,939,823 | ||
6,758,551 | ||||
Total Floating Rate Loan Interests — 85.5% | 334,248,928 |
See Notes to Financial Statements.
62 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Schedule of Investments (continued)
Master Senior Floating Rate LLC
(Percentages shown are based on Net Assets)
Par | ||
Corporate Bonds | (000) | Value |
Chemicals — 2.1% | ||
GEO Specialty Chemicals Corp., | ||
7.50%, 3/31/15 (d)(e) | USD 2,445 | $ 1,831,006 |
GEO Specialty Chemicals, Inc., 9.935%, 12/31/09 (d) | 3,929 | 2,941,839 |
Wellman Holdings, Inc. (d): | ||
Second Lien Subordinate Note, 10%, 1/29/19 | 2,000 | 2,000,000 |
Third Lien Subordinate Note, 5%, 1/29/19 | 2,206 | 1,544,200 |
8,317,045 | ||
Diversified Financial Services — 0.2% | ||
Ford Motor Credit Co. LLC, 5.544%, 4/15/09 (f) | 750 | 693,750 |
Diversified Telecommunication Services — 0.6% | ||
Qwest Corp., 5.246%, 6/15/13 (f) | 2,525 | 2,139,937 |
Hotels, Restaurants & Leisure — 0.6% | ||
Galaxy Entertainment Finance Co. Ltd., | ||
7.323%, 12/15/10 (e)(f) | 3,300 | 2,475,000 |
Universal City Florida Holding Co. I, 5.92%, 5/01/10 (f) | 50 | 24,000 |
2,499,000 | ||
Paper & Forest Products — 1.1% | ||
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (e) | 2,821 | 1,272,980 |
NewPage Corp., 7.42%, 5/01/12 (f) | 650 | 156,000 |
Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (f) | 11,400 | 2,964,000 |
4,392,980 | ||
Total Corporate Bonds — 4.6% | 18,042,712 | |
Common Stocks | Shares | |
Chemicals — 0.0% | ||
GEO Specialty Chemicals, Inc. (c)(e) | 39,151 | 15,030 |
Wellman Holdings, Inc. (c) | 5,206 | 1,302 |
16,332 | ||
Commercial Services & Supplies — 0.0% | ||
Sirva Technologies Holding Co. | 1,817 | 9,085 |
Paper & Forest Products — 0.1% | ||
Ainsworth Lumber Co. Ltd. | 335,138 | 189,671 |
Ainsworth Lumber Co. Ltd. (c)(e) | 376,109 | 213,420 |
403,091 | ||
Total Common Stocks — 0.1% | 428,508 | |
Total Long-Term Investments | ||
(Cost —$532,500,843) — 90.2% | 352,720,148 | |
Beneficial | ||
Interest | ||
Short-Term Securities | (000) | |
BlackRock Liquidity Series, LLC | ||
Cash Sweep Series, 0.73% (g)(h) | USD 32,079 | 32,079,462 |
Total Short-Term Securities | ||
(Cost — $32,079,462) — 8.2% | 32,079,462 | |
Total Investments (Cost — $564,580,305*) — 98.4% | 384,799,610 | |
Other Assets Less Liabilities — 1.6% | 6,299,276 | |
Net Assets — 100.0% | $391,098,886 |
* The cost and unrealized appreciation (depreciation) of investments as of February
28, 2009, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 563,928,649 |
Gross unrealized appreciation | $ 1,060,734 |
Gross unrealized depreciation | (180,189,773) |
Net unrealized depreciation | $(179,129,039) |
(a) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(b) Issuer filed for bankruptcy and/or is in default of interest payments.
(c) Non-income producing security.
(d) Convertible security.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(f) Variable rate security. Rate shown is as of report date.
(g) Investments in companies considered to be an affiliate of the Master LLC, for pur-
poses of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Net | |||
Affiliate | Activity | Income | |
BlackRock Liquidity Series, LLC | |||
Cash Sweep Series | USD 3,013,425 | $ | 187,306 |
(h) Represents the current yield as of report date.
•For Master LLC compliance purposes, the Master LLC’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 Master
LLC management. This definition may not apply for purposes of this report, which
may combine industry sub-classifications for reporting ease.
•Foreign currency exchange contracts as of February 28, 2009 were as follows:
Unrealized | |||||||
Currency | Settlement Appreciation | ||||||
Purchased | Currency Sold | Counterparty | Date | (Depreciation) | |||
USD | 504,352 | CAD | 620,000 | UBS AG | 3/18/09 | $ | 17,036 |
USD | 4,810,788 | EUR | 3,669,500 | Deutsche Bank AG | 3/18/09 | 159,531 | |
USD | 464,768 | EUR | 370,000 | UBS AG | 3/18/09 | (4,224) | |
USD | 6,242,588 | GBP | 4,210,000 | UBS AG | 3/18/09 | 216,085 | |
Total | $ | 388,428 |
•Credit default swaps on traded indexes — sold protection outstanding as of
February 28, 2009 were as follows:
Received | Notional | |||||
Fixed | Counter- | Credit | Amount | Unrealized | ||
Issuer | Rate | party | Expiration | Rating1 | (000)2 | Depreciation |
LCDX Index | 3.25% | JPMorgan | June | B– | USD 1,893 | $ (66,756) |
Chase | 2013 |
1 Using Standard and Poor’s weighted average ratings of the underlying securities
in the Index.
2 The maximum potential amount the Fund may pay should a negative credit
event take place as defined under the terms of the agreement.
•CurrencyAbbreviations: | |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
USD | US Dollar |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 63
Schedule of Investments (concluded)
Master Senior Floating Rate LLC
•Effective September 1, 2008, the Master LLC adopted Financial Accounting
Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value
Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, estab-
lishes a framework for measuring fair values and requires additional disclosures
about the use of fair value measurements. Various inputs are used in determining
the fair value of investments, which are as follows:
•Level 1 — price quotations in active markets/exchanges for identical securities
•Level 2 — other observable inputs (including, but not limited to: quoted prices
for 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
circumstance, to the extent observable inputs are not available (including the
Master LLC’s own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indica-
tion of the risk associated with investing in those securities. For information about
the Master LLC’s policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of February 28, 2009 in deter-
mining the fair valuation of the Master LLC’s investments:
Valuation | Investments in | Other Financial | ||||
Inputs | Securities | Instruments* | ||||
Assets | Assets | Liabilities | ||||
Level 1 | $ 189,671 | — | — | |||
Level 2 | 265,071,284 | $ | 392,652 | $ | (70,980) | |
Level 3 | 119,538,655 | — | — | |||
Total | $384,799,610 | $ | 392,652 | $ | (70,980) |
* Other financial instruments are foreign currency exchange contracts and swaps,
which are valued at the unrealized appreciation/depreciation on the instrument.
The following is a reconciliation of investments for unobservable inputs (Level 3)
that were used in determining fair value:
Investments in | ||
Securities | ||
Assets | ||
Balance as of August 31, 2008 | $ | 43,445,695 |
Accrued discounts/premiums | 472,149 | |
Realized loss | (10,368,113) | |
Change in unrealized appreciation/depreciation1 | (76,313,399) | |
Net sales | (26,377,340) | |
Net transfers in Level 3 | 188,679,663 | |
Balance as of February 28, 2009 | $ | 119,538,655 |
1 Included in the related net change in unrealized appreciation/depreciation on
the Statement of Operations.
See Notes to Financial Statements.
64 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statement of Assets and Liabilities | Master Senior Floating Rate LLC | |
February 28, 2009 (Unaudited) | ||
Assets | ||
Investments at value — unaffiliated (cost — $532,500,843) | $ | 352,720,148 |
Investments at value — affiliated (cost — $32,079,462) | 32,079,462 | |
Unrealized appreciation on forward foreign currency contracts | 392,652 | |
Foreign currency at value (cost — $111,932) | 112,111 | |
Cash | 342,298 | |
Cash held as collateral on swaps | 600,000 | |
Investments sold receivable | 5,203,455 | |
Interest receivable | 3,802,665 | |
Contributions receivable from investors | 1,127,595 | |
Principal paydown receivable | 20,404 | |
Swaps receivable | 16,212 | |
Commitment fees receivable | 7,128 | |
Prepaid expenses | 20,867 | |
Other assets | 2,227 | |
Total assets | 396,447,226 | |
Liabilities | ||
Swap premiums received | 575,107 | |
Unrealized depreciation on swaps | 66,756 | |
Unrealized depreciation on unfunded corporate loans | 26,639 | |
Unrealized depreciation on forward foreign currency contracts | 4,224 | |
Investments purchased payable | 4,199,701 | |
Investment advisory fees payable | 292,355 | |
Deferred income | 16,088 | |
Officer’s and Directors’ fees payable | 633 | |
Other affiliates payable | 4,105 | |
Other accrued expenses payable | 162,677 | |
Other liabilities payable | 55 | |
Total liabilities | 5,348,340 | |
Net Assets | $ | 391,098,886 |
Net Assets Consist of | ||
Investors’ capital | $ | 570,585,073 |
Net unrealized appreciation/depreciation | (179,486,187) | |
Net Assets | $ | 391,098,886 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 65
Statement of Operations | Master Senior Floating Rate LLC |
Six Months Ended February 28, 2009 (Unaudited) | |
Investment Income | |
Interest | $ 18,187,150 |
Income — affiliated | 187,306 |
Facility and other fees | 238,162 |
Total income | 18,612,618 |
Expenses | |
Investment advisory | 2,061,538 |
Accounting services | 84,887 |
Custodian | 30,041 |
Officer and Directors | 26,461 |
Professional | 9,395 |
Printing | 3,216 |
Assignment | 3,114 |
Miscellaneous | 40,524 |
Total expenses | 2,259,176 |
Net investment income | 16,353,442 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investments | (27,969,203) |
Swaps | 166,902 |
Foreign currency | 2,986,212 |
(24,816,089) | |
Net change in unrealized appreciation/depreciation on: | |
Investments | (119,400,610) |
Swaps | (125,171) |
Foreign currency | (525,069) |
Unfunded corporate loans | 345,639 |
(119,705,211) | |
Total realized and unrealized loss | (144,521,300) |
Net Decrease in Net Assets Resulting from Operations | $ (128,167,858) |
See Notes to Financial Statements.
66 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Statements of Changes in Net Assets | Master Senior Floating Rate LLC | ||
Six Months | |||
Ended | |||
February 28, | Year Ended | ||
2009 | August 31, | ||
Increase (Decrease) in Net Assets: | (Unaudited) | 2008 | |
Operations | |||
Net investment income | $ | 16,353,442 | $ 40,966,288 |
Net realized loss | (24,816,089) | (21,219,849) | |
Net change in unrealized appreciation/depreciation | (119,705,211) | (27,182,080) | |
Net decrease in net assets resulting from operations | (128,167,858) | (7,435,641) | |
Capital Transactions | |||
Proceeds from contributions | 23,808,377 | 62,053,522 | |
Fair value of withdrawals | (93,289,652) | (224,197,628) | |
Net decrease in net assets derived from capital transactions | (69,481,275) | (162,144,106) | |
Net Assets | |||
Total decrease in net assets | (197,649,133) | (169,579,747) | |
Beginning of period | 588,748,019 | 758,327,766 | |
End of period | $ | 391,098,886 | $ 588,748,019 |
Financial Highlights | Master Senior Floating Rate LLC | |||||||
Six Months | ||||||||
Ended | ||||||||
February 28, | ||||||||
2009 | Year Ended August 31, | |||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||
Total Investment Return | ||||||||
Total investment return | (22.44)%1 | (1.08)% | 3.49% | 5.37% | 5.78% | 10.15% | ||
Ratios to Average Net Assets | ||||||||
Total expenses excluding interest expense | 1.04%2 | 1.04% | 1.02% | 1.03% | 1.01% | 1.02% | ||
Total expenses | 1.04%2 | 1.04% | 1.04% | 1.04% | 1.01% | 1.02% | ||
Net investment income | 7.54%2 | 6.41% | 7.07% | 6.22% | 4.52% | 3.81% | ||
Supplemental Data | ||||||||
Net assets, end of period (000) | $ 391,099 $ | 588,748 | $ | 758,328 | $ | 925,910 | $ 1,032,819 | $ 1,052,881 |
Portfolio turnover | 14% | 56% | 46% | 54% | 53% | 76% | ||
Average loan outstanding during the period (000) | — | — | $ | 2,255 | $ | 1,932 | — | — |
1 Aggregate total investment return.
2 Annualized.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 67
Notes to Financial Statements (Unaudited)
Master Senior Floating Rate LLC
1. Organization and Significant Accounting Policies:
Master Senior Floating Rate LLC (the “Master LLC”) is registered under the
Investment Company Act of 1940, as amended (the “1940 Act”), and is
organized as a Delaware limited liability company. The Limited Liability
Company Agreement permits the Board of Directors (the “Board”) to issue
nontransferable interests in the Master LLC, subject to certain limitations.
The Master LLC’s financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America,
which may require the use of management accruals and estimates. Actual
results may differ from these estimates.
The following is a summary of significant accounting policies followed by
the Master LLC:
Valuation of Investments: The Master LLC values most of its bond invest-
ments on the basis of last available bid price or current market quotations
provided by dealers or pricing services selected under the supervision of
the Board. Floating rate loan interests are valued at the mean between the
last available bid prices from one or more brokers or dealers as obtained
from pricing services. In determining the value of a particular investment,
pricing services may use certain information with respect to transactions in
such investments, quotations from dealers, pricing matrixes, market trans-
actions in comparable investments, various relationships observed in the
market between investments, and calculated yield measures based on val-
uation technology commonly employed in the market for such investments.
Swap agreements are valued by quoted fair values received daily by the
Master LLC’s pricing service or through brokers. Short-term securities with
maturities less than 60 days are valued at amortized cost, which approxi-
mates market value.
Equity investments traded on a recognized securities exchange or the
NASDAQ Global Market System are valued at the last reported sale price
that day or the NASDAQ official closing price, if applicable. For equity
investments traded on more than one exchange, the last reported sale
price on the exchange where the stock is primarily traded is used. Equity
investments traded on a recognized exchange for which there were no sales
on that day are valued at the last available bid price. If no bid price is
available, the prior day’s price will be used, unless it is determined that
such prior day’s price no longer reflects the fair value of the security.
In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment, the investment will be valued by, under
the direction of, or in accordance with, a method approved by the Board
as reflecting fair value (“Fair Value Assets”). When determining the price
for Fair Value Assets, the Advisor and/or sub-advisor seeks to determine
the price that the Master LLC might reasonably expect to receive from
the current sale of that asset in an arm’s-length transaction. Fair value
determinations shall be based upon all available factors that the Advisor
and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is
subsequently reported to the Board or a committee thereof.
Derivative Financial Instruments: The Master LLC may engage in various
portfolio investment strategies both to increase the return of the Master
LLC and to hedge, or protect, its exposure to interest rate movements and
movements in the securities markets. Losses may arise if the value of the
contract decreases due to an unfavorable change in the price of the under-
lying security, or if the counterparty does not perform under the contract.
•Credit default swaps — The Master LLC may enter into credit default
swaps for investment purposes or to manage their credit risk. The
Master LLC enters into credit default agreements to provide a measure
of protection against the default of an issuer (as buyer of protection)
and/or gain credit exposure to an issuer to which it is not otherwise
exposed (as seller of protection). Credit default swaps are agreements
in which one party pays fixed periodic payments to a counterparty in
consideration for a guarantee from the counterparty to make a specific
payment should a negative credit event take place (e.g. bankruptcy,
failure to pay, obligation accelerators, repudiation, moratorium or
restructuring). The Master LLC may either buy or sell (write) credit
default swaps. As a buyer, the Master LLC will either receive from the
seller an amount equal to the notional amount of the swap and deliver
the referenced security or underlying securities comprising of an index
or 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 of an index. As a seller (writer), the Master LLC 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 of an 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 of an index. In the event of default by
the counterparty, the Master LLC may recover amounts paid under the
agreement either partially or in total by offsetting any payables and/or
receivables with collateral held or pledged.
The Master LLC may utilize credit default swaps for the purpose of
reducing the interest rate sensitivity of the portfolio and decreasing the
Master LLC’s exposure to interest rate risk.
•Forward Foreign Currency Exchange Contracts — The Master LLC may
enter into forward foreign currency exchange contracts as a hedge
against either specific transactions or portfolio positions. Forward for-
eign currency exchange contracts, when used by the Master LLC, help to
manage the overall exposure to the foreign currency backing some of the
investments held by the Master LLC. The contract is marked-to-market
daily and the change in market value is recorded by the Master LLC as
an unrealized gain or loss. When the contract is closed, the Master LLC
records 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.
Foreign Currency Transactions: Foreign currency amounts are translated into
United States dollars on the following basis: (i) market value of investment
securities, assets and liabilities at the current rate of exchange; and (ii) pur-
chases and sales of investment securities, income and expenses at the
rates of exchange prevailing on the respective dates of such transactions.
68 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Notes to Financial Statements (continued)
Master Senior Floating Rate LLC
The Master LLC reports foreign currency related transactions as compo-
nents of realized gains for financial reporting purposes, whereas such com-
ponents are treated as ordinary income for federal income tax purposes.
Floating Rate Loans: The Master LLC invests in floating rate loans, which
are generally non-investment grade, made by banks, other financial institu-
tions and privately and publicly offered corporations. Floating rate loans
generally pay interest at rates that are periodically predetermined by refer-
ence to a base lending rate plus a premium. The base lending rates are
generally (i) the lending rate offered by one or more European banks, such
as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by
one or more U.S. banks or (iii) the certificate of deposit rate. The Master
LLC considers these investments to be investments in debt securities for
purposes of its investment policies.
The Master LLC earns and/or pays facility and other fees on floating
rate loans. Other fees earned/paid include commitment, amendment,
consent, commissions and prepayment penalty fees. Facility, amendment
and consent fees are typically amortized as premium and/or accreted as
discount over the term of the loan. Commitment, commission and various
other fees are recorded as income or expense. Prepayment penalty fees
are recorded as gains or losses. When the Master LLC buys a floating rate
loan it may receive a facility fee and when it sells a floating rate loan it
may pay a facility fee. On an ongoing basis, a Master LLC may receive a
commitment fee based on the undrawn portion of the underlying line of
credit portion of a floating rate loan. In certain circumstances, a Master LLC
may receive a prepayment penalty fee upon the prepayment of a floating
rate loan by a borrower. Other fees received by a Master LLC may include
covenant waiver fees and covenant modification fees.
The Master LLC may invest in multiple series or tranches of a loan. A
different series or tranche may have varying terms and carry different
associated risks.
Floating rate loans are usually freely callable at the issuer’s option. The
Master LLC may invest in such loans in the form of participations in loans
(“Participations”) and assignments of all or a portion of loans from third
parties. Participations typically will result in the Master LLC having a con-
tractual relationship only with the lender, not with the borrower. The Master
LLC will have the right to receive payments of principal, interest and any
fees to which it is entitled only from the lender selling the Participation and
only upon receipt by the lender of the payments from the borrower.
In connection with purchasing Participations, the Master LLC generally will
have no right to enforce compliance by the borrower with the terms of the
loan agreement relating to the loans, nor any rights of offset against the
borrower, and the Master LLC may not benefit directly from any collateral
supporting the loan in which it has purchased the Participation.
As a result, the Master LLC will assume the credit risk of both the borrower
and the lender that is selling the Participation. The Master LLC’s invest-
ments in loan participation interests involve the risk of insolvency of the
financial intermediaries who are parties to the transactions. In the event of
the insolvency of the lender selling the Participation, the Master LLC may
be treated as a general creditor of the lender and may not benefit from any
offset between the lender and the borrower.
Segregation and Collateralization: In cases in which the 1940 Act and
the interpretive positions of the Securities and Exchange Commission
(“SEC”) require that the Master LLC segregates assets in connection with
certain investments (e.g., swaps and forward foreign currency contracts),
the Master LLC will, consistent with certain interpretive letters issued by
the SEC, designate on its books and records cash or other liquid securities
having a market value at least equal to the amount that would otherwise
be required to be physically segregated. Furthermore, based on require-
ments and agreements with certain exchanges and third party broker-
dealers, the Master LLC may also be required to deliver or deposit
securities as collateral for certain investments (e.g., swaps).
Investment Transactions and Investment Income: With respect to the
Master LLC, Investment transactions are recorded on the dates the trans-
actions are entered into (the trade dates). Realized gains and losses on
security transactions are determined on the identified cost basis. Dividend
income is recorded on the ex-dividend dates. Dividends from foreign
securities where the ex-dividend date may have passed are subsequently
recorded when the Master LLC has determined the ex-dividend date.
Interest income is recognized on the accrual basis. The Master LLC amor-
tizes all premiums and discounts on debt securities.
Income Taxes: The Master LLC is classified as a partnership for federal
income tax purposes. As such, each investor in the Master LLC is treated as
owner of its proportionate share of the net assets, income, expenses and
realized and unrealized gains and losses of the Master LLC. Therefore, no
federal income tax provision is required. It is intended that the Master LLC’s
assets will be managed so an investor in the Master LLC can satisfy the
requirements of Subchapter M of the Internal Revenue Code.
The Master LLC files US federal and various state and local tax returns.
No income tax returns are currently under examination. The statute of limi-
tations on the Master LLC’s US federal tax returns remains open for each
of the four years ended August 31, 2008. The statutes of limitations on the
Master LLC’s state and local tax returns may remain open for an additional
year depending upon the jurisdiction.
Recent Accounting Pronouncement: In March 2008, Statement of
Financial Accounting Standards No. 161, “Disclosures about Derivative
Instruments and Hedging Activities — an amendment of FASB Statement
No. 133” (“FAS 161”), was issued. FAS 161 is intended to improve financial
reporting for derivative instruments by requiring enhanced disclosure that
enables investors to understand how and why an entity uses derivatives,
how derivatives are accounted for, and how derivative instruments affect an
entity’s results of operations and financial position. FAS 161 is effective for
financial statements issued for fiscal years and interim periods beginning
after November 15, 2008. The impact on the Master LLC’s financial state-
ment disclosures, if any, is currently being assessed.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 69
Notes to Financial Statements (continued)
Master Senior Floating Rate LLC
Other: Expenses directly related to the Master LLC are charged to that
Master LLC. Other operating expenses shared by several funds are pro-
rated among those funds on the basis of relative net assets or other
appropriate methods.
2. Transactions with Affiliates:
The Master LLC entered into an Investment Advisory Agreement with
BlackRock Advisors, LLC (the “Advisor”) to provide investment advisory
and administration services. As of January 31, 2009, The PNC Financial
Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are
the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a
stockholder of BlackRock following its acquisition of Merrill Lynch & Co.,
Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date, both PNC and
Merrill Lynch were considered affiliates of the Master LLC under the 1940
Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the
restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not
deemed to be an affiliate under the 1940 Act.
The Advisor is responsible for the management of the Master LLC’s portfolio
and provides the necessary personnel, facilities, equipment and certain
other services necessary to the operations of the Master LLC. For such
services, the Master LLC pays the Advisor a monthly fee at an annual rate
of 0.95% of the average daily value of the Master LLC’s net assets.
The Advisor has entered into a separate sub-advisory agreement with
BlackRock Financial Management, Inc. (“BFM”), an affiliate the Advisor,
under which the Advisor pays BFM for services it provides, monthly fee
that is a percentage of the investment advisory fee paid by the Master LLC
to the Advisor.
For the six months ended February 28, 2009, the Master LLC reimbursed
the Advisor $4,863 for certain accounting services, which are included in
accounting services in the Statement of Operations.
Certain officers and/or directors of the Master LLC are officers and/or
directors of BlackRock, Inc. or its affiliates. The Master LLC reimburses the
Advisor for compensation to the Master LLC’s Chief Compliance Officer.
3. Investments:
Purchases and sales (including paydowns) of investments, excluding
short-term securities, for the six months ended February 28, 2009 were
$61,781,412 and $133,239,614, respectively.
4. Commitments:
The Master LLC may invest in floating rate loans. In connection with these
investments, the Master LLC may also enter into unfunded corporate loan
(“commitments”). Commitments may obligate the Master LLC to furnish
temporary financing to a borrower until permanent financing can be
arranged. In connection with these commitments, the Master LLC earns a
commitment fee, typically set as a percentage of the commitment amount.
Such fee income, which is classified in the Statement of Operations as
facility and other fees, is recognized ratably over the commitment period.
As of February 28, 2009 the Master LLC had the following unfunded
loan commitments:
Value of | ||||
Unfunded | Underlying | |||
Commitment | Loan | |||
Borrower | (000) | (000) | ||
Bausch & Lomb, Inc | $ | 200 | $ | 170 |
Smurfit Corp | $ | 803 | $ | 790 |
5. Short-Term Borrowings:
The Master LLC, along with certain other funds managed by the Manager
and its affiliates, is a party to a $500 million credit agreement with a
group of lenders, which expired November 2008 and was subsequently
renewed until November 2009. The Master LLC may borrow under the
credit agreement to fund shareholder redemptions and for other lawful
purposes other than for leverage. The Master LLC may borrow up to the
maximum amount allowable under the Master LLC’s current Prospectus
and Statement of Additional Information, subject to various other legal,
regulatory or contractual limits. The Master LLC paid its pro rata share of a
0.02% upfront fee on the aggregate commitment amount based on its net
assets as of October 31, 2008. The Master LLC pays a commitment fee of
0.08% per annum based on the Master LLC’s pro rata share of the unused
portion of the credit agreement, which is included in miscellaneous in the
Statement of Operations. Amounts borrowed under the credit agreement
bear interest at a rate equal to the higher of (a) federal funds effective rate
and (b) reserve adjusted one month LIBOR, plus, in each case, the higher
of (i) 1.50% and (ii) 50% of the CDX Index (as defined in the credit agree-
ment) in effect from time to time. The Master LLC did not borrow under the
credit agreement during the six months ended February 28, 2009.
6. Market and Credit Risk:
In the normal course of business, the Master LLC invests in securities and
enters into transactions where risks exist due to fluctuations in the market
(market risk) or failure of the issuer of a security to meet all its obligations
(credit risk). The value of securities held by the Master LLC may decline in
response to certain events, including those directly involving the issuers
whose securities are owned by the Master LLC; conditions affecting the
general economy; overall market changes; local, regional or global political,
social or economic instability; and currency and interest rate and price
fluctuations. Similar to credit risk, the Master LLC may be exposed to coun-
terparty risk, or the risk that an entity with which the Master LLC has unset-
tled or open transactions may default. Financial assets, which potentially
expose the Master LLC to credit and counterparty risks, consist principally
of investments and cash due from counterparties. The extent of the Master
LLCs’ exposure to credit and counterparty risks with respect to these finan-
cial assets is approximated by their value recorded in the Master LLCs’
Statement of Assets and Liabilities.
70 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Officers and Directors/Trustees
Richard E. Cavanagh, Chairman of the Board and Director/Trustee
Karen P. Robards, Vice Chair of the Board, Chair of the
Audit Committee and Director/Trustee
G. Nicholas Beckwith, III, Director/Trustee
Richard S. Davis, Director/Trustee
Kent Dixon, Director/Trustee
Frank J. Fabozzi, Director/Trustee
Kathleen F. Feldstein, Director/Trustee
James T. Flynn, Director/Trustee
Henry Gabbay, Director/Trustee
Jerrold B. Harris, Director/Trustee
R. Glenn Hubbard, Director/Trustee
W. Carl Kester, Director/Trustee
Donald C. Burke, Fund President and Chief Executive Officer
Anne F. Ackerley, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Brian P. Kindelan, Chief Compliance Officer of the Funds
Howard B. Surloff, Secretary
BlackRock Defined Opportunity Credit Trust
BlackRock Diversified Income Strategies Fund, Inc.
BlackRock Floating Rate Income Strategies Fund, Inc.
BlackRock Limited Duration Income Trust
Custodian
State Street Bank and Trust Company
Boston, MA 02101
Transfer Agent
Computershare Trust Company, N.A.
Providence, RI 02940
BlackRock Senior Floating Rate Fund, Inc.
BlackRock Senior Floating Rate Fund II, Inc.
Custodian
The Bank of New York Mellon
New York, NY 10286
Transfer Agent
PNC Global Investment Servicing (U.S.) Inc.
Wilmington, DE 19809
For All Funds:
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036
Fund Address
100 Bellevue Parkway
Wilmington, DE 19809
Effective January 1, 2009, Robert S. Salomon, Jr. retired as
Director/Trustee of the Funds. The Board wishes Mr. Salomon
well in his retirement.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 71
Additional Information
Proxy Results
The Annual Meeting of Shareholders was held on September 12, 2008 for shareholders of record on July 14, 2008 to elect director/trustee nominees of
each Fund:
Approved the Directors/Trustees as follows: | ||||||
G. Nicholas Beckwith, III | Kent Dixon | R. Glenn Hubbard | ||||
Votes | Votes | Votes | ||||
Votes For | Withheld | Votes For | Withheld | Votes For | Withheld | |
BlackRock Diversified Income Strategies Fund, Inc. | 9,925,257 | 175,303 | 9,926,382 | 174,178 | 9,925,852 | 174,708 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 14,372,341 | 233,038 | 14,365,248 | 240,131 | 14,367,596 | 237,783 |
W. Carl Kester | Robert S. Salomon, Jr. | Richard S. Davis | ||||
Votes | Votes | Votes | ||||
Votes For | Withheld | Votes For | Withheld | Votes For | Withheld | |
BlackRock Diversified Income Strategies Fund, Inc. | 9,931,332 | 169,228 | 9,927,027 | 173,533 | 9,931,425 | 169,135 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 14,371,576 | 233,803 | 14,362,354 | 243,025 | 14,368,564 | 236,815 |
Frank J. Fabozzi | James T. Flynn | Karen P. Robards | ||||
Votes | Votes | Votes | ||||
Votes For | Withheld | Votes For | Withheld | Votes For | Withheld | |
BlackRock Diversified Income Strategies Fund, Inc. | 9,929,686 | 170,874 | 9,928,366 | 172,194 | 9,931,412 | 169,148 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 14,370,537 | 234,842 | 14,366,141 | 239,238 | 14,367,784 | 237,595 |
Richard E. Cavanagh | Kathleen F. Feldstein | Henry Gabbay | ||||
Votes | Votes | Votes | ||||
Votes For | Withheld | Votes For | Withheld | Votes For | Withheld | |
BlackRock Diversified Income Strategies Fund, Inc. | 9,932,186 | 168,374 | 9,926,659 | 173,901 | 9,928,672 | 171,888 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 14,372,341 | 233,038 | 14,365,872 | 239,507 | 14,368,564 | 236,815 |
Jerrold B. Harris | ||||||
Votes | ||||||
Votes For | Withheld | |||||
BlackRock Diversified Income Strategies Fund, Inc. | 9,930,605 | 169,955 | ||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 14,370,470 | 234,909 | ||||
Approved the Class I Directors/Trustees as follows: | ||||||
G. Nicholas Beckwith, III | Kent Dixon | R. Glenn Hubbard | ||||
Votes | Votes | Votes | ||||
Votes For | Withheld | Votes For | Withheld | Votes For | Withheld | |
BlackRock Defined Opportunity Credit Trust | 8,602,281 | 98,661 | 8,601,615 | 99,327 | 8,602,781 | 98,161 |
BlackRock Limited Duration Income Trust | 30,799,737 | 392,487 | 30,793,529 | 398,695 | 30,791,279 | 400,945 |
W. Carl Kester | Robert S. Salomon, Jr. | |||||
Votes | Votes | |||||
Votes For | Withheld | Votes For | Withheld | |||
BlackRock Defined Opportunity Credit Trust | 8,602,281 | 98,661 | 8,594,615 | 106,327 | ||
BlackRock Limited Duration Income Trust | 30,799,289 | 392,935 | 30,788,987 | 403,237 |
72 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
Additional Information (continued)
Section 19 Notices
These amounts are sources of distributions reported are only estimates
and are not being provided for tax reporting purposes. The actual amounts
and sources of the amounts for tax reporting purposes will depend upon
each Fund’s investment experience during the year and may be subject
to changes based on the tax regulations. The Funds will send you a Form
1099-DIV each calendar year that will tell you how to report these distribu-
tions for federal income tax purposes.
Total Fiscal Year-to-Date Cumulative | Percentage of Fiscal Year-to-Date | |||||||
Distributions by Character | Cumulative Distributions by Character | |||||||
Net | Net | Total Per | Net | Net | Total Per | |||
Investment | Realized | Return of | Common | Investment | Realized | Return of | Common | |
Income | Capital Gains | Capital | Share | Income | Capital Gains | Capital | Share | |
Defined Opportunity | $0.43725 | — | $0.23775 | $0.67500 | 65% | 0% | 35% | 100% |
Diversified Income | $0.63481 | — | $0.13519 | $0.77000 | 82% | 0% | 18% | 100% |
Floating Rate Income | $0.69440 | — | $0.02281 | $0.71721 | 97% | 0% | 3% | 100% |
Limited Duration | $0.52020 | — | $0.12233 | $0.64253 | 81% | 0% | 19% | 100% |
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC
for the first and third quarters of each fiscal year on Form N-Q. The Funds’
Forms N-Q are available on the SEC’s website at http://www.sec.gov
and may also be reviewed and copied at the SEC’s Public Reference
Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling (800) SEC-0330. The Funds’
Forms N-Q may also be obtained upon request and without charge by call-
ing (800) 441-7762.
Electronic Delivery
Electronic copies of most financial reports are available on the Funds’ web-
sites or shareholders can sign up for e-mail notifications of quarterly state-
ments, annual and semi-annual reports by enrolling in the Funds’ electronic
delivery program.
Shareholders Who Hold Accounts with Investment Advisors, Banks
or Brokerages:
Please contact your financial advisor to enroll. Please note that not all
investment advisors, banks or brokerages may offer this service.
General Information
The Funds will mail only one copy of shareholder documents, including
annual and semi-annual reports and proxy statements, to shareholders
with multiple accounts at the same address. This practice is commonly
called “householding” and it is intended to reduce expenses and eliminate
duplicate mailings of shareholder documents. Mailings of your shareholder
documents may be householded indefinitely unless you instruct us other-
wise. If you do not want the mailing of these documents to be combined
with those for other members of your household, please contact the Funds
at (800) 441-7762.
Quarterly performance, semi-annual and annual reports and other informa-
tion regarding the Funds may be found on BlackRock’s website, which can
be accessed at http://www.blackrock.com. This reference to BlackRock’s
website is intended to allow investors public access to information regard-
ing the Funds and does not, and is not intended to, incorporate
BlackRock’s website into this report.
SEMI-ANNUAL REPORT FEBRUARY 28, 2009 73
Additional Information (concluded)
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former
fund investors and individual clients (collectively, “Clients”) and to safe-
guarding their non-public personal information. The following information
is provided to help you understand what personal information BlackRock
collects, how we protect that information and why in certain cases we share
such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with
those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and
about you from different sources, including the following: (i) information
we receive from you or, if applicable, your financial intermediary, on appli-
cations, forms or other documents; (ii) information about your transactions
with us, our affiliates, or others; (iii) information we receive from a con-
sumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-
public personal information about its Clients, except as permitted by law
or as is necessary to respond to regulatory requests or to service Client
accounts. These non-affiliated third parties are required to protect the
confidentiality and security of this information and to use it only for its
intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services
that may be of interest to you. In addition, BlackRock restricts access to
non-public personal information about its Clients to those BlackRock
employees with a legitimate business need for the information. BlackRock
maintains physical, electronic and procedural safeguards that are designed
to protect the non-public personal information of its Clients, including pro-
cedures relating to the proper storage and disposal of such information.
74 SEMI-ANNUAL REPORT FEBRUARY 28, 2009
This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a represen-
tation of future performance. BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income Strategies Fund, Inc., BlackRock Floating Rate
Income Strategies Fund, Inc., BlackRock Limited Duration Income Trust, BlackRock Senior Floating Rate Fund, Inc., BlackRock Senior Floating Rate Fund II,
Inc. leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and market
price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other informa-
tion herein are as dated and are subject to change.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without
charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s website at
http://www.sec.gov. Information about how each Fund voted proxies relating to securities held in each Fund’s portfolio during the most recent 12-month
period ended June 30, 2008 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities
and Exchange Commission’s website at http://www.sec.gov.
![](https://capedge.com/proxy/N-CSRS/0000900092-09-000191/file4x27x1.jpg)
![](https://capedge.com/proxy/N-CSRS/0000900092-09-000191/file4x27x2.jpg)
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under
Item 1 of this form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous
Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies –
Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of February 28, 2009
(a) Not Applicable
(b) Effective May 8, 2009, Messrs. Mark Williams and Kevin Booth, each a portfolio manager of the
registrant identified in response to paragraph (a) of this item in the registrant’s most recent annual report,
has resigned from the registrant’s investment adviser.
Effective May 8, 2009, the registrant is managed by a team of investment professionals comprised of
Leland T. Hart, Managing Director at BlackRock and C. Adrian Marshall, Director at BlackRock. Messrs.
Hart and Marshall are the Fund’s co-portfolio managers and are responsible for the day-to-day
management of the Fund’s portfolio and the selection of its investments. Messrs. Hart and Marshall have
been members of the Fund’s management team since 2009.
Portfolio Manager Biography
Leland T. Hart Managing Director of BlackRock, Inc. since 2009; Partner of R3 Capital
Partners ("R3") in 2009; Managing Director of R3 from 2008 - 2009;
Managing Director of Lehman Brothers from 2006 - 2008; Executive Director
of Lehman Brothers from 2003 - 2006.
C. Adrian Marshall Director of BlackRock, Inc. since 2007; Vice President of BlackRock, Inc.
from 2004 - 2007.
(a)(2) As of May 8, 2009:
(ii) Number of Other Accounts Managed | (iii) Number of Other Accounts and | |||||
and Assets by Account Type | Assets for Which Advisory Fee is | |||||
Performance-Based | ||||||
Other | Other Pooled | Other | Other Pooled | |||
(i) Name of | Registered | Investment | Other | Registered | Investment | Other |
Portfolio Manager | Investment | Vehicles | Accounts | Investment | Vehicles | Accounts |
Companies | Companies | |||||
Leland T. Hart | 9 | 0 | 0 | 0 | 0 | 0 |
$1.92 Billion | $0 | $0 | $0 | $0 | $0 | |
C. Adrian Marshall | 9 | 1 | 3 | 0 | 0 | 0 |
$1.92 Billion | $49.4 Million | $441.3 Million | $0 | $0 | $0 |
(iv) Potential Material Conflicts of Interest
BlackRock and its affiliates (collectively, herein “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, its affiliates and significant shareholders and any officer, director,
stockholder or employee may or may not have an interest in the securities whose purchase and sale
BlackRock recommends to the Fund. BlackRock, or any of its affiliates or significant shareholders, or any
officer, director, stockholder, 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’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or
officers, or companies as to which BlackRock 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. Each portfolio manager also may manage accounts whose investment
strategies may at times be opposed to the strategy utilized for a fund. In this connection, it should be noted
that a portfolio manager may currently manage certain accounts that are subject to performance fees. In
addition, a portfolio manager may assist in managing certain hedge funds and may be entitled to receive a
portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily
or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or
funds and may be entitled to receive incentive fees.
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 has adopted a policy that is intended to ensure that investment opportunities are allocated fairly
and equitably among client accounts over time. This policy also seeks to achieve 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.
(a)(3) As of May 8, 2009:
Portfolio Manager Compensation Overview
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 such as its Long-Term Retention and Incentive Plan and
Restricted Stock Program.
Base compensation. Generally, portfolio managers receive base compensation based on their seniority
and/or their position with the firm. Senior portfolio managers who perform additional management
functions within the portfolio management group or within BlackRock may receive additional
compensation for serving in these other capacities.
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 seniority, role within the
portfolio management team, teamwork and contribution to the overall performance of these portfolios and
BlackRock. In most cases, including for the portfolio managers of the Fund, these benchmarks are the
same as the benchmark or benchmarks against which the performance of the Fund or other accounts
managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the
benchmarks against which the performance of funds and other accounts managed by each portfolio
manager is compared and the period of time over which performance is evaluated. With respect to the
portfolio managers, such benchmarks for the Fund include a combination of market-based indices (e.g.,
CSFB Leveraged Loan Index, CSFB High Yield II Value Index), certain customized indices and certain
fund industry peer groups.
BlackRock’s Chief Investment Officers make a subjective determination with respect to the portfolio
managers’ compensation based on the performance of the funds and other accounts managed by each
portfolio manager relative to the various benchmarks noted above. Performance is measured on both a
pre-tax and after-tax basis over various time periods including 1, 3, 5 and 10-year periods, as applicable.
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. The BlackRock, Inc.
restricted stock units, if properly vested, will be settled in BlackRock, Inc. common stock. Typically, the
cash bonus, when combined with base salary, represents more than 60% of total compensation for the
portfolio managers. Paying a portion of annual bonuses in 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.
Long-Term Retention and Incentive Plan (“LTIP”) — The LTIP is a long-term incentive plan
that seeks to reward certain key employees. Prior to 2006, the plan provided for the grant of awards that
were expressed as an amount of cash that, if properly vested and subject to the attainment of certain
performance goals, will be settled in cash and/or in BlackRock, Inc. common stock. Beginning in 2006,
awards are granted under the LTIP in the form of BlackRock, Inc. restricted stock units that, if properly
vested and subject to the attainment of certain performance goals, will be settled in BlackRock, Inc.
common stock. Mr. Marshall has received awards under the LTIP.
Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock
employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s
investment products. Each participant in the deferred compensation program is permitted to allocate his
deferred amounts among the various investment options. Mr. Marshall has participated in the deferred
compensation program.
Other compensation benefits. In addition to base compensation 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 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 6% of eligible pay
contributed to the plan capped at $4,000 per year, and a company retirement contribution equal to 3-5% of
eligible compensation. The RSP offers a range of investment options, including registered investment
companies managed by the firm. BlackRock contributions follow the investment direction set by
participants for their own contributions or, absent employee investment direction, are invested into a
balanced portfolio. The ESPP allows for investment in BlackRock 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 or a dollar value of $25,000. Each portfolio manager except Mr. Hart is eligible
to participate in these plans.
United Kingdom-based portfolio managers are also eligible to participate in broad-based plans
offered generally to BlackRock employees, including broad-based retirement, health and other employee
benefit plans. For example, BlackRock has created a variety of incentive savings plans in which
BlackRock employees are eligible to participate, including a Group Personal Pension Plan (GPPP) and the
BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution to the GPPP is between 6%
to 15% (dependent on service related entitlement) of eligible pay capped at £150,000 per annum. The
GPPP offers a range of investment options, including several collective investment funds managed by the
firm. BlackRock contributions follow the investment direction set by participants for their own
contributions or, in the absence of an investment election being made, are invested into a passive balanced
managed fund. The ESPP allows for investment in BlackRock 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 or a dollar value of $25,000. Mr. Hart is eligible to participate in these plans.
(a)(4) Beneficial Ownership of Securities.
Portfolio Manager | Dollar Range of Equity |
Securities Beneficially Owned | |
Leland T. Hart | None |
C. Adrian Marshall | $1 - $10,000 |
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated
Purchasers – Not Applicable
Item 10 – Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance
Committee will consider nominees to the board of directors recommended by shareholders when a vacancy
becomes available. Shareholders who wish to recommend a nominee should send nominations that include
biographical information and set forth the qualifications of the proposed nominee to the registrant’s
Secretary. There have been no material changes to these procedures.
Item 11 – Controls and Procedures
11(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 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.
11(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
12(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
12(a)(2) – Certifications – Attached hereto
12(a)(3) – Not Applicable
12(b) – Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of
1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: /s/ Donald C. Burke
Donald C. Burke
Chief Executive Officer of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 8, 2009
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/ Donald C. Burke
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 8, 2009
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: May 8, 2009